Fund
|
Ticker
|
Listing
Exchange
|
JPMorgan
Core Plus Bond ETF |
JCPB |
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
Ultra-Short Income ETF |
JPST |
NYSE
Arca |
JPMorgan
Ultra-Short Municipal Income ETF |
JMST |
Cboe
BZX Exchange, Inc. |
|
|
1 | |
2 | |
| |
3 | |
6 | |
8 | |
11 | |
13 | |
16 | |
18 | |
20 | |
218 | |
228 | |
232 | |
258 | |
259 | |
260 |
![]() |
“A
properly diversified portfolio
together
with a long-term approach
may
help investors weather economic
and
geopolitical uncertainties.”
—
Brian S. Shlissel
|
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
1
|
2
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
1.37% |
Market
Price ** |
1.52% |
Bloomberg
U.S. Aggregate Index |
0.95% |
Net
Assets as of 8/31/2023 |
$1,449,941,701 |
Duration
as of 8/31/2023 |
6.4
Years |
Fund
Ticker |
JCPB |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
28.4% |
Mortgage-Backed
Securities |
19.5 |
Asset-Backed
Securities |
15.3 |
U.S.
Treasury Obligations |
12.1 |
Commercial
Mortgage-Backed Securities |
4.9 |
Collateralized
Mortgage Obligations |
3.4 |
Others
(each less than 1.0%) |
0.4 |
Short-Term
Investments |
16.0 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
3
|
4
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Core Plus Bond ETF |
|
|
| |
Net
Asset Value |
January
28, 2019 |
1.37
% |
0.03
% |
1.14
% |
Market
Price |
|
1.52 |
0.12 |
1.20 |
| |
* |
Not
annualized. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
5
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
2.41% |
Market
Price ** |
2.01% |
Bloomberg
U.S. Aggregate Index |
0.95% |
Net
Assets as of 8/31/2023 |
$605,270,908 |
Duration
as of 8/31/2023 |
3.5
Years |
Fund
Ticker |
JPIE |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
34.3% |
Asset-Backed
Securities |
24.3 |
Mortgage-Backed
Securities |
19.4 |
Commercial
Mortgage-Backed Securities |
12.3 |
Collateralized
Mortgage Obligations |
6.8 |
Foreign
Government Securities |
2.4 |
Others
(each less than 1.0%) |
0.1 |
Short-Term
Investments |
0.4 |
6
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Income ETF |
|
|
| |
Net
Asset Value |
October
28, 2021 |
2.41
% |
3.32
% |
(1.55
)% |
Market
Price |
|
2.01 |
2.86 |
(1.37
) |
| |
* |
Not
annualized. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
7
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
1.33% |
Market
Price ** |
1.50% |
Bloomberg
Multiverse ex-USA (USD Hedged) Index |
3.02% |
Net
Assets as of 8/31/2023 |
$359,448,013 |
Duration
as of 8/31/2023 |
4.3
Years |
Fund
Ticker |
JPIB |
8
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
PORTFOLIO
COMPOSITION
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
58.2% |
Foreign
Government Securities |
33.9 |
Asset-Backed
Securities |
1.5 |
Commercial
Mortgage-Backed Securities |
1.0 |
Others
(each less than 1.0%) |
1.1 |
Short-Term
Investments |
4.3 |
PORTFOLIO
COMPOSITION BY COUNTRY
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
United
States |
12.1% |
Spain |
9.7 |
United
Kingdom |
9.5 |
France |
8.8 |
Canada |
7.6 |
Italy |
6.2 |
Brazil |
5.4 |
Mexico |
5.1 |
Germany |
5.1 |
Australia |
3.6 |
South
Africa |
2.3 |
Portugal |
2.1 |
Netherlands |
2.1 |
Luxembourg |
1.6 |
Switzerland |
1.5 |
Ireland |
1.3 |
Czech
Republic |
1.0 |
Belgium |
1.0 |
Others
(each less than 1.0%) |
9.7 |
Short-Term
Investments |
4.3 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
9
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
5
YEAR |
SINCE
INCEPTION |
JPMorgan
International Bond Opportunities ETF |
|
|
|
| |
Net
Asset Value |
April
5, 2017 |
1.33
% |
4.72
% |
2.53
% |
2.48
% |
Market
Price |
|
1.50 |
4.90 |
2.65 |
2.57 |
| |
* |
Not
annualized. |
10
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
1.21% |
Market
Price ** |
1.03% |
Bloomberg
U.S. 1-15 Year Blend (1-17) Municipal Bond Index |
0.89% |
Net
Assets as of 8/31/2023 |
$642,102,252 |
Duration
as of 8/31/2023 |
5.7
Years |
Fund
Ticker |
JMUB |
CREDIT
QUALITY ALLOCATIONS
AS
OF AUGUST 31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
AAA |
25.7% |
AA |
42.9 |
A |
17.1 |
BBB |
7.9 |
BB |
1.2 |
NR |
5.2 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
11
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Municipal ETF |
|
|
| |
Net
Asset Value |
October
29, 2018 |
1.21
% |
2.18
% |
2.38
% |
Market
Price |
|
1.03 |
2.05 |
2.35 |
| |
* |
Not
annualized. |
12
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
1.80% |
Market
Price ** |
2.03% |
Bloomberg
1-5 Year Government/Credit Index |
1.83% |
Net
Assets as of 8/31/2023 |
$257,739,411 |
Duration
as of 8/31/2023 |
2.8
Years |
Fund
Ticker |
JSCP |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
35.5% |
Asset-Backed
Securities |
21.2 |
U.S.
Treasury Obligations |
16.7 |
Mortgage-Backed
Securities |
13.8 |
Commercial
Mortgage-Backed Securities |
4.7 |
Collateralized
Mortgage Obligations |
3.0 |
Others
(each less than 1.0%) |
0.7 |
Short-Term
Investments |
4.4 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
13
|
14
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Short Duration Core Plus ETF |
|
|
| |
Net
Asset Value |
March
1, 2021 |
1.80
% |
2.42
% |
(1.16
)% |
Market
Price |
|
2.03 |
2.49 |
(1.11
) |
| |
* |
Not
annualized. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
15
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
2.19% |
Market
Price ** |
2.17% |
ICE
BofAML 3-Month US Treasury Bill Index |
2.48% |
Net
Assets as of 8/31/2023 |
$22,756,203,756 |
Duration
as of 8/31/2023 |
0.6
Years |
Fund
Ticker |
JPST |
PORTFOLIO
COMPOSITION BY SECTOR
AS
OF August
31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
Financials |
28.8% |
Asset-Backed
Securities |
8.5 |
U.S.
Treasury Obligations |
2.3 |
Utilities |
1.9 |
Information
Technology |
1.5 |
Energy |
1.5 |
Industrials |
1.4 |
Consumer
Discretionary |
1.4 |
Health
Care |
1.2 |
Others
(each less than 1.0%) |
2.7 |
Short-Term
Investments |
48.8 |
16
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
5
YEAR |
SINCE
INCEPTION |
JPMorgan
Ultra-Short Income ETF |
|
|
|
| |
Net
Asset Value |
May 17,
2017 |
2.19
% |
4.08
% |
2.07
% |
2.05
% |
Market
Price |
|
2.17 |
4.06 |
2.06 |
2.05 |
| |
* |
Not
annualized. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
17
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
1.54% |
Market
Price ** |
1.54% |
Bloomberg
1-Year Municipal Bond Index |
1.48% |
Net
Assets as of 8/31/2023 |
$2,572,334,409 |
Duration
as of 8/31/2023 |
0.7
Years |
Fund
Ticker |
JMST |
CREDIT
QUALITY ALLOCATIONS
AS
OF AUGUST 31, 2023 |
PERCENT
OF
TOTAL
INVESTMENTS |
AAA |
22.4% |
AA |
34.8 |
A |
19.9 |
BBB |
1.6 |
B |
0.2 |
NR |
21.1 |
18
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Ultra-Short Municipal Income ETF |
|
|
| |
Net
Asset Value |
October
16, 2018 |
1.54
% |
2.61
% |
1.48
% |
Market
Price |
|
1.54 |
2.77 |
1.47 |
| |
* |
Not
annualized. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
19
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 28.8% | ||
Aerospace
& Defense — 0.5% | ||
Boeing
Co. (The)
|
|
|
2.75%,
2/1/2026 |
14,000 |
13,139 |
2.20%,
2/4/2026 |
95,000 |
87,638 |
3.10%,
5/1/2026 |
35,000 |
32,967 |
2.70%,
2/1/2027 |
65,000 |
59,438 |
3.75%,
2/1/2050 |
675,000 |
492,161 |
5.93%,
5/1/2060 |
40,000 |
38,611 |
Bombardier,
Inc. (Canada) 6.00%,
2/15/2028 (a) |
330,000 |
308,427 |
BWX
Technologies, Inc. 4.13%,
4/15/2029 (a) |
310,000 |
275,853 |
Howmet
Aerospace, Inc.
|
|
|
5.13%,
10/1/2024 |
122,000 |
120,777 |
5.95%,
2/1/2037 |
304,000 |
299,288 |
L3Harris
Technologies, Inc.
|
|
|
5.40%,
1/15/2027 |
855,000 |
857,077 |
5.40%,
7/31/2033 |
205,000 |
205,344 |
5.60%,
7/31/2053 |
217,000 |
218,382 |
Lockheed
Martin Corp.
|
|
|
4.50%,
5/15/2036 |
125,000 |
118,481 |
4.70%,
5/15/2046 |
100,000 |
93,522 |
4.15%,
6/15/2053 |
350,000 |
295,014 |
Precision
Castparts Corp. 4.38%,
6/15/2045 |
154,000 |
132,763 |
RTX
Corp.
|
|
|
4.13%,
11/16/2028 |
1,735,000 |
1,655,788 |
1.90%,
9/1/2031 |
450,000 |
352,375 |
2.38%,
3/15/2032 |
95,000 |
76,446 |
5.15%,
2/27/2033 |
165,000 |
163,118 |
4.50%,
6/1/2042 |
100,000 |
87,214 |
3.03%,
3/15/2052 |
350,000 |
230,131 |
5.38%,
2/27/2053 |
144,000 |
140,362 |
Spirit
AeroSystems, Inc.
|
|
|
7.50%,
4/15/2025 (a) |
33,000 |
32,591 |
9.38%,
11/30/2029 (a) |
253,000 |
263,655 |
TransDigm,
Inc.
|
|
|
6.25%,
3/15/2026 (a) |
530,000 |
524,949 |
6.75%,
8/15/2028 (a) |
165,000 |
165,578 |
Triumph
Group, Inc. 7.75%, 8/15/2025 |
16,000 |
15,096 |
Wesco
Aircraft Holdings, Inc. 9.00%,
11/15/2026 (a)
(b) |
20,000 |
1,900 |
|
|
7,358,085 |
Automobile
Components — 0.3% | ||
Adient
Global Holdings Ltd.
|
|
|
4.88%,
8/15/2026 (a) |
200,000 |
192,610 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Automobile
Components — continued | ||
7.00%,
4/15/2028 (a) |
210,000 |
212,161 |
Allison
Transmission, Inc.
|
|
|
5.88%,
6/1/2029 (a) |
406,000 |
392,125 |
3.75%,
1/30/2031 (a) |
75,000 |
62,645 |
American
Axle & Manufacturing, Inc.
|
|
|
6.50%,
4/1/2027 |
275,000 |
260,629 |
6.88%,
7/1/2028 |
350,000 |
321,027 |
5.00%,
10/1/2029 |
75,000 |
61,744 |
Aptiv
plc 5.40%, 3/15/2049 |
25,000 |
21,941 |
Clarios
Global LP 6.25%, 5/15/2026 (a) |
427,000 |
422,890 |
Cooper-Standard
Automotive, Inc.
|
|
|
13.50%
(Blend (Cash 9.00% + PIK
4.50%)),
3/31/2027 (a)
(c) |
44,250 |
44,947 |
10.63%
(PIK), 5/15/2027 (a)
(c) |
31,221 |
19,608 |
Dana,
Inc.
|
|
|
5.38%,
11/15/2027 |
365,000 |
345,299 |
4.50%,
2/15/2032 |
40,000 |
32,296 |
Goodyear
Tire & Rubber Co. (The)
|
|
|
4.88%,
3/15/2027 |
120,000 |
112,884 |
5.00%,
7/15/2029 |
521,000 |
462,386 |
5.25%,
7/15/2031 |
660,000 |
568,425 |
Icahn
Enterprises LP
|
|
|
6.38%,
12/15/2025 |
247,000 |
235,485 |
5.25%,
5/15/2027 |
315,000 |
276,412 |
Lear
Corp. 2.60%, 1/15/2032 |
10,000 |
7,796 |
|
|
4,053,310 |
Automobiles
— 0.1% | ||
Ford
Motor Co.
|
|
|
9.63%,
4/22/2030 |
590,000 |
682,368 |
4.75%,
1/15/2043 |
380,000 |
284,090 |
General
Motors Co. 5.95%, 4/1/2049 |
25,000 |
22,418 |
Hyundai
Capital America
|
|
|
0.80%,
1/8/2024 (a) |
170,000 |
167,039 |
1.50%,
6/15/2026 (a) |
440,000 |
393,559 |
3.00%,
2/10/2027 (a) |
200,000 |
182,855 |
Nissan
Motor Acceptance Co. LLC 2.00%,
3/9/2026 (a) |
305,000 |
271,799 |
|
|
2,004,128 |
Banks
— 5.3% | ||
ABN
AMRO Bank NV (Netherlands) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
2.47%, 12/13/2029 (a)
(d) |
500,000 |
421,642 |
20
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
1.90%),
3.32%, 3/13/2037 (a)
(d) |
200,000 |
154,141 |
ANZ
New Zealand Int'l Ltd. (New Zealand)
5.36%,
8/14/2028 (a) |
600,000 |
597,851 |
ASB
Bank Ltd. (New Zealand) 2.38%,
10/22/2031 (a) |
200,000 |
158,801 |
Banco
Bilbao Vizcaya Argentaria SA (Spain)
0.88%,
9/18/2023 |
200,000 |
199,642 |
Banco
Santander SA (Spain) |
|
|
2.75%,
5/28/2025 |
200,000 |
189,220 |
5.59%,
8/8/2028 |
2,800,000 |
2,774,919 |
Bank
of America Corp.
|
|
|
(SOFR
+ 0.41%), 5.78%,
6/14/2024 (d) |
400,000 |
398,730 |
3.88%,
8/1/2025 |
203,000 |
197,586 |
(SOFR
+ 1.01%), 1.20%,
10/24/2026 (d) |
2,600,000 |
2,356,160 |
(3-MONTH
CME TERM SOFR + 1.32%),
3.56%,
4/23/2027 (d) |
40,000 |
37,897 |
(3-MONTH
CME TERM SOFR + 1.84%),
3.82%,
1/20/2028 (d) |
936,000 |
882,417 |
(3-MONTH
CME TERM SOFR + 1.77%),
3.71%,
4/24/2028 (d) |
1,205,000 |
1,127,971 |
(3-MONTH
CME TERM SOFR + 1.63%),
3.59%,
7/21/2028 (d) |
261,000 |
242,933 |
(SOFR
+ 2.04%), 4.95%,
7/22/2028 (d) |
390,000 |
381,850 |
(3-MONTH
CME TERM SOFR + 1.30%),
3.42%,
12/20/2028 (d) |
454,000 |
416,321 |
(SOFR
+ 1.63%), 5.20%,
4/25/2029 (d) |
140,000 |
137,883 |
(SOFR
+ 1.06%), 2.09%,
6/14/2029 (d) |
635,000 |
541,785 |
(SOFR
+ 1.53%), 1.90%,
7/23/2031 (d) |
660,000 |
520,999 |
(SOFR
+ 1.37%), 1.92%,
10/24/2031 (d) |
50,000 |
39,171 |
Series
N, (SOFR + 1.22%), 2.65%,
3/11/2032 (d) |
2,740,000 |
2,239,744 |
(SOFR
+ 1.22%), 2.30%,
7/21/2032 (d) |
1,900,000 |
1,498,440 |
(SOFR
+ 1.21%), 2.57%,
10/20/2032 (d) |
140,000 |
112,219 |
(3-MONTH
CME TERM SOFR + 1.58%),
4.08%,
4/23/2040 (d) |
112,000 |
94,136 |
(SOFR
+ 1.93%), 2.68%,
6/19/2041 (d) |
150,000 |
103,289 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
Bank
of America NA 5.53%, 8/18/2026 |
500,000 |
502,432 |
Bank
of Ireland Group plc (Ireland) (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.65%),
6.25%,
9/16/2026 (a)
(d) |
259,000 |
258,383 |
Bank
of Montreal (Canada) |
|
|
1.50%,
1/10/2025 |
370,000 |
350,017 |
5.30%,
6/5/2026 |
300,000 |
298,962 |
Bank
of New Zealand (New Zealand)
3.50%,
2/20/2024 (a) |
250,000 |
247,186 |
Bank
of Nova Scotia (The) (Canada) |
|
|
(3-MONTH
CME TERM SOFR + 2.91%),
8.21%,
10/12/2023 (d)
(e) (f) (g) |
50,000 |
44,500 |
2.20%,
2/3/2025 |
112,000 |
106,663 |
3.45%,
4/11/2025 |
300,000 |
289,788 |
2.15%,
8/1/2031 |
250,000 |
198,824 |
Banque
Federative du Credit Mutuel SA
(France) |
|
|
4.52%,
7/13/2025 (a) |
320,000 |
312,594 |
4.94%,
1/26/2026 (a) |
200,000 |
196,025 |
5.90%,
7/13/2026 (a) |
200,000 |
200,610 |
1.60%,
10/4/2026 (a) |
200,000 |
177,038 |
5.79%,
7/13/2028 (a) |
605,000 |
607,675 |
Barclays
plc (United Kingdom) |
|
|
5.20%,
5/12/2026 |
200,000 |
194,069 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
3.30%),
7.39%, 11/2/2028 (d) |
900,000 |
936,930 |
BNP
Paribas SA (France) (SOFR + 1.61%),
1.90%,
9/30/2028 (a)
(d) |
450,000 |
386,104 |
BPCE
SA (France) |
|
|
3.50%,
10/23/2027 (a) |
850,000 |
776,138 |
5.13%,
1/18/2028 (a) |
745,000 |
730,631 |
(SOFR
+ 1.73%), 3.12%,
10/19/2032 (a)
(d) |
250,000 |
193,270 |
Canadian
Imperial Bank of
Commerce (Canada)
3.30%, 4/7/2025 |
105,000 |
101,201 |
Citigroup,
Inc.
|
|
|
Series
P, (3-MONTH CME TERM SOFR +
4.17%),
5.95%, 5/15/2025 (d)
(f)
(g) |
115,000 |
110,874 |
(SOFR
+ 1.37%), 4.14%,
5/24/2025 (d) |
81,000 |
79,912 |
(SOFR
+ 0.69%), 2.01%,
1/25/2026 (d) |
444,000 |
420,035 |
(SOFR
+ 1.55%), 5.61%,
9/29/2026 (d) |
408,000 |
406,138 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
21
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(SOFR
+ 0.77%), 1.46%, 6/9/2027 (d) |
650,000 |
578,799 |
(3-MONTH
CME TERM SOFR + 1.82%),
3.89%,
1/10/2028 (d) |
550,000 |
519,574 |
Series
VAR, (SOFR + 1.28%), 3.07%,
2/24/2028 (d) |
645,000 |
592,084 |
(3-MONTH
CME TERM SOFR + 1.65%),
3.67%,
7/24/2028 (d) |
1,200,000 |
1,115,971 |
(3-MONTH
CME TERM SOFR + 1.45%),
4.08%,
4/23/2029 (d) |
1,045,000 |
979,780 |
(3-MONTH
CME TERM SOFR + 1.60%),
3.98%,
3/20/2030 (d) |
500,000 |
460,470 |
(SOFR
+ 3.91%), 4.41%,
3/31/2031 (d) |
155,000 |
143,920 |
(SOFR
+ 2.11%), 2.57%, 6/3/2031 (d) |
120,000 |
99,101 |
(SOFR
+ 1.17%), 2.56%, 5/1/2032 (d) |
660,000 |
531,753 |
(SOFR
+ 1.18%), 2.52%,
11/3/2032 (d) |
1,065,000 |
845,135 |
(SOFR
+ 2.34%), 6.27%,
11/17/2033 (d) |
750,000 |
782,067 |
(SOFR
+ 1.38%), 2.90%,
11/3/2042 (d) |
55,000 |
37,775 |
Cooperatieve
Rabobank UA (Netherlands)
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.22%),
3.65%,
4/6/2028 (a)
(d) |
890,000 |
826,254 |
Credit
Agricole SA (France) |
|
|
(SOFR
+ 1.68%), 1.91%,
6/16/2026 (a)
(d) |
550,000 |
511,982 |
5.59%,
7/5/2026 (a) |
565,000 |
564,818 |
(SOFR
+ 0.89%), 1.25%,
1/26/2027 (a)
(d) |
250,000 |
224,083 |
5.30%,
7/12/2028 (a) |
990,000 |
988,164 |
(USD
Swap Semi 5 Year + 1.64%),
4.00%,
1/10/2033 (a)
(d) |
250,000 |
224,212 |
Danske
Bank A/S (Denmark) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.45%),
3.77%, 3/28/2025 (a)
(d) |
450,000 |
442,867 |
(ICE
LIBOR USD 3 Month + 1.59%),
3.24%,
12/20/2025 (a)
(d) |
200,000 |
191,597 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.10%),
6.47%, 1/9/2026 (a)
(d) |
271,000 |
271,124 |
HSBC
Holdings plc (United Kingdom) |
|
|
(SOFR
+ 1.29%), 1.59%,
5/24/2027 (d) |
200,000 |
177,701 |
(SOFR
+ 1.57%), 5.89%,
8/14/2027 (d) |
1,015,000 |
1,011,817 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
(SOFR
+ 1.10%), 2.25%,
11/22/2027 (d) |
200,000 |
178,349 |
(3-MONTH
CME TERM SOFR + 1.81%),
4.04%,
3/13/2028 (d) |
800,000 |
751,346 |
(SOFR
+ 2.61%), 5.21%,
8/11/2028 (d) |
305,000 |
297,620 |
(SOFR
+ 1.73%), 2.01%,
9/22/2028 (d) |
1,370,000 |
1,177,401 |
(SOFR
+ 3.35%), 7.39%,
11/3/2028 (d) |
250,000 |
262,656 |
(SOFR
+ 1.29%), 2.21%,
8/17/2029 (d) |
1,200,000 |
1,005,310 |
(3-MONTH
CME TERM SOFR + 1.87%),
3.97%,
5/22/2030 (d) |
200,000 |
180,042 |
(SOFR
+ 1.19%), 2.80%,
5/24/2032 (d) |
1,250,000 |
998,417 |
(SOFR
+ 1.41%), 2.87%,
11/22/2032 (d) |
250,000 |
198,951 |
(SOFR
+ 2.39%), 6.25%, 3/9/2034 (d) |
400,000 |
404,351 |
6.10%,
1/14/2042 |
230,000 |
240,722 |
(SOFR
+ 2.65%), 6.33%, 3/9/2044 (d) |
265,000 |
267,219 |
ING
Groep NV (Netherlands) (SOFR +
1.01%),
1.73%, 4/1/2027 (d) |
200,000 |
179,851 |
Intesa
Sanpaolo SpA (Italy) (US Treasury
Yield
Curve Rate T Note Constant
Maturity
1 Year + 2.75%), 4.95%,
6/1/2042 (a)
(d) |
200,000 |
133,283 |
Lloyds
Banking Group plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.60%),
3.51%, 3/18/2026 (d) |
200,000 |
192,187 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.30%),
4.98%, 8/11/2033 (d) |
250,000 |
231,407 |
Mitsubishi
UFJ Financial Group, Inc. (Japan) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.68%),
0.85%, 9/15/2024 (d) |
200,000 |
199,706 |
3.78%,
3/2/2025 |
269,000 |
261,223 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.55%),
5.06%, 9/12/2025 (d) |
565,000 |
559,725 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.75%),
1.54%, 7/20/2027 (d) |
560,000 |
499,234 |
Series
8NC7, (US Treasury Yield Curve
Rate
T Note Constant Maturity 1 Year +
1.53%),
5.48%, 2/22/2031 (d) |
200,000 |
198,386 |
22
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
2.85%, 1/19/2033 (d) |
775,000 |
633,991 |
Mizuho
Financial Group, Inc. (Japan) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.65%),
5.78%, 7/6/2029 (d) |
580,000 |
580,941 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.87%),
2.17%, 5/22/2032 (d) |
225,000 |
173,955 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.90%),
5.75%, 7/6/2034 (d) |
830,000 |
821,923 |
Morgan
Stanley Bank NA 4.75%,
4/21/2026 |
255,000 |
251,698 |
National
Australia Bank Ltd. (Australia) |
|
|
3.38%,
1/14/2026 |
250,000 |
239,700 |
4.90%,
6/13/2028 |
250,000 |
247,034 |
NatWest
Group plc (United Kingdom) |
|
|
(ICE
LIBOR USD 3 Month + 1.76%),
4.27%,
3/22/2025 (d) |
300,000 |
296,616 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.85%),
7.47%, 11/10/2026 (d) |
1,950,000 |
2,007,680 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.35%),
5.85%, 3/2/2027 (d) |
500,000 |
497,032 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.55%),
3.07%, 5/22/2028 (d) |
200,000 |
180,329 |
(ICE
LIBOR USD 3 Month + 1.91%),
5.08%,
1/27/2030 (d) |
200,000 |
190,494 |
NatWest
Markets plc (United Kingdom)
0.80%,
8/12/2024 (a) |
200,000 |
190,835 |
Nordea
Bank Abp (Finland) 5.38%,
9/22/2027 (a) |
400,000 |
396,460 |
PNC
Financial Services Group, Inc. (The)
|
|
|
2.55%,
1/22/2030 |
639,000 |
535,972 |
(SOFR
+ 0.98%), 2.31%,
4/23/2032 (d) |
50,000 |
40,265 |
(SOFR
+ 1.95%), 5.94%,
8/18/2034 (d) |
350,000 |
354,015 |
Royal
Bank of Canada (Canada) |
|
|
1.60%,
1/21/2025 |
250,000 |
236,995 |
4.65%,
1/27/2026 (e) |
245,000 |
240,299 |
4.24%,
8/3/2027 |
425,000 |
409,045 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
Santander
UK Group Holdings plc (United
Kingdom) |
|
|
(SOFR
+ 2.75%), 6.83%,
11/21/2026 (d) |
700,000 |
708,791 |
(SOFR
+ 0.99%), 1.67%,
6/14/2027 (d) |
200,000 |
176,030 |
(SOFR
+ 2.60%), 6.53%,
1/10/2029 (d) |
1,625,000 |
1,637,797 |
Societe
Generale SA (France) |
|
|
4.25%,
4/14/2025 (a) |
200,000 |
192,764 |
4.75%,
11/24/2025 (a) |
200,000 |
192,421 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
1.49%, 12/14/2026 (a)
(d) |
1,200,000 |
1,075,301 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.30%),
6.45%, 1/12/2027 (a)
(d) |
200,000 |
200,936 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.00%),
1.79%, 6/9/2027 (a)
(d) |
200,000 |
177,412 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.30%),
2.80%, 1/19/2028 (a)
(d) |
1,200,000 |
1,074,925 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.55%),
6.45%, 1/10/2029 (a)
(d) |
970,000 |
976,877 |
Standard
Chartered plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.78%),
0.99%, 1/12/2025 (a)
(d) |
200,000 |
195,830 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.00%),
1.46%, 1/14/2027 (a)
(d) |
610,000 |
545,919 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
3.45%),
7.77%, 11/16/2028 (a)
(d) |
1,400,000 |
1,482,696 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.45%),
6.30%, 1/9/2029 (a)
(d) |
893,000 |
901,580 |
Sumitomo
Mitsui Financial Group, Inc.
(Japan) |
|
|
5.52%,
1/13/2028 |
255,000 |
254,903 |
5.71%,
1/13/2030 |
255,000 |
256,395 |
5.77%,
1/13/2033 |
200,000 |
202,863 |
Sumitomo
Mitsui Trust Bank Ltd. (Japan) |
|
|
1.05%,
9/12/2025 (a) |
60,000 |
54,592 |
4.95%,
9/15/2027 (a) |
200,000 |
197,211 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
23
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
Svenska
Handelsbanken AB (Sweden)
5.50%,
6/15/2028 (a) |
970,000 |
955,662 |
Swedbank
AB (Sweden) 5.34%,
9/20/2027 (a) |
200,000 |
196,518 |
Toronto-Dominion
Bank (The) (Canada) |
|
|
5.10%,
1/9/2026 |
270,000 |
267,862 |
5.53%,
7/17/2026 |
265,000 |
265,585 |
5.52%,
7/17/2028 |
100,000 |
100,493 |
2.00%,
9/10/2031 |
385,000 |
305,111 |
4.46%,
6/8/2032 |
120,000 |
111,777 |
Truist
Bank 4.05%, 11/3/2025 |
60,000 |
57,622 |
Truist
Financial Corp.
|
|
|
(SOFR
+ 2.05%), 6.05%, 6/8/2027 (d) |
300,000 |
299,790 |
(SOFR
+ 1.85%), 5.12%,
1/26/2034 (d) |
290,000 |
272,018 |
UniCredit
SpA (Italy) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1
Year
+ 1.20%), 1.98%,
6/3/2027 (a)
(d) |
200,000 |
177,658 |
Wells
Fargo & Co.
|
|
|
3.55%,
9/29/2025 |
227,000 |
217,783 |
(3-MONTH
CME TERM SOFR + 1.01%),
2.16%,
2/11/2026 (d) |
913,000 |
863,210 |
(SOFR
+ 1.32%), 3.91%,
4/25/2026 (d) |
600,000 |
580,068 |
3.00%,
10/23/2026 |
360,000 |
333,448 |
(3-MONTH
CME TERM SOFR + 1.57%),
3.58%,
5/22/2028 (d) |
1,481,000 |
1,374,938 |
(SOFR
+ 1.98%), 4.81%,
7/25/2028 (d) |
320,000 |
310,392 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.61%),
7.63%, 9/15/2028 (d)
(f)
(g) |
430,000 |
440,213 |
(SOFR
+ 1.74%), 5.57%,
7/25/2029 (d) |
860,000 |
856,438 |
(3-MONTH
CME TERM SOFR + 1.26%),
2.57%,
2/11/2031 (d) |
250,000 |
208,664 |
(SOFR
+ 1.50%), 3.35%, 3/2/2033 (d) |
1,790,000 |
1,507,384 |
(SOFR
+ 2.02%), 5.39%,
4/24/2034 (d) |
1,740,000 |
1,694,773 |
(SOFR
+ 1.99%), 5.56%,
7/25/2034 (d) |
865,000 |
853,623 |
4.90%,
11/17/2045 |
25,000 |
21,462 |
Wells
Fargo Bank NA 5.45%, 8/7/2026 |
250,000 |
250,793 |
Westpac
Banking Corp. (Australia) |
|
|
2.85%,
5/13/2026 |
175,000 |
165,051 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
1.95%,
11/20/2028 |
30,000 |
25,804 |
(USD
SOFR Spread-Adjusted ICE Swap
Rate
5 Year + 2.24%), 4.32%,
11/23/2031 (d)
(e) |
375,000 |
350,203 |
|
|
76,585,045 |
Beverages
— 0.2% | ||
Anheuser-Busch
Cos. LLC (Belgium) 4.70%,
2/1/2036 |
540,000 |
516,839 |
Anheuser-Busch
InBev Worldwide,
Inc. (Belgium)
4.38%, 4/15/2038 |
295,000 |
270,113 |
Coca-Cola
Co. (The)
|
|
|
2.60%,
6/1/2050 |
200,000 |
133,061 |
2.50%,
3/15/2051 |
300,000 |
194,118 |
Constellation
Brands, Inc.
|
|
|
4.65%,
11/15/2028 |
345,000 |
335,390 |
4.50%,
5/9/2047 |
120,000 |
100,080 |
Diageo
Capital plc (United Kingdom)
3.88%,
4/29/2043 |
430,000 |
353,307 |
Keurig
Dr Pepper, Inc. 3.40%, 11/15/2025 |
38,000 |
36,345 |
Molson
Coors Beverage Co. 4.20%,
7/15/2046 |
190,000 |
150,576 |
PepsiCo,
Inc. 2.75%, 10/21/2051 |
415,000 |
280,564 |
|
|
2,370,393 |
Biotechnology
— 0.3% | ||
AbbVie,
Inc.
|
|
|
2.95%,
11/21/2026 |
73,000 |
68,333 |
3.20%,
11/21/2029 |
421,000 |
379,469 |
4.05%,
11/21/2039 |
1,797,000 |
1,540,233 |
4.63%,
10/1/2042 |
75,000 |
66,557 |
4.25%,
11/21/2049 |
230,000 |
193,697 |
Amgen,
Inc.
|
|
|
5.25%,
3/2/2030 |
175,000 |
175,242 |
3.15%,
2/21/2040 |
477,000 |
355,883 |
Emergent
BioSolutions, Inc. 3.88%,
8/15/2028 (a) |
28,000 |
13,440 |
Gilead
Sciences, Inc.
|
|
|
2.95%,
3/1/2027 |
195,000 |
181,772 |
1.65%,
10/1/2030 |
118,000 |
94,799 |
4.60%,
9/1/2035 |
1,000,000 |
948,998 |
2.60%,
10/1/2040 |
525,000 |
366,783 |
Grifols
SA (Spain) 4.75%, 10/15/2028 (a) |
200,000 |
175,466 |
Regeneron
Pharmaceuticals, Inc. 1.75%,
9/15/2030 |
200,000 |
159,169 |
|
|
4,719,841 |
24
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Broadline
Retail — 0.2% | ||
Amazon.com,
Inc.
|
|
|
3.15%,
8/22/2027 |
201,000 |
189,009 |
1.50%,
6/3/2030 |
410,000 |
333,310 |
3.60%,
4/13/2032 |
600,000 |
552,102 |
3.10%,
5/12/2051 |
40,000 |
28,569 |
3.95%,
4/13/2052 |
315,000 |
262,759 |
Go
Daddy Operating Co. LLC
|
|
|
5.25%,
12/1/2027 (a) |
220,000 |
210,650 |
3.50%,
3/1/2029 (a) |
175,000 |
150,420 |
Macy's
Retail Holdings LLC 5.88%,
4/1/2029 (a) |
435,000 |
393,232 |
Nordstrom,
Inc.
|
|
|
2.30%,
4/8/2024 |
85,000 |
82,238 |
4.38%,
4/1/2030 |
335,000 |
267,657 |
Shutterfly
Finance LLC 8.50% (Blend (Cash
4.25%
+ PIK 4.25%)),
10/1/2027 (a)
(c) |
11,700 |
7,606 |
|
|
2,477,552 |
Building
Products — 0.3% | ||
Builders
FirstSource, Inc. 4.25%,
2/1/2032 (a) |
790,000 |
671,634 |
Emerald
Debt Merger Sub LLC 6.63%,
12/15/2030 (a) |
735,000 |
723,549 |
Griffon
Corp. 5.75%, 3/1/2028 |
615,000 |
573,182 |
James
Hardie International Finance
DAC 5.00%,
1/15/2028 (a) |
200,000 |
188,654 |
JELD-WEN,
Inc. 4.88%, 12/15/2027 (a) |
340,000 |
302,593 |
Masco
Corp. 1.50%, 2/15/2028 |
125,000 |
106,380 |
PGT
Innovations, Inc. 4.38%,
10/1/2029 (a) |
285,000 |
264,463 |
Standard
Industries, Inc.
|
|
|
5.00%,
2/15/2027 (a) |
20,000 |
18,960 |
4.75%,
1/15/2028 (a) |
300,000 |
276,300 |
4.38%,
7/15/2030 (a) |
555,000 |
475,754 |
Summit
Materials LLC 5.25%,
1/15/2029 (a) |
420,000 |
393,433 |
|
|
3,994,902 |
Capital
Markets — 1.8% | ||
Ameriprise
Financial, Inc. 4.00%,
10/15/2023 |
47,000 |
46,876 |
Bank
of New York Mellon Corp. (The)
|
|
|
(SOFR
+ 1.03%), 4.95%,
4/26/2027 (d) |
250,000 |
246,085 |
3.25%,
5/16/2027 |
160,000 |
150,028 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — continued | ||
(SOFR
+ 1.42%), 4.29%,
6/13/2033 (d) |
180,000 |
165,613 |
Charles
Schwab Corp. (The)
|
|
|
0.90%,
3/11/2026 |
30,000 |
26,793 |
2.75%,
10/1/2029 |
46,000 |
39,563 |
Credit
Suisse AG (Switzerland) 3.70%,
2/21/2025 |
310,000 |
298,831 |
Credit
Suisse USA, Inc. (Switzerland)
7.13%,
7/15/2032 |
53,000 |
59,140 |
Deutsche
Bank AG (Germany) |
|
|
(SOFR
+ 2.16%), 2.22%,
9/18/2024 (d) |
150,000 |
149,765 |
(SOFR
+ 2.52%), 7.15%,
7/13/2027 (d) |
315,000 |
319,712 |
Goldman
Sachs Group, Inc. (The)
|
|
|
3.50%,
4/1/2025 |
280,000 |
270,131 |
(3-MONTH
CME TERM SOFR + 1.46%),
3.27%,
9/29/2025 (d) |
201,000 |
194,928 |
(SOFR
+ 1.08%), 5.80%,
8/10/2026 (d) |
800,000 |
797,534 |
3.50%,
11/16/2026 |
771,000 |
724,687 |
3.85%,
1/26/2027 |
135,000 |
128,129 |
(SOFR
+ 0.80%), 1.43%, 3/9/2027 (d) |
1,085,000 |
972,857 |
(SOFR
+ 1.51%), 4.39%,
6/15/2027 (d) |
117,000 |
113,550 |
(SOFR
+ 1.11%), 2.64%,
2/24/2028 (d) |
150,000 |
135,752 |
(3-MONTH
CME TERM SOFR + 1.77%),
3.69%,
6/5/2028 (d) |
820,000 |
767,646 |
(3-MONTH
CME TERM SOFR + 1.42%),
3.81%,
4/23/2029 (d) |
1,820,000 |
1,684,055 |
(3-MONTH
CME TERM SOFR + 1.56%),
4.22%,
5/1/2029 (d) |
1,500,000 |
1,413,232 |
(SOFR
+ 1.28%), 2.62%,
4/22/2032 (d) |
1,640,000 |
1,327,001 |
(SOFR
+ 1.41%), 3.10%,
2/24/2033 (d) |
940,000 |
781,836 |
(SOFR
+ 1.51%), 3.21%,
4/22/2042 (d) |
160,000 |
115,327 |
(SOFR
+ 1.63%), 3.44%,
2/24/2043 (d) |
18,000 |
13,251 |
LPL
Holdings, Inc. 4.00%, 3/15/2029 (a) |
295,000 |
262,235 |
Macquarie
Group Ltd. (Australia) (ICE LIBOR
USD
3 Month + 1.75%), 5.03%,
1/15/2030 (a)
(d) |
200,000 |
194,895 |
Morgan
Stanley
|
|
|
(SOFR
+ 1.16%), 3.62%,
4/17/2025 (d) |
590,000 |
580,966 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
25
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Capital
Markets — continued | ||
3.88%,
1/27/2026 |
330,000 |
317,621 |
3.13%,
7/27/2026 |
130,000 |
121,652 |
3.63%,
1/20/2027 |
191,000 |
180,467 |
(SOFR
+ 0.88%), 1.59%, 5/4/2027 (d) |
210,000 |
188,399 |
(SOFR
+ 1.00%), 2.48%,
1/21/2028 (d) |
914,000 |
824,536 |
3.59%,
7/22/2028 (h) |
760,000 |
703,093 |
(SOFR
+ 1.73%), 5.12%, 2/1/2029 (d) |
260,000 |
254,834 |
(SOFR
+ 1.59%), 5.16%,
4/20/2029 (d) |
1,945,000 |
1,907,714 |
(SOFR
+ 1.63%), 5.45%,
7/20/2029 (d) |
440,000 |
437,417 |
(3-MONTH
CME TERM SOFR + 1.89%),
4.43%,
1/23/2030 (d) |
573,000 |
544,151 |
(SOFR
+ 1.14%), 2.70%,
1/22/2031 (d) |
70,000 |
58,917 |
(SOFR
+ 1.03%), 1.79%,
2/13/2032 (d) |
350,000 |
269,152 |
(SOFR
+ 1.18%), 2.24%,
7/21/2032 (d) |
80,000 |
62,930 |
(SOFR
+ 1.29%), 2.94%,
1/21/2033 (d) |
1,265,000 |
1,036,199 |
(SOFR
+ 1.88%), 5.42%,
7/21/2034 (d) |
430,000 |
422,785 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.43%),
5.95%, 1/19/2038 (d) |
380,000 |
369,511 |
(SOFR
+ 1.49%), 3.22%,
4/22/2042 (d) |
285,000 |
209,920 |
MSCI,
Inc. 4.00%, 11/15/2029 (a) |
115,000 |
103,458 |
Northern
Trust Corp. 3.95%, 10/30/2025 |
60,000 |
58,088 |
Nuveen
LLC 4.00%, 11/1/2028 (a) |
160,000 |
150,423 |
S&P
Global, Inc.
|
|
|
2.70%,
3/1/2029 |
456,000 |
407,585 |
1.25%,
8/15/2030 |
500,000 |
393,324 |
2.90%,
3/1/2032 |
112,000 |
95,925 |
3.25%,
12/1/2049 |
223,000 |
159,881 |
State
Street Corp. (SOFR + 1.72%), 5.82%,
11/4/2028 (d) |
335,000 |
340,147 |
UBS
Group AG (Switzerland) |
|
|
(SOFRINDX
+ 0.98%), 1.31%,
2/2/2027 (a)
(d) |
250,000 |
222,266 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.85%),
1.49%, 8/10/2027 (a)
(d) |
585,000 |
514,412 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.75%),
4.75%, 5/12/2028 (a)
(d) |
200,000 |
192,023 |
(ICE
LIBOR USD 3 Month + 1.47%),
3.13%,
8/13/2030 (a)
(d) |
2,350,000 |
2,014,460 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.40%),
4.99%, 8/5/2033 (a)
(d) |
700,000 |
652,345 |
4.88%,
5/15/2045 |
250,000 |
222,731 |
|
|
25,416,784 |
Chemicals
— 0.3% | ||
Avient
Corp. 7.13%, 8/1/2030 (a) |
410,000 |
409,608 |
Axalta
Coating Systems LLC 4.75%,
6/15/2027 (a) |
300,000 |
282,304 |
CF
Industries, Inc.
|
|
|
5.15%,
3/15/2034 |
260,000 |
245,438 |
4.95%,
6/1/2043 |
70,000 |
59,168 |
Chemours
Co. (The)
|
|
|
5.38%,
5/15/2027 |
23,000 |
21,651 |
5.75%,
11/15/2028 (a) |
545,000 |
489,584 |
4.63%,
11/15/2029 (a) |
123,000 |
102,256 |
CVR
Partners LP 6.13%, 6/15/2028 (a) |
70,000 |
62,669 |
Ecolab,
Inc. 2.13%, 2/1/2032 |
75,000 |
61,064 |
EIDP,
Inc. 4.80%, 5/15/2033 |
320,000 |
307,696 |
Element
Solutions, Inc. 3.88%,
9/1/2028 (a) |
350,000 |
307,692 |
INEOS
Quattro Finance 2 plc (United
Kingdom)
3.38%, 1/15/2026 (a) |
400,000 |
365,896 |
International
Flavors & Fragrances, Inc.
|
|
|
1.83%,
10/15/2027 (a) |
116,000 |
97,567 |
2.30%,
11/1/2030 (a) |
13,000 |
10,087 |
3.27%,
11/15/2040 (a) |
25,000 |
16,630 |
LYB
International Finance III LLC 3.38%,
10/1/2040 |
40,000 |
28,748 |
NOVA
Chemicals Corp. (Canada) 5.25%,
6/1/2027 (a) |
310,000 |
275,608 |
Nutrien
Ltd. (Canada) |
|
|
4.90%,
3/27/2028 |
186,000 |
181,761 |
2.95%,
5/13/2030 |
80,000 |
68,970 |
3.95%,
5/13/2050 |
190,000 |
142,030 |
Olin
Corp. 5.13%, 9/15/2027 |
290,000 |
277,640 |
Scotts
Miracle-Gro Co. (The) 4.50%,
10/15/2029 |
910,000 |
761,051 |
Sherwin-Williams
Co. (The) 4.50%,
6/1/2047 |
15,000 |
12,788 |
26
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Chemicals
— continued | ||
Trinseo
Materials Operating SCA 5.38%,
9/1/2025 (a) |
145,000 |
135,081 |
WR
Grace Holdings LLC 4.88%,
6/15/2027 (a) |
350,000 |
326,424 |
|
|
5,049,411 |
Commercial
Services & Supplies — 0.3% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
492,000 |
420,325 |
ADT
Security Corp. (The)
|
|
|
4.13%,
8/1/2029 (a) |
540,000 |
471,323 |
4.88%,
7/15/2032 (a) |
20,000 |
17,252 |
Allied
Universal Holdco LLC 4.63%,
6/1/2028 (a) |
200,000 |
170,000 |
Aramark
Services, Inc. 5.00%,
2/1/2028 (a) |
270,000 |
251,887 |
Brink's
Co. (The) 4.63%, 10/15/2027 (a) |
200,000 |
185,974 |
Clean
Harbors, Inc. 4.88%, 7/15/2027 (a) |
370,000 |
353,537 |
Garda
World Security Corp. (Canada)
4.63%,
2/15/2027 (a) |
230,000 |
212,775 |
GFL
Environmental, Inc. (Canada) |
|
|
3.75%,
8/1/2025 (a) |
105,000 |
99,966 |
5.13%,
12/15/2026 (a) |
55,000 |
53,219 |
4.00%,
8/1/2028 (a) |
455,000 |
406,187 |
4.75%,
6/15/2029 (a) |
205,000 |
185,713 |
Interface,
Inc. 5.50%, 12/1/2028 (a) |
160,000 |
136,648 |
Madison
IAQ LLC 4.13%, 6/30/2028 (a) |
745,000 |
659,126 |
Prime
Security Services Borrower LLC
|
|
|
5.75%,
4/15/2026 (a) |
282,000 |
276,739 |
3.38%,
8/31/2027 (a) |
440,000 |
391,337 |
Stericycle,
Inc.
|
|
|
5.38%,
7/15/2024 (a) |
85,000 |
84,702 |
3.88%,
1/15/2029 (a) |
335,000 |
291,678 |
Waste
Management, Inc. 1.50%,
3/15/2031 |
170,000 |
132,508 |
|
|
4,800,896 |
Communications
Equipment — 0.1% | ||
Ciena
Corp. 4.00%, 1/31/2030 (a) |
305,000 |
263,063 |
CommScope
Technologies LLC 6.00%,
6/15/2025 (a) |
105,000 |
96,107 |
CommScope,
Inc. 6.00%, 3/1/2026 (a) |
472,000 |
428,937 |
|
|
788,107 |
Construction
& Engineering — 0.1% | ||
Dycom
Industries, Inc. 4.50%,
4/15/2029 (a) |
465,000 |
415,189 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Construction
& Engineering — continued | ||
Global
Infrastructure Solutions, Inc. 5.63%,
6/1/2029 (a) |
485,000 |
407,306 |
MasTec,
Inc. 4.50%, 8/15/2028 (a) |
305,000 |
278,279 |
Weekley
Homes LLC 4.88%,
9/15/2028 (a) |
385,000 |
339,763 |
|
|
1,440,537 |
Construction
Materials — 0.0% ^ | ||
Knife
River Corp. 7.75%, 5/1/2031 (a) |
245,000 |
250,777 |
Martin
Marietta Materials, Inc. 2.40%,
7/15/2031 |
70,000 |
56,623 |
|
|
307,400 |
Consumer
Finance — 1.0% | ||
AerCap
Ireland Capital DAC (Ireland) |
|
|
1.15%,
10/29/2023 |
450,000 |
446,552 |
2.45%,
10/29/2026 |
510,000 |
458,871 |
5.75%,
6/6/2028 |
400,000 |
396,507 |
3.00%,
10/29/2028 |
450,000 |
389,953 |
Ally
Financial, Inc. 5.75%, 11/20/2025 |
400,000 |
387,988 |
American
Express Co.
|
|
|
1.65%,
11/4/2026 |
130,000 |
115,972 |
2.55%,
3/4/2027 |
540,000 |
491,020 |
5.85%,
11/5/2027 |
270,000 |
275,805 |
(SOFR
+ 1.28%), 5.28%,
7/27/2029 (d) |
1,325,000 |
1,310,632 |
Avolon
Holdings Funding Ltd. (Ireland) |
|
|
5.13%,
10/1/2023 (a) |
170,000 |
169,725 |
5.25%,
5/15/2024 (a) |
250,000 |
246,806 |
2.88%,
2/15/2025 (a) |
478,000 |
451,016 |
5.50%,
1/15/2026 (a) |
60,000 |
58,413 |
2.13%,
2/21/2026 (a) |
275,000 |
247,092 |
4.25%,
4/15/2026 (a) |
1,265,000 |
1,192,970 |
2.53%,
11/18/2027 (a) |
1,635,000 |
1,395,762 |
Capital
One Financial Corp. (SOFR +
1.27%),
2.62%, 11/2/2032 (d) |
100,000 |
76,174 |
Ford
Motor Credit Co. LLC
|
|
|
4.39%,
1/8/2026 |
200,000 |
189,023 |
4.27%,
1/9/2027 |
1,290,000 |
1,192,717 |
4.13%,
8/17/2027 |
1,350,000 |
1,224,948 |
7.20%,
6/10/2030 |
550,000 |
558,635 |
4.00%,
11/13/2030 |
250,000 |
211,537 |
3.63%,
6/17/2031 |
200,000 |
162,048 |
General
Motors Financial Co., Inc.
|
|
|
3.80%,
4/7/2025 |
35,000 |
33,809 |
3.60%,
6/21/2030 |
60,000 |
51,503 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
27
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Consumer
Finance — continued | ||
2.70%,
6/10/2031 |
690,000 |
543,974 |
John
Deere Capital Corp. 4.70%,
6/10/2030 |
400,000 |
395,030 |
Navient
Corp.
|
|
|
6.13%,
3/25/2024 |
130,000 |
129,442 |
5.88%,
10/25/2024 |
20,000 |
19,700 |
OneMain
Finance Corp.
|
|
|
6.88%,
3/15/2025 |
285,000 |
283,568 |
7.13%,
3/15/2026 |
1,029,000 |
1,012,272 |
6.63%,
1/15/2028 |
95,000 |
88,825 |
Park
Aerospace Holdings Ltd. (Ireland)
5.50%,
2/15/2024 (a) |
208,000 |
206,612 |
|
|
14,414,901 |
Consumer
Staples Distribution & Retail — 0.2% | ||
7-Eleven,
Inc.
|
|
|
0.95%,
2/10/2026 (a) |
65,000 |
58,366 |
1.80%,
2/10/2031 (a) |
325,000 |
254,898 |
2.50%,
2/10/2041 (a) |
14,000 |
9,055 |
2.80%,
2/10/2051 (a) |
50,000 |
30,470 |
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
1,350,000 |
1,274,975 |
3.50%,
3/15/2029 (a) |
480,000 |
415,210 |
4.88%,
2/15/2030 (a) |
20,000 |
18,350 |
Alimentation
Couche-Tard, Inc. (Canada) |
|
|
3.44%,
5/13/2041 (a) |
5,000 |
3,490 |
3.63%,
5/13/2051 (a) |
10,000 |
6,586 |
Performance
Food Group, Inc. 5.50%,
10/15/2027 (a) |
391,000 |
376,497 |
Rite
Aid Corp. 8.00%, 11/15/2026 (a) |
125,000 |
79,375 |
Sysco
Corp. 2.40%, 2/15/2030 |
250,000 |
211,221 |
Target
Corp. 4.80%, 1/15/2053 |
380,000 |
350,168 |
|
|
3,088,661 |
Containers
& Packaging — 0.3% | ||
Ardagh
Packaging Finance plc 4.13%,
8/15/2026 (a) |
600,000 |
561,189 |
Ball
Corp. 3.13%, 9/15/2031 |
480,000 |
388,616 |
Canpack
SA (Poland) 3.88%,
11/15/2029 (a) |
200,000 |
163,026 |
Crown
Americas LLC 4.25%, 9/30/2026 |
13,000 |
12,213 |
Graphic
Packaging International LLC
|
|
|
4.75%,
7/15/2027 (a) |
108,000 |
102,588 |
3.50%,
3/15/2028 (a) |
180,000 |
160,350 |
LABL,
Inc. 6.75%, 7/15/2026 (a) |
405,000 |
395,860 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Containers
& Packaging — continued | ||
Mauser
Packaging Solutions Holding
Co. 7.88%,
8/15/2026 (a) |
670,000 |
659,779 |
Owens-Brockway
Glass Container,
Inc. 6.63%,
5/13/2027 (a) |
530,000 |
523,894 |
Packaging
Corp. of America 3.05%,
10/1/2051 |
85,000 |
54,177 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027 (a) |
600,000 |
539,652 |
Sealed
Air Corp.
|
|
|
4.00%,
12/1/2027 (a) |
115,000 |
105,248 |
6.13%,
2/1/2028 (a) |
205,000 |
201,428 |
TriMas
Corp. 4.13%, 4/15/2029 (a) |
227,000 |
198,058 |
Trivium
Packaging Finance
BV (Netherlands)
5.50%,
8/15/2026 (a)
(i) |
450,000 |
424,422 |
WRKCo,
Inc. 4.65%, 3/15/2026 |
30,000 |
29,201 |
|
|
4,519,701 |
Distributors
— 0.0% ^ | ||
American
Builders & Contractors Supply Co.,
Inc.
|
|
|
4.00%,
1/15/2028 (a) |
250,000 |
226,340 |
3.88%,
11/15/2029 (a) |
155,000 |
133,621 |
Ritchie
Bros Holdings, Inc. (Canada) |
|
|
6.75%,
3/15/2028 (a) |
235,000 |
237,879 |
7.75%,
3/15/2031 (a) |
65,000 |
67,228 |
|
|
665,068 |
Diversified
Consumer Services — 0.0% ^ | ||
Service
Corp. International 5.13%,
6/1/2029 |
385,000 |
362,381 |
University
of Miami Series 2022, 4.06%,
4/1/2052 |
40,000 |
32,861 |
|
|
395,242 |
Diversified
REITs — 0.1% | ||
Goodman
US Finance Three LLC (Australia)
3.70%,
3/15/2028 (a) |
90,000 |
81,684 |
Simon
Property Group LP
|
|
|
2.45%,
9/13/2029 |
500,000 |
423,194 |
3.25%,
9/13/2049 |
31,000 |
20,254 |
VICI
Properties LP
|
|
|
5.63%,
5/1/2024 (a) |
67,000 |
66,476 |
3.50%,
2/15/2025 (a) |
90,000 |
86,215 |
4.50%,
9/1/2026 (a) |
95,000 |
89,920 |
4.25%,
12/1/2026 (a) |
30,000 |
28,262 |
28
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Diversified
REITs — continued | ||
4.63%,
12/1/2029 (a) |
20,000 |
18,067 |
WP
Carey, Inc. 2.25%, 4/1/2033 |
145,000 |
107,710 |
|
|
921,782 |
Diversified
Telecommunication Services — 0.8% | ||
Altice
France Holding SA (Luxembourg)
10.50%,
5/15/2027 (a) |
200,000 |
108,520 |
Altice
France SA (France) 5.13%,
7/15/2029 (a) |
200,000 |
141,385 |
AT&T,
Inc.
|
|
|
1.65%,
2/1/2028 |
450,000 |
384,756 |
2.55%,
12/1/2033 |
870,000 |
663,833 |
5.40%,
2/15/2034 |
750,000 |
728,325 |
3.50%,
6/1/2041 |
260,000 |
190,693 |
3.65%,
6/1/2051 |
65,000 |
44,582 |
CCO
Holdings LLC
|
|
|
5.13%,
5/1/2027 (a) |
785,000 |
737,971 |
5.00%,
2/1/2028 (a) |
545,000 |
502,215 |
5.38%,
6/1/2029 (a) |
100,000 |
91,015 |
4.75%,
3/1/2030 (a) |
2,089,000 |
1,796,107 |
4.50%,
8/15/2030 (a) |
1,029,000 |
865,592 |
4.25%,
2/1/2031 (a) |
1,415,000 |
1,160,702 |
4.75%,
2/1/2032 (a) |
1,025,000 |
848,187 |
4.50%,
6/1/2033 (a) |
135,000 |
106,565 |
Embarq
Corp. 8.00%, 6/1/2036 |
13,000 |
7,919 |
ESC
Co., Escrow 8.50%, 10/15/2024 ‡
(b) |
28,000 |
3 |
Frontier
Communications
Holdings
LLC 5.88%, 10/15/2027 (a) |
235,000 |
214,038 |
Intelsat
Jackson Holdings SA (Luxembourg)
6.50%,
3/15/2030 (a) |
614,000 |
562,984 |
Lumen
Technologies, Inc.
|
|
|
5.13%,
12/15/2026 (a) |
130,000 |
67,343 |
4.00%,
2/15/2027 (a) |
1,000,000 |
630,220 |
Sprint
Capital Corp.
|
|
|
6.88%,
11/15/2028 |
258,000 |
272,552 |
8.75%,
3/15/2032 |
240,000 |
286,046 |
Telecom
Italia Capital SA (Italy) 6.00%,
9/30/2034 |
134,000 |
112,275 |
Telecom
Italia SpA (Italy) 5.30%,
5/30/2024 (a) |
200,000 |
197,403 |
Verizon
Communications, Inc.
|
|
|
2.10%,
3/22/2028 |
12,000 |
10,487 |
4.33%,
9/21/2028 |
75,000 |
71,830 |
4.02%,
12/3/2029 |
184,000 |
171,065 |
3.40%,
3/22/2041 |
385,000 |
285,888 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Diversified
Telecommunication Services — continued | ||
2.88%,
11/20/2050 |
75,000 |
45,995 |
3.70%,
3/22/2061 |
30,000 |
20,438 |
|
|
11,326,934 |
Electric
Utilities — 2.1% | ||
AEP
Transmission Co. LLC
|
|
|
Series
N, 2.75%, 8/15/2051 |
50,000 |
30,954 |
Series
O, 4.50%, 6/15/2052 |
200,000 |
172,489 |
Alabama
Power Co. 3.05%, 3/15/2032 |
200,000 |
171,619 |
American
Electric Power Co., Inc. 2.03%,
3/15/2024 |
40,000 |
39,135 |
Baltimore
Gas and Electric Co.
|
|
|
3.20%,
9/15/2049 |
295,000 |
199,694 |
2.90%,
6/15/2050 |
50,000 |
32,050 |
5.40%,
6/1/2053 |
305,000 |
300,781 |
Commonwealth
Edison Co. 5.30%,
2/1/2053 |
618,000 |
605,124 |
Connecticut
Light and Power Co.
(The) 4.00%,
4/1/2048 |
46,000 |
37,449 |
DTE
Electric Co.
|
|
|
Series
A, 4.00%, 4/1/2043 |
90,000 |
72,685 |
5.40%,
4/1/2053 |
80,000 |
79,557 |
Duke
Energy Carolinas LLC 3.20%,
8/15/2049 |
34,000 |
23,367 |
Duke
Energy Indiana LLC
|
|
|
Series
YYY, 3.25%, 10/1/2049 |
125,000 |
85,142 |
2.75%,
4/1/2050 |
395,000 |
240,874 |
5.40%,
4/1/2053 |
580,000 |
563,743 |
Duke
Energy Ohio, Inc. 5.25%, 4/1/2033 |
624,000 |
625,504 |
Duke
Energy Progress LLC 5.25%,
3/15/2033 |
340,000 |
340,256 |
Duquesne
Light Holdings, Inc. 2.53%,
10/1/2030 (a) |
148,000 |
117,951 |
Edison
International
|
|
|
5.25%,
11/15/2028 |
100,000 |
97,628 |
6.95%,
11/15/2029 |
245,000 |
258,275 |
Emera
US Finance LP (Canada) |
|
|
2.64%,
6/15/2031 |
660,000 |
526,017 |
4.75%,
6/15/2046 |
50,000 |
39,135 |
Enel
Finance International NV (Italy)
2.25%,
7/12/2031 (a) |
200,000 |
155,494 |
Entergy
Arkansas LLC
|
|
|
4.00%,
6/1/2028 |
13,000 |
12,403 |
2.65%,
6/15/2051 |
274,000 |
163,569 |
Entergy
Louisiana LLC
|
|
|
2.40%,
10/1/2026 |
69,000 |
63,261 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
29
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Electric
Utilities — continued | ||
1.60%,
12/15/2030 |
500,000 |
387,156 |
2.90%,
3/15/2051 |
823,000 |
514,555 |
Entergy
Mississippi LLC
|
|
|
5.00%,
9/1/2033 |
375,000 |
363,248 |
3.50%,
6/1/2051 |
20,000 |
13,894 |
Entergy
Texas Restoration
Funding
LLC Series A-2, 3.70%,
12/15/2035 |
215,000 |
193,649 |
Entergy
Texas, Inc. 1.75%, 3/15/2031 |
535,000 |
418,964 |
Eversource
Energy
|
|
|
4.60%,
7/1/2027 |
31,000 |
30,170 |
5.45%,
3/1/2028 |
100,000 |
100,335 |
5.13%,
5/15/2033 |
365,000 |
353,171 |
Fells
Point Funding Trust 3.05%,
1/31/2027 (a) |
1,570,000 |
1,435,682 |
FirstEnergy
Transmission LLC
|
|
|
2.87%,
9/15/2028 (a) |
965,000 |
846,957 |
4.55%,
4/1/2049 (a) |
90,000 |
72,735 |
Florida
Power & Light Co.
|
|
|
5.10%,
4/1/2033 |
288,000 |
288,002 |
4.80%,
5/15/2033 |
260,000 |
253,988 |
3.70%,
12/1/2047 |
60,000 |
46,775 |
5.30%,
4/1/2053 |
70,000 |
69,364 |
Indiana
Michigan Power Co.
|
|
|
Series
K, 4.55%, 3/15/2046 |
50,000 |
43,452 |
5.63%,
4/1/2053 |
150,000 |
151,214 |
ITC
Holdings Corp.
|
|
|
4.95%,
9/22/2027 (a) |
432,000 |
424,991 |
2.95%,
5/14/2030 (a) |
405,000 |
346,148 |
5.40%,
6/1/2033 (a) |
300,000 |
294,751 |
Kentucky
Utilities Co. 5.13%, 11/1/2040 |
74,000 |
69,318 |
MidAmerican
Energy Co. 3.65%,
4/15/2029 |
46,000 |
42,865 |
Mid-Atlantic
Interstate
Transmission
LLC 4.10%, 5/15/2028 (a) |
430,000 |
407,319 |
Monongahela
Power Co. 4.10%,
4/15/2024 (a) |
40,000 |
39,589 |
NextEra
Energy Capital Holdings, Inc.
|
|
|
5.75%,
9/1/2025 |
430,000 |
431,019 |
5.00%,
7/15/2032 |
60,000 |
57,974 |
5.05%,
2/28/2033 |
1,320,000 |
1,277,557 |
5.25%,
2/28/2053 |
80,000 |
74,072 |
Northern
States Power Co.
|
|
|
2.60%,
6/1/2051 |
70,000 |
42,768 |
4.50%,
6/1/2052 |
50,000 |
43,140 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electric
Utilities — continued | ||
NRG
Energy, Inc.
|
|
|
6.63%,
1/15/2027 |
21,000 |
20,739 |
2.45%,
12/2/2027 (a) |
60,000 |
50,933 |
5.75%,
1/15/2028 |
560,000 |
529,802 |
3.38%,
2/15/2029 (a) |
210,000 |
173,096 |
5.25%,
6/15/2029 (a) |
795,000 |
715,581 |
Ohio
Power Co.
|
|
|
Series
P, 2.60%, 4/1/2030 |
50,000 |
42,337 |
Series
R, 2.90%, 10/1/2051 |
290,000 |
183,391 |
Oklahoma
Gas and Electric Co. 5.40%,
1/15/2033 |
100,000 |
100,007 |
Oncor
Electric Delivery Co. LLC
|
|
|
3.10%,
9/15/2049 |
50,000 |
33,955 |
4.95%,
9/15/2052 (a) |
400,000 |
371,042 |
Pacific
Gas and Electric Co.
|
|
|
1.70%,
11/15/2023 |
30,000 |
29,723 |
3.25%,
2/16/2024 |
75,000 |
74,050 |
3.45%,
7/1/2025 |
17,000 |
16,139 |
2.95%,
3/1/2026 |
110,000 |
101,490 |
4.65%,
8/1/2028 |
2,200,000 |
2,053,129 |
6.10%,
1/15/2029 |
605,000 |
597,895 |
6.40%,
6/15/2033 |
335,000 |
330,430 |
4.50%,
7/1/2040 |
130,000 |
100,113 |
4.20%,
6/1/2041 |
30,000 |
21,706 |
4.25%,
3/15/2046 |
418,000 |
285,314 |
6.75%,
1/15/2053 |
1,250,000 |
1,214,933 |
PacifiCorp
|
|
|
4.15%,
2/15/2050 |
198,000 |
145,242 |
3.30%,
3/15/2051 |
710,000 |
452,502 |
5.50%,
5/15/2054 |
5,000 |
4,428 |
PG&E
Corp.
|
|
|
5.00%,
7/1/2028 |
471,000 |
433,276 |
5.25%,
7/1/2030 |
300,000 |
266,527 |
PG&E
Recovery Funding LLC Series A-3,
5.54%,
7/15/2047 |
185,000 |
185,475 |
PG&E
Wildfire Recovery Funding LLC
|
|
|
Series
A-2, 4.26%, 6/1/2036 |
25,000 |
23,244 |
Series
A-4, 5.21%, 12/1/2047 |
40,000 |
38,525 |
Series
A-5, 5.10%, 6/1/2052 |
70,000 |
67,550 |
PPL
Electric Utilities Corp.
|
|
|
6.25%,
5/15/2039 |
382,000 |
407,510 |
5.25%,
5/15/2053 |
70,000 |
67,985 |
Public
Service Co. of Colorado
|
|
|
Series
36, 2.70%, 1/15/2051 |
45,000 |
27,124 |
5.25%,
4/1/2053 |
138,000 |
127,436 |
30
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Electric
Utilities — continued | ||
Public
Service Co. of Oklahoma
|
|
|
5.25%,
1/15/2033 |
155,000 |
152,101 |
Series
K, 3.15%, 8/15/2051 |
150,000 |
97,985 |
Public
Service Electric and Gas Co.
|
|
|
3.00%,
5/15/2027 |
50,000 |
46,853 |
4.65%,
3/15/2033 |
200,000 |
193,832 |
2.05%,
8/1/2050 |
68,000 |
38,228 |
SCE
Recovery Funding LLC Series A-1,
4.70%,
6/15/2040 |
50,000 |
48,332 |
Sigeco
Securitization I LLC
|
|
|
Series
A1, 5.03%, 11/15/2036 |
53,000 |
52,169 |
Series
A2, 5.17%, 5/15/2041 |
49,000 |
46,917 |
Southern
California Edison Co.
|
|
|
5.30%,
3/1/2028 |
719,000 |
721,686 |
Series
G, 2.50%, 6/1/2031 |
775,000 |
637,342 |
Series
C, 3.60%, 2/1/2045 |
35,000 |
25,388 |
Series
C, 4.13%, 3/1/2048 |
238,000 |
187,573 |
Series
20A, 2.95%, 2/1/2051 |
430,000 |
273,074 |
5.88%,
12/1/2053 |
706,000 |
702,460 |
Southwestern
Electric Power Co.
|
|
|
Series
N, 1.65%, 3/15/2026 |
45,000 |
40,931 |
5.30%,
4/1/2033 |
130,000 |
127,258 |
3.25%,
11/1/2051 |
210,000 |
135,807 |
Southwestern
Public Service Co.
|
|
|
3.30%,
6/15/2024 |
29,000 |
28,467 |
4.50%,
8/15/2041 |
74,000 |
62,132 |
Tucson
Electric Power Co.
|
|
|
1.50%,
8/1/2030 |
448,000 |
349,660 |
4.85%,
12/1/2048 |
232,000 |
198,498 |
5.50%,
4/15/2053 |
115,000 |
110,644 |
Union
Electric Co.
|
|
|
3.90%,
4/1/2052 |
45,000 |
35,359 |
5.45%,
3/15/2053 |
395,000 |
388,217 |
Virginia
Electric and Power Co. 5.70%,
8/15/2053 |
250,000 |
248,171 |
Vistra
Operations Co. LLC
|
|
|
5.50%,
9/1/2026 (a) |
65,000 |
62,697 |
5.63%,
2/15/2027 (a) |
735,000 |
707,592 |
5.00%,
7/31/2027 (a) |
420,000 |
395,014 |
4.38%,
5/1/2029 (a) |
275,000 |
242,468 |
4.30%,
7/15/2029 (a) |
90,000 |
79,834 |
Wisconsin
Public Service Corp. 4.75%,
11/1/2044 |
69,000 |
60,172 |
|
|
29,978,468 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electrical
Equipment — 0.1% | ||
Eaton
Corp. 4.15%, 3/15/2033 |
200,000 |
188,569 |
EnerSys 4.38%,
12/15/2027 (a) |
65,000 |
59,475 |
Regal
Rexnord Corp.
|
|
|
6.05%,
2/15/2026 (a) |
68,000 |
67,633 |
6.05%,
4/15/2028 (a) |
135,000 |
133,570 |
6.30%,
2/15/2030 (a) |
57,000 |
56,749 |
6.40%,
4/15/2033 (a) |
79,000 |
78,259 |
Sensata
Technologies BV
|
|
|
5.00%,
10/1/2025 (a) |
40,000 |
38,984 |
4.00%,
4/15/2029 (a) |
250,000 |
219,579 |
Vertiv
Group Corp. 4.13%,
11/15/2028 (a) |
365,000 |
327,683 |
|
|
1,170,501 |
Electronic
Equipment, Instruments & Components — 0.0% ^ | ||
Arrow
Electronics, Inc. 2.95%, 2/15/2032 |
20,000 |
16,052 |
Coherent
Corp. 5.00%, 12/15/2029 (a) |
465,000 |
413,013 |
Corning,
Inc. 3.90%, 11/15/2049 |
75,000 |
56,316 |
Sensata
Technologies, Inc. 4.38%,
2/15/2030 (a) |
255,000 |
225,765 |
|
|
711,146 |
Energy
Equipment & Services — 0.1% | ||
Archrock
Partners LP 6.88%,
4/1/2027 (a) |
155,000 |
152,388 |
Baker
Hughes Holdings LLC 2.06%,
12/15/2026 |
70,000 |
63,316 |
Halliburton
Co. 3.80%, 11/15/2025 |
12,000 |
11,702 |
Nabors
Industries, Inc. 7.38%,
5/15/2027 (a) |
225,000 |
219,578 |
Oceaneering
International, Inc. 4.65%,
11/15/2024 |
390,000 |
381,849 |
Precision
Drilling Corp. (Canada) 7.13%,
1/15/2026 (a) |
335,000 |
332,069 |
Schlumberger
Holdings Corp. 3.90%,
5/17/2028 (a) |
214,000 |
202,932 |
Transocean,
Inc. 8.75%, 2/15/2030 (a) |
223,250 |
228,388 |
USA
Compression Partners LP 6.88%,
4/1/2026 |
255,000 |
252,136 |
|
|
1,844,358 |
Entertainment
— 0.6% | ||
Activision
Blizzard, Inc.
|
|
|
1.35%,
9/15/2030 |
230,000 |
183,750 |
2.50%,
9/15/2050 |
259,000 |
164,698 |
Cinemark
USA, Inc.
|
|
|
8.75%,
5/1/2025 (a) |
79,000 |
79,798 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
31
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Entertainment
— continued | ||
5.88%,
3/15/2026 (a) |
295,000 |
283,204 |
5.25%,
7/15/2028 (a) |
40,000 |
35,530 |
Live
Nation Entertainment, Inc.
|
|
|
5.63%,
3/15/2026 (a) |
2,000 |
1,940 |
6.50%,
5/15/2027 (a) |
735,000 |
735,570 |
4.75%,
10/15/2027 (a) |
365,000 |
340,034 |
Netflix,
Inc. 5.38%, 11/15/2029 (a) |
88,000 |
87,513 |
Take-Two
Interactive Software, Inc. 3.70%,
4/14/2027 |
115,000 |
108,976 |
Walt
Disney Co. (The)
|
|
|
3.80%,
3/22/2030 |
650,000 |
608,662 |
3.50%,
5/13/2040 |
350,000 |
280,650 |
5.40%,
10/1/2043 |
840,000 |
836,642 |
Warnermedia
Holdings, Inc.
|
|
|
3.76%,
3/15/2027 |
3,150,000 |
2,954,441 |
4.28%,
3/15/2032 |
1,290,000 |
1,138,347 |
5.05%,
3/15/2042 |
1,500,000 |
1,233,048 |
5.14%,
3/15/2052 |
80,000 |
63,769 |
WMG
Acquisition Corp. 3.88%,
7/15/2030 (a) |
100,000 |
86,780 |
|
|
9,223,352 |
Financial
Services — 0.3% | ||
Block,
Inc.
|
|
|
2.75%,
6/1/2026 |
309,000 |
280,991 |
3.50%,
6/1/2031 |
430,000 |
352,585 |
EDP
Finance BV (Portugal) 1.71%,
1/24/2028 (a) |
250,000 |
213,292 |
Fidelity
National Information Services,
Inc. 2.25%,
3/1/2031 |
195,000 |
157,411 |
Fiserv,
Inc. 3.20%, 7/1/2026 |
170,000 |
160,245 |
Global
Payments, Inc.
|
|
|
3.20%,
8/15/2029 |
160,000 |
139,285 |
2.90%,
5/15/2030 |
40,000 |
33,790 |
2.90%,
11/15/2031 |
75,000 |
61,451 |
LSEGA
Financing plc (United Kingdom)
2.00%,
4/6/2028 (a) |
400,000 |
345,571 |
Nationstar
Mortgage Holdings, Inc. 6.00%,
1/15/2027 (a) |
475,000 |
452,437 |
PayPal
Holdings, Inc. 5.05%, 6/1/2052 |
100,000 |
96,827 |
Rocket
Mortgage LLC
|
|
|
2.88%,
10/15/2026 (a) |
530,000 |
471,037 |
3.63%,
3/1/2029 (a) |
410,000 |
348,964 |
Shell
International Finance BV
(Netherlands) |
|
|
2.88%,
11/26/2041 |
350,000 |
250,927 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Financial
Services — continued | ||
3.63%,
8/21/2042 |
200,000 |
160,697 |
3.75%,
9/12/2046 |
141,000 |
110,911 |
3.13%,
11/7/2049 |
25,000 |
17,430 |
3.00%,
11/26/2051 |
200,000 |
133,885 |
Visa,
Inc. 2.70%, 4/15/2040 |
300,000 |
223,425 |
|
|
4,011,161 |
Food
Products — 0.1% | ||
Bunge
Ltd. Finance Corp. 2.75%,
5/14/2031 |
385,000 |
322,014 |
Campbell
Soup Co. 4.15%, 3/15/2028 |
170,000 |
161,850 |
Cargill,
Inc. 4.38%, 4/22/2052 (a) |
150,000 |
129,186 |
Darling
Ingredients, Inc.
|
|
|
5.25%,
4/15/2027 (a) |
50,000 |
48,616 |
6.00%,
6/15/2030 (a) |
315,000 |
307,861 |
General
Mills, Inc. 4.15%, 2/15/2043 |
200,000 |
165,177 |
Lamb
Weston Holdings, Inc. 4.13%,
1/31/2030 (a) |
285,000 |
250,640 |
Mead
Johnson Nutrition Co. (United
Kingdom)
4.13%, 11/15/2025 |
64,000 |
62,302 |
Post
Holdings, Inc.
|
|
|
5.75%,
3/1/2027 (a) |
82,000 |
80,139 |
5.50%,
12/15/2029 (a) |
635,000 |
587,409 |
|
|
2,115,194 |
Gas
Utilities — 0.1% | ||
AmeriGas
Partners LP
|
|
|
5.50%,
5/20/2025 |
168,000 |
164,877 |
5.88%,
8/20/2026 |
10,000 |
9,487 |
5.75%,
5/20/2027 |
80,000 |
73,977 |
Atmos
Energy Corp.
|
|
|
5.50%,
6/15/2041 |
52,000 |
50,744 |
5.75%,
10/15/2052 |
35,000 |
36,469 |
Boston
Gas Co. 3.00%, 8/1/2029 (a) |
37,000 |
31,883 |
CenterPoint
Energy Resources
Corp. 5.40%,
3/1/2033 |
420,000 |
420,153 |
Piedmont
Natural Gas Co., Inc. 5.05%,
5/15/2052 |
100,000 |
88,185 |
Southern
California Gas Co. Series XX,
2.55%,
2/1/2030 |
33,000 |
28,060 |
Southwest
Gas Corp. 4.05%, 3/15/2032 |
480,000 |
430,210 |
Superior
Plus LP (Canada) 4.50%,
3/15/2029 (a) |
270,000 |
237,595 |
|
|
1,571,640 |
32
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Ground
Transportation — 0.4% | ||
Avis
Budget Car Rental LLC
|
|
|
5.75%,
7/15/2027 (a) |
440,000 |
420,104 |
4.75%,
4/1/2028 (a) |
95,000 |
86,397 |
5.38%,
3/1/2029 (a) |
55,000 |
50,557 |
Burlington
Northern Santa Fe LLC
|
|
|
3.55%,
2/15/2050 |
78,000 |
59,685 |
3.05%,
2/15/2051 |
155,000 |
105,984 |
5.20%,
4/15/2054 |
850,000 |
836,327 |
Canadian
Pacific Railway Co. (Canada) |
|
|
2.88%,
11/15/2029 |
1,125,000 |
989,901 |
3.10%,
12/2/2051 |
250,000 |
169,708 |
CSX
Corp.
|
|
|
3.25%,
6/1/2027 |
20,000 |
18,823 |
4.50%,
11/15/2052 |
100,000 |
86,950 |
First
Student Bidco, Inc. 4.00%,
7/31/2029 (a) |
300,000 |
255,002 |
Hertz
Corp. (The) 4.63%, 12/1/2026 (a) |
520,000 |
470,803 |
Norfolk
Southern Corp. 3.95%, 10/1/2042 |
50,000 |
40,109 |
Penske
Truck Leasing Co. LP 1.20%,
11/15/2025 (a) |
46,000 |
41,413 |
Triton
Container International
Ltd. (Bermuda)
1.15%, 6/7/2024 (a) |
400,000 |
382,964 |
Uber
Technologies, Inc.
|
|
|
7.50%,
5/15/2025 (a) |
155,000 |
156,496 |
7.50%,
9/15/2027 (a) |
435,000 |
444,158 |
Union
Pacific Corp.
|
|
|
2.40%,
2/5/2030 |
200,000 |
172,149 |
4.95%,
5/15/2053 |
120,000 |
115,240 |
XPO
Escrow Sub LLC 7.50%,
11/15/2027 (a) |
240,000 |
244,022 |
XPO,
Inc.
|
|
|
6.25%,
6/1/2028 (a) |
115,000 |
112,686 |
7.13%,
6/1/2031 (a) |
405,000 |
407,153 |
|
|
5,666,631 |
Health
Care Equipment & Supplies — 0.2% | ||
Abbott
Laboratories 4.75%, 11/30/2036 |
290,000 |
287,902 |
Avantor
Funding, Inc. 4.63%,
7/15/2028 (a) |
426,000 |
395,449 |
Becton
Dickinson & Co. 3.70%, 6/6/2027 |
200,000 |
189,629 |
Boston
Scientific Corp. 6.50%,
11/15/2035 (i) |
700,000 |
759,791 |
DH
Europe Finance II SARL 3.25%,
11/15/2039 |
250,000 |
198,372 |
Hologic,
Inc. 3.25%, 2/15/2029 (a) |
115,000 |
99,887 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Health
Care Equipment & Supplies — continued | ||
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
880,000 |
768,218 |
5.25%,
10/1/2029 (a) |
55,000 |
48,841 |
Teleflex,
Inc. 4.25%, 6/1/2028 (a) |
85,000 |
78,083 |
Varex
Imaging Corp. 7.88%,
10/15/2027 (a) |
64,000 |
63,680 |
|
|
2,889,852 |
Health
Care Providers & Services — 1.1% | ||
Acadia
Healthcare Co., Inc.
|
|
|
5.50%,
7/1/2028 (a) |
411,000 |
389,361 |
5.00%,
4/15/2029 (a) |
175,000 |
160,997 |
AdaptHealth
LLC 4.63%, 8/1/2029 (a) |
85,000 |
69,453 |
Aetna,
Inc.
|
|
|
4.13%,
11/15/2042 |
70,000 |
55,558 |
4.75%,
3/15/2044 |
200,000 |
172,241 |
3.88%,
8/15/2047 |
735,000 |
551,447 |
Centene
Corp. 4.63%, 12/15/2029 |
916,000 |
842,262 |
Cigna
Group (The) 2.38%, 3/15/2031 |
135,000 |
111,094 |
CommonSpirit
Health
|
|
|
1.55%,
10/1/2025 |
13,000 |
11,962 |
2.78%,
10/1/2030 |
13,000 |
10,919 |
3.91%,
10/1/2050 |
15,000 |
11,274 |
Community
Health Systems, Inc.
|
|
|
8.00%,
3/15/2026 (a) |
255,000 |
248,920 |
5.63%,
3/15/2027 (a) |
735,000 |
646,759 |
4.75%,
2/15/2031 (a) |
85,000 |
63,325 |
CVS
Health Corp.
|
|
|
4.30%,
3/25/2028 |
237,000 |
227,629 |
5.13%,
2/21/2030 |
100,000 |
98,497 |
5.25%,
1/30/2031 |
145,000 |
143,283 |
5.25%,
2/21/2033 |
70,000 |
68,455 |
5.30%,
6/1/2033 |
500,000 |
489,701 |
4.78%,
3/25/2038 |
290,000 |
259,712 |
2.70%,
8/21/2040 |
50,000 |
33,580 |
DaVita,
Inc. 4.63%, 6/1/2030 (a) |
815,000 |
699,069 |
Encompass
Health Corp.
|
|
|
4.50%,
2/1/2028 |
180,000 |
167,199 |
4.75%,
2/1/2030 |
675,000 |
614,819 |
4.63%,
4/1/2031 |
75,000 |
65,770 |
Envision
Healthcare Corp. 8.75%,
10/15/2026 (a)
(b) |
20,000 |
575 |
Hackensack
Meridian Health, Inc. Series
2020,
2.68%, 9/1/2041 |
50,000 |
33,995 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
33
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Health
Care Providers & Services — continued | ||
HCA,
Inc.
|
|
|
5.25%,
6/15/2026 |
570,000 |
563,073 |
5.38%,
9/1/2026 |
155,000 |
153,876 |
4.50%,
2/15/2027 |
210,000 |
203,070 |
5.63%,
9/1/2028 |
1,997,000 |
1,994,384 |
3.50%,
9/1/2030 |
37,000 |
32,317 |
2.38%,
7/15/2031 |
1,130,000 |
892,032 |
5.50%,
6/15/2047 |
300,000 |
273,124 |
3.50%,
7/15/2051 |
35,000 |
23,332 |
MultiCare
Health System 2.80%,
8/15/2050 |
10,000 |
6,008 |
MyMichigan
Health Series 2020, 3.41%,
6/1/2050 |
10,000 |
6,878 |
New
York and Presbyterian Hospital
(The) 2.61%,
8/1/2060 |
5,000 |
2,790 |
Northwell
Healthcare, Inc. 4.26%,
11/1/2047 |
110,000 |
87,085 |
Owens
& Minor, Inc. 4.50%, 3/31/2029 (a) |
580,000 |
491,550 |
Quest
Diagnostics, Inc. 2.95%, 6/30/2030 |
55,000 |
47,762 |
Tenet
Healthcare Corp.
|
|
|
4.88%,
1/1/2026 |
260,000 |
252,039 |
5.13%,
11/1/2027 |
510,000 |
484,926 |
4.63%,
6/15/2028 |
1,040,000 |
957,651 |
4.25%,
6/1/2029 |
2,193,000 |
1,957,925 |
UnitedHealth
Group, Inc.
|
|
|
3.38%,
4/15/2027 |
91,000 |
86,300 |
4.63%,
11/15/2041 |
232,000 |
212,588 |
3.25%,
5/15/2051 |
485,000 |
344,437 |
5.88%,
2/15/2053 |
254,000 |
271,654 |
5.05%,
4/15/2053 |
900,000 |
859,085 |
|
|
16,451,742 |
Health
Care REITs — 0.0% ^ | ||
Healthpeak
OP LLC
|
|
|
2.13%,
12/1/2028 |
64,000 |
54,683 |
3.00%,
1/15/2030 |
87,000 |
75,281 |
Sabra
Health Care LP 3.20%, 12/1/2031 |
120,000 |
91,656 |
|
|
221,620 |
Health
Care Technology — 0.0% ^ | ||
IQVIA,
Inc.
|
|
|
5.00%,
5/15/2027 (a) |
200,000 |
192,518 |
6.50%,
5/15/2030 (a) |
200,000 |
201,070 |
|
|
393,588 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Hotel
& Resort REITs — 0.0% ^ | ||
RHP
Hotel Properties LP
|
|
|
4.75%,
10/15/2027 |
390,000 |
362,597 |
7.25%,
7/15/2028 (a) |
345,000 |
346,724 |
|
|
709,321 |
Hotels,
Restaurants & Leisure — 0.8% | ||
1011778
BC ULC (Canada) |
|
|
5.75%,
4/15/2025 (a) |
50,000 |
49,630 |
3.88%,
1/15/2028 (a) |
257,000 |
233,753 |
4.00%,
10/15/2030 (a) |
290,000 |
245,674 |
Boyd
Gaming Corp. 4.75%, 12/1/2027 |
403,000 |
377,289 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
327,000 |
295,120 |
Caesars
Entertainment, Inc.
|
|
|
6.25%,
7/1/2025 (a) |
615,000 |
610,226 |
8.13%,
7/1/2027 (a) |
285,000 |
289,370 |
Carnival
Corp.
|
|
|
5.75%,
3/1/2027 (a) |
310,000 |
291,745 |
9.88%,
8/1/2027 (a) |
110,000 |
116,272 |
4.00%,
8/1/2028 (a) |
810,000 |
724,794 |
Carnival
Holdings Bermuda Ltd. 10.38%,
5/1/2028 (a) |
385,000 |
418,720 |
Cedar
Fair LP
|
|
|
6.50%,
10/1/2028 |
668,000 |
645,767 |
5.25%,
7/15/2029 |
250,000 |
225,043 |
Hilton
Domestic Operating Co., Inc.
|
|
|
5.38%,
5/1/2025 (a) |
25,000 |
24,728 |
5.75%,
5/1/2028 (a) |
285,000 |
279,628 |
3.75%,
5/1/2029 (a) |
345,000 |
303,944 |
4.88%,
1/15/2030 |
290,000 |
270,544 |
International
Game Technology plc 6.25%,
1/15/2027 (a) |
200,000 |
198,031 |
Las
Vegas Sands Corp. 2.90%, 6/25/2025 |
205,000 |
193,595 |
Marriott
Ownership Resorts, Inc. 4.50%,
6/15/2029 (a) |
170,000 |
143,653 |
McDonald's
Corp. 5.45%, 8/14/2053 |
430,000 |
430,286 |
MGM
Resorts International
|
|
|
6.75%,
5/1/2025 |
130,000 |
130,216 |
5.50%,
4/15/2027 |
521,000 |
497,769 |
Royal
Caribbean Cruises Ltd.
|
|
|
11.50%,
6/1/2025 (a) |
4,000 |
4,224 |
11.63%,
8/15/2027 (a) |
200,000 |
217,925 |
8.25%,
1/15/2029 (a) |
502,000 |
522,843 |
9.25%,
1/15/2029 (a) |
762,000 |
812,175 |
Sands
China Ltd. (Macau) |
|
|
5.38%,
8/8/2025 (i) |
400,000 |
386,670 |
34
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Hotels,
Restaurants & Leisure — continued | ||
4.30%,
1/8/2026 (i) |
250,000 |
234,062 |
2.80%,
3/8/2027 (i) |
200,000 |
173,250 |
Six
Flags Theme Parks, Inc. 7.00%,
7/1/2025 (a) |
253,000 |
252,936 |
Starbucks
Corp. 3.35%, 3/12/2050 |
5,000 |
3,509 |
Station
Casinos LLC 4.50%, 2/15/2028 (a) |
535,000 |
478,825 |
Travel
+ Leisure Co. 5.65%, 4/1/2024 (i) |
25,000 |
24,821 |
Vail
Resorts, Inc. 6.25%, 5/15/2025 (a) |
139,000 |
138,512 |
Wynn
Las Vegas LLC
|
|
|
5.50%,
3/1/2025 (a) |
75,000 |
74,091 |
5.25%,
5/15/2027 (a) |
125,000 |
118,315 |
Wynn
Macau Ltd. (Macau) 5.63%,
8/26/2028 (a) |
200,000 |
175,250 |
Wynn
Resorts Finance LLC 5.13%,
10/1/2029 (a) |
1,000,000 |
895,206 |
Yum!
Brands, Inc.
|
|
|
4.75%,
1/15/2030 (a) |
215,000 |
197,986 |
4.63%,
1/31/2032 |
585,000 |
523,423 |
|
|
12,229,820 |
Household
Durables — 0.2% | ||
CD&R
Smokey Buyer, Inc. 6.75%,
7/15/2025 (a) |
210,000 |
203,232 |
Lennar
Corp. 4.50%, 4/30/2024 |
6,000 |
5,952 |
MDC
Holdings, Inc.
|
|
|
3.85%,
1/15/2030 |
30,000 |
25,941 |
2.50%,
1/15/2031 |
116,000 |
89,971 |
Newell
Brands, Inc.
|
|
|
4.70%,
4/1/2026 (i) |
595,000 |
570,073 |
6.63%,
9/15/2029 |
540,000 |
534,418 |
5.87%,
4/1/2036 (i) |
310,000 |
275,538 |
Tempur
Sealy International, Inc. 4.00%,
4/15/2029 (a) |
675,000 |
579,812 |
|
|
2,284,937 |
Household
Products — 0.1% | ||
Central
Garden & Pet Co.
|
|
|
5.13%,
2/1/2028 |
145,000 |
135,707 |
4.13%,
10/15/2030 |
165,000 |
142,013 |
Colgate-Palmolive
Co. 3.70%, 8/1/2047 |
100,000 |
83,550 |
Energizer
Holdings, Inc.
|
|
|
4.75%,
6/15/2028 (a) |
405,000 |
357,593 |
4.38%,
3/31/2029 (a) |
275,000 |
235,535 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Household
Products — continued | ||
Spectrum
Brands, Inc.
|
|
|
5.00%,
10/1/2029 (a) |
300,000 |
275,129 |
5.50%,
7/15/2030 (a) |
320,000 |
297,668 |
|
|
1,527,195 |
Independent
Power and Renewable Electricity Producers — 0.1% | ||
Calpine
Corp.
|
|
|
5.25%,
6/1/2026 (a) |
338,000 |
331,637 |
4.50%,
2/15/2028 (a) |
260,000 |
240,689 |
5.13%,
3/15/2028 (a) |
55,000 |
50,109 |
Constellation
Energy Generation LLC
|
|
|
3.25%,
6/1/2025 |
187,000 |
178,990 |
5.80%,
3/1/2033 |
240,000 |
244,482 |
6.25%,
10/1/2039 |
85,000 |
86,077 |
5.75%,
10/1/2041 |
120,000 |
114,405 |
5.60%,
6/15/2042 |
215,000 |
202,683 |
|
|
1,449,072 |
Industrial
REITs — 0.1% | ||
Prologis
LP
|
|
|
1.75%,
7/1/2030 |
149,000 |
118,968 |
4.75%,
6/15/2033 |
640,000 |
613,350 |
|
|
732,318 |
Insurance
— 0.3% | ||
AIA
Group Ltd. (Hong Kong) 3.20%,
3/11/2025 (a) |
200,000 |
193,118 |
Alleghany
Corp. 3.25%, 8/15/2051 |
50,000 |
34,940 |
Aon
Corp. 5.35%, 2/28/2033 |
165,000 |
164,734 |
Athene
Global Funding
|
|
|
1.45%,
1/8/2026 (a) |
20,000 |
17,828 |
2.95%,
11/12/2026 (a) |
44,000 |
39,779 |
Berkshire
Hathaway Finance Corp.
|
|
|
2.85%,
10/15/2050 |
60,000 |
40,339 |
2.50%,
1/15/2051 |
200,000 |
124,581 |
3.85%,
3/15/2052 |
445,000 |
354,495 |
Equitable
Financial Life Global
Funding 1.70%,
11/12/2026 (a) |
25,000 |
21,915 |
F&G
Global Funding 1.75%, 6/30/2026 (a) |
10,000 |
8,892 |
Great-West
Lifeco Finance 2018
LP (Canada)
4.58%, 5/17/2048 (a) |
20,000 |
17,122 |
Manulife
Financial Corp. (Canada) 4.15%,
3/4/2026 |
42,000 |
40,799 |
Marsh
& McLennan Cos., Inc. 5.45%,
3/15/2053 |
155,000 |
152,997 |
MetLife,
Inc.
|
|
|
4.13%,
8/13/2042 |
79,000 |
65,485 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
35
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Insurance
— continued | ||
5.00%,
7/15/2052 |
350,000 |
320,006 |
Metropolitan
Life Global Funding I 5.15%,
3/28/2033 (a) |
880,000 |
860,416 |
New
York Life Global Funding 3.00%,
1/10/2028 (a) |
51,000 |
46,672 |
New
York Life Insurance Co. 4.45%,
5/15/2069 (a) |
50,000 |
39,889 |
Pacific
Life Global Funding II 5.50%,
8/28/2026 (a) |
135,000 |
135,459 |
Pacific
Life Insurance Co. (ICE LIBOR USD 3
Month
+ 2.80%), 4.30%,
10/24/2067 (a)
(d) |
27,000 |
20,204 |
Pricoa
Global Funding I 5.55%,
8/28/2026 (a) |
175,000 |
176,281 |
Principal
Financial Group, Inc. 3.70%,
5/15/2029 |
45,000 |
41,189 |
Progressive
Corp. (The)
|
|
|
3.00%,
3/15/2032 |
200,000 |
173,798 |
4.35%,
4/25/2044 |
42,000 |
35,342 |
Prudential
Financial, Inc.
|
|
|
3.88%,
3/27/2028 |
32,000 |
30,473 |
3.91%,
12/7/2047 |
250,000 |
193,854 |
Teachers
Insurance & Annuity Association of
America 4.27%,
5/15/2047 (a) |
420,000 |
339,843 |
Travelers
Cos., Inc. (The) 5.35%,
11/1/2040 |
16,000 |
15,906 |
W
R Berkley Corp. 3.55%, 3/30/2052 |
45,000 |
30,683 |
|
|
3,737,039 |
Interactive
Media & Services — 0.1% | ||
Alphabet,
Inc. 2.05%, 8/15/2050 |
200,000 |
119,718 |
Meta
Platforms, Inc.
|
|
|
4.60%,
5/15/2028 |
500,000 |
495,633 |
4.80%,
5/15/2030 |
210,000 |
209,160 |
5.60%,
5/15/2053 |
205,000 |
205,843 |
TripAdvisor,
Inc. 7.00%, 7/15/2025 (a) |
175,000 |
174,583 |
|
|
1,204,937 |
IT
Services — 0.1% | ||
Arches
Buyer, Inc. 4.25%, 6/1/2028 (a) |
310,000 |
269,653 |
Gartner,
Inc. 3.75%, 10/1/2030 (a) |
130,000 |
112,262 |
Presidio
Holdings, Inc. 4.88%,
2/1/2027 (a) |
410,000 |
383,330 |
Twilio,
Inc. 3.63%, 3/15/2029 |
290,000 |
248,801 |
|
|
1,014,046 |
Leisure
Products — 0.0% ^ | ||
Hasbro,
Inc. 3.90%, 11/19/2029 |
15,000 |
13,602 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Life
Sciences Tools & Services — 0.1% | ||
Charles
River Laboratories International,
Inc. 3.75%,
3/15/2029 (a) |
120,000 |
105,916 |
Syneos
Health, Inc. 3.63%, 1/15/2029 (a) |
180,000 |
179,550 |
Thermo
Fisher Scientific, Inc.
|
|
|
4.98%,
8/10/2030 |
500,000 |
498,793 |
5.09%,
8/10/2033 |
585,000 |
587,995 |
|
|
1,372,254 |
Machinery
— 0.2% | ||
Caterpillar,
Inc.
|
|
|
4.30%,
5/15/2044 |
278,000 |
249,071 |
3.25%,
4/9/2050 |
200,000 |
151,463 |
Chart
Industries, Inc. 7.50%, 1/1/2030 (a) |
720,000 |
737,744 |
Deere
& Co. 3.90%, 6/9/2042 |
120,000 |
105,443 |
Hillenbrand,
Inc. 3.75%, 3/1/2031 |
289,000 |
242,687 |
Illinois
Tool Works, Inc. 3.90%, 9/1/2042 |
15,000 |
12,907 |
Otis
Worldwide Corp.
|
|
|
2.06%,
4/5/2025 |
190,000 |
180,038 |
5.25%,
8/16/2028 |
450,000 |
452,913 |
Parker-Hannifin
Corp.
|
|
|
3.25%,
3/1/2027 |
92,000 |
86,559 |
4.25%,
9/15/2027 |
300,000 |
291,022 |
Stanley
Black & Decker, Inc. 2.75%,
11/15/2050 |
10,000 |
5,819 |
Terex
Corp. 5.00%, 5/15/2029 (a) |
275,000 |
252,491 |
TK
Elevator US Newco, Inc. (Germany)
5.25%,
7/15/2027 (a) |
250,000 |
234,350 |
Trinity
Industries, Inc. 7.75%,
7/15/2028 (a) |
200,000 |
203,487 |
Xylem,
Inc. 1.95%, 1/30/2028 |
30,000 |
26,319 |
|
|
3,232,313 |
Media
— 1.4% | ||
Charter
Communications Operating LLC
|
|
|
2.25%,
1/15/2029 |
665,000 |
552,424 |
2.30%,
2/1/2032 |
1,250,000 |
943,357 |
3.50%,
6/1/2041 |
85,000 |
56,335 |
3.50%,
3/1/2042 |
575,000 |
375,909 |
3.70%,
4/1/2051 |
40,000 |
24,857 |
3.90%,
6/1/2052 |
95,000 |
60,787 |
Clear
Channel Outdoor Holdings,
Inc. 5.13%,
8/15/2027 (a) |
867,000 |
776,522 |
Comcast
Corp.
|
|
|
2.65%,
2/1/2030 |
230,000 |
200,007 |
4.25%,
10/15/2030 |
1,344,000 |
1,278,690 |
1.95%,
1/15/2031 |
80,000 |
64,685 |
36
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Media
— continued | ||
1.50%,
2/15/2031 |
450,000 |
352,097 |
5.50%,
11/15/2032 |
210,000 |
215,458 |
3.90%,
3/1/2038 |
95,000 |
81,049 |
3.25%,
11/1/2039 |
313,000 |
241,039 |
4.00%,
3/1/2048 |
45,000 |
36,212 |
2.89%,
11/1/2051 |
1,520,000 |
974,702 |
2.45%,
8/15/2052 |
110,000 |
64,376 |
5.35%,
5/15/2053 |
1,690,000 |
1,653,785 |
2.94%,
11/1/2056 |
2,598,000 |
1,616,675 |
CSC
Holdings LLC
|
|
|
5.25%,
6/1/2024 |
397,000 |
376,583 |
5.38%,
2/1/2028 (a) |
470,000 |
385,291 |
6.50%,
2/1/2029 (a) |
825,000 |
681,993 |
4.50%,
11/15/2031 (a) |
200,000 |
142,213 |
Directv
Financing LLC 5.88%,
8/15/2027 (a) |
556,000 |
492,737 |
Discovery
Communications LLC 4.00%,
9/15/2055 |
45,000 |
29,348 |
DISH
DBS Corp.
|
|
|
5.88%,
11/15/2024 |
916,000 |
851,988 |
5.25%,
12/1/2026 (a) |
175,000 |
147,515 |
DISH
Network Corp. 11.75%,
11/15/2027 (a) |
755,000 |
766,054 |
Gannett
Holdings LLC 6.00%,
11/1/2026 (a) |
235,000 |
201,583 |
Gray
Escrow II, Inc. 5.38%,
11/15/2031 (a) |
135,000 |
94,250 |
Gray
Television, Inc.
|
|
|
7.00%,
5/15/2027 (a) |
155,000 |
139,122 |
4.75%,
10/15/2030 (a) |
100,000 |
69,823 |
iHeartCommunications,
Inc.
|
|
|
6.38%,
5/1/2026 |
495,000 |
431,892 |
8.38%,
5/1/2027 |
25,000 |
17,311 |
5.25%,
8/15/2027 (a) |
260,000 |
205,589 |
Lamar
Media Corp.
|
|
|
3.75%,
2/15/2028 |
215,000 |
195,306 |
4.00%,
2/15/2030 |
305,000 |
266,875 |
News
Corp. 3.88%, 5/15/2029 (a) |
450,000 |
395,185 |
Nexstar
Media, Inc.
|
|
|
5.63%,
7/15/2027 (a) |
515,000 |
484,071 |
4.75%,
11/1/2028 (a) |
285,000 |
250,005 |
Outfront
Media Capital LLC
|
|
|
6.25%,
6/15/2025 (a) |
25,000 |
24,562 |
5.00%,
8/15/2027 (a) |
181,000 |
163,805 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Media
— continued | ||
Paramount
Global
|
|
|
3.70%,
6/1/2028 |
200,000 |
179,192 |
4.95%,
1/15/2031 |
50,000 |
44,599 |
Scripps
Escrow II, Inc. 3.88%,
1/15/2029 (a) |
270,000 |
216,767 |
Scripps
Escrow, Inc. 5.88%, 7/15/2027 (a) |
115,000 |
92,918 |
Sinclair
Television Group, Inc. 4.13%,
12/1/2030 (a) |
150,000 |
96,666 |
Sirius
XM Radio, Inc.
|
|
|
5.00%,
8/1/2027 (a) |
110,000 |
101,704 |
4.00%,
7/15/2028 (a) |
1,810,000 |
1,567,317 |
5.50%,
7/1/2029 (a) |
160,000 |
144,041 |
4.13%,
7/1/2030 (a) |
485,000 |
395,387 |
Stagwell
Global LLC 5.63%, 8/15/2029 (a) |
395,000 |
329,879 |
TEGNA,
Inc.
|
|
|
4.63%,
3/15/2028 |
415,000 |
370,663 |
5.00%,
9/15/2029 |
340,000 |
299,200 |
Univision
Communications, Inc.
|
|
|
6.63%,
6/1/2027 (a) |
260,000 |
251,711 |
4.50%,
5/1/2029 (a) |
280,000 |
241,006 |
Videotron
Ltd. (Canada) |
|
|
5.38%,
6/15/2024 (a) |
37,000 |
36,721 |
5.13%,
4/15/2027 (a) |
215,000 |
205,862 |
|
|
20,955,700 |
Metals
& Mining — 0.3% | ||
Alcoa
Nederland Holding BV
|
|
|
5.50%,
12/15/2027 (a) |
200,000 |
193,187 |
6.13%,
5/15/2028 (a) |
200,000 |
197,672 |
ATI,
Inc. 5.88%, 12/1/2027 |
460,000 |
447,350 |
BHP
Billiton Finance USA Ltd. (Australia)
4.90%,
2/28/2033 |
100,000 |
98,673 |
Big
River Steel LLC 6.63%, 1/31/2029 (a) |
290,000 |
288,309 |
Carpenter
Technology Corp. 6.38%,
7/15/2028 |
240,000 |
234,481 |
Cleveland-Cliffs,
Inc.
|
|
|
6.75%,
3/15/2026 (a) |
125,000 |
125,039 |
5.88%,
6/1/2027 |
430,000 |
414,097 |
4.63%,
3/1/2029 (a) |
310,000 |
274,850 |
FMG
Resources August 2006 Pty. Ltd.
(Australia) |
|
|
4.50%,
9/15/2027 (a) |
100,000 |
92,259 |
5.88%,
4/15/2030 (a) |
135,000 |
125,273 |
Freeport-McMoRan,
Inc.
|
|
|
4.25%,
3/1/2030 |
97,000 |
88,040 |
4.63%,
8/1/2030 |
300,000 |
277,453 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
37
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Metals
& Mining — continued | ||
5.40%,
11/14/2034 |
183,000 |
173,417 |
Glencore
Funding LLC (Australia) |
|
|
4.63%,
4/29/2024 (a) |
290,000 |
287,473 |
3.88%,
10/27/2027 (a) |
40,000 |
37,448 |
2.50%,
9/1/2030 (a) |
37,000 |
30,094 |
2.85%,
4/27/2031 (a) |
435,000 |
354,545 |
2.63%,
9/23/2031 (a) |
102,000 |
81,180 |
Kaiser
Aluminum Corp. 4.63%,
3/1/2028 (a) |
205,000 |
181,287 |
Novelis
Corp. 4.75%, 1/30/2030 (a) |
255,000 |
228,210 |
Nucor
Corp. 2.98%, 12/15/2055 |
50,000 |
30,491 |
Rio
Tinto Finance USA Ltd. (Australia)
5.20%,
11/2/2040 |
20,000 |
19,642 |
Rio
Tinto Finance USA plc (Australia)
4.13%,
8/21/2042 |
370,000 |
316,563 |
Teck
Resources Ltd. (Canada) 5.40%,
2/1/2043 |
20,000 |
17,469 |
United
States Steel Corp. 6.88%, 3/1/2029 |
147,000 |
146,434 |
Vale
Overseas Ltd. (Brazil) 3.75%,
7/8/2030 |
20,000 |
17,484 |
|
|
4,778,420 |
Mortgage
Real Estate Investment Trusts (REITs) — 0.1% | ||
Great
Ajax Operating Partnership LP Series
QIB,
8.88%, 9/1/2027 (a) |
1,000,000 |
950,602 |
Multi-Utilities
— 0.3% | ||
Ameren
Corp.
|
|
|
1.95%,
3/15/2027 |
20,000 |
17,979 |
3.50%,
1/15/2031 |
291,000 |
256,862 |
Ameren
Illinois Co. 4.95%, 6/1/2033 |
750,000 |
734,567 |
Berkshire
Hathaway Energy Co.
|
|
|
5.15%,
11/15/2043 |
194,000 |
178,347 |
2.85%,
5/15/2051 |
40,000 |
24,770 |
4.60%,
5/1/2053 |
20,000 |
16,479 |
Consolidated
Edison Co. of New York, Inc.
|
|
|
Series
E, 4.65%, 12/1/2048 |
225,000 |
193,470 |
Series
A, 4.13%, 5/15/2049 |
41,000 |
32,447 |
Consumers
Energy Co. 4.63%, 5/15/2033 |
205,000 |
198,764 |
DTE
Energy Co. 4.88%, 6/1/2028 |
500,000 |
488,904 |
NiSource,
Inc. 5.25%, 3/30/2028 |
275,000 |
273,847 |
PG&E
Energy Recovery Funding LLC Series
A-3,
2.82%, 7/15/2046 |
70,000 |
47,886 |
Puget
Sound Energy, Inc.
|
|
|
5.76%,
7/15/2040 |
140,000 |
133,472 |
5.45%,
6/1/2053 |
30,000 |
29,310 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Multi-Utilities
— continued | ||
San
Diego Gas & Electric Co.
|
|
|
4.95%,
8/15/2028 |
350,000 |
346,452 |
2.95%,
8/15/2051 |
170,000 |
110,958 |
5.35%,
4/1/2053 |
200,000 |
193,714 |
Southern
Co. Gas Capital Corp.
|
|
|
4.40%,
5/30/2047 |
100,000 |
80,095 |
Series
21A, 3.15%, 9/30/2051 |
460,000 |
297,263 |
|
|
3,655,586 |
Office
REITs — 0.0% ^ | ||
Alexandria
Real Estate Equities, Inc.
|
|
|
1.88%,
2/1/2033 |
53,000 |
39,108 |
5.15%,
4/15/2053 |
30,000 |
26,714 |
Corporate
Office Properties LP 2.25%,
3/15/2026 |
94,000 |
84,897 |
|
|
150,719 |
Oil,
Gas & Consumable Fuels — 2.6% | ||
Aker
BP ASA (Norway) 3.10%,
7/15/2031 (a) |
250,000 |
206,241 |
Antero
Midstream Partners LP
|
|
|
7.88%,
5/15/2026 (a) |
390,000 |
396,781 |
5.75%,
3/1/2027 (a) |
110,000 |
106,614 |
5.75%,
1/15/2028 (a) |
395,000 |
378,244 |
Antero
Resources Corp.
|
|
|
7.63%,
2/1/2029 (a) |
478,000 |
489,858 |
5.38%,
3/1/2030 (a) |
125,000 |
116,872 |
Apache
Corp. 4.38%, 10/15/2028 |
179,000 |
164,977 |
Baytex
Energy Corp. (Canada) |
|
|
8.75%,
4/1/2027 (a) |
310,000 |
317,255 |
8.50%,
4/30/2030 (a) |
319,000 |
323,449 |
Blue
Racer Midstream LLC 6.63%,
7/15/2026 (a) |
195,000 |
191,647 |
BP
Capital Markets America, Inc.
|
|
|
3.02%,
1/16/2027 |
106,000 |
99,427 |
1.75%,
8/10/2030 |
730,000 |
591,595 |
2.72%,
1/12/2032 |
557,000 |
466,198 |
4.81%,
2/13/2033 |
3,360,000 |
3,252,266 |
4.89%,
9/11/2033 |
350,000 |
340,502 |
3.00%,
2/24/2050 |
174,000 |
115,914 |
2.77%,
11/10/2050 |
55,000 |
34,683 |
2.94%,
6/4/2051 |
67,000 |
43,744 |
3.00%,
3/17/2052 |
695,000 |
456,064 |
38
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
BP
Capital Markets plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.04%),
4.38%, 6/22/2025 (d)
(f)
(g) |
85,000 |
81,324 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.40%),
4.88%, 3/22/2030 (d)
(f)
(g) |
155,000 |
140,370 |
Buckeye
Partners LP
|
|
|
3.95%,
12/1/2026 |
540,000 |
498,074 |
4.13%,
12/1/2027 |
175,000 |
159,126 |
California
Resources Corp. 7.13%,
2/1/2026 (a) |
325,000 |
325,835 |
Cameron
LNG LLC 3.70%, 1/15/2039 (a) |
20,000 |
16,085 |
Cheniere
Corpus Christi
Holdings
LLC 5.88%, 3/31/2025 |
200,000 |
199,320 |
Cheniere
Energy Partners LP
|
|
|
4.50%,
10/1/2029 |
319,000 |
294,340 |
4.00%,
3/1/2031 |
135,000 |
119,185 |
3.25%,
1/31/2032 |
240,000 |
198,319 |
Chesapeake
Energy Corp.
|
|
|
5.88%,
2/1/2029 (a) |
370,000 |
354,117 |
6.75%,
4/15/2029 (a) |
115,000 |
114,163 |
Chevron
Corp. 2.00%, 5/11/2027 |
171,000 |
155,030 |
Chord
Energy Corp. 6.38%, 6/1/2026 (a) |
260,000 |
256,261 |
Civitas
Resources, Inc.
|
|
|
8.38%,
7/1/2028 (a) |
290,000 |
298,700 |
8.75%,
7/1/2031 (a) |
517,000 |
535,095 |
CNX
Resources Corp. 7.25%,
3/14/2027 (a) |
182,000 |
181,814 |
Columbia
Pipelines Operating Co. LLC
|
|
|
6.04%,
11/15/2033 (a) |
360,000 |
363,690 |
6.50%,
8/15/2043 (a) |
210,000 |
212,855 |
Comstock
Resources, Inc.
|
|
|
6.75%,
3/1/2029 (a) |
570,000 |
533,336 |
5.88%,
1/15/2030 (a) |
35,000 |
30,913 |
ConocoPhillips
Co.
|
|
|
5.05%,
9/15/2033 |
600,000 |
596,283 |
3.80%,
3/15/2052 |
300,000 |
230,999 |
5.55%,
3/15/2054 |
780,000 |
781,927 |
4.03%,
3/15/2062 |
233,000 |
178,263 |
Coterra
Energy, Inc. 3.90%, 5/15/2027 |
30,000 |
28,523 |
Crescent
Energy Finance LLC 7.25%,
5/1/2026 (a) |
378,000 |
372,375 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Crestwood
Midstream Partners LP
|
|
|
5.75%,
4/1/2025 |
100,000 |
99,153 |
5.63%,
5/1/2027 (a) |
295,000 |
286,150 |
8.00%,
4/1/2029 (a) |
215,000 |
222,163 |
DT
Midstream, Inc.
|
|
|
4.13%,
6/15/2029 (a) |
360,000 |
318,931 |
4.38%,
6/15/2031 (a) |
180,000 |
155,828 |
4.30%,
4/15/2032 (a) |
80,000 |
69,996 |
Encino
Acquisition Partners
Holdings
LLC 8.50%, 5/1/2028 (a) |
235,000 |
222,827 |
Energy
Transfer LP
|
|
|
4.15%,
9/15/2029 |
1,150,000 |
1,057,541 |
5.75%,
2/15/2033 |
120,000 |
119,308 |
5.80%,
6/15/2038 |
100,000 |
94,790 |
5.35%,
5/15/2045 |
45,000 |
38,460 |
EnLink
Midstream LLC 5.38%, 6/1/2029 |
250,000 |
238,351 |
EnLink
Midstream Partners LP
|
|
|
4.85%,
7/15/2026 |
280,000 |
268,800 |
5.60%,
4/1/2044 |
9,000 |
7,674 |
Enterprise
Products Operating LLC
|
|
|
2.80%,
1/31/2030 |
237,000 |
205,389 |
5.35%,
1/31/2033 |
110,000 |
110,613 |
3.30%,
2/15/2053 |
30,000 |
20,515 |
EQM
Midstream Partners LP
|
|
|
4.13%,
12/1/2026 |
420,000 |
394,316 |
7.50%,
6/1/2027 (a) |
160,000 |
161,490 |
6.50%,
7/1/2027 (a) |
405,000 |
402,437 |
5.50%,
7/15/2028 |
365,000 |
348,715 |
4.50%,
1/15/2029 (a) |
215,000 |
195,346 |
4.75%,
1/15/2031 (a) |
335,000 |
296,032 |
Exxon
Mobil Corp.
|
|
|
4.23%,
3/19/2040 |
400,000 |
357,496 |
3.10%,
8/16/2049 |
220,000 |
154,755 |
Flex
Intermediate Holdco LLC
|
|
|
3.36%,
6/30/2031 (a) |
64,000 |
50,665 |
4.32%,
12/30/2039 (a) |
20,000 |
14,308 |
Genesis
Energy LP
|
|
|
6.25%,
5/15/2026 |
275,000 |
266,538 |
8.00%,
1/15/2027 |
265,000 |
261,245 |
Gray
Oak Pipeline LLC
|
|
|
2.00%,
9/15/2023 (a) |
44,000 |
43,952 |
2.60%,
10/15/2025 (a) |
112,000 |
103,570 |
Gulfport
Energy Corp. 8.00%,
5/17/2026 (a) |
485,000 |
492,532 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
39
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
Hess
Midstream Operations LP
|
|
|
5.63%,
2/15/2026 (a) |
105,000 |
102,746 |
5.50%,
10/15/2030 (a) |
275,000 |
257,447 |
Hilcorp
Energy I LP 5.75%, 2/1/2029 (a) |
839,000 |
778,173 |
Holly
Energy Partners LP 6.38%,
4/15/2027 (a) |
240,000 |
238,744 |
Kinder
Morgan, Inc. 3.25%, 8/1/2050 |
75,000 |
47,213 |
Kinetik
Holdings LP 5.88%, 6/15/2030 (a) |
555,000 |
537,523 |
MEG
Energy Corp. (Canada) 5.88%,
2/1/2029 (a) |
430,000 |
410,792 |
MPLX
LP
|
|
|
2.65%,
8/15/2030 |
70,000 |
58,095 |
4.95%,
3/14/2052 |
55,000 |
45,324 |
NGL
Energy Operating LLC 7.50%,
2/1/2026 (a) |
215,000 |
214,049 |
NGPL
PipeCo LLC 3.25%, 7/15/2031 (a) |
10,000 |
8,203 |
NuStar
Logistics LP
|
|
|
5.75%,
10/1/2025 |
250,000 |
245,161 |
5.63%,
4/28/2027 |
395,000 |
383,249 |
Occidental
Petroleum Corp.
|
|
|
8.88%,
7/15/2030 |
150,000 |
171,968 |
6.63%,
9/1/2030 |
385,000 |
397,441 |
Permian
Resources Operating LLC 5.38%,
1/15/2026 (a) |
315,000 |
303,934 |
Pioneer
Natural Resources Co. 1.13%,
1/15/2026 |
50,000 |
45,325 |
Range
Resources Corp.
|
|
|
4.88%,
5/15/2025 |
45,000 |
43,988 |
8.25%,
1/15/2029 |
615,000 |
638,462 |
Rockies
Express Pipeline LLC
|
|
|
3.60%,
5/15/2025 (a) |
385,000 |
363,163 |
4.95%,
7/15/2029 (a) |
170,000 |
155,598 |
Sabine
Pass Liquefaction LLC
|
|
|
5.63%,
3/1/2025 |
90,000 |
89,707 |
5.88%,
6/30/2026 |
420,000 |
421,947 |
5.00%,
3/15/2027 |
1,225,000 |
1,204,273 |
4.50%,
5/15/2030 |
894,000 |
841,301 |
SM
Energy Co.
|
|
|
6.75%,
9/15/2026 |
250,000 |
248,950 |
6.63%,
1/15/2027 |
375,000 |
370,313 |
Southwestern
Energy Co.
|
|
|
5.70%,
1/23/2025 (i) |
2,000 |
1,981 |
8.38%,
9/15/2028 |
305,000 |
317,459 |
5.38%,
2/1/2029 |
320,000 |
303,609 |
5.38%,
3/15/2030 |
370,000 |
346,389 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Spectra
Energy Partners LP 4.50%,
3/15/2045 |
15,000 |
12,068 |
Summit
Midstream Holdings LLC 9.00%,
10/15/2026 (a)
(i) |
185,000 |
178,525 |
Suncor
Energy, Inc. (Canada) 6.80%,
5/15/2038 |
83,000 |
86,690 |
Sunoco
LP
|
|
|
6.00%,
4/15/2027 |
185,000 |
183,066 |
5.88%,
3/15/2028 |
100,000 |
97,130 |
4.50%,
5/15/2029 |
180,000 |
162,783 |
Tallgrass
Energy Partners LP
|
|
|
7.50%,
10/1/2025 (a) |
45,000 |
45,274 |
6.00%,
3/1/2027 (a) |
395,000 |
378,505 |
5.50%,
1/15/2028 (a) |
55,000 |
51,082 |
6.00%,
12/31/2030 (a) |
280,000 |
250,486 |
6.00%,
9/1/2031 (a) |
40,000 |
35,525 |
Targa
Resources Corp. 5.20%, 7/1/2027 |
31,000 |
30,692 |
TotalEnergies
Capital International SA
(France) |
|
|
3.46%,
7/12/2049 |
234,000 |
174,178 |
3.13%,
5/29/2050 |
80,000 |
55,297 |
TransCanada
PipeLines Ltd. (Canada)
5.10%,
3/15/2049 |
48,000 |
42,145 |
Valero
Energy Corp. 2.15%, 9/15/2027 |
25,000 |
22,261 |
Venture
Global Calcasieu Pass LLC 3.88%,
8/15/2029 (a) |
570,000 |
493,063 |
Venture
Global LNG, Inc. 8.13%,
6/1/2028 (a) |
1,620,000 |
1,634,165 |
Vital
Energy, Inc. 9.50%, 1/15/2025 |
255,000 |
256,275 |
Williams
Cos., Inc. (The)
|
|
|
2.60%,
3/15/2031 |
1,525,000 |
1,251,530 |
5.40%,
3/4/2044 |
50,000 |
45,070 |
|
|
37,506,876 |
Passenger
Airlines — 0.3% | ||
American
Airlines, Inc.
|
|
|
11.75%,
7/15/2025 (a) |
345,000 |
377,617 |
5.50%,
4/20/2026 (a) |
508,750 |
499,228 |
7.25%,
2/15/2028 (a) |
225,000 |
221,022 |
5.75%,
4/20/2029 (a) |
1,375,000 |
1,315,024 |
Continental
Airlines Pass-Through
Trust Series
2012-2, Class A Shares,
4.00%,
10/29/2024 |
26,881 |
26,220 |
Delta
Air Lines, Inc.
|
|
|
7.38%,
1/15/2026 |
105,000 |
108,029 |
4.38%,
4/19/2028 |
140,000 |
132,230 |
40
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Passenger
Airlines — continued | ||
Mileage
Plus Holdings LLC 6.50%,
6/20/2027 (a) |
452,000 |
450,423 |
United
Airlines Holdings, Inc.
|
|
|
5.00%,
2/1/2024 |
20,000 |
19,859 |
4.88%,
1/15/2025 |
16,000 |
15,609 |
United
Airlines, Inc. 4.63%, 4/15/2029 (a) |
695,000 |
617,960 |
VistaJet
Malta Finance plc (Switzerland)
9.50%,
6/1/2028 (a) |
270,000 |
249,156 |
|
|
4,032,377 |
Personal
Care Products — 0.2% | ||
Edgewell
Personal Care Co.
|
|
|
5.50%,
6/1/2028 (a) |
295,000 |
278,037 |
4.13%,
4/1/2029 (a) |
70,000 |
60,665 |
Estee
Lauder Cos., Inc. (The) 2.60%,
4/15/2030 |
258,000 |
222,645 |
Kenvue,
Inc.
|
|
|
4.90%,
3/22/2033 (a) |
1,960,000 |
1,949,115 |
5.10%,
3/22/2043 (a) |
300,000 |
294,256 |
Prestige
Brands, Inc. 5.13%,
1/15/2028 (a) |
265,000 |
250,440 |
|
|
3,055,158 |
Pharmaceuticals
— 0.8% | ||
Astrazeneca
Finance LLC (United Kingdom) |
|
|
4.90%,
3/3/2030 |
1,130,000 |
1,124,035 |
4.88%,
3/3/2033 |
500,000 |
500,149 |
AstraZeneca
plc (United Kingdom) 1.38%,
8/6/2030 |
180,000 |
143,168 |
Bausch
Health Americas, Inc.
|
|
|
9.25%,
4/1/2026 (a) |
263,000 |
238,220 |
8.50%,
1/31/2027 (a) |
88,000 |
48,950 |
Bausch
Health Cos., Inc.
|
|
|
5.50%,
11/1/2025 (a) |
1,047,000 |
942,886 |
5.75%,
8/15/2027 (a) |
30,000 |
18,782 |
5.00%,
1/30/2028 (a) |
30,000 |
13,036 |
4.88%,
6/1/2028 (a) |
280,000 |
166,150 |
5.00%,
2/15/2029 (a) |
175,000 |
72,625 |
Bayer
US Finance II LLC (Germany) 3.38%,
7/15/2024 (a) |
70,000 |
68,467 |
Bristol-Myers
Squibb Co.
|
|
|
4.13%,
6/15/2039 |
329,000 |
290,567 |
2.35%,
11/13/2040 |
480,000 |
324,315 |
3.70%,
3/15/2052 |
260,000 |
199,956 |
Catalent
Pharma Solutions, Inc. 3.13%,
2/15/2029 (a) |
225,000 |
189,356 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pharmaceuticals
— continued | ||
Elanco
Animal Health, Inc. 6.65%,
8/28/2028 (i) |
215,000 |
212,044 |
Eli
Lilly & Co.
|
|
|
2.25%,
5/15/2050 |
70,000 |
43,206 |
4.95%,
2/27/2063 |
450,000 |
439,577 |
Jazz
Securities DAC 4.38%, 1/15/2029 (a) |
400,000 |
358,375 |
Merck
& Co., Inc.
|
|
|
2.75%,
12/10/2051 |
170,000 |
111,560 |
5.00%,
5/17/2053 |
235,000 |
229,529 |
5.15%,
5/17/2063 |
105,000 |
102,493 |
Organon
& Co.
|
|
|
4.13%,
4/30/2028 (a) |
400,000 |
361,985 |
5.13%,
4/30/2031 (a) |
400,000 |
340,801 |
Pfizer
Investment Enterprises Pte. Ltd.
|
|
|
4.75%,
5/19/2033 |
380,000 |
373,940 |
5.30%,
5/19/2053 |
315,000 |
315,115 |
5.34%,
5/19/2063 |
315,000 |
310,377 |
Pfizer,
Inc. 4.40%, 5/15/2044 |
500,000 |
455,235 |
Royalty
Pharma plc 1.20%, 9/2/2025 |
166,000 |
151,211 |
Shire
Acquisitions Investments Ireland
DAC 3.20%,
9/23/2026 |
145,000 |
136,200 |
Takeda
Pharmaceutical Co. Ltd. (Japan) |
|
|
5.00%,
11/26/2028 |
1,000,000 |
991,962 |
3.03%,
7/9/2040 |
400,000 |
290,733 |
Zoetis,
Inc.
|
|
|
2.00%,
5/15/2030 |
245,000 |
201,682 |
5.60%,
11/16/2032 |
64,000 |
66,025 |
4.70%,
2/1/2043 |
1,230,000 |
1,115,134 |
|
|
10,947,846 |
Real
Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson,
Inc. 4.75%, 3/1/2029 |
75,000 |
60,264 |
Realogy
Group LLC 5.75%, 1/15/2029 (a) |
105,000 |
75,200 |
|
|
135,464 |
Residential
REITs — 0.0% ^ | ||
AvalonBay
Communities, Inc. 3.35%,
5/15/2027 |
32,000 |
29,918 |
Camden
Property Trust 3.15%, 7/1/2029 |
130,000 |
116,836 |
ERP
Operating LP 3.25%, 8/1/2027 |
31,000 |
28,616 |
Essex
Portfolio LP 2.65%, 3/15/2032 |
45,000 |
35,846 |
Mid-America
Apartments LP 4.20%,
6/15/2028 |
100,000 |
95,062 |
UDR,
Inc. 2.10%, 8/1/2032 |
45,000 |
33,754 |
|
|
340,032 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
41
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Retail
REITs — 0.0% ^ | ||
NNN
REIT, Inc.
|
|
|
3.60%,
12/15/2026 |
39,000 |
36,384 |
5.60%,
10/15/2033 |
100,000 |
97,992 |
Realty
Income Corp.
|
|
|
4.13%,
10/15/2026 |
44,000 |
42,522 |
3.25%,
1/15/2031 |
9,000 |
7,783 |
Regency
Centers LP 3.70%, 6/15/2030 |
135,000 |
121,010 |
Scentre
Group Trust 1 (Australia) 3.50%,
2/12/2025 (a) |
150,000 |
144,841 |
|
|
450,532 |
Semiconductors
& Semiconductor Equipment — 0.5% | ||
Amkor
Technology, Inc. 6.63%,
9/15/2027 (a) |
485,000 |
484,699 |
ams-OSRAM
AG (Austria) 7.00%,
7/31/2025 (a) |
250,000 |
229,200 |
Analog
Devices, Inc.
|
|
|
3.50%,
12/5/2026 |
25,000 |
23,937 |
2.95%,
10/1/2051 |
107,000 |
71,909 |
Entegris
Escrow Corp. 5.95%,
6/15/2030 (a) |
490,000 |
469,232 |
Entegris,
Inc. 3.63%, 5/1/2029 (a) |
180,000 |
154,706 |
Intel
Corp.
|
|
|
5.20%,
2/10/2033 |
400,000 |
399,675 |
5.63%,
2/10/2043 |
550,000 |
547,424 |
5.70%,
2/10/2053 |
85,000 |
84,175 |
KLA
Corp.
|
|
|
4.65%,
7/15/2032 |
280,000 |
275,134 |
5.00%,
3/15/2049 |
100,000 |
94,445 |
3.30%,
3/1/2050 |
280,000 |
201,240 |
Marvell
Technology, Inc. 2.95%,
4/15/2031 |
85,000 |
70,925 |
Microchip
Technology, Inc. 0.97%,
2/15/2024 |
25,000 |
24,425 |
NVIDIA
Corp.
|
|
|
2.00%,
6/15/2031 |
455,000 |
376,945 |
3.50%,
4/1/2040 |
100,000 |
83,240 |
NXP
BV (China) |
|
|
3.25%,
5/11/2041 |
270,000 |
191,789 |
3.13%,
2/15/2042 |
330,000 |
225,908 |
ON
Semiconductor Corp. 3.88%,
9/1/2028 (a) |
555,000 |
494,050 |
QUALCOMM,
Inc.
|
|
|
4.25%,
5/20/2032 |
55,000 |
52,893 |
4.50%,
5/20/2052 |
235,000 |
205,087 |
Synaptics,
Inc. 4.00%, 6/15/2029 (a) |
295,000 |
250,951 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Semiconductors
& Semiconductor Equipment — continued | ||
Texas
Instruments, Inc. 5.05%, 5/18/2063 |
221,000 |
211,737 |
TSMC
Arizona Corp. (Taiwan) 2.50%,
10/25/2031 |
960,000 |
793,267 |
TSMC
Global Ltd. (Taiwan) 1.00%,
9/28/2027 (a) |
380,000 |
323,452 |
Xilinx,
Inc. 2.38%, 6/1/2030 |
239,000 |
204,392 |
|
|
6,544,837 |
Software
— 0.4% | ||
Black
Knight InfoServ LLC 3.63%,
9/1/2028 (a) |
220,000 |
202,926 |
Clarivate
Science Holdings Corp. 3.88%,
7/1/2028 (a) |
260,000 |
229,099 |
Microsoft
Corp.
|
|
|
2.92%,
3/17/2052 |
490,000 |
347,473 |
2.68%,
6/1/2060 |
250,000 |
160,812 |
NCR
Corp.
|
|
|
5.75%,
9/1/2027 (a) |
115,000 |
116,112 |
5.00%,
10/1/2028 (a) |
680,000 |
624,101 |
5.13%,
4/15/2029 (a) |
270,000 |
245,549 |
6.13%,
9/1/2029 (a) |
161,000 |
165,819 |
Oracle
Corp.
|
|
|
2.65%,
7/15/2026 |
583,000 |
541,470 |
2.30%,
3/25/2028 |
15,000 |
13,200 |
4.90%,
2/6/2033 |
1,245,000 |
1,189,277 |
3.80%,
11/15/2037 |
150,000 |
120,966 |
3.65%,
3/25/2041 |
115,000 |
86,824 |
3.95%,
3/25/2051 |
375,000 |
274,080 |
5.55%,
2/6/2053 |
150,000 |
139,438 |
4.38%,
5/15/2055 |
55,000 |
42,256 |
RingCentral,
Inc. 8.50%, 8/15/2030 (a) |
170,000 |
167,450 |
Roper
Technologies, Inc. 1.75%,
2/15/2031 |
355,000 |
278,652 |
SS&C
Technologies, Inc. 5.50%,
9/30/2027 (a) |
570,000 |
548,739 |
VMware,
Inc. 4.65%, 5/15/2027 |
105,000 |
102,070 |
Workday,
Inc. 3.70%, 4/1/2029 |
172,000 |
158,932 |
|
|
5,755,245 |
Specialized
REITs — 0.3% | ||
American
Tower Corp.
|
|
|
1.45%,
9/15/2026 |
85,000 |
75,316 |
2.95%,
1/15/2051 |
25,000 |
15,132 |
Crown
Castle, Inc.
|
|
|
2.90%,
3/15/2027 |
270,000 |
247,850 |
5.10%,
5/1/2033 |
2,000,000 |
1,924,577 |
42
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Specialized
REITs — continued | ||
Equinix,
Inc. 3.90%, 4/15/2032 |
80,000 |
71,203 |
Extra
Space Storage LP 2.20%,
10/15/2030 |
88,000 |
70,211 |
Iron
Mountain, Inc.
|
|
|
4.88%,
9/15/2027 (a) |
315,000 |
296,550 |
5.00%,
7/15/2028 (a) |
610,000 |
564,898 |
Public
Storage Operating Co.
|
|
|
2.25%,
11/9/2031 |
90,000 |
72,805 |
5.10%,
8/1/2033 |
304,000 |
301,417 |
SBA
Communications Corp. 3.13%,
2/1/2029 |
930,000 |
796,256 |
|
|
4,436,215 |
Specialty
Retail — 0.5% | ||
Asbury
Automotive Group, Inc.
|
|
|
4.50%,
3/1/2028 |
297,000 |
270,931 |
4.63%,
11/15/2029 (a) |
300,000 |
264,655 |
AutoZone,
Inc. 1.65%, 1/15/2031 |
150,000 |
116,494 |
Bath
& Body Works, Inc.
|
|
|
5.25%,
2/1/2028 |
175,000 |
167,901 |
7.50%,
6/15/2029 |
768,000 |
774,311 |
6.88%,
11/1/2035 |
235,000 |
219,734 |
Gap,
Inc. (The) 3.63%, 10/1/2029 (a) |
430,000 |
327,352 |
Group
1 Automotive, Inc. 4.00%,
8/15/2028 (a) |
300,000 |
266,370 |
Home
Depot, Inc. (The)
|
|
|
1.88%,
9/15/2031 |
770,000 |
619,322 |
4.50%,
9/15/2032 |
350,000 |
341,821 |
4.25%,
4/1/2046 |
301,000 |
258,081 |
3.63%,
4/15/2052 |
150,000 |
114,219 |
4.95%,
9/15/2052 |
206,000 |
196,370 |
Lithia
Motors, Inc. 3.88%, 6/1/2029 (a) |
480,000 |
412,106 |
Lowe's
Cos., Inc.
|
|
|
1.70%,
10/15/2030 |
170,000 |
134,979 |
4.25%,
4/1/2052 |
465,000 |
367,856 |
5.63%,
4/15/2053 |
585,000 |
568,141 |
O'Reilly
Automotive, Inc.
|
|
|
1.75%,
3/15/2031 |
73,000 |
57,489 |
4.70%,
6/15/2032 |
90,000 |
86,053 |
Penske
Automotive Group, Inc. 3.75%,
6/15/2029 |
494,000 |
423,888 |
PetSmart,
Inc. 4.75%, 2/15/2028 (a) |
1,000,000 |
897,030 |
Sonic
Automotive, Inc. 4.63%,
11/15/2029 (a) |
400,000 |
341,958 |
SRS
Distribution, Inc. 4.63%, 7/1/2028 (a) |
410,000 |
364,909 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Specialty
Retail — continued | ||
Staples,
Inc.
|
|
|
7.50%,
4/15/2026 (a) |
290,000 |
239,945 |
10.75%,
4/15/2027 (a) |
23,000 |
12,544 |
|
|
7,844,459 |
Technology
Hardware, Storage & Peripherals — 0.3% | ||
Apple,
Inc.
|
|
|
4.38%,
5/13/2045 |
429,000 |
394,929 |
2.65%,
2/8/2051 |
650,000 |
432,139 |
4.85%,
5/10/2053 |
490,000 |
483,510 |
2.85%,
8/5/2061 |
750,000 |
488,251 |
Dell
International LLC 5.30%, 10/1/2029 |
375,000 |
370,246 |
Seagate
HDD Cayman
|
|
|
4.09%,
6/1/2029 |
150,000 |
132,164 |
3.13%,
7/15/2029 |
335,000 |
253,916 |
8.25%,
12/15/2029 (a) |
924,000 |
969,277 |
4.13%,
1/15/2031 |
114,000 |
93,110 |
8.50%,
7/15/2031 (a) |
230,000 |
240,972 |
9.63%,
12/1/2032 (a) |
140,000 |
155,079 |
|
|
4,013,593 |
Textiles,
Apparel & Luxury Goods — 0.0% ^ | ||
Hanesbrands,
Inc. 4.88%, 5/15/2026 (a) |
130,000 |
121,524 |
William
Carter Co. (The) 5.63%,
3/15/2027 (a) |
205,000 |
198,735 |
|
|
320,259 |
Tobacco
— 0.6% | ||
Altria
Group, Inc.
|
|
|
2.45%,
2/4/2032 |
80,000 |
62,440 |
3.40%,
2/4/2041 |
145,000 |
98,798 |
3.88%,
9/16/2046 |
95,000 |
65,416 |
BAT
Capital Corp. (United Kingdom) |
|
|
3.56%,
8/15/2027 |
38,000 |
35,252 |
2.26%,
3/25/2028 |
1,045,000 |
898,498 |
4.74%,
3/16/2032 |
1,000,000 |
904,128 |
6.42%,
8/2/2033 |
1,890,000 |
1,886,637 |
4.39%,
8/15/2037 |
600,000 |
475,147 |
4.54%,
8/15/2047 |
665,000 |
483,583 |
Imperial
Brands Finance plc (United
Kingdom)
6.13%, 7/27/2027 (a) |
285,000 |
288,120 |
Philip
Morris International, Inc.
|
|
|
3.13%,
3/2/2028 |
49,000 |
44,990 |
5.75%,
11/17/2032 |
820,000 |
831,666 |
5.38%,
2/15/2033 |
1,545,000 |
1,525,631 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
43
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Tobacco
— continued | ||
4.38%,
11/15/2041 |
345,000 |
285,323 |
4.13%,
3/4/2043 |
100,000 |
79,437 |
|
|
7,965,066 |
Trading
Companies & Distributors — 0.3% | ||
Air
Lease Corp.
|
|
|
3.38%,
7/1/2025 |
92,000 |
87,651 |
1.88%,
8/15/2026 |
50,000 |
44,740 |
Aviation
Capital Group LLC 4.13%,
8/1/2025 (a) |
110,000 |
104,775 |
Herc
Holdings, Inc. 5.50%, 7/15/2027 (a) |
565,000 |
543,290 |
Imola
Merger Corp. 4.75%, 5/15/2029 (a) |
740,000 |
657,754 |
United
Rentals North America, Inc.
|
|
|
4.88%,
1/15/2028 |
235,000 |
223,591 |
5.25%,
1/15/2030 |
890,000 |
845,785 |
3.88%,
2/15/2031 |
185,000 |
158,242 |
WESCO
Distribution, Inc.
|
|
|
7.13%,
6/15/2025 (a) |
85,000 |
85,376 |
7.25%,
6/15/2028 (a) |
935,000 |
951,582 |
|
|
3,702,786 |
Transportation
Infrastructure — 0.0% ^ | ||
Transurban
Finance Co. Pty. Ltd. (Australia)
2.45%,
3/16/2031 (a) |
212,000 |
172,621 |
Wireless
Telecommunication Services — 0.5% | ||
Hughes
Satellite Systems Corp.
|
|
|
5.25%,
8/1/2026 |
185,000 |
170,056 |
6.63%,
8/1/2026 |
215,000 |
186,513 |
Rogers
Communications, Inc. (Canada)
4.55%,
3/15/2052 |
40,000 |
30,994 |
Sprint
LLC
|
|
|
7.88%,
9/15/2023 |
8,000 |
8,003 |
7.13%,
6/15/2024 |
30,000 |
30,238 |
7.63%,
3/1/2026 |
296,000 |
306,812 |
T-Mobile
USA, Inc.
|
|
|
4.80%,
7/15/2028 |
2,140,000 |
2,092,137 |
2.63%,
2/15/2029 |
28,000 |
24,246 |
3.38%,
4/15/2029 |
3,250,000 |
2,913,176 |
2.55%,
2/15/2031 |
67,000 |
55,209 |
5.20%,
1/15/2033 |
350,000 |
342,978 |
5.05%,
7/15/2033 |
940,000 |
907,041 |
|
|
7,067,403 |
Total
Corporate Bonds
(Cost
$431,098,311) |
|
417,236,583 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — 19.7% | ||
FHLMC
Gold Pools, 30 Year Pool # G60855,
4.50%,
12/1/2045 |
66,282 |
64,240 |
FHLMC
Gold Pools, Other
|
|
|
Pool
# WN1158, 1.80%, 11/1/2028 |
4,000,000 |
3,445,024 |
Pool
# WN2203, 3.75%, 8/1/2032 |
1,200,000 |
1,100,825 |
Pool
# WN3233, 3.19%, 7/1/2033 |
4,000,000 |
3,515,316 |
Pool
# N31271, 4.50%, 1/1/2036 |
13,185 |
12,580 |
FHLMC
UMBS, 20 Year Pool # SC0310,
2.00%,
8/1/2042 |
937,311 |
782,868 |
FHLMC
UMBS, 30 Year
|
|
|
Pool
# QA5045, 4.00%, 11/1/2049 |
43,639 |
40,766 |
Pool
# QB1397, 2.50%, 7/1/2050 |
2,194,285 |
1,830,586 |
Pool
# SD8089, 2.50%, 7/1/2050 |
4,404,367 |
3,685,820 |
Pool
# QC7968, 2.50%, 10/1/2051 |
4,269,780 |
3,543,213 |
Pool
# RA6222, 3.00%, 11/1/2051 |
3,520,698 |
3,039,898 |
Pool
# SD2301, 3.50%, 3/1/2052 |
1,401,958 |
1,254,386 |
Pool
# SD1464, 3.00%, 5/1/2052 |
1,047,945 |
905,078 |
Pool
# SD1303, 4.50%, 7/1/2052 |
1,593,750 |
1,515,057 |
Pool
# QE8091, 4.00%, 8/1/2052 |
1,727,448 |
1,596,705 |
Pool
# SD1725, 4.00%, 10/1/2052 |
1,936,373 |
1,789,813 |
Pool
# QF3433, 5.00%, 11/1/2052 |
1,955,053 |
1,903,269 |
Pool
# RA8766, 5.00%, 3/1/2053 |
1,944,746 |
1,885,684 |
Pool
# SD3567, 4.50%, 5/1/2053 |
4,000,000 |
3,794,644 |
Pool
# RA9669, 5.00%, 8/1/2053 |
4,000,000 |
3,878,617 |
FNMA
UMBS, 20 Year Pool # MA3004,
4.00%,
5/1/2037 |
324,377 |
307,487 |
FNMA
UMBS, 30 Year
|
|
|
Pool
# AL2374, 4.00%, 12/1/2041 |
94,535 |
89,812 |
Pool
# AL4244, 4.00%, 7/1/2042 |
109,523 |
104,050 |
Pool
# BM1164, 3.50%, 12/1/2045 |
76,368 |
69,585 |
Pool
# MA3073, 4.50%, 7/1/2047 |
18,105 |
17,514 |
Pool
# BK4769, 5.00%, 8/1/2048 |
312,264 |
308,458 |
Pool
# BN5013, 5.00%, 1/1/2049 |
110,950 |
109,586 |
Pool
# BO1073, 4.50%, 6/1/2049 |
27,767 |
26,581 |
Pool
# BO3039, 3.00%, 7/1/2049 |
159,809 |
139,265 |
Pool
# BN6475, 4.00%, 7/1/2049 |
7,720 |
7,231 |
Pool
# BO2562, 4.00%, 7/1/2049 |
81,231 |
76,084 |
Pool
# BO4519, 4.00%, 8/1/2049 |
3,475 |
3,242 |
Pool
# BO2203, 3.50%, 9/1/2049 |
233,295 |
211,549 |
Pool
# FS1186, 3.50%, 1/1/2050 |
1,724,568 |
1,565,396 |
Pool
# FM3365, 3.00%, 3/1/2050 |
3,011,452 |
2,617,782 |
Pool
# CA5702, 2.50%, 5/1/2050 |
1,334,637 |
1,120,442 |
Pool
# CB1411, 3.00%, 8/1/2051 |
4,005,662 |
3,471,826 |
Pool
# BU0070, 2.50%, 10/1/2051 |
928,845 |
771,592 |
Pool
# FS0009, 3.50%, 11/1/2051 |
3,175,258 |
2,843,387 |
Pool
# FM9961, 3.00%, 12/1/2051 |
458,368 |
395,333 |
44
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — continued | ||
Pool
# CB2637, 2.50%, 1/1/2052 |
469,042 |
389,896 |
Pool
# BV0273, 3.00%, 1/1/2052 |
296,384 |
256,771 |
Pool
# CB2670, 3.00%, 1/1/2052 |
439,137 |
378,440 |
Pool
# MA4548, 2.50%, 2/1/2052 |
6,539,154 |
5,418,457 |
Pool
# BV3930, 3.00%, 2/1/2052 |
552,586 |
476,886 |
Pool
# BV0295, 3.50%, 2/1/2052 |
623,521 |
570,504 |
Pool
# FS0957, 3.00%, 3/1/2052 |
272,149 |
234,500 |
Pool
# FS1954, 3.00%, 3/1/2052 |
1,787,577 |
1,565,218 |
Pool
# FS4393, 3.00%, 3/1/2052 |
3,352,012 |
2,907,283 |
Pool
# CB3132, 3.50%, 3/1/2052 |
2,914,437 |
2,605,045 |
Pool
# BW6017, 3.50%, 5/1/2052 |
588,477 |
529,933 |
Pool
# CB3608, 3.50%, 5/1/2052 |
4,939,288 |
4,418,115 |
Pool
# FS2588, 4.50%, 8/1/2052 |
1,625,392 |
1,545,133 |
Pool
# FS3536, 4.50%, 8/1/2052 |
1,863,633 |
1,767,357 |
Pool
# CB4830, 4.50%, 9/1/2052 |
1,408,485 |
1,338,507 |
Pool
# FS3829, 4.50%, 9/1/2052 |
1,369,723 |
1,302,052 |
Pool
# CB4628, 5.00%, 9/1/2052 |
2,342,626 |
2,271,522 |
Pool
# FS2982, 5.00%, 9/1/2052 |
2,936,739 |
2,850,100 |
Pool
# CB4837, 5.00%, 10/1/2052 |
1,481,131 |
1,446,710 |
Pool
# BX0627, 5.00%, 11/1/2052 |
1,975,898 |
1,920,892 |
Pool
# CB5413, 4.00%, 12/1/2052 |
1,972,700 |
1,822,114 |
Pool
# CB5428, 4.50%, 12/1/2052 |
1,977,578 |
1,877,794 |
Pool
# BX3808, 5.00%, 3/1/2053 |
988,738 |
963,859 |
Pool
# BX3811, 5.00%, 3/1/2053 |
1,608,441 |
1,560,388 |
Pool
# CB5896, 5.00%, 3/1/2053 |
1,937,114 |
1,878,284 |
Pool
# BX3824, 5.50%, 3/1/2053 |
362,701 |
358,452 |
Pool
# CB5907, 5.50%, 3/1/2053 |
1,126,984 |
1,117,857 |
Pool
# BY4714, 5.00%, 6/1/2053 |
3,190,970 |
3,094,153 |
Pool
# BY4776, 5.00%, 7/1/2053 |
2,995,853 |
2,904,910 |
Pool
# BY4736, 5.50%, 7/1/2053 |
2,817,189 |
2,784,184 |
FNMA,
Other
|
|
|
Pool
# AM8846, 2.68%, 5/1/2025 |
138,866 |
132,707 |
Pool
# AM0414, 2.87%, 9/1/2027 |
394,965 |
366,853 |
Pool
# AN7560, 2.90%, 12/1/2027 |
181,276 |
167,158 |
Pool
# BS8981, 5.04%, 2/1/2029 |
3,822,000 |
3,852,844 |
Pool
# BL2367, 3.48%, 5/1/2029 |
531,617 |
496,480 |
Pool
# BS6079, 3.52%, 7/1/2029 |
2,500,000 |
2,330,236 |
Pool
# AN6730, 3.01%, 9/1/2029 |
2,012,358 |
1,832,215 |
Pool
# BS7011, 4.81%, 9/1/2029 |
2,981,314 |
2,946,846 |
Pool
# BS8075, 5.00%, 9/1/2029 |
1,500,000 |
1,506,313 |
Pool
# BS1577, 1.82%, 2/1/2030 |
850,685 |
713,166 |
Pool
# BS6827, 4.19%, 5/1/2030 |
909,521 |
874,139 |
Pool
# BS4878, 2.44%, 6/1/2030 |
589,442 |
509,226 |
Pool
# BS8846, 4.09%, 7/1/2030 |
2,500,000 |
2,388,813 |
Pool
# BS9022, 4.46%, 7/1/2030 |
2,640,000 |
2,579,344 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pool
# 387898, 3.71%, 8/1/2030 |
738,711 |
685,664 |
Pool
# BS5171, 2.51%, 10/1/2030 |
1,925,000 |
1,649,899 |
Pool
# BS5985, 3.99%, 11/1/2030 |
425,000 |
401,800 |
Pool
# BS8033, 4.43%, 11/1/2030 |
3,090,000 |
3,004,136 |
Pool
# BS8306, 4.52%, 12/1/2030 |
2,991,100 |
2,924,073 |
Pool
# BS9296, 4.80%, 12/1/2030 |
2,505,000 |
2,486,817 |
Pool
# BL9645, 1.50%, 1/1/2031 |
100,000 |
78,794 |
Pool
# BL9627, 1.56%, 1/1/2031 |
500,000 |
395,832 |
Pool
# BS1731, 1.82%, 1/1/2031 |
964,839 |
790,452 |
Pool
# BS1304, 1.54%, 3/1/2031 |
1,500,000 |
1,180,191 |
Pool
# BS2422, 1.67%, 7/1/2031 |
1,200,000 |
945,976 |
Pool
# BS2898, 1.56%, 9/1/2031 |
1,000,000 |
777,699 |
Pool
# BS4116, 2.28%, 10/1/2031 |
769,441 |
636,830 |
Pool
# BS3612, 1.93%, 11/1/2031 |
1,500,000 |
1,199,190 |
Pool
# BS4505, 1.93%, 1/1/2032 |
8,000,000 |
6,438,872 |
Pool
# BS4563, 2.01%, 1/1/2032 |
1,100,000 |
887,312 |
Pool
# BS3464, 2.03%, 1/1/2032 |
1,112,000 |
898,288 |
Pool
# BS4709, 2.22%, 2/1/2032 |
2,000,000 |
1,624,559 |
Pool
# BM7037, 1.75%, 3/1/2032 (h) |
1,099,323 |
868,050 |
Pool
# BS4654, 2.39%, 3/1/2032 |
1,460,464 |
1,220,479 |
Pool
# BL6367, 1.82%, 4/1/2032 |
327,966 |
262,757 |
Pool
# BS5130, 2.55%, 4/1/2032 |
488,166 |
414,184 |
Pool
# BS5463, 3.34%, 5/1/2032 |
1,756,302 |
1,577,204 |
Pool
# BS5597, 3.59%, 5/1/2032 |
1,175,000 |
1,064,323 |
Pool
# BS5195, 2.80%, 6/1/2032 |
2,042,650 |
1,749,702 |
Pool
# BS5875, 3.66%, 6/1/2032 |
2,122,147 |
1,933,848 |
Pool
# BS6301, 3.67%, 8/1/2032 |
945,000 |
864,865 |
Pool
# BS6385, 3.89%, 8/1/2032 |
2,462,370 |
2,298,213 |
Pool
# BS6448, 3.93%, 8/1/2032 |
1,550,000 |
1,447,657 |
Pool
# BS6502, 3.41%, 9/1/2032 |
2,982,702 |
2,687,997 |
Pool
# BS6335, 3.75%, 9/1/2032 |
1,030,000 |
950,632 |
Pool
# BS6339, 3.80%, 9/1/2032 |
1,056,986 |
976,108 |
Pool
# BS6347, 4.03%, 9/1/2032 |
350,000 |
324,569 |
Pool
# BS6759, 3.97%, 10/1/2032 |
896,590 |
841,778 |
Pool
# BL8708, 1.40%, 11/1/2032 |
200,000 |
148,237 |
Pool
# BS6995, 4.18%, 11/1/2032 |
1,015,000 |
965,579 |
Pool
# BS6849, 4.23%, 11/1/2032 |
791,688 |
757,170 |
Pool
# BS6815, 4.71%, 11/1/2032 |
1,283,000 |
1,267,920 |
Pool
# BS6994, 4.85%, 11/1/2032 |
661,000 |
660,383 |
Pool
# BS7203, 4.98%, 11/1/2032 |
1,249,000 |
1,254,878 |
Pool
# BS7095, 4.80%, 12/1/2032 |
1,023,597 |
1,018,732 |
Pool
# BS7663, 4.71%, 1/1/2033 |
2,000,000 |
1,976,030 |
Pool
# BS7671, 4.76%, 2/1/2033 |
2,177,000 |
2,159,726 |
Pool
# BS8334, 4.71%, 3/1/2033 |
2,368,369 |
2,333,051 |
Pool
# BS7740, 4.11%, 4/1/2033 |
2,000,000 |
1,879,563 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
45
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — continued | ||
Pool
# BS8277, 4.39%, 4/1/2033 |
3,014,000 |
2,904,896 |
Pool
# BS8157, 4.51%, 4/1/2033 |
2,750,000 |
2,675,952 |
Pool
# BS8256, 4.53%, 4/1/2033 |
2,000,000 |
1,949,012 |
Pool
# BS8055, 4.71%, 4/1/2033 |
1,500,000 |
1,481,915 |
Pool
# BS8152, 4.55%, 5/1/2033 |
2,000,000 |
1,952,361 |
Pool
# BS8703, 4.48%, 6/1/2033 |
3,000,000 |
2,912,378 |
Pool
# AN6000, 3.21%, 7/1/2033 |
959,914 |
848,603 |
Pool
# AN9725, 3.76%, 7/1/2033 |
101,109 |
93,607 |
Pool
# BS8883, 4.58%, 7/1/2033 |
2,558,000 |
2,501,527 |
Pool
# BS9146, 4.35%, 8/1/2033 |
2,000,000 |
1,919,043 |
Pool
# BS8897, IO, 4.55%, 9/1/2033 (j) |
3,000,000 |
3,017,812 |
Pool
# BS9470, 4.45%, 10/1/2033 (j) |
3,000,000 |
2,979,375 |
Pool
# BS4197, 2.14%, 12/1/2033 |
500,000 |
399,310 |
Pool
# BS6427, 3.75%, 9/1/2034 |
1,010,000 |
908,514 |
Pool
# BL3772, 2.92%, 10/1/2034 |
681,685 |
582,997 |
Pool
# BS5018, 2.88%, 10/1/2035 |
750,000 |
594,855 |
Pool
# AN7345, 3.21%, 11/1/2037 |
623,932 |
542,636 |
Pool
# MA1072, 3.50%, 5/1/2042 |
9,893 |
9,043 |
Pool
# BF0533, 2.50%, 11/1/2050 |
1,220,443 |
1,021,888 |
Pool
# BF0230, 5.50%, 1/1/2058 |
389,633 |
396,870 |
Pool
# BF0300, 4.00%, 8/1/2058 (j) |
5,774,972 |
5,387,496 |
Pool
# BF0400, 4.00%, 8/1/2059 |
657,956 |
606,856 |
Pool
# BF0497, 3.00%, 7/1/2060 |
70,186 |
58,566 |
Pool
# BF0520, 3.00%, 1/1/2061 |
3,344,843 |
2,890,446 |
Pool
# BF0560, 2.50%, 9/1/2061 |
899,664 |
723,036 |
Pool
# BF0562, 3.50%, 9/1/2061 |
873,615 |
775,396 |
Pool
# BF0583, 4.00%, 12/1/2061 |
885,091 |
816,905 |
Pool
# BF0586, 5.00%, 12/1/2061 |
883,767 |
859,558 |
Pool
# BF0617, 2.50%, 3/1/2062 |
3,174,479 |
2,545,338 |
Pool
# BF0677, 4.00%, 9/1/2062 |
3,126,295 |
2,885,444 |
FNMA/FHLMC
UMBS, Single Family, 30 Year
|
|
|
TBA,
4.00%, 9/25/2053 (j) |
1,825,000 |
1,684,418 |
TBA,
2.50%, 10/25/2053 (j) |
2,143,153 |
1,777,729 |
GNMA
I, 30 Year
|
|
|
Pool
# CO1928, 5.50%, 10/15/2052 |
1,278,634 |
1,285,660 |
Pool
# CR2369, 6.00%, 1/15/2053 |
1,803,482 |
1,880,997 |
GNMA
II
|
|
|
Pool
# CJ7125, ARM, 6.74%,
10/20/2071 (h) |
455,490 |
466,411 |
Pool
# CJ7141, ARM, 6.70%,
11/20/2071 (h) |
447,234 |
456,647 |
Pool
# CE9384, ARM, 6.75%,
11/20/2071 (h) |
741,625 |
759,983 |
Pool
# CE5557, ARM, 6.89%,
11/20/2071 (h) |
103,082 |
106,276 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pool
# CK2792, ARM, 6.89%,
3/20/2072 (h) |
824,712 |
851,440 |
Pool
# CO0363, ARM, 7.07%,
7/20/2072 (h) |
785,735 |
820,579 |
GNMA
II, 30 Year
|
|
|
Pool
# AJ9020, 4.50%, 10/20/2044 |
33,141 |
31,600 |
Pool
# BB3525, 4.00%, 9/20/2047 |
23,728 |
22,416 |
Pool
# BM2418, 4.00%, 8/20/2049 |
15,922 |
15,234 |
Pool
# BN7049, 4.50%, 8/20/2049 |
136,700 |
131,695 |
Pool
# BP7160, 4.50%, 9/20/2049 |
85,672 |
84,633 |
Pool
# CC9803, 4.00%, 4/20/2051 |
285,657 |
266,989 |
Pool
# MA7534, 2.50%, 8/20/2051 |
4,379,234 |
3,728,420 |
Pool
# MA7705, 2.50%, 11/20/2051 |
6,029,214 |
5,132,984 |
Pool
# CH7863, 3.50%, 12/20/2051 |
662,553 |
604,759 |
Pool
# CI2080, 3.50%, 12/20/2051 |
838,415 |
744,536 |
Pool
# CH0876, 3.00%, 1/20/2052 |
109,101 |
96,343 |
Pool
# CH0877, 3.00%, 1/20/2052 |
270,317 |
238,622 |
Pool
# CH0878, 3.00%, 1/20/2052 |
304,687 |
268,769 |
Pool
# CJ3916, 3.00%, 1/20/2052 |
736,279 |
663,151 |
Pool
# CK2608, 3.00%, 1/20/2052 |
466,451 |
410,892 |
Pool
# CK4909, 3.00%, 1/20/2052 |
96,836 |
85,302 |
Pool
# CK4916, 3.00%, 1/20/2052 |
210,830 |
185,329 |
Pool
# CJ8184, 3.50%, 1/20/2052 |
608,265 |
552,196 |
Pool
# CK4918, 3.50%, 1/20/2052 |
71,225 |
65,101 |
Pool
# CK7137, 4.00%, 1/20/2052 |
467,236 |
428,324 |
Pool
# CK2667, 3.00%, 2/20/2052 |
604,828 |
531,668 |
Pool
# CK2672, 3.50%, 2/20/2052 |
583,097 |
532,951 |
Pool
# CM2154, 3.00%, 3/20/2052 |
753,772 |
661,385 |
Pool
# CM2278, 3.50%, 4/20/2052 |
848,845 |
774,793 |
Pool
# CO4826, 5.00%, 6/20/2052 |
564,176 |
548,967 |
Pool
# CO4847, 5.00%, 7/20/2052 |
842,363 |
819,655 |
Pool
# MA8200, 4.00%, 8/20/2052 |
1,886,240 |
1,757,124 |
Pool
# CO1924, 4.50%, 10/20/2052 |
1,191,646 |
1,147,264 |
Pool
# CP8517, 4.50%, 10/20/2052 |
986,866 |
927,555 |
Pool
# CO1925, 5.00%, 10/20/2052 |
988,263 |
981,139 |
Pool
# CS4305, 5.50%, 6/20/2053 |
2,494,289 |
2,484,457 |
Pool
# CV0175, 6.50%, 6/20/2053 |
1,661,166 |
1,722,079 |
Pool
# CS4391, 5.50%, 7/20/2053 |
2,996,757 |
2,984,941 |
GNMA
II, Single Family, 30 Year TBA,
5.50%,
9/15/2053 (j) |
11,000,000 |
10,888,281 |
Total
Mortgage-Backed Securities
(Cost
$296,389,740) |
|
285,853,595 |
Asset-Backed
Securities — 15.5% | ||
ACC
Trust Series 2022-1, Class C, 3.24%,
10/20/2025 (a) |
1,000,000 |
709,091 |
46
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
ACHV
ABS TRUST |
|
|
Series
2023-1PL, Class C, 7.42%,
3/18/2030 (a) |
1,977,000 |
1,991,324 |
Series
2023-2PL, Class C, 7.27%,
5/20/2030 (a) |
2,900,000 |
2,912,056 |
Series
2023-3PL, Class C, 7.35%,
8/19/2030 (a) |
1,750,000 |
1,766,132 |
ACRE
Commercial Mortgage Ltd. Series
2021-FL4,
Class B, 6.83%,
12/18/2037 (a)
(h) |
250,000 |
240,048 |
Air
Canada Pass-Through Trust (Canada)
Series
2017-1, Class AA, 3.30%,
1/15/2030 (a) |
372,000 |
327,775 |
Ajax
Mortgage Loan Trust Series 2021-B,
Class
A, 2.24%, 6/25/2066 (a)
(i) |
239,118 |
226,814 |
American
Airlines Pass-Through Trust Series
2015-2,
Class A, 4.00%, 9/22/2027 |
180,469 |
164,003 |
American
Credit Acceptance Receivables
Trust |
|
|
Series
2020-2, Class C, 3.88%,
4/13/2026 (a) |
47,009 |
46,929 |
Series
2022-2, Class E, 6.57%,
6/13/2028 (a) |
300,000 |
285,928 |
Series
2022-3, Class D, 5.83%,
10/13/2028 (a) |
506,000 |
493,562 |
Series
2023-3, Class D, 6.82%,
10/12/2029 (a) |
1,955,000 |
1,956,656 |
American
Homes 4 Rent Trust |
|
|
Series
2014-SFR3, Class B, 4.20%,
12/17/2036 (a) |
125,000 |
121,840 |
Series
2015-SFR1, Class E, 5.64%,
4/17/2052 (a) |
150,000 |
147,328 |
Series
2015-SFR1, Class F, 5.89%,
4/17/2052 (a) |
400,000 |
391,614 |
Series
2015-SFR2, Class A, 3.73%,
10/17/2052 (a) |
88,649 |
85,218 |
AMSR
Trust |
|
|
Series
2020-SFR1, Class E, 3.22%,
4/17/2037 (a) |
500,000 |
468,084 |
Series
2020-SFR2, Class E2, 4.28%,
7/17/2037 (a) |
375,000 |
355,062 |
Series
2020-SFR3, Class E1, 2.56%,
9/17/2037 (a) |
2,082,000 |
1,904,190 |
Series
2020-SFR3, Class E2, 2.76%,
9/17/2037 (a) |
350,000 |
320,173 |
Series
2020-SFR4, Class A, 1.36%,
11/17/2037 (a) |
1,500,000 |
1,365,106 |
Series
2020-SFR5, Class D, 2.18%,
11/17/2037 (a) |
3,000,000 |
2,734,710 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2020-SFR4, Class E2, 2.46%,
11/17/2037 (a) |
425,000 |
385,974 |
Series
2021-SFR3, Class C, 1.80%,
10/17/2038 (a) |
1,000,000 |
868,236 |
Series
2022-SFR1, Class F, 6.02%,
3/17/2039 (a) |
750,000 |
674,727 |
Series
2022-SFR3, Class D, 4.00%,
10/17/2039 (a) |
2,120,000 |
1,904,483 |
Series
2022-SFR3, Class E2, 4.00%,
10/17/2039 (a) |
1,000,000 |
869,803 |
Series
2023-SFR1, Class E2, 4.00%,
4/17/2040 (a) |
2,085,000 |
1,781,515 |
Aqua
Finance Trust Series 2019-A, Class B,
3.47%,
7/16/2040 (a) |
206,290 |
190,432 |
Avid
Automobile Receivables Trust Series
2019-1,
Class D, 4.03%, 7/15/2026 (a) |
300,000 |
297,837 |
British
Airways Pass-Through Trust (United
Kingdom)
Series 2013-1, Class A,
4.63%,
6/20/2024 (a) |
90,676 |
89,621 |
Business
Jet Securities LLC |
|
|
Series
2020-1A, Class A, 2.98%,
11/15/2035 ‡
(a) |
396,692 |
374,335 |
Series
2020-1A, Class B, 3.97%,
11/15/2035 ‡
(a) |
2,655,342 |
2,481,682 |
Series
2021-1A, Class A, 2.16%,
4/15/2036 ‡
(a) |
178,583 |
161,619 |
Series
2021-1A, Class B, 2.92%,
4/15/2036 ‡
(a) |
415,278 |
369,548 |
Series
2021-1A, Class C, 5.07%,
4/15/2036 ‡
(a) |
175,033 |
163,023 |
BXG
Receivables Note Trust |
|
|
Series
2020-A, Class C, 4.22%,
2/28/2036 (a) |
2,159,095 |
1,978,230 |
Series
2022-A, Class A, 4.12%,
9/28/2037 (a) |
4,591,944 |
4,369,753 |
Series
2023-A, Class C, 7.38%,
11/15/2038 (a) |
2,419,086 |
2,349,472 |
CarNow
Auto Receivables Trust Series
2021-1A,
Class C, 2.16%,
2/17/2026 (a) |
106,072 |
105,064 |
Carvana
Auto Receivables Trust |
|
|
Series
2019-4A, Class D, 3.07%,
7/15/2025 (a) |
43,185 |
42,883 |
Series
2023-P2, Class A4, 5.38%,
3/12/2029 (a) |
2,000,000 |
1,955,636 |
Series
2023-P3, Class A4, 5.71%,
7/10/2029 (a) |
709,000 |
708,842 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
47
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Cascade
MH Asset Trust |
|
|
Series
2019-MH1, Class B, 5.00%,
11/25/2044 ‡
(a) (h) |
401,843 |
370,593 |
Series
2021-MH1, Class A1, 1.75%,
2/25/2046 (a) |
849,789 |
722,598 |
Series
2022-MH1, Class M, 4.25%,
8/25/2054 ‡
(a) (i) |
955,468 |
753,278 |
Continental
Finance Credit Card ABS Master
Trust
Series 2022-A, Class A, 6.19%,
10/15/2030 (a) |
825,000 |
793,198 |
CoreVest
American Finance Trust |
|
|
Series
2019-1, Class E, 5.78%,
3/15/2052 (a)
(h) |
551,000 |
508,483 |
Series
2019-2, Class E, 5.42%,
6/15/2052 (a)
(h) |
1,043,000 |
922,370 |
Series
2019-3, Class E, 4.90%,
10/15/2052 (a)
(h) |
570,000 |
487,743 |
CPS
Auto Receivables Trust |
|
|
Series
2022-D, Class D, 8.73%,
1/16/2029 (a) |
1,000,000 |
1,040,450 |
Series
2023-A, Class D, 6.44%,
4/16/2029 (a) |
723,000 |
715,377 |
Series
2022-C, Class C, 5.28%,
4/15/2030 (a) |
1,000,000 |
979,368 |
Credit
Acceptance Auto Loan Trust |
|
|
Series
2022-3A, Class D, 9.00%,
4/18/2033 (a) |
1,000,000 |
995,467 |
Series
2023-1A, Class C, 7.71%,
7/15/2033 (a) |
1,675,000 |
1,690,066 |
Series
2023-2A, Class C, 7.15%,
9/15/2033 (a) |
1,500,000 |
1,482,519 |
Series
2023-3A, Class C, 7.62%,
12/15/2033 (a) |
2,700,000 |
2,703,063 |
DataBank
Issuer Series 2021-1A, Class A2,
2.06%,
2/27/2051 (a) |
250,000 |
220,584 |
Delta
Air Lines Pass-Through Trust Series
2019-1,
Class AA, 3.20%, 4/25/2024 |
15,000 |
14,724 |
Diamond
Resorts Owner Trust |
|
|
Series
2021-1A, Class A, 1.51%,
11/21/2033 (a) |
178,147 |
162,845 |
Series
2021-1A, Class D, 3.83%,
11/21/2033 (a) |
156,269 |
141,017 |
DLLAA
LLC Series 2023-1A, Class A3,
5.64%,
2/22/2028 (a) |
1,265,000 |
1,270,229 |
Drive
Auto Receivables Trust Series 2020-2,
Class
D, 3.05%, 5/15/2028 |
750,000 |
736,942 |
DT
Auto Owner Trust |
|
|
Series
2020-2A, Class D, 4.73%,
3/16/2026 (a) |
500,000 |
494,041 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2022-3A, Class C, 7.69%,
7/17/2028 (a) |
1,350,000 |
1,372,281 |
Series
2023-1A, Class D, 6.44%,
11/15/2028 (a) |
1,440,000 |
1,428,199 |
Series
2023-2A, Class D, 6.62%,
2/15/2029 (a) |
1,600,000 |
1,593,009 |
Elara
HGV Timeshare Issuer LLC |
|
|
Series
2021-A, Class C, 2.09%,
8/27/2035 (a) |
386,974 |
341,809 |
Series
2021-A, Class D, 3.32%,
8/27/2035 (a) |
138,205 |
121,715 |
Exeter
Automobile Receivables Trust |
|
|
Series
2020-2A, Class D, 4.73%,
4/15/2026 (a) |
308,357 |
306,481 |
Series
2023-2A, Class C, 5.75%,
7/17/2028 |
969,000 |
957,140 |
Series
2022-3A, Class D, 6.76%,
9/15/2028 |
1,000,000 |
998,941 |
Series
2022-5A, Class D, 7.40%,
2/15/2029 |
1,000,000 |
1,013,710 |
Series
2022-6A, Class D, 8.03%,
4/6/2029 |
1,291,000 |
1,337,320 |
Series
2023-4A, Class D, 6.95%,
12/17/2029 |
1,205,000 |
1,226,882 |
Series
2022-4A, Class E, 8.23%,
3/15/2030 (a) |
1,000,000 |
954,422 |
Series
2023-4A, Class E, 9.57%,
2/18/2031 (a) |
1,120,000 |
1,142,836 |
FHF
Trust |
|
|
Series
2021-1A, Class A, 1.27%,
3/15/2027 (a) |
136,309 |
131,466 |
Series
2022-2A, Class A, 6.14%,
12/15/2027 (a) |
983,650 |
973,613 |
FirstKey
Homes Trust |
|
|
Series
2020-SFR1, Class E, 2.79%,
8/17/2037 (a) |
2,300,000 |
2,117,670 |
Series
2020-SFR1, Class F1, 3.64%,
8/17/2037 (a) |
2,201,000 |
2,043,943 |
Series
2020-SFR2, Class E, 2.67%,
10/19/2037 (a) |
1,500,000 |
1,368,623 |
Series
2020-SFR2, Class F1, 3.02%,
10/19/2037 (a) |
1,000,000 |
910,528 |
Series
2020-SFR2, Class F2, 3.12%,
10/19/2037 (a) |
560,000 |
511,945 |
Series
2022-SFR3, Class D, 3.50%,
7/17/2038 (a) |
1,250,000 |
1,133,384 |
Series
2022-SFR3, Class E1, 3.50%,
7/17/2038 (a) |
1,500,000 |
1,340,439 |
48
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2021-SFR1, Class E1, 2.39%,
8/17/2038 (a) |
500,000 |
430,371 |
Series
2021-SFR1, Class F1, 3.24%,
8/17/2038 (a) |
600,000 |
519,154 |
Series
2021-SFR2, Class E1, 2.26%,
9/17/2038 (a) |
635,000 |
547,073 |
Series
2021-SFR2, Class E2, 2.36%,
9/17/2038 (a) |
814,000 |
698,849 |
Series
2022-SFR1, Class E2, 5.00%,
5/17/2039 (a) |
2,000,000 |
1,807,160 |
Series
2022-SFR2, Class E2, 4.50%,
7/17/2039 (a) |
492,000 |
438,108 |
Flagship
Credit Auto Trust |
|
|
Series
2020-4, Class D, 2.18%,
2/16/2027 (a) |
280,000 |
261,584 |
Series
2021-4, Class C, 1.96%,
12/15/2027 (a) |
500,000 |
464,668 |
Series
2023-2, Class C, 5.81%,
5/15/2029 (a) |
535,000 |
525,580 |
FMC
GMSR Issuer Trust |
|
|
Series
2021-GT1, Class B, 4.36%,
7/25/2026 (a)
(h) |
900,000 |
698,267 |
Series
2022-GT1, Class A, 6.19%,
4/25/2027 (a) |
2,000,000 |
1,870,612 |
Series
2022-GT1, Class B, 7.17%,
4/25/2027 (a) |
600,000 |
538,592 |
Series
2022-GT2, Class B, 10.07%,
7/25/2027 (a) |
1,000,000 |
945,656 |
FNMA,
Grantor Trust Series 2017-T1,
Class
A, 2.90%, 6/25/2027 |
1,091,841 |
1,009,524 |
Foundation
Finance Trust |
|
|
Series
2020-1A, Class B, 4.62%,
7/16/2040 (a) |
300,000 |
282,080 |
Series
2020-1A, Class C, 5.75%,
7/16/2040 (a) |
1,450,000 |
1,347,223 |
Series
2021-1A, Class C, 2.99%,
5/15/2041 (a) |
536,000 |
465,330 |
Series
2023-1A, Class D, 9.18%,
12/15/2043 (a) |
2,000,000 |
1,933,644 |
FREED
ABS Trust |
|
|
Series
2021-2, Class C, 1.94%,
6/19/2028 (a) |
106,594 |
105,102 |
Series
2022-1FP, Class D, 3.35%,
3/19/2029 (a) |
700,000 |
649,976 |
Series
2022-3FP, Class C, 7.05%,
8/20/2029 (a) |
500,000 |
498,019 |
Series
2022-4FP, Class C, 8.59%,
12/18/2029 (a) |
1,000,000 |
1,017,965 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
FRTKL
Series 2021-SFR1, Class D, 2.17%,
9/17/2038 (a) |
1,000,000 |
865,356 |
GLS
Auto Receivables Issuer Trust |
|
|
Series
2022-1A, Class D, 3.97%,
1/18/2028 (a) |
4,000,000 |
3,785,926 |
Series
2021-2A, Class E, 2.87%,
5/15/2028 (a) |
1,500,000 |
1,362,148 |
Series
2022-3A, Class E, 8.35%,
10/15/2029 (a) |
750,000 |
723,140 |
Series
2023-2A, Class E, 9.37%,
1/15/2030 (a) |
2,000,000 |
1,986,249 |
Series
2023-1A, Class E, 11.42%,
3/15/2030 (a) |
1,500,000 |
1,599,458 |
GLS
Auto Select Receivables Trust Series
2023-1A,
Class A2, 6.27%,
8/16/2027 (a) |
3,000,000 |
2,993,844 |
Hertz
Vehicle Financing LLC Series
2023-3A,
Class A, 5.94%,
2/25/2028 (a) |
1,397,000 |
1,404,013 |
HGI
CRE CLO Ltd. (Cayman Islands) |
|
|
Series
2022-FL3, Class B, 7.81%,
4/20/2037 (a)
(h) |
1,000,000 |
972,590 |
Series
2022-FL3, Class E, 9.51%,
4/20/2037 (a)
(h) |
663,500 |
636,618 |
Hilton
Grand Vacations Trust |
|
|
Series
2022-1D, Class D, 6.79%,
6/20/2034 (a) |
269,072 |
254,521 |
Series
2022-2A, Class D, 8.73%,
1/25/2037 (a) |
473,369 |
463,800 |
Series
2020-AA, Class C, 6.42%,
2/25/2039 (a) |
176,187 |
172,105 |
HIN
Timeshare Trust |
|
|
Series
2020-A, Class D, 5.50%,
10/9/2039 (a) |
75,106 |
69,449 |
Series
2020-A, Class E, 6.50%,
10/9/2039 (a) |
337,977 |
311,475 |
HINNT
LLC Series 2022-A, Class D, 6.50%,
5/15/2041 (a) |
557,113 |
525,040 |
Home
Partners of America Trust Series
2022-1,
Class D, 4.73%, 4/17/2039 (a) |
956,234 |
877,728 |
John
Deere Owner Trust Series 2023-B,
Class
A4, 5.11%, 5/15/2030 |
2,200,000 |
2,182,237 |
Lending
Funding Trust Series 2020-2A,
Class
A, 2.32%, 4/21/2031 (a) |
3,750,000 |
3,354,850 |
Lendingpoint
Asset Securitization Trust
Series
2022-A, Class D, 4.54%,
6/15/2029 (a) |
1,000,000 |
819,801 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
49
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Lendmark
Funding Trust |
|
|
Series
2021-1A, Class D, 5.05%,
11/20/2031 (a) |
870,000 |
678,377 |
Series
2021-2A, Class B, 2.37%,
4/20/2032 (a) |
1,000,000 |
838,523 |
Series
2023-1A, Class D, 8.69%,
5/20/2033 (a) |
530,000 |
543,431 |
LP
LMS Asset Securitization Trust |
|
|
6.17%,
10/15/2028 ‡ |
550,000 |
543,015 |
Series
2023-1A, Class B, 7.48%,
10/17/2033 ‡
(a) |
1,500,000 |
1,406,476 |
Series
2023-1A, Class A, 8.18%,
10/17/2033 ‡
(a) |
1,049,339 |
1,042,964 |
Mariner
Finance Issuance Trust |
|
|
Series
2019-AA, Class D, 5.44%,
7/20/2032 (a) |
1,500,000 |
1,417,035 |
Series
2020-AA, Class D, 5.75%,
8/21/2034 (a) |
2,070,000 |
1,859,039 |
Series
2021-AA, Class D, 3.83%,
3/20/2036 (a) |
351,000 |
295,528 |
Series
2022-AA, Class D, 9.10%,
10/20/2037 (a) |
650,000 |
651,202 |
Series
2022-AA, Class E, 10.98%,
10/20/2037 ‡
(a) |
3,000,000 |
3,000,057 |
Marlette
Funding Trust |
|
|
Series
2023-1A, Class C, 7.20%,
4/15/2033 (a) |
980,000 |
982,041 |
Series
2023-2A, Class C, 6.96%,
6/15/2033 (a) |
375,000 |
373,868 |
Mercury
Financial Credit Card Master Trust
Series
2023-1A, Class A, 8.04%,
9/20/2027 (a) |
2,584,000 |
2,594,917 |
MVW
LLC |
|
|
Series
2020-1A, Class C, 4.21%,
10/20/2037 (a) |
105,879 |
99,789 |
Series
2020-1A, Class D, 7.14%,
10/20/2037 (a) |
1,058,793 |
1,015,126 |
Series
2019-2A, Class B, 2.44%,
10/20/2038 (a) |
50,109 |
46,413 |
Series
2023-1A, Class C, 6.54%,
10/20/2040 (a) |
2,733,403 |
2,672,870 |
Series
2022-2A, Class C, 7.62%,
10/21/2041 (a) |
799,298 |
799,176 |
Series
2022-2A, Class D, 9.00%,
10/21/2041 (a) |
1,940,695 |
1,912,246 |
MVW
Owner Trust Series 2019-1A, Class C,
3.33%,
11/20/2036 (a) |
29,827 |
28,075 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
New
Residential Mortgage LLC Series
2020-FNT1,
Class A, 5.44%,
6/25/2025 (a) |
1,867,335 |
1,792,093 |
New
Residential Mortgage Loan Trust |
|
|
Series
2022-SFR1, Class D, 3.30%,
2/17/2039 (a) |
340,000 |
300,895 |
Series
2022-SFR1, Class E1, 3.55%,
2/17/2039 (a) |
420,000 |
363,651 |
Nissan
Auto Lease Trust Series 2023-B,
Class
A4, 5.61%, 11/15/2027 |
800,000 |
801,823 |
NMEF
Funding LLC Series 2021-A, Class C,
2.58%,
12/15/2027 (a) |
600,000 |
573,228 |
NRZ
Excess Spread-Collateralized Notes |
|
|
Series
2020-PLS1, Class A, 3.84%,
12/25/2025 (a) |
163,177 |
152,152 |
Series
2021-FNT1, Class A, 2.98%,
3/25/2026 (a) |
632,958 |
576,081 |
Series
2021-FNT2, Class A, 3.23%,
5/25/2026 (a) |
178,381 |
162,219 |
Series
2021-GNT1, Class A, 3.47%,
11/25/2026 (a) |
2,573,085 |
2,321,140 |
NRZ
FHT Excess LLC Series 2020-FHT1,
Class
A, 4.21%, 11/25/2025 (a) |
2,082,413 |
1,933,723 |
Octane
Receivables Trust |
|
|
Series
2020-1A, Class C, 2.89%,
3/20/2026 (a) |
350,000 |
338,833 |
Series
2022-2A, Class C, 6.29%,
7/20/2028 (a) |
1,390,000 |
1,368,504 |
Series
2022-2A, Class D, 7.70%,
2/20/2030 (a) |
2,000,000 |
1,993,173 |
OneMain
Direct Auto Receivables Trust
Series
2019-1A, Class B, 3.95%,
11/14/2028 (a) |
1,000,000 |
945,731 |
Oportun
Funding XIV LLC |
|
|
Series
2021-A, Class A, 1.21%,
3/8/2028 (a) |
1,118,197 |
1,073,163 |
Series
2021-A, Class C, 3.44%,
3/8/2028 (a) |
265,572 |
255,806 |
Oportun
Issuance Trust |
|
|
Series
2022-2, Class C, 9.36%,
10/9/2029 (a) |
1,500,000 |
1,502,057 |
Series
2022-3, Class C, 10.15%,
1/8/2030 (a) |
1,912,000 |
1,955,043 |
Series
2021-B, Class B, 1.96%,
5/8/2031 (a) |
400,000 |
362,702 |
Series
2021-B, Class C, 3.65%,
5/8/2031 (a) |
100,000 |
92,231 |
Series
2022-A, Class C, 7.40%,
6/9/2031 (a) |
755,000 |
719,612 |
50
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2021-C, Class A, 2.18%,
10/8/2031 (a) |
3,663,000 |
3,332,696 |
Pagaya
AI Debt Selection Trust Series
2021-1,
Class B, 2.13%,
11/15/2027 (a) |
441,319 |
436,079 |
PFP
Ltd. (Cayman Islands) |
|
|
Series
2021-7, Class C, 7.08%,
4/14/2038 (a)
(h) |
164,992 |
159,111 |
Series
2021-7, Class D, 7.83%,
4/14/2038 (a)
(h) |
169,992 |
161,918 |
Porsche
Financial Auto Securitization Trust
Series
2023-1A, Class A3, 4.81%,
9/22/2028 (a) |
1,500,000 |
1,484,951 |
Prestige
Auto Receivables Trust Series
2022-1A,
Class C, 7.09%,
8/15/2028 (a) |
1,200,000 |
1,201,685 |
PRET
LLC |
|
|
Series
2021-NPL6, Class A1, 2.49%,
7/25/2051 (a)
(i) |
443,024 |
423,286 |
Series
2021-RN3, Class A1, 1.84%,
9/25/2051 (a)
(i) |
737,822 |
673,389 |
Pretium
Mortgage Credit Partners I LLC
Series
2021-NPL1, Class A1, 2.24%,
9/27/2060 (a)
(i) |
269,629 |
260,515 |
Progress
Residential |
|
|
Series
2021-SFR3, Class E1, 2.54%,
5/17/2026 (a) |
450,000 |
394,187 |
Series
2021-SFR3, Class E2, 2.69%,
5/17/2026 (a) |
645,000 |
563,763 |
Progress
Residential Trust |
|
|
Series
2022-SFR2, Class E2, 4.80%,
4/17/2027 (a) |
651,000 |
598,149 |
Series
2020-SFR3, Class E, 2.30%,
10/17/2027 (a) |
2,300,000 |
2,085,812 |
Series
2020-SFR3, Class G, 4.11%,
10/17/2027 (a) |
500,000 |
460,964 |
Series
2020-SFR1, Class C, 2.18%,
4/17/2037 (a) |
2,100,000 |
1,957,780 |
Series
2020-SFR1, Class E, 3.03%,
4/17/2037 (a) |
425,000 |
398,839 |
Series
2020-SFR1, Class F, 3.43%,
4/17/2037 (a) |
450,000 |
421,407 |
Series
2020-SFR2, Class D, 3.87%,
6/17/2037 (a) |
750,000 |
713,296 |
Series
2021-SFR2, Class E2, 2.65%,
4/19/2038 (a) |
500,000 |
439,608 |
Series
2021-SFR5, Class E1, 2.21%,
7/17/2038 (a) |
950,000 |
817,866 |
Series
2021-SFR5, Class E2, 2.36%,
7/17/2038 (a) |
270,000 |
232,494 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2021-SFR8, Class E1, 2.38%,
10/17/2038 (a) |
2,650,000 |
2,290,500 |
Series
2022-SFR3, Class D, 4.45%,
4/17/2039 (a) |
1,090,000 |
1,005,596 |
Series
2022-SFR3, Class F, 6.60%,
4/17/2039 (a) |
665,000 |
619,938 |
Series
2022-SFR5, Class E2, 6.86%,
6/17/2039 (a) |
388,000 |
374,328 |
Series
2023-SFR1, Class E2, 6.60%,
3/17/2040 (a) |
796,000 |
744,918 |
Series
2021-SFR7, Class E1, 2.59%,
8/17/2040 (a) |
793,000 |
637,490 |
Series
2022-SFR1, Class E2, 3.99%,
2/17/2041 (a) |
750,000 |
635,659 |
PRPM
LLC Series 2021-2, Class A1, 2.12%,
3/25/2026 (a)
(h) |
130,052 |
125,261 |
RCO
VI Mortgage LLC Series 2022-1,
Class
A1, 3.00%, 1/25/2027 (a)
(i) |
322,102 |
305,231 |
ReadyCap
Lending Small Business Loan
Trust
Series 2019-2, Class A, 8.00%,
12/27/2044 (a)
(h) |
55,792 |
53,611 |
Regional
Management Issuance Trust |
|
|
Series
2020-1, Class C, 3.80%,
10/15/2030 (a) |
1,900,000 |
1,713,805 |
Series
2021-1, Class D, 5.07%,
3/17/2031 (a) |
500,000 |
423,195 |
Series
2022-2B, Class B, 8.51%,
11/17/2032 (a) |
1,227,000 |
1,248,011 |
Renew
Series 2023-1A, Class A, 5.90%,
11/20/2058 ‡
(a) |
1,351,847 |
1,274,073 |
Santander
Drive Auto Receivables Trust
Series
2023-2, Class C, 5.47%,
12/16/2030 |
1,500,000 |
1,477,660 |
Santander
Revolving Auto Loan Trust Series
2019-A,
Class D, 3.45%, 1/26/2032 (a) |
150,000 |
141,542 |
SCF
Equipment Leasing LLC Series
2022-2A,
Class E, 6.50%,
6/20/2035 (a) |
1,112,000 |
958,750 |
Sierra
Timeshare Receivables Funding LLC |
|
|
Series
2020-2A, Class D, 6.59%,
7/20/2037 (a) |
454,639 |
434,961 |
Series
2021-1A, Class D, 3.17%,
11/20/2037 (a) |
206,219 |
188,808 |
Series
2022-1A, Class D, 6.00%,
10/20/2038 (a) |
382,367 |
360,352 |
Series
2022-3A, Class D, 10.52%,
7/20/2039 (a) |
593,929 |
603,985 |
Series
2023-1A, Class D, 9.80%,
1/20/2040 (a) |
1,377,438 |
1,385,787 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
51
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2023-2A, Class D, 9.72%,
4/20/2040 (a) |
1,159,824 |
1,168,173 |
Series
2022-2A, Class D, 9.22%,
6/20/2040 (a) |
372,044 |
368,739 |
SpringCastle
America Funding LLC Series
2020-AA,
Class A, 1.97%,
9/25/2037 (a) |
543,114 |
493,213 |
Theorem
Funding Trust Series 2022-2A,
Class
A, 6.06%, 12/15/2028 (a) |
269,230 |
266,822 |
Tricon
American Homes Series 2020-SFR1,
Class
E, 3.54%, 7/17/2038 (a) |
300,000 |
275,468 |
United
Airlines Pass-Through Trust |
|
|
Series
2014-1, Class A, 4.00%,
4/11/2026 |
112,362 |
107,074 |
Series
2016-2, Class A, 3.10%,
10/7/2028 |
7,093 |
6,152 |
Series
2018-1, Class A, 3.70%,
3/1/2030 |
11,765 |
10,196 |
United
Auto Credit Securitization Trust |
|
|
Series
2022-2, Class C, 5.81%,
5/10/2027 (a) |
856,000 |
846,820 |
Series
2022-2, Class E, 10.00%,
4/10/2029 (a) |
1,000,000 |
953,612 |
UOG
ABS Issuer I LLC Series 2023-1,
Class
A1, 8.35%, 6/5/2040 ‡
(a) |
989,717 |
984,768 |
Upstart
Securitization Trust Series 2022-4,
Class
A, 5.98%, 8/20/2032 (a) |
664,024 |
659,354 |
Upstart
Structured Pass-Through Trust
Series
2022-4A, Class A, 7.01%,
11/15/2030 (a) |
783,572 |
784,036 |
US
Airways Pass-Through Trust Series
2011-1,
Class A, 7.13%, 10/22/2023 |
11,209 |
11,205 |
US
Auto Funding Trust Series 2022-1A,
Class
D, 9.14%, 7/15/2027 ‡
(a) |
1,000,000 |
519,346 |
USASF
Receivables LLC Series 2020-1A,
Class
D, 9.35%, 3/15/2027 (a) |
750,000 |
750,664 |
VCAT
LLC |
|
|
Series
2021-NPL1, Class A1, 2.29%,
12/26/2050 (a)
(i) |
132,914 |
128,617 |
Series
2021-NPL5, Class A1, 1.87%,
8/25/2051 (a)
(i) |
765,275 |
728,490 |
Veros
Auto Receivables Trust Series
2021-1,
Class B, 1.49%,
10/15/2026 (a) |
300,000 |
293,352 |
VOLT
CV LLC Series 2021-CF2, Class A1,
2.49%,
11/27/2051 (a)
(i) |
1,509,062 |
1,389,196 |
VOLT
XCII LLC Series 2021-NPL1, Class A1,
1.89%,
2/27/2051 (a)
(i) |
869,835 |
818,694 |
VOLT
XCIII LLC Series 2021-NPL2, Class A1,
1.89%,
2/27/2051 (a)
(i) |
1,292,862 |
1,201,966 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
VOLT
XCIV LLC Series 2021-NPL3, Class A1,
2.24%,
2/27/2051 (a)
(i) |
181,629 |
171,448 |
Westgate
Resorts LLC |
|
|
Series
2020-1A, Class C, 6.21%,
3/20/2034 (a) |
60,061 |
59,271 |
Series
2022-1A, Class B, 2.29%,
8/20/2036 (a) |
144,547 |
136,477 |
Series
2022-1A, Class D, 3.84%,
8/20/2036 (a) |
578,189 |
537,053 |
Series
2023-1A, Class C, 7.49%,
12/20/2037 (a) |
2,833,958 |
2,781,672 |
Westlake
Automobile Receivables Trust |
|
|
Series
2021-3A, Class D, 2.12%,
1/15/2027 (a) |
500,000 |
465,547 |
Series
2021-3A, Class E, 3.42%,
4/15/2027 (a) |
2,500,000 |
2,316,647 |
Series
2022-2A, Class D, 5.48%,
9/15/2027 (a) |
1,000,000 |
979,631 |
Series
2023-3A, Class C, 6.02%,
9/15/2028 (a) |
2,100,000 |
2,096,883 |
Series
2023-1A, Class D, 6.79%,
11/15/2028 (a) |
905,000 |
902,478 |
Series
2023-2A, Class D, 7.01%,
11/15/2028 (a) |
1,219,000 |
1,217,077 |
Total
Asset-Backed Securities
(Cost
$228,565,727) |
|
225,117,979 |
U.S.
Treasury Obligations — 12.3% | ||
U.S.
Treasury Bonds |
|
|
4.50%,
8/15/2039 |
3,319,000 |
3,420,904 |
1.13%,
5/15/2040 |
2,073,000 |
1,283,883 |
4.38%,
5/15/2040 |
370,000 |
374,481 |
1.13%,
8/15/2040 |
6,437,100 |
3,952,027 |
1.38%,
11/15/2040 |
2,866,000 |
1,829,650 |
4.75%,
2/15/2041 |
1,421,000 |
1,501,264 |
2.25%,
5/15/2041 |
4,977,000 |
3,667,233 |
4.38%,
5/15/2041 |
811,000 |
817,178 |
3.13%,
11/15/2041 |
1,743,000 |
1,470,452 |
3.13%,
2/15/2042 |
1,953,000 |
1,641,130 |
2.75%,
11/15/2042 |
1,571,000 |
1,231,762 |
4.00%,
11/15/2042 |
32,686,000 |
31,012,119 |
3.63%,
8/15/2043 |
2,027,000 |
1,811,710 |
3.75%,
11/15/2043 |
2,226,000 |
2,024,877 |
2.88%,
8/15/2045 |
809,000 |
633,011 |
2.38%,
11/15/2049 |
7,721,000 |
5,399,573 |
2.00%,
2/15/2050 |
358,000 |
229,246 |
1.88%,
2/15/2051 |
2,622,000 |
1,617,549 |
2.38%,
5/15/2051 |
13,009,000 |
9,041,763 |
52
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
U.S.
Treasury Obligations — continued | ||
2.25%,
2/15/2052 |
1,775,000 |
1,197,432 |
4.00%,
11/15/2052 |
7,080,000 |
6,831,370 |
3.63%,
2/15/2053 |
1,682,000 |
1,515,377 |
U.S.
Treasury Notes |
|
|
2.13%,
2/29/2024 |
156,000 |
153,495 |
1.13%,
2/28/2025 |
565,000 |
532,932 |
0.25%,
8/31/2025 |
1,548,000 |
1,413,397 |
3.88%,
1/15/2026 |
7,383,000 |
7,243,415 |
1.13%,
10/31/2026 |
10,471,000 |
9,439,443 |
0.50%,
8/31/2027 |
6,112,000 |
5,251,545 |
3.13%,
8/31/2027 |
1,895,000 |
1,808,245 |
0.63%,
11/30/2027 |
2,224,000 |
1,905,864 |
1.25%,
3/31/2028 |
180,000 |
157,310 |
1.25%,
4/30/2028 |
4,100,000 |
3,575,648 |
1.25%,
9/30/2028 |
16,718,000 |
14,427,765 |
3.13%,
8/31/2029 |
1,870,000 |
1,760,064 |
0.88%,
11/15/2030 |
430,000 |
344,202 |
1.88%,
2/15/2032 |
5,701,000 |
4,791,735 |
2.88%,
5/15/2032 |
8,205,000 |
7,456,614 |
2.75%,
8/15/2032 |
5,487,000 |
4,925,226 |
4.13%,
11/15/2032 |
14,864,000 |
14,857,033 |
U.S.
Treasury STRIPS Bonds |
|
|
2.58%,
5/15/2032 (k) |
2,200,000 |
1,524,432 |
1.67%,
5/15/2033 (k) |
3,205,000 |
2,122,604 |
3.70%,
2/15/2034 (k) |
4,986,000 |
3,190,905 |
4.03%,
8/15/2039 (k) |
511,000 |
250,956 |
4.16%,
2/15/2040 (k) |
2,155,000 |
1,032,579 |
2.43%,
11/15/2040 (k) |
3,172,000 |
1,459,946 |
4.03%,
5/15/2041 (k) |
10,019,000 |
4,493,278 |
2.31%,
8/15/2041 (k) |
207,000 |
91,459 |
2.26%,
11/15/2041 (k) |
845,000 |
384,229 |
2.65%,
2/15/2042 (k) |
1,065,000 |
459,954 |
1.40%,
2/15/2045 (k) |
649,000 |
252,894 |
Total
U.S. Treasury Obligations
(Cost
$194,404,366) |
|
177,811,160 |
Commercial
Mortgage-Backed Securities — 4.9% | ||
BAMLL
Re-REMIC Trust Series 2014-FRR5,
Class
AK37, 1.99%, 1/27/2047 (a)
(h) |
770,000 |
740,441 |
BBCMS
Mortgage Trust Series 2016-ETC,
Class
E, 3.73%, 8/14/2036 (a)
(h) |
4,913,000 |
3,546,160 |
BB-UBS
Trust Series 2012-SHOW, Class E,
4.16%,
11/5/2036 (a)
(h) |
225,000 |
193,787 |
BMD2
Re-Remic Trust Series 2019-FRR1,
Class
5B13, 2.20%, 5/25/2052 (a)
(h) |
4,000,000 |
2,867,343 |
BXP
Trust Series 2017-GM, Class A, 3.38%,
6/13/2039 (a) |
2,000,000 |
1,808,217 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Cascade
Funding Mortgage Trust |
|
|
Series
2021-FRR1, Class DK45, 0.00%,
2/28/2025 (a) |
380,000 |
323,817 |
Series
2021-FRR1, Class CK45, 1.38%,
2/28/2025 (a)
(h) |
500,000 |
448,986 |
Series
2021-FRR1, Class BK45, 2.08%,
2/28/2025 (a)
(h) |
600,000 |
545,863 |
Series
2021-FRR1, Class CK54, 0.00%,
2/28/2026 (a) |
480,000 |
379,765 |
Series
2021-FRR1, Class DKW1, 0.00%,
2/28/2026 (a) |
430,000 |
331,357 |
Series
2021-FRR1, Class BK98, 0.00%,
8/29/2029 (a) |
1,150,000 |
685,316 |
Series
2021-FRR1, Class AK99, 0.00%,
9/29/2029 (a) |
3,000,000 |
1,900,155 |
Series
2021-FRR1, Class BK99, 0.00%,
9/29/2029 (a) |
400,000 |
228,029 |
CSMC
OA LLC Series 2014-USA, Class D,
4.37%,
9/15/2037 (a) |
239,000 |
176,088 |
FHLMC,
Multi-Family Structured Credit Risk |
|
|
Series
2021-MN1, Class M1, 7.29%,
1/25/2051 (a)
(h) |
1,567,339 |
1,522,559 |
Series
2021-MN1, Class M2, 9.04%,
1/25/2051 (a)
(h) |
685,000 |
656,233 |
Series
2021-MN3, Class M1, 7.59%,
11/25/2051 (a)
(h) |
473,111 |
457,373 |
Series
2022-MN4, Class M1, 9.54%,
5/25/2052 (a)
(h) |
983,637 |
990,974 |
Series
2022-MN4, Class M2, 11.79%,
5/25/2052 (a)
(h) |
750,000 |
767,174 |
FHLMC,
Multi-Family Structured
Pass-Through
Certificates |
|
|
Series
KW06, Class A2, 3.80%,
6/25/2028 (h) |
1,750,000 |
1,666,564 |
Series
K088, Class A2, 3.69%,
1/25/2029 |
350,000 |
332,282 |
Series
K128, Class X3, IO, 2.88%,
4/25/2031 (h) |
550,000 |
85,586 |
Series
K136, Class A2, 2.13%,
11/25/2031 |
3,500,000 |
2,866,736 |
Series
K142, Class A2, 2.40%,
3/25/2032 |
1,250,000 |
1,040,573 |
Series
K-151, Class A2, 3.80%,
10/25/2032 (h) |
1,050,000 |
971,510 |
Series
K-153, Class A2, 3.82%,
12/25/2032 (h) |
1,000,000 |
925,673 |
Series
K-1520, Class X1, IO, 0.58%,
2/25/2036 (h) |
4,485,179 |
173,097 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
53
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
K-1520, Class X3, IO, 3.20%,
4/25/2039 (h) |
550,000 |
132,377 |
Series
K145, Class AM, 2.58%,
6/25/2055 |
1,100,000 |
919,191 |
Series
Q014, Class X, IO, 2.79%,
10/25/2055 (h) |
1,878,407 |
330,530 |
FNMA
ACES |
|
|
Series
2017-M3, Class A2, 2.55%,
12/25/2026 (h) |
260,930 |
242,196 |
Series
2021-M11, Class A2, 1.51%,
3/25/2031 (h) |
300,000 |
234,871 |
Series
2023-M2, Class PT, 3.24%,
4/25/2031 (h) |
4,004,443 |
3,625,818 |
Series
2022-M1G, Class A2, 1.58%,
9/25/2031 (h) |
2,700,000 |
2,134,309 |
Series
2022-M1, Class A1, 1.72%,
10/25/2031 (h) |
477,762 |
413,342 |
Series
2022-M3, Class A2, 1.76%,
11/25/2031 (h) |
1,400,000 |
1,113,916 |
Series
2022-M8, Class A2, 2.00%,
12/25/2031 (h) |
2,500,000 |
2,003,898 |
Series
2022-M2S, Class A1, 3.88%,
5/25/2032 (h) |
983,913 |
933,658 |
Series
2022-M13, Class A2, 2.68%,
6/25/2032 (h) |
1,372,000 |
1,161,231 |
Series
2020-M53, Class A2, 1.74%,
11/25/2032 (h) |
1,250,000 |
970,122 |
Series
2021-M3, Class 1A1, 1.00%,
11/25/2033 |
42,927 |
40,372 |
Series
2021-M3, Class X1, IO, 2.05%,
11/25/2033 (h) |
522,351 |
44,095 |
FREMF
Mortgage Trust |
|
|
Series
2018-KL3W, Class CW, 4.23%,
8/25/2025 (a)
(h) |
250,000 |
229,529 |
Series
2018-KBX1, Class B, 3.69%,
1/25/2026 (a)
(h) |
500,000 |
423,940 |
Series
2021-KHG3, Class BFX, 2.48%,
9/25/2028 (a)
(h) |
1,000,000 |
826,761 |
Series
2015-K44, Class B, 3.85%,
1/25/2048 (a)
(h) |
200,000 |
193,010 |
Series
2015-K45, Class B, 3.73%,
4/25/2048 (a)
(h) |
199,293 |
191,379 |
Series
2015-K48, Class B, 3.77%,
8/25/2048 (a)
(h) |
200,000 |
191,017 |
Series
2015-K50, Class B, 3.91%,
10/25/2048 (a)
(h) |
200,000 |
191,125 |
Series
2015-K51, Class B, 4.09%,
10/25/2048 (a)
(h) |
381,860 |
365,707 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2016-K52, Class B, 4.07%,
1/25/2049 (a)
(h) |
250,000 |
237,851 |
Series
2016-K53, Class C, 4.16%,
3/25/2049 (a)
(h) |
70,000 |
66,302 |
Series
2016-K57, Class B, 4.05%,
8/25/2049 (a)
(h) |
1,000,000 |
942,418 |
Series
2017-K729, Class B, 3.80%,
11/25/2049 (a)
(h) |
300,000 |
289,717 |
Series
2018-K80, Class B, 4.38%,
8/25/2050 (a)
(h) |
1,000,000 |
937,486 |
Series
2019-K88, Class C, 4.53%,
2/25/2052 (a)
(h) |
1,975,000 |
1,813,209 |
FRR
Re-REMIC Trust Series 2018-C1,
Class
CK43, PO, 2/27/2048 (a) |
612,660 |
525,216 |
GAM
Re-REMIC Trust |
|
|
Series
2021-FRR1, Class 1B, PO,
11/29/2050 (a) |
5,000,000 |
3,523,964 |
Series
2022-FRR3, Class BK89, PO,
1/27/2052 ‡
(a) |
4,000,000 |
2,458,638 |
GS
Mortgage Securities Corp. II Series
2023-SHIP,
Class A, 4.47%,
9/15/2038 (a)
(h) |
4,140,000 |
3,982,082 |
Hudson
Yards Mortgage Trust Series
2019-30HY,
Class A, 3.23%,
7/10/2039 (a) |
3,000,000 |
2,588,126 |
JPMCC
Re-REMIC Trust Series 2015-FRR2,
Class
AK39, 2.70%, 8/27/2047 (a)
(h) |
944,000 |
882,844 |
MHC
Commercial Mortgage Trust Series
2021-MHC,
Class F, 8.03%,
4/15/2038 (a)
(h) |
600,000 |
583,447 |
Multi-Family
Connecticut Avenue Securities
Trust |
|
|
Series
2019-01, Class M10, 8.65%,
10/25/2049 (a)
(h) |
3,409,063 |
3,319,372 |
Series
2020-01, Class M7, 7.35%,
3/25/2050 (a)
(h) |
63,938 |
63,564 |
Series
2020-01, Class M10, 9.15%,
3/25/2050 (a)
(h) |
4,255,000 |
4,138,447 |
RFM
Reremic Trust Series 2022-FRR1,
Class
BK64, 1.76%, 3/1/2050 (a)
(h) |
2,328,481 |
1,845,015 |
Total
Commercial Mortgage-Backed
Securities
(Cost
$74,423,910) |
|
71,741,750 |
Collateralized
Mortgage Obligations — 3.5% | ||
Anchor
Mortgage Trust Series 2021-1,
Class
A2, 3.65%, 10/25/2026 (a)
(i) |
476,191 |
435,151 |
Connecticut
Avenue Securities Trust Series
2023-R06,
Class 1M2, 7.99%,
7/25/2043 (a)
(h) |
1,500,000 |
1,508,445 |
54
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
CSMC
Trust |
|
|
Series
2021-JR1, Class A1, 2.46%,
9/27/2066 (a)
(h) |
384,081 |
372,043 |
Series
2022-JR1, Class A1, 4.27%,
10/25/2066 (a)
(i) |
587,386 |
570,450 |
FHLMC,
REMIC |
|
|
Series
5200, Class YV, 2.50%,
7/25/2033 |
4,055,526 |
3,596,518 |
Series
2708, Class ZD, 5.50%,
11/15/2033 |
75,355 |
75,050 |
Series
4302, Class PA, 4.00%,
12/15/2043 |
57,223 |
54,450 |
Series
4281, Class BC, 4.50%,
12/15/2043 (h) |
85,768 |
83,095 |
Series
5141, Class AH, 2.25%,
11/25/2047 |
1,342,086 |
1,165,633 |
Series
5200, Class MA, 2.50%,
8/25/2048 |
3,434,894 |
3,008,022 |
Series
5028, Class JG, 1.50%,
8/25/2050 |
3,025,055 |
2,357,755 |
Series
5155, Class JD, 1.25%,
10/25/2051 |
1,503,022 |
1,141,253 |
FNMA,
REMIC |
|
|
Series
2003-7, Class FA, 6.15%,
2/25/2033 (h) |
74,610 |
74,768 |
Series
2013-108, Class GU, 3.00%,
10/25/2033 |
406,528 |
379,310 |
Series
2005-110, Class TY, 5.50%,
12/25/2035 |
46,165 |
46,054 |
Series
2007-89, Class F, 5.98%,
9/25/2037 (h) |
84,240 |
83,638 |
Series
2011-112, Class PB, 4.00%,
11/25/2041 |
109,768 |
103,395 |
Series
2014-57, Class PE, 3.00%,
9/25/2044 |
1,129,000 |
914,952 |
Series
2021-14, Class CB, 1.00%,
11/25/2049 |
3,957,153 |
2,979,758 |
GNMA |
|
|
Series
2012-61, Class FM, 5.83%,
5/16/2042 (h) |
356,769 |
350,685 |
Series
2020-165, Class UD, 1.50%,
11/20/2050 |
736,011 |
549,749 |
Series
2010-H24, Class FA, 5.61%,
10/20/2060 (h) |
45,754 |
45,450 |
Series
2014-H03, Class FA, 5.82%,
1/20/2064 (h) |
24,917 |
24,822 |
Series
2015-H05, Class FC, 5.70%,
2/20/2065 (h) |
231,520 |
230,098 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2021-H14, Class CF, 6.64%,
9/20/2071 (h) |
2,898,672 |
2,951,263 |
GS
Mortgage-Backed Securities Corp. Trust
Series
2021-RPL1, Class A1, 1.75%,
12/25/2060 (a)
(h) |
2,973,526 |
2,680,244 |
Home
RE Ltd. (Bermuda) Series 2022-1,
Class
M1C, 10.79%, 10/25/2034 (a)
(h) |
750,000 |
768,132 |
LHOME
Mortgage Trust |
|
|
Series
2021-RTL1, Class A1, 2.09%,
2/25/2026 (a)
(h) |
79,386 |
78,835 |
Series
2023-RTL1, Class A1, 7.87%,
1/25/2028 (a)
(i) |
1,320,000 |
1,313,459 |
Series
2023-RTL2, Class A1, 8.00%,
6/25/2028 (a)
(i) |
2,000,000 |
1,994,277 |
PMT
Credit Risk Transfer Trust Series
2021-1R,
Class A, 8.34%,
2/27/2024 (a)
(h) |
2,391,337 |
2,377,504 |
Prairie
Lake, 4.52%, 10/1/2033 (j) |
1,200,000 |
1,175,825 |
Radnor
RE Ltd. (Bermuda) Series 2022-1,
Class
M1B, 12.04%, 9/25/2032 (a)
(h) |
400,000 |
424,281 |
Seasoned
Credit Risk Transfer Trust |
|
|
Series
2018-1, Class MA, 3.00%,
5/25/2057 |
386,619 |
351,850 |
Series
2018-1, Class M60C, 3.50%,
5/25/2057 |
140,875 |
130,248 |
Series
2018-3, Class MA, 3.50%,
8/25/2057 (h) |
56,265 |
52,614 |
Series
2018-3, Class M55D, 4.00%,
8/25/2057 (h) |
264,873 |
247,532 |
Series
2018-2, Class MT, 3.50%,
11/25/2057 |
585,188 |
508,171 |
Series
2018-2, Class M55D, 4.00%,
11/25/2057 |
291,211 |
272,382 |
Series
2019-1, Class MA, 3.50%,
7/25/2058 |
2,849,648 |
2,652,903 |
Series
2019-2, Class MA, 3.50%,
8/25/2058 |
1,478,991 |
1,372,334 |
Series
2020-1, Class MA, 2.50%,
8/25/2059 |
4,415,791 |
3,966,342 |
Series
2020-3, Class M5TW, 3.00%,
5/25/2060 |
472,275 |
416,520 |
Series
2020-3, Class TTW, 3.00%,
5/25/2060 |
444,922 |
405,761 |
Series
2021-1, Class BXS, 13.28%,
9/25/2060 (a)
(h) |
149,407 |
103,424 |
Series
2022-1, Class MTU, 3.25%,
11/25/2061 |
486,082 |
411,521 |
Series
2023-1, Class MT, 3.00%,
10/25/2062 |
3,100,000 |
2,596,450 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
55
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
Towd
Point Mortgage Trust Series 2021-R1,
Class
A2C, 3.31%, 11/30/2060 (a) |
754,000 |
690,044 |
Two
Harbors Msr Frn, 7.25%, 4/15/2024 ‡
(a) |
1,500,000 |
1,500,000 |
VM
Master Issuer LLC Series 2022-1,
Class
B, 6.88%, 5/24/2025 ‡
(a) (h) |
800,000 |
717,680 |
Total
Collateralized Mortgage Obligations
(Cost
$51,368,746) |
|
50,310,140 |
Loan
Assignments — 0.3% (d)
(l) | ||
Broadline
Retail — 0.0% ^ | ||
GoodRx,
Inc., 1st Lien Term Loan (1-MONTH
CME
TERM SOFR + 2.75%), 8.18%,
10/10/2025 |
623,349 |
621,903 |
Machinery
— 0.0% ^ | ||
Alliance
Laundry Systems LLC, 1st Lien
Term
Loan B (1-MONTH CME TERM SOFR
+
3.50%; 3-MONTH CME TERM SOFR +
3.50%),
8.91%, 10/8/2027 (m) |
600,000 |
600,462 |
Personal
Care Products — 0.1% | ||
Nestle
Skin Health SA, Term Loan B
(Luxembourg)
(3-MONTH CME TERM
SOFR
+ 3.75%), 9.09%, 10/1/2026 |
623,406 |
623,755 |
Semiconductors
& Semiconductor Equipment — 0.1% | ||
Brooks
Automation, 1st Lien Term Loan B
(1-MONTH
SOFR + 3.10%; 6-MONTH
SOFR
+ 3.10%), 8.26%, 2/1/2029 (m) |
650,000 |
646,477 |
Software
— 0.0% ^ | ||
Genesys
Telecom Holdings US, Inc., 1st Lien
Term
Loan B (1-MONTH CME TERM SOFR
+
4.00%), 9.45%, 12/1/2027 (m) |
623,402 |
623,015 |
Specialty
Retail — 0.1% | ||
AppleCaramel
Buyer LLC, 1st Lien Term
Loan
B (1-MONTH CME TERM SOFR +
3.75%),
9.08%, 10/19/2027 (m) |
498,734 |
497,901 |
Petco
Health and Wellness Co., Inc., Term
Loan
B (3-MONTH CME TERM SOFR +
3.25%),
8.75%, 3/3/2028 |
495,342 |
492,063 |
|
|
989,964 |
Total
Loan Assignments
(Cost
$4,088,653) |
|
4,105,576 |
U.S.
Government Agency Securities — 0.1% | ||
Resolution
Funding Corp. STRIPS
DN,
4.39%, 4/15/2030 (k)
(Cost
$1,648,899) |
2,195,000 |
1,612,300 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — 0.0% (n)
^ | ||
Ohio
— 0.0% ^ | ||
Ohio
University, General Receipts, Federally
Taxable
Rev., 5.59%, 12/1/2114 |
25,000 |
23,077 |
Texas
— 0.0% ^ | ||
Texas
Natural Gas Securitization Finance
Corp.,
Winter Storm URI Series 2023A-2,
Rev.,
5.17%, 4/1/2041 |
45,000 |
44,839 |
Total
Municipal Bonds
(Cost
$77,770) |
|
67,916 |
|
SHARES |
|
Common
Stocks — 0.0% ^ | ||
Diversified
Telecommunication Services — 0.0% ^ | ||
Windstream
Holdings, Inc. ‡
* |
16 |
172 |
Oil,
Gas & Consumable Fuels — 0.0% ^ | ||
Chesapeake
Energy Corp. |
185 |
16,319 |
EP
Energy Corp. ‡
* |
275 |
1,925 |
|
|
18,244 |
Professional
Services — 0.0% ^ | ||
NMG,
Inc. ‡
* |
1 |
115 |
Wireless
Telecommunication Services — 0.0% ^ | ||
Intelsat
SA (Luxembourg) ‡
* |
270 |
6,210 |
Total
Common Stocks
(Cost
$10,146) |
|
24,741 |
Preferred
Stocks — 0.0% ^ | ||
Broadline
Retail — 0.0% ^ | ||
MYT
Holding LLC Series A, 10.00%,
6/6/2029
‡
(Cost
$2,753) |
2,868 |
2,223 |
|
NO.
OF
WARRANTS |
|
Warrants
— 0.0% ^ | ||
Media
— 0.0% ^ | ||
Nmg
Research Ltd. expiring 9/24/2027,
price
1.00 USD (United Kingdom) ‡
*
(Cost
$1) |
78 |
1,365 |
|
NO.
OF
RIGHTS |
|
Rights
— 0.0% ^ | ||
Diversified
Telecommunication Services — 0.0% ^ | ||
Intelsat
Jackson Holdings SA, expiring
12/5/2025
(Luxembourg) ‡ *
(Cost
$1 ) |
56 |
1 |
56
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
SHARES |
VALUE($) |
Short-Term
Investments — 16.2% | ||
Investment
Companies — 16.2% | ||
JPMorgan
U.S. Government Money Market
Fund
Class IM Shares, 5.27% (o)
(p)
(Cost
$235,103,925) |
235,103,925 |
235,103,925 |
Total
Investments — 101.3%
(Cost
$1,517,182,948) |
|
1,468,989,254 |
Liabilities
in Excess of Other Assets —
(1.3)% |
|
(19,047,553
) |
NET
ASSETS — 100.0% |
|
1,449,941,701 |
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, 2023. |
CME |
Chicago
Mercantile Exchange |
CSMC |
Credit
Suisse Mortgage Trust |
DN |
Discount
Notes |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
FRN |
Floating
Rate Note |
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 |
PIK |
Payment
In Kind |
PO |
Principal
Only represents the right to receive the principal portion
only
on an underlying pool of mortgage loans. The market value of
these
securities is extremely volatile in response to changes in
market
interest rates. As prepayments on the underlying
mortgages
of these securities increase, the yield on these
securities
increases. |
PT |
Limited
liability company |
RE |
Reinsured |
REIT |
Real
Estate Investment Trust |
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 |
SOFRINDX |
Compounding
index of the 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) |
Defaulted
security. |
|
(c) |
Security
has the ability to pay in kind (“PIK”) or pay
income
in cash. When applicable, separate rates of
such
payments are disclosed. |
|
(d) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2023. |
|
(e) |
Contingent
Capital security (“CoCo”). CoCos are hybrid
debt
securities that may be convertible into equity or
may
be written down if a pre-specified trigger event
occurs.
The total value of aggregate CoCo holdings at
August
31, 2023 is $635,002 or 0.04% of the
Fund’s
net assets as of August 31, 2023. |
|
(f) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
(g) |
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, 2023. |
|
(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, 2023.
|
|
(i) |
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, 2023.
|
|
(j) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(k) |
The
rate shown is the effective yield as of August 31,
2023.
|
|
(l) |
Loan
assignments are presented by obligor. Each
series
or loan tranche underlying each obligor may
have
varying terms. |
|
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
57
|
(m) |
All
or a portion of this security is unsettled as of
August
31, 2023. Unless otherwise indicated, the
coupon
rate is undetermined. The coupon rate shown
may
not be accrued for the entire position. |
|
(n) |
The
date shown represents the earliest of the
prerefunded
date, next put date or final maturity date. |
|
(o) |
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. |
|
(p) |
The
rate shown is the current yield as of August 31,
2023. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
724 |
12/19/2023 |
USD |
80,375,313 |
626,612 |
U.S.
Treasury 10 Year Ultra Note |
3 |
12/19/2023 |
USD |
348,234 |
3,651 |
U.S.
Treasury Long Bond |
271 |
12/19/2023 |
USD |
32,943,438 |
348,884 |
U.S.
Treasury Ultra Bond |
442 |
12/19/2023 |
USD |
57,211,375 |
694,097 |
U.S.
Treasury 2 Year Note |
596 |
12/29/2023 |
USD |
121,495,531 |
243,650 |
U.S.
Treasury 5 Year Note |
992 |
12/29/2023 |
USD |
106,097,500 |
540,118 |
|
|
|
|
|
2,457,012 |
Short
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
(2
) |
12/19/2023 |
USD |
(222,031
) |
(1,770
) |
U.S.
Treasury 10 Year Ultra Note |
(92
) |
12/19/2023 |
USD |
(10,679,188
) |
(74,420
) |
U.S.
Treasury Long Bond |
(3
) |
12/19/2023 |
USD |
(364,688
) |
(3,897
) |
U.S.
Treasury 5 Year Note |
(1
) |
12/29/2023 |
USD |
(106,953
) |
(588
) |
|
|
|
|
|
(80,675
) |
|
|
|
|
|
2,376,337 |
Abbreviations |
|
USD |
United
States Dollar |
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
JPY |
349,102,134 |
USD |
2,470,150 |
BNP
Paribas |
9/15/2023 |
(66,952
) |
JPY |
139,470,662 |
USD |
968,572 |
HSBC
Bank, NA |
9/15/2023 |
(8,465
) |
Net
unrealized depreciation |
(75,417
) |
Abbreviations |
|
JPY |
Japanese
Yen |
USD |
United
States Dollar |
58
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
COUNTERPARTY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD2,300,000 |
18,462 |
(45,255
) |
(26,793
) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD3,000,000 |
21,501 |
(56,448
) |
(34,947
) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD2,900,000 |
9,798 |
(43,580
) |
(33,782
) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD210,000 |
2,125 |
(4,571
) |
(2,446
) |
|
|
|
|
|
|
|
51,886 |
(149,854
) |
(97,968
) |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium
to
or from the protection seller, in exchange for the right to receive a
contingent payment, upon occurrence of a credit event with respect to
an
underlying reference obligation, as defined under the terms of individual
swap contracts. |
| |||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract. Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant factors).
| ||||||||
Abbreviations |
|
|
|
|
|
|
|
|
|
USD |
United
States Dollar |
|
|
|
|
|
|
|
|
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 |
0.54 |
USD11,000,000 |
(4,374
) |
202,600 |
198,226 |
CDX.NA.IG.39-V1 |
1.00 |
Quarterly |
12/20/2027 |
0.61 |
USD7,250,000 |
71,753 |
52,059 |
123,812 |
|
|
|
|
|
|
67,379 |
254,659 |
322,038 |
(**)
|
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. |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
59
|
(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 |
|
NET
UPFRONT
PAYMENTS
(RECEIPTS)
($) |
VALUE
($) |
Liabilities |
|
|
OTC
Credit default swap contracts outstanding - buy
protection |
51,886 |
(97,968
) |
60
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 38.6% | ||
Aerospace
& Defense — 0.3% | ||
Bombardier,
Inc. (Canada) |
|
|
7.50%,
3/15/2025 (a) |
64,000 |
64,038 |
7.88%,
4/15/2027 (a) |
455,000 |
453,824 |
BWX
Technologies, Inc. 4.13%, 6/30/2028 (a) |
100,000 |
90,996 |
Spirit
AeroSystems, Inc. 9.38%,
11/30/2029 (a) |
377,000 |
392,877 |
TransDigm,
Inc. 6.25%, 3/15/2026 (a) |
490,000 |
485,330 |
Triumph
Group, Inc. 9.00%, 3/15/2028 (a) |
146,000 |
146,988 |
|
|
1,634,053 |
Automobile
Components — 1.1% | ||
Adient
Global Holdings Ltd.
|
|
|
4.88%,
8/15/2026 (a) |
600,000 |
577,830 |
7.00%,
4/15/2028 (a) |
145,000 |
146,492 |
8.25%,
4/15/2031 (a) |
120,000 |
123,024 |
Allison
Transmission, Inc.
|
|
|
4.75%,
10/1/2027 (a) |
25,000 |
23,471 |
5.88%,
6/1/2029 (a) |
515,000 |
497,400 |
3.75%,
1/30/2031 (a) |
390,000 |
325,753 |
American
Axle & Manufacturing, Inc.
|
|
|
6.25%,
3/15/2026 |
10,000 |
9,727 |
6.50%,
4/1/2027 |
263,000 |
249,256 |
6.88%,
7/1/2028 |
390,000 |
357,716 |
5.00%,
10/1/2029 |
75,000 |
61,744 |
Clarios
Global LP
|
|
|
6.75%,
5/15/2025 (a) |
135,000 |
134,948 |
6.25%,
5/15/2026 (a) |
1,085,000 |
1,074,556 |
8.50%,
5/15/2027 (a) |
795,000 |
803,003 |
Cooper-Standard
Automotive, Inc. 13.50%
(Blend
(Cash 9.00% + PIK 4.50%)),
3/31/2027 (a)
(b) |
101,725 |
103,327 |
Dana,
Inc.
|
|
|
5.38%,
11/15/2027 |
140,000 |
132,443 |
5.63%,
6/15/2028 |
185,000 |
174,152 |
4.25%,
9/1/2030 |
40,000 |
32,890 |
Dornoch
Debt Merger Sub, Inc. 6.63%,
10/15/2029 (a) |
80,000 |
68,968 |
Goodyear
Tire & Rubber Co. (The) 5.00%,
7/15/2029 |
1,334,000 |
1,183,923 |
Icahn
Enterprises LP 6.25%, 5/15/2026 |
500,000 |
463,230 |
|
|
6,543,853 |
Banks
— 1.7% | ||
Banco
do Brasil SA (Brazil) (US Treasury Yield
Curve
Rate T Note Constant Maturity 10 Year
+
6.36%), 9.00%, 6/18/2024 (c)
(d) (e)
(f)
(g) |
200,000 |
200,180 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
Banco
Mercantil del Norte SA (Mexico) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
10 Year + 5.47%), 7.50%,
6/27/2029 (c)
(d) (e) (f) (g) |
400,000 |
364,536 |
Bank
of Nova Scotia (The) (Canada) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
5 Year + 4.39%), 8.63%,
10/27/2082 (c)
(g) |
600,000 |
611,625 |
BPCE
SA (France) |
|
|
(SOFR
+ 2.10%), 5.97%,
1/18/2027 (a)
(g) |
4,678,000 |
4,654,299 |
5.13%,
1/18/2028 (a) |
725,000 |
711,016 |
Citigroup,
Inc.
|
|
|
Series
U, (SOFR + 3.81%), 5.00%,
9/12/2024 (d)
(e) (g) |
95,000 |
90,934 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.42%),
3.88%,
2/18/2026 (d)
(e) (g) |
100,000 |
87,504 |
Danske
Bank A/S (Denmark) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1 Year
+
2.10%), 6.47%, 1/9/2026 (a)
(g) |
200,000 |
200,092 |
HSBC
Holdings plc (United Kingdom) |
|
|
(SOFR
+ 3.35%), 7.39%, 11/3/2028 (g) |
290,000 |
304,681 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.65%),
4.60%,
12/17/2030 (c)
(d) (e) (g) |
200,000 |
154,745 |
ING
Groep NV (Netherlands) (USD ICE Swap
Rate
5 Year + 4.20%), 6.75%,
4/16/2024 (c)
(d) (e) (f) (g) |
200,000 |
195,149 |
Nordea
Bank Abp (Finland) (US Treasury Yield
Curve
Rate T Note Constant Maturity 5 Year
+
4.11%), 6.63%, 3/26/2026 (a)
(c) (d)
(e)
(g) |
200,000 |
188,999 |
Santander
UK Group Holdings plc (United
Kingdom)
(SOFR + 2.60%), 6.53%,
1/10/2029 (g) |
720,000 |
725,670 |
Societe
Generale SA (France) (US Treasury
Yield
Curve Rate T Note Constant Maturity 1
Year
+ 2.30%), 6.45%, 1/12/2027 (a)
(g) |
315,000 |
316,474 |
Toronto-Dominion
Bank (The) (US Treasury
Yield
Curve Rate T Note Constant Maturity 5
Year
+ 4.08%), 8.13%, 10/31/2082 (c)
(g) |
950,000 |
954,770 |
August
31, 2023
|
|
61
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
Wells
Fargo & Co.
|
|
|
Series
BB, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.45%),
3.90%,
3/15/2026 (d)
(e) (g) |
162,000 |
143,613 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.61%),
7.63%,
9/15/2028 (d)
(e) (g) |
165,000 |
168,919 |
|
|
10,073,206 |
Biotechnology
— 0.1% | ||
Grifols
SA (Spain) 4.75%, 10/15/2028 (a) |
400,000 |
350,932 |
Broadline
Retail — 0.2% | ||
NMG
Holding Co., Inc. 7.13%, 4/1/2026 (a) |
1,065,000 |
1,012,193 |
Nordstrom,
Inc.
|
|
|
4.00%,
3/15/2027 |
100,000 |
87,232 |
4.25%,
8/1/2031 |
110,000 |
82,751 |
Shutterfly
Finance LLC
|
|
|
8.50%
(Blend (Cash 4.25% + PIK 4.25%)),
10/1/2027 (a)
(b) |
189,000 |
122,866 |
9.75%,
10/1/2027 (a) |
22,913 |
22,684 |
|
|
1,327,726 |
Building
Products — 0.6% | ||
Builders
FirstSource, Inc. 6.38%,
6/15/2032 (a) |
500,000 |
487,468 |
Emerald
Debt Merger Sub LLC 6.63%,
12/15/2030 (a) |
830,000 |
817,069 |
Griffon
Corp. 5.75%, 3/1/2028 |
85,000 |
79,220 |
JELD-WEN,
Inc. 4.88%, 12/15/2027 (a) |
125,000 |
111,248 |
Masonite
International Corp. 5.38%,
2/1/2028 (a) |
100,000 |
94,750 |
MIWD
Holdco II LLC 5.50%, 2/1/2030 (a) |
150,000 |
127,143 |
Standard
Industries, Inc.
|
|
|
4.75%,
1/15/2028 (a) |
1,695,000 |
1,561,094 |
4.38%,
7/15/2030 (a) |
250,000 |
214,303 |
|
|
3,492,295 |
Capital
Markets — 0.5% | ||
Coinbase
Global, Inc. 3.38%, 10/1/2028 (a) |
30,000 |
22,068 |
Goldman
Sachs Group, Inc. (The)
|
|
|
Series
R, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.22%),
4.95%,
2/10/2025 (d)
(e) (g) |
95,000 |
88,525 |
(SOFR
+ 1.08%), 5.80%, 8/10/2026 (g) |
1,150,000 |
1,146,456 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — continued | ||
Series
W, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.16%),
7.50%,
2/10/2029 (d)
(e) (g) |
390,000 |
391,950 |
Nasdaq,
Inc. 5.35%, 6/28/2028 |
1,160,000 |
1,160,481 |
|
|
2,809,480 |
Chemicals
— 1.2% | ||
Axalta
Coating Systems LLC
|
|
|
4.75%,
6/15/2027 (a) |
200,000 |
188,203 |
3.38%,
2/15/2029 (a) |
900,000 |
763,318 |
Braskem
Idesa SAPI 6.99%, 2/20/2032 (a) |
400,000 |
238,348 |
Braskem
Netherlands Finance BV (Brazil)
7.25%,
2/13/2033 (a) |
200,000 |
188,690 |
Celanese
US Holdings LLC 1.40%, 8/5/2026 |
240,000 |
209,774 |
Chemours
Co. (The)
|
|
|
5.75%,
11/15/2028 (a) |
1,295,000 |
1,163,324 |
4.63%,
11/15/2029 (a) |
75,000 |
62,351 |
Element
Solutions, Inc. 3.88%, 9/1/2028 (a) |
365,000 |
320,879 |
NOVA
Chemicals Corp. (Canada) |
|
|
5.25%,
6/1/2027 (a) |
1,405,000 |
1,249,124 |
4.25%,
5/15/2029 (a) |
25,000 |
20,306 |
Scotts
Miracle-Gro Co. (The)
|
|
|
5.25%,
12/15/2026 |
20,000 |
18,944 |
4.50%,
10/15/2029 |
1,070,000 |
894,862 |
4.00%,
4/1/2031 |
320,000 |
251,514 |
Trinseo
Materials Operating SCA
|
|
|
5.38%,
9/1/2025 (a) |
45,000 |
41,922 |
5.13%,
4/1/2029 (a) |
220,000 |
118,858 |
WR
Grace Holdings LLC
|
|
|
4.88%,
6/15/2027 (a) |
790,000 |
736,786 |
5.63%,
8/15/2029 (a) |
795,000 |
672,331 |
|
|
7,139,534 |
Commercial
Services & Supplies — 1.2% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
805,000 |
687,728 |
ADT
Security Corp. (The)
|
|
|
4.13%,
8/1/2029 (a) |
490,000 |
427,682 |
4.88%,
7/15/2032 (a) |
180,000 |
155,268 |
Allied
Universal Holdco LLC 6.63%,
7/15/2026 (a) |
925,000 |
879,809 |
Aramark
Services, Inc. 5.00%, 2/1/2028 (a) |
785,000 |
732,339 |
Brink's
Co. (The) 4.63%, 10/15/2027 (a) |
235,000 |
218,519 |
Garda
World Security Corp. 4.63%,
2/15/2027 (a) |
50,000 |
46,255 |
GFL
Environmental, Inc. (Canada) |
|
|
62
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Commercial
Services & Supplies — continued | ||
3.75%,
8/1/2025 (a) |
890,000 |
847,333 |
5.13%,
12/15/2026 (a) |
25,000 |
24,190 |
4.00%,
8/1/2028 (a) |
610,000 |
544,558 |
4.38%,
8/15/2029 (a) |
60,000 |
53,071 |
Madison
IAQ LLC 4.13%, 6/30/2028 (a) |
1,420,000 |
1,256,320 |
Prime
Security Services Borrower LLC
|
|
|
5.75%,
4/15/2026 (a) |
385,000 |
377,818 |
3.38%,
8/31/2027 (a) |
940,000 |
836,038 |
Stericycle,
Inc. 3.88%, 1/15/2029 (a) |
250,000 |
217,671 |
|
|
7,304,599 |
Communications
Equipment — 0.3% | ||
CommScope,
Inc.
|
|
|
6.00%,
3/1/2026 (a) |
1,170,000 |
1,063,256 |
8.25%,
3/1/2027 (a) |
710,000 |
470,382 |
4.75%,
9/1/2029 (a) |
625,000 |
464,461 |
|
|
1,998,099 |
Construction
& Engineering — 0.2% | ||
Bioceanico
Sovereign Certificate
Ltd. (Paraguay)
Zero Coupon, 6/5/2034 (f) |
133,586 |
93,317 |
Dycom
Industries, Inc. 4.50%, 4/15/2029 (a) |
90,000 |
80,359 |
International
Airport Finance SA (Ecuador)
12.00%,
3/15/2033 (f) |
194,529 |
182,371 |
MasTec,
Inc. 4.50%, 8/15/2028 (a) |
275,000 |
250,907 |
Mexico
City Airport Trust (Mexico) 5.50%,
10/31/2046 (f) |
400,000 |
329,800 |
|
|
936,754 |
Consumer
Finance — 1.4% | ||
AerCap
Ireland Capital DAC 3.00%,
10/29/2028 |
810,000 |
701,915 |
Avolon
Holdings Funding Ltd. (Ireland) 2.88%,
2/15/2025 (a) |
1,140,000 |
1,075,645 |
Ford
Motor Credit Co. LLC
|
|
|
2.30%,
2/10/2025 |
1,755,000 |
1,648,784 |
5.13%,
6/16/2025 |
400,000 |
389,405 |
3.38%,
11/13/2025 |
200,000 |
186,457 |
4.39%,
1/8/2026 |
200,000 |
189,022 |
6.95%,
6/10/2026 |
200,000 |
200,255 |
4.54%,
8/1/2026 |
200,000 |
188,510 |
4.27%,
1/9/2027 |
725,000 |
670,326 |
4.13%,
8/17/2027 |
2,735,000 |
2,481,654 |
2.90%,
2/10/2029 |
200,000 |
165,058 |
7.20%,
6/10/2030 |
200,000 |
203,140 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Consumer
Finance — continued | ||
OneMain
Finance Corp.
|
|
|
7.13%,
3/15/2026 |
75,000 |
73,781 |
3.88%,
9/15/2028 |
625,000 |
512,500 |
|
|
8,686,452 |
Consumer
Staples Distribution & Retail — 0.9% | ||
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
1,620,000 |
1,529,971 |
5.88%,
2/15/2028 (a) |
795,000 |
771,580 |
3.50%,
3/15/2029 (a) |
485,000 |
419,535 |
4.88%,
2/15/2030 (a) |
315,000 |
289,015 |
Performance
Food Group, Inc.
|
|
|
5.50%,
10/15/2027 (a) |
830,000 |
799,213 |
4.25%,
8/1/2029 (a) |
790,000 |
695,247 |
Rite
Aid Corp.
|
|
|
7.50%,
7/1/2025 (a) |
248,000 |
156,267 |
8.00%,
11/15/2026 (a) |
225,000 |
142,875 |
US
Foods, Inc.
|
|
|
4.75%,
2/15/2029 (a) |
619,000 |
564,974 |
4.63%,
6/1/2030 (a) |
116,000 |
103,103 |
|
|
5,471,780 |
Containers
& Packaging — 1.1% | ||
Ardagh
Packaging Finance plc
|
|
|
4.13%,
8/15/2026 (a) |
800,000 |
748,252 |
5.25%,
8/15/2027 (a) |
800,000 |
685,424 |
LABL,
Inc. 6.75%, 7/15/2026 (a) |
1,120,000 |
1,094,724 |
Mauser
Packaging Solutions Holding Co.
|
|
|
7.88%,
8/15/2026 (a) |
1,420,000 |
1,398,338 |
9.25%,
4/15/2027 (a) |
85,000 |
77,018 |
Owens-Brockway
Glass Container, Inc. 6.63%,
5/13/2027 (a) |
355,000 |
350,911 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027 (a) |
1,720,000 |
1,547,002 |
TriMas
Corp. 4.13%, 4/15/2029 (a) |
65,000 |
56,712 |
Trivium
Packaging Finance BV (Netherlands) |
|
|
5.50%,
8/15/2026 (a)
(h) |
200,000 |
188,632 |
8.50%,
8/15/2027 (a)
(h) |
250,000 |
238,263 |
|
|
6,385,276 |
Distributors
— 0.0% ^ | ||
Ritchie
Bros Holdings, Inc. 6.75%,
3/15/2028 (a) |
145,000 |
146,776 |
Diversified
Consumer Services — 0.1% | ||
Service
Corp. International 3.38%, 8/15/2030 |
960,000 |
792,476 |
August
31, 2023
|
|
63
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Diversified
REITs — 0.2% | ||
VICI
Properties LP
|
|
|
4.50%,
9/1/2026 (a) |
200,000 |
189,304 |
4.25%,
12/1/2026 (a) |
345,000 |
325,015 |
3.75%,
2/15/2027 (a) |
245,000 |
224,916 |
3.88%,
2/15/2029 (a) |
675,000 |
595,964 |
4.63%,
12/1/2029 (a) |
37,000 |
33,424 |
|
|
1,368,623 |
Diversified
Telecommunication Services — 2.4% | ||
Altice
France Holding SA 10.50%,
5/15/2027 (a) |
400,000 |
217,040 |
Altice
France SA (France) |
|
|
8.13%,
2/1/2027 (a) |
400,000 |
338,056 |
5.13%,
7/15/2029 (a) |
650,000 |
459,502 |
CCO
Holdings LLC
|
|
|
5.00%,
2/1/2028 (a) |
275,000 |
253,411 |
5.38%,
6/1/2029 (a) |
1,976,000 |
1,798,454 |
6.38%,
9/1/2029 (a) |
640,000 |
605,893 |
4.75%,
3/1/2030 (a) |
3,115,000 |
2,678,254 |
4.50%,
8/15/2030 (a) |
3,167,000 |
2,664,072 |
4.25%,
2/1/2031 (a) |
1,409,000 |
1,155,780 |
Frontier
Communications Holdings LLC
|
|
|
5.88%,
10/15/2027 (a) |
795,000 |
724,087 |
5.00%,
5/1/2028 (a) |
305,000 |
261,340 |
Intelsat
Jackson Holdings SA 6.50%,
3/15/2030 (a) |
1,350,000 |
1,237,832 |
Level
3 Financing, Inc.
|
|
|
4.63%,
9/15/2027 (a) |
745,000 |
560,266 |
4.25%,
7/1/2028 (a) |
450,000 |
295,046 |
Lumen
Technologies, Inc.
|
|
|
5.13%,
12/15/2026 (a) |
100,000 |
51,802 |
4.00%,
2/15/2027 (a) |
1,975,000 |
1,244,685 |
Sitios
Latinoamerica SAB de CV (Brazil) 5.38%,
4/4/2032 (a) |
200,000 |
178,225 |
Telecom
Italia Capital SA (Italy) |
|
|
6.38%,
11/15/2033 |
43,000 |
37,787 |
6.00%,
9/30/2034 |
29,000 |
24,298 |
|
|
14,785,830 |
Electric
Utilities — 1.0% | ||
Electricidad
Firme de Mexico Holdings SA de
CV (Mexico)
4.90%, 11/20/2026 (a) |
200,000 |
175,888 |
Energuate
Trust (Guatemala) 5.88%,
5/3/2027 (f) |
200,000 |
184,046 |
Eskom
Holdings SOC Ltd. (South Africa)
7.13%,
2/11/2025 (f) |
700,000 |
689,724 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electric
Utilities — continued | ||
Instituto
Costarricense de Electricidad (Costa
Rica)
6.75%, 10/7/2031 (a) |
200,000 |
194,612 |
Minejesa
Capital BV (Indonesia) 4.63%,
8/10/2030 (f) |
200,000 |
180,582 |
NRG
Energy, Inc.
|
|
|
6.63%,
1/15/2027 |
20,000 |
19,751 |
5.75%,
1/15/2028 |
1,595,000 |
1,508,990 |
5.25%,
6/15/2029 (a) |
100,000 |
90,010 |
3.63%,
2/15/2031 (a) |
410,000 |
319,976 |
Tierra
Mojada Luxembourg II SARL (Mexico)
5.75%,
12/1/2040 (f) |
182,793 |
154,278 |
Trinidad
Generation UnLtd (Trinidad and
Tobago)
5.25%, 11/4/2027 (f) |
200,000 |
192,400 |
Vistra
Operations Co. LLC
|
|
|
5.13%,
5/13/2025 (a) |
740,000 |
720,816 |
5.00%,
7/31/2027 (a) |
1,698,000 |
1,596,984 |
|
|
6,028,057 |
Electrical
Equipment — 0.1% | ||
Regal
Rexnord Corp.
|
|
|
6.05%,
2/15/2026 (a) |
80,000 |
79,568 |
6.05%,
4/15/2028 (a) |
260,000 |
257,246 |
6.30%,
2/15/2030 (a) |
69,000 |
68,696 |
6.40%,
4/15/2033 (a) |
97,000 |
96,090 |
|
|
501,600 |
Electronic
Equipment, Instruments & Components — 0.3% | ||
Coherent
Corp. 5.00%, 12/15/2029 (a) |
787,000 |
699,013 |
Sensata
Technologies, Inc. 3.75%,
2/15/2031 (a) |
1,440,000 |
1,206,626 |
|
|
1,905,639 |
Energy
Equipment & Services — 0.2% | ||
Archrock
Partners LP 6.88%, 4/1/2027 (a) |
240,000 |
235,956 |
Guara
Norte SARL (Brazil) 5.20%,
6/15/2034 (f) |
176,852 |
154,745 |
Nabors
Industries, Inc.
|
|
|
5.75%,
2/1/2025 |
115,000 |
112,862 |
7.38%,
5/15/2027 (a) |
85,000 |
82,952 |
Precision
Drilling Corp. (Canada) |
|
|
7.13%,
1/15/2026 (a) |
150,000 |
148,688 |
6.88%,
1/15/2029 (a) |
75,000 |
71,298 |
Transocean,
Inc. 8.75%, 2/15/2030 (a) |
104,500 |
106,905 |
|
|
913,406 |
64
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Entertainment
— 0.6% | ||
Live
Nation Entertainment, Inc.
|
|
|
5.63%,
3/15/2026 (a) |
25,000 |
24,248 |
6.50%,
5/15/2027 (a) |
1,105,000 |
1,105,856 |
4.75%,
10/15/2027 (a) |
1,810,000 |
1,686,196 |
3.75%,
1/15/2028 (a) |
140,000 |
124,665 |
Warnermedia
Holdings, Inc. 3.76%,
3/15/2027 |
720,000 |
675,301 |
WMG
Acquisition Corp.
|
|
|
3.75%,
12/1/2029 (a) |
48,000 |
41,614 |
3.88%,
7/15/2030 (a) |
307,000 |
266,415 |
|
|
3,924,295 |
Financial
Services — 0.4% | ||
Block,
Inc. 3.50%, 6/1/2031 |
895,000 |
733,869 |
Corebridge
Financial, Inc. (US Treasury Yield
Curve
Rate T Note Constant Maturity 5 Year
+
3.85%), 6.88%, 12/15/2052 (g) |
500,000 |
486,134 |
Nationstar
Mortgage Holdings, Inc. 5.50%,
8/15/2028 (a) |
220,000 |
199,360 |
Rocket
Mortgage LLC
|
|
|
2.88%,
10/15/2026 (a) |
130,000 |
115,537 |
3.63%,
3/1/2029 (a) |
788,000 |
670,693 |
|
|
2,205,593 |
Food
Products — 0.6% | ||
Lamb
Weston Holdings, Inc. 4.13%,
1/31/2030 (a) |
1,445,000 |
1,270,787 |
Post
Holdings, Inc.
|
|
|
5.63%,
1/15/2028 (a) |
650,000 |
623,274 |
4.63%,
4/15/2030 (a) |
1,820,000 |
1,612,489 |
Sigma
Holdco BV (Netherlands) 7.88%,
5/15/2026 (a) |
200,000 |
170,119 |
|
|
3,676,669 |
Gas
Utilities — 0.1% | ||
AmeriGas
Partners LP
|
|
|
5.88%,
8/20/2026 |
165,000 |
156,535 |
5.75%,
5/20/2027 |
215,000 |
198,813 |
9.38%,
6/1/2028 (a) |
112,000 |
114,804 |
|
|
470,152 |
Ground
Transportation — 0.8% | ||
Avis
Budget Car Rental LLC
|
|
|
5.75%,
7/15/2027 (a) |
225,000 |
214,826 |
4.75%,
4/1/2028 (a) |
970,000 |
882,164 |
EquipmentShare.com,
Inc. 9.00%,
5/15/2028 (a) |
385,000 |
382,113 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Ground
Transportation — continued | ||
First
Student Bidco, Inc. 4.00%,
7/31/2029 (a) |
180,000 |
153,001 |
Hertz
Corp. (The)
|
|
|
4.63%,
12/1/2026 (a) |
100,000 |
90,539 |
5.00%,
12/1/2029 (a) |
1,325,000 |
1,089,407 |
NESCO
Holdings II, Inc. 5.50%, 4/15/2029 (a) |
105,000 |
95,220 |
Transnet
SOC Ltd. (South Africa) 8.25%,
2/6/2028 (a) |
200,000 |
194,158 |
Uber
Technologies, Inc.
|
|
|
7.50%,
5/15/2025 (a) |
410,000 |
413,958 |
7.50%,
9/15/2027 (a) |
760,000 |
775,999 |
4.50%,
8/15/2029 (a) |
545,000 |
499,009 |
XPO,
Inc. 6.25%, 6/1/2028 (a) |
175,000 |
171,478 |
|
|
4,961,872 |
Health
Care Equipment & Supplies — 0.7% | ||
Avantor
Funding, Inc. 4.63%, 7/15/2028 (a) |
1,485,000 |
1,378,502 |
Hologic,
Inc. 3.25%, 2/15/2029 (a) |
1,139,000 |
989,318 |
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
1,425,000 |
1,243,990 |
5.25%,
10/1/2029 (a) |
755,000 |
670,459 |
|
|
4,282,269 |
Health
Care Providers & Services — 1.9% | ||
Acadia
Healthcare Co., Inc.
|
|
|
5.50%,
7/1/2028 (a) |
90,000 |
85,261 |
5.00%,
4/15/2029 (a) |
35,000 |
32,199 |
Centene
Corp. 4.63%, 12/15/2029 |
760,000 |
698,820 |
Community
Health Systems, Inc.
|
|
|
8.00%,
3/15/2026 (a) |
1,236,000 |
1,206,529 |
5.63%,
3/15/2027 (a) |
370,000 |
325,579 |
6.00%,
1/15/2029 (a) |
345,000 |
288,938 |
5.25%,
5/15/2030 (a) |
109,000 |
85,961 |
DaVita,
Inc. 3.75%, 2/15/2031 (a) |
1,710,000 |
1,361,746 |
Encompass
Health Corp.
|
|
|
4.50%,
2/1/2028 |
710,000 |
659,507 |
4.75%,
2/1/2030 |
490,000 |
446,314 |
4.63%,
4/1/2031 |
350,000 |
306,926 |
HCA,
Inc. 5.88%, 2/15/2026 |
305,000 |
305,416 |
McKesson
Corp. 5.25%, 2/15/2026 |
395,000 |
393,536 |
Owens
& Minor, Inc.
|
|
|
4.50%,
3/31/2029 (a) |
190,000 |
161,025 |
6.63%,
4/1/2030 (a) |
260,000 |
236,525 |
Tenet
Healthcare Corp.
|
|
|
4.88%,
1/1/2026 |
835,000 |
809,434 |
6.25%,
2/1/2027 |
132,000 |
129,979 |
August
31, 2023
|
|
65
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Health
Care Providers & Services — continued | ||
5.13%,
11/1/2027 |
2,150,000 |
2,044,296 |
4.63%,
6/15/2028 |
1,555,000 |
1,431,872 |
6.13%,
6/15/2030 |
183,000 |
177,329 |
6.75%,
5/15/2031 (a) |
384,000 |
382,099 |
|
|
11,569,291 |
Health
Care Technology — 0.0% ^ | ||
IQVIA,
Inc. 5.00%, 5/15/2027 (a) |
200,000 |
192,517 |
Hotel
& Resort REITs — 0.3% | ||
RHP
Hotel Properties LP
|
|
|
4.75%,
10/15/2027 |
1,590,000 |
1,478,279 |
4.50%,
2/15/2029 (a) |
70,000 |
61,446 |
|
|
1,539,725 |
Hotels,
Restaurants & Leisure — 2.2% | ||
1011778
BC ULC (Canada) |
|
|
3.88%,
1/15/2028 (a) |
1,070,000 |
973,212 |
4.38%,
1/15/2028 (a) |
185,000 |
169,803 |
4.00%,
10/15/2030 (a) |
315,000 |
266,853 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
225,000 |
203,064 |
Caesars
Entertainment, Inc.
|
|
|
6.25%,
7/1/2025 (a) |
1,140,000 |
1,131,150 |
8.13%,
7/1/2027 (a) |
540,000 |
548,280 |
4.63%,
10/15/2029 (a) |
140,000 |
122,547 |
Carnival
Corp.
|
|
|
5.75%,
3/1/2027 (a) |
55,000 |
51,761 |
9.88%,
8/1/2027 (a) |
210,000 |
221,974 |
Carnival
Holdings Bermuda Ltd. 10.38%,
5/1/2028 (a) |
495,000 |
538,354 |
Cedar
Fair LP
|
|
|
5.50%,
5/1/2025 (a) |
440,000 |
436,531 |
5.25%,
7/15/2029 |
190,000 |
171,033 |
Hilton
Domestic Operating Co., Inc. 3.75%,
5/1/2029 (a) |
610,000 |
537,408 |
Hilton
Worldwide Finance LLC 4.88%,
4/1/2027 |
820,000 |
790,289 |
MGM
Resorts International
|
|
|
6.75%,
5/1/2025 |
875,000 |
876,453 |
5.75%,
6/15/2025 |
325,000 |
320,492 |
4.63%,
9/1/2026 |
220,000 |
207,210 |
5.50%,
4/15/2027 |
45,000 |
42,993 |
Royal
Caribbean Cruises Ltd.
|
|
|
11.50%,
6/1/2025 (a) |
36,000 |
38,020 |
11.63%,
8/15/2027 (a) |
409,000 |
445,657 |
8.25%,
1/15/2029 (a) |
263,000 |
273,920 |
9.25%,
1/15/2029 (a) |
65,000 |
69,280 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Hotels,
Restaurants & Leisure — continued | ||
Six
Flags Entertainment Corp. 5.50%,
4/15/2027 (a) |
815,000 |
767,119 |
Six
Flags Theme Parks, Inc. 7.00%,
7/1/2025 (a) |
15,000 |
14,996 |
Station
Casinos LLC 4.50%, 2/15/2028 (a) |
490,000 |
438,550 |
Studio
City Finance Ltd. (Macau) 5.00%,
1/15/2029 (f) |
200,000 |
149,508 |
Vail
Resorts, Inc. 6.25%, 5/15/2025 (a) |
625,000 |
622,807 |
Wynn
Las Vegas LLC 5.50%, 3/1/2025 (a) |
140,000 |
138,303 |
Wynn
Macau Ltd. (Macau) 5.63%,
8/26/2028 (f) |
200,000 |
175,250 |
Wynn
Resorts Finance LLC 5.13%,
10/1/2029 (a) |
1,640,000 |
1,468,137 |
Yum!
Brands, Inc. 4.75%, 1/15/2030 (a) |
970,000 |
893,241 |
|
|
13,104,195 |
Household
Durables — 0.5% | ||
CD&R
Smokey Buyer, Inc. 6.75%,
7/15/2025 (a) |
535,000 |
517,757 |
Newell
Brands, Inc.
|
|
|
4.88%,
6/1/2025 |
100,000 |
97,046 |
4.70%,
4/1/2026 (h) |
1,180,000 |
1,130,565 |
Tempur
Sealy International, Inc. 4.00%,
4/15/2029 (a) |
1,510,000 |
1,297,062 |
|
|
3,042,430 |
Household
Products — 0.5% | ||
Central
Garden & Pet Co.
|
|
|
5.13%,
2/1/2028 |
325,000 |
304,171 |
4.13%,
10/15/2030 |
300,000 |
258,205 |
Energizer
Holdings, Inc.
|
|
|
4.75%,
6/15/2028 (a) |
657,000 |
580,095 |
4.38%,
3/31/2029 (a) |
827,000 |
708,317 |
Spectrum
Brands, Inc.
|
|
|
5.00%,
10/1/2029 (a) |
620,000 |
568,600 |
5.50%,
7/15/2030 (a) |
170,000 |
158,137 |
3.88%,
3/15/2031 (a) |
470,000 |
393,785 |
|
|
2,971,310 |
Independent
Power and Renewable Electricity Producers — 0.1% | ||
Calpine
Corp. 4.63%, 2/1/2029 (a) |
460,000 |
399,737 |
Termocandelaria
Power Ltd. (Colombia)
7.88%,
1/30/2029 (f) |
155,000 |
144,508 |
|
|
544,245 |
IT
Services — 0.2% | ||
Gartner,
Inc. 4.50%, 7/1/2028 (a) |
1,276,000 |
1,189,917 |
66
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Leisure
Products — 0.1% | ||
Mattel,
Inc. 5.88%, 12/15/2027 (a) |
530,000 |
519,825 |
Vista
Outdoor, Inc. 4.50%, 3/15/2029 (a) |
185,000 |
154,192 |
|
|
674,017 |
Machinery
— 0.1% | ||
Chart
Industries, Inc. 7.50%, 1/1/2030 (a) |
560,000 |
573,801 |
Terex
Corp. 5.00%, 5/15/2029 (a) |
80,000 |
73,452 |
TK
Elevator US Newco, Inc. (Germany) 5.25%,
7/15/2027 (a) |
200,000 |
187,480 |
|
|
834,733 |
Marine
Transportation — 0.0% ^ | ||
MV24
Capital BV (Brazil) 6.75%, 6/1/2034 (f) |
168,118 |
151,160 |
Media
— 4.1% | ||
Charter
Communications
Operating
LLC 5.38%, 4/1/2038 |
100,000 |
84,685 |
Clear
Channel Outdoor Holdings, Inc.
|
|
|
5.13%,
8/15/2027 (a) |
1,385,000 |
1,240,464 |
7.75%,
4/15/2028 (a) |
287,000 |
225,738 |
9.00%,
9/15/2028 (a) |
1,160,000 |
1,165,800 |
CSC
Holdings LLC 6.50%, 2/1/2029 (a) |
1,695,000 |
1,401,186 |
Directv
Financing LLC 5.88%, 8/15/2027 (a) |
1,440,000 |
1,276,154 |
Discovery
Communications LLC 4.95%,
5/15/2042 |
60,000 |
47,479 |
DISH
DBS Corp.
|
|
|
5.88%,
11/15/2024 |
4,431,000 |
4,121,354 |
7.75%,
7/1/2026 |
540,000 |
403,866 |
5.25%,
12/1/2026 (a) |
249,000 |
209,894 |
DISH
Network Corp. 11.75%, 11/15/2027 (a) |
1,342,000 |
1,361,648 |
GCI
LLC 4.75%, 10/15/2028 (a) |
253,000 |
219,477 |
Gray
Escrow II, Inc. 5.38%, 11/15/2031 (a) |
63,000 |
43,983 |
Gray
Television, Inc.
|
|
|
7.00%,
5/15/2027 (a) |
355,000 |
318,633 |
4.75%,
10/15/2030 (a) |
1,259,000 |
879,071 |
iHeartCommunications,
Inc.
|
|
|
6.38%,
5/1/2026 |
595,000 |
519,143 |
5.25%,
8/15/2027 (a) |
1,630,000 |
1,288,884 |
Lamar
Media Corp. 4.88%, 1/15/2029 |
140,000 |
130,200 |
Midcontinent
Communications 5.38%,
8/15/2027 (a) |
40,000 |
37,850 |
News
Corp. 3.88%, 5/15/2029 (a) |
935,000 |
821,108 |
Nexstar
Media, Inc.
|
|
|
5.63%,
7/15/2027 (a) |
385,000 |
361,878 |
4.75%,
11/1/2028 (a) |
2,635,000 |
2,311,452 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Media
— continued | ||
Paramount
Global (US Treasury Yield Curve
Rate
T Note Constant Maturity 5 Year +
4.00%),
6.38%, 3/30/2062 (g) |
151,000 |
124,575 |
Sirius
XM Radio, Inc.
|
|
|
5.00%,
8/1/2027 (a) |
1,400,000 |
1,294,411 |
4.00%,
7/15/2028 (a) |
995,000 |
861,592 |
5.50%,
7/1/2029 (a) |
920,000 |
828,235 |
Stagwell
Global LLC 5.63%, 8/15/2029 (a) |
605,000 |
505,259 |
TEGNA,
Inc. 4.63%, 3/15/2028 |
385,000 |
343,868 |
Univision
Communications, Inc.
|
|
|
6.63%,
6/1/2027 (a) |
505,000 |
488,899 |
8.00%,
8/15/2028 (a) |
191,000 |
190,895 |
4.50%,
5/1/2029 (a) |
708,000 |
609,402 |
Videotron
Ltd. 5.13%, 4/15/2027 (a) |
1,015,000 |
971,862 |
|
|
24,688,945 |
Metals
& Mining — 0.4% | ||
Alcoa
Nederland Holding BV 6.13%,
5/15/2028 (a) |
200,000 |
197,672 |
ATI,
Inc.
|
|
|
5.88%,
12/1/2027 |
25,000 |
24,313 |
4.88%,
10/1/2029 |
25,000 |
22,571 |
Big
River Steel LLC 6.63%, 1/31/2029 (a) |
55,000 |
54,679 |
Cleveland-Cliffs,
Inc. 4.63%, 3/1/2029 (a) |
270,000 |
239,386 |
CSN
Inova Ventures (Brazil) 6.75%,
1/28/2028 (f) |
200,000 |
187,332 |
FMG
Resources August 2006 Pty. Ltd. 4.38%,
4/1/2031 (a) |
315,000 |
263,951 |
Nexa
Resources SA (Brazil) 5.38%,
5/4/2027 (f) |
200,000 |
185,998 |
Novelis
Corp.
|
|
|
4.75%,
1/30/2030 (a) |
1,014,000 |
907,470 |
3.88%,
8/15/2031 (a) |
266,000 |
220,238 |
|
|
2,303,610 |
Oil,
Gas & Consumable Fuels — 4.3% | ||
AI
Candelaria Spain SA (Colombia) 5.75%,
6/15/2033 (a) |
250,000 |
181,340 |
Antero
Midstream Partners LP
|
|
|
7.88%,
5/15/2026 (a) |
30,000 |
30,522 |
5.75%,
3/1/2027 (a) |
265,000 |
256,842 |
5.75%,
1/15/2028 (a) |
1,145,000 |
1,096,428 |
5.38%,
6/15/2029 (a) |
330,000 |
309,225 |
Antero
Resources Corp.
|
|
|
8.38%,
7/15/2026 (a) |
20,000 |
20,750 |
7.63%,
2/1/2029 (a) |
120,000 |
122,977 |
5.38%,
3/1/2030 (a) |
260,000 |
243,093 |
August
31, 2023
|
|
67
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
Baytex
Energy Corp. 8.50%, 4/30/2030 (a) |
430,000 |
435,997 |
BP
Capital Markets plc (United Kingdom) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
5 Year + 4.40%), 4.88%,
3/22/2030 (d)
(e) (g) |
75,000 |
67,921 |
Buckeye
Partners LP
|
|
|
3.95%,
12/1/2026 |
702,000 |
647,497 |
4.13%,
12/1/2027 |
20,000 |
18,186 |
4.50%,
3/1/2028 (a) |
50,000 |
45,376 |
California
Resources Corp. 7.13%,
2/1/2026 (a) |
100,000 |
100,257 |
Cheniere
Energy Partners LP 4.50%,
10/1/2029 |
215,000 |
198,380 |
Cheniere
Energy, Inc. 4.63%, 10/15/2028 |
485,000 |
456,534 |
Chesapeake
Energy Corp. 6.75%,
4/15/2029 (a) |
1,305,000 |
1,295,499 |
Chord
Energy Corp. 6.38%, 6/1/2026 (a) |
175,000 |
172,483 |
Civitas
Resources, Inc.
|
|
|
8.38%,
7/1/2028 (a) |
305,000 |
314,150 |
8.75%,
7/1/2031 (a) |
267,000 |
276,345 |
Columbia
Pipelines Holding Co. LLC 6.06%,
8/15/2026 (a) |
705,000 |
712,100 |
Comstock
Resources, Inc. 5.88%,
1/15/2030 (a) |
1,075,000 |
949,474 |
Crestwood
Midstream Partners LP
|
|
|
5.75%,
4/1/2025 |
125,000 |
123,941 |
5.63%,
5/1/2027 (a) |
420,000 |
407,400 |
8.00%,
4/1/2029 (a) |
180,000 |
185,997 |
DT
Midstream, Inc. 4.13%, 6/15/2029 (a) |
1,025,000 |
908,068 |
Ecopetrol
SA (Colombia) |
|
|
8.63%,
1/19/2029 |
140,000 |
142,450 |
4.63%,
11/2/2031 |
100,000 |
78,555 |
8.88%,
1/13/2033 |
280,000 |
283,087 |
Encino
Acquisition Partners
Holdings
LLC 8.50%, 5/1/2028 (a) |
25,000 |
23,705 |
Energean
Israel Finance Ltd. (Israel) 5.38%,
3/30/2028 (f) |
50,000 |
45,439 |
Energian
Israel Finance Ltd. (Israel) 4.88%,
3/30/2026 (f) |
100,000 |
93,579 |
Energy
Transfer LP 3.90%, 5/15/2024 (h) |
1,155,000 |
1,137,891 |
EQM
Midstream Partners LP
|
|
|
6.00%,
7/1/2025 (a) |
98,000 |
97,106 |
6.50%,
7/1/2027 (a) |
555,000 |
551,488 |
5.50%,
7/15/2028 |
225,000 |
214,961 |
4.75%,
1/15/2031 (a) |
225,000 |
198,827 |
Genesis
Energy LP 8.00%, 1/15/2027 |
665,000 |
655,576 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Gray
Oak Pipeline LLC 2.00%, 9/15/2023 (a) |
210,000 |
209,769 |
Greenko
Solar Mauritius Ltd. (India) 5.55%,
1/29/2025 (f) |
200,000 |
193,472 |
Greensaif
Pipelines Bidco Sarl (Saudi Arabia)
6.51%,
2/23/2042 (f) |
200,000 |
201,946 |
Gulfport
Energy Corp. 8.00%, 5/17/2026 (a) |
280,000 |
284,349 |
Hess
Midstream Operations LP
|
|
|
5.63%,
2/15/2026 (a) |
965,000 |
944,282 |
5.13%,
6/15/2028 (a) |
25,000 |
23,451 |
4.25%,
2/15/2030 (a) |
240,000 |
210,984 |
KazMunayGas
National Co. JSC (Kazakhstan) |
|
|
4.75%,
4/19/2027 (f) |
200,000 |
187,934 |
5.38%,
4/24/2030 (f) |
200,000 |
181,888 |
Kinetik
Holdings LP 5.88%, 6/15/2030 (a) |
427,000 |
413,554 |
Leviathan
Bond Ltd. (Israel) |
|
|
6.13%,
6/30/2025 (f) |
250,000 |
244,575 |
6.50%,
6/30/2027 (f) |
150,000 |
144,645 |
6.75%,
6/30/2030 (f) |
50,000 |
46,761 |
Medco
Bell Pte. Ltd. (Indonesia) 6.38%,
1/30/2027 (f) |
200,000 |
185,690 |
NuStar
Logistics LP
|
|
|
5.63%,
4/28/2027 |
455,000 |
441,464 |
6.38%,
10/1/2030 |
315,000 |
303,187 |
Occidental
Petroleum Corp. 8.88%,
7/15/2030 |
390,000 |
447,115 |
Oil
and Gas Holding Co. BSCC (The) (Bahrain)
8.38%,
11/7/2028 (f) |
200,000 |
210,648 |
Peru
LNG Srl (Peru) 5.38%, 3/22/2030 (f) |
400,000 |
308,564 |
Petroleos
del Peru SA (Peru) 5.63%,
6/19/2047 (a) |
200,000 |
127,956 |
Petroleos
Mexicanos (Mexico) |
|
|
4.88%,
1/18/2024 |
150,000 |
148,080 |
4.25%,
1/15/2025 |
200,000 |
188,150 |
6.88%,
8/4/2026 |
250,000 |
227,213 |
6.50%,
3/13/2027 |
400,000 |
349,230 |
5.35%,
2/12/2028 |
300,000 |
239,918 |
5.95%,
1/28/2031 |
330,000 |
238,372 |
10.00%,
2/7/2033 (a) |
550,000 |
497,640 |
10.00%,
2/7/2033 (f) |
200,000 |
180,960 |
6.38%,
1/23/2045 |
410,000 |
249,382 |
Range
Resources Corp.
|
|
|
8.25%,
1/15/2029 |
458,000 |
475,472 |
4.75%,
2/15/2030 (a) |
8,000 |
7,224 |
Rockies
Express Pipeline LLC 3.60%,
5/15/2025 (a) |
200,000 |
188,656 |
SM
Energy Co. 6.75%, 9/15/2026 |
280,000 |
278,824 |
68
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
Southwestern
Energy Co.
|
|
|
8.38%,
9/15/2028 |
160,000 |
166,536 |
5.38%,
2/1/2029 |
245,000 |
232,451 |
5.38%,
3/15/2030 |
315,000 |
294,898 |
State
Oil Co. of the Azerbaijan
Republic (Azerbaijan)
6.95%,
3/18/2030 (f) |
200,000 |
205,306 |
Sunoco
LP
|
|
|
4.50%,
5/15/2029 |
390,000 |
352,696 |
4.50%,
4/30/2030 |
315,000 |
280,851 |
Tallgrass
Energy Partners LP
|
|
|
7.50%,
10/1/2025 (a) |
770,000 |
774,689 |
6.00%,
3/1/2027 (a) |
65,000 |
62,285 |
5.50%,
1/15/2028 (a) |
445,000 |
413,298 |
6.00%,
12/31/2030 (a) |
250,000 |
223,649 |
Targa
Resources Partners LP
|
|
|
6.50%,
7/15/2027 |
285,000 |
286,468 |
5.50%,
3/1/2030 |
25,000 |
23,965 |
Transcanada
Trust (Canada) (SOFR + 4.42%),
5.50%,
9/15/2079 (g) |
100,000 |
84,002 |
Venture
Global LNG, Inc. 8.13%, 6/1/2028 (a) |
757,000 |
763,619 |
|
|
25,845,514 |
Paper
& Forest Products — 0.0% ^ | ||
Suzano
Austria GmbH (Brazil) 7.00%,
3/16/2047 (f) |
200,000 |
199,046 |
Passenger
Airlines — 0.4% | ||
American
Airlines, Inc.
|
|
|
11.75%,
7/15/2025 (a) |
85,000 |
93,036 |
5.50%,
4/20/2026 (a) |
1,801,250 |
1,767,537 |
5.75%,
4/20/2029 (a) |
350,000 |
334,733 |
Mileage
Plus Holdings LLC 6.50%,
6/20/2027 (a) |
267,879 |
266,945 |
United
Airlines, Inc. 4.38%, 4/15/2026 (a) |
260,000 |
245,032 |
|
|
2,707,283 |
Personal
Care Products — 0.4% | ||
Coty,
Inc.
|
|
|
5.00%,
4/15/2026 (a) |
696,000 |
669,051 |
4.75%,
1/15/2029 (a) |
60,000 |
54,975 |
Edgewell
Personal Care Co. 5.50%,
6/1/2028 (a) |
1,300,000 |
1,225,250 |
Prestige
Brands, Inc. 5.13%, 1/15/2028 (a) |
240,000 |
226,814 |
|
|
2,176,090 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pharmaceuticals
— 1.1% | ||
Bausch
Health Americas, Inc. 9.25%,
4/1/2026 (a) |
1,065,000 |
964,656 |
Bausch
Health Cos., Inc.
|
|
|
5.50%,
11/1/2025 (a) |
1,625,000 |
1,463,410 |
9.00%,
12/15/2025 (a) |
1,090,000 |
997,388 |
5.75%,
8/15/2027 (a) |
715,000 |
447,632 |
5.00%,
2/15/2029 (a) |
450,000 |
186,750 |
5.25%,
1/30/2030 (a) |
70,000 |
29,546 |
Catalent
Pharma Solutions, Inc.
|
|
|
5.00%,
7/15/2027 (a) |
40,000 |
37,350 |
3.13%,
2/15/2029 (a) |
155,000 |
130,445 |
Cheplapharm
Arzneimittel GmbH (Germany)
5.50%,
1/15/2028 (a) |
250,000 |
226,324 |
Elanco
Animal Health, Inc. 6.65%,
8/28/2028 (h) |
470,000 |
463,538 |
Jazz
Securities DAC 4.38%, 1/15/2029 (a) |
200,000 |
179,188 |
Organon
& Co. 4.13%, 4/30/2028 (a) |
1,740,000 |
1,574,633 |
Teva
Pharmaceutical Finance Netherlands III
BV (Israel)
3.15%, 10/1/2026 |
50,000 |
45,061 |
|
|
6,745,921 |
Real
Estate Management & Development — 0.0% ^ | ||
Realogy
Group LLC
|
|
|
5.75%,
1/15/2029 (a) |
218,000 |
156,130 |
5.25%,
4/15/2030 (a) |
125,000 |
86,770 |
|
|
242,900 |
Semiconductors
& Semiconductor Equipment — 0.3% | ||
Amkor
Technology, Inc. 6.63%,
9/15/2027 (a) |
215,000 |
214,867 |
Entegris
Escrow Corp.
|
|
|
4.75%,
4/15/2029 (a) |
155,000 |
144,204 |
5.95%,
6/15/2030 (a) |
515,000 |
493,172 |
Entegris,
Inc.
|
|
|
4.38%,
4/15/2028 (a) |
290,000 |
264,395 |
3.63%,
5/1/2029 (a) |
35,000 |
30,082 |
ON
Semiconductor Corp. 3.88%, 9/1/2028 (a) |
440,000 |
391,679 |
|
|
1,538,399 |
Software
— 0.8% | ||
ACI
Worldwide, Inc. 5.75%, 8/15/2026 (a) |
25,000 |
24,456 |
AthenaHealth
Group, Inc. 6.50%,
2/15/2030 (a) |
525,000 |
455,947 |
Clarivate
Science Holdings Corp. 3.88%,
7/1/2028 (a) |
1,115,000 |
982,483 |
NCR
Corp.
|
|
|
5.75%,
9/1/2027 (a) |
65,000 |
65,628 |
August
31, 2023
|
|
69
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Software
— continued | ||
5.13%,
4/15/2029 (a) |
2,115,000 |
1,923,463 |
6.13%,
9/1/2029 (a) |
25,000 |
25,748 |
SS&C
Technologies, Inc. 5.50%,
9/30/2027 (a) |
1,250,000 |
1,203,375 |
|
|
4,681,100 |
Specialized
REITs — 0.1% | ||
Iron
Mountain, Inc.
|
|
|
5.25%,
3/15/2028 (a) |
225,000 |
210,952 |
5.00%,
7/15/2028 (a) |
115,000 |
106,497 |
SBA
Communications Corp. 3.88%,
2/15/2027 |
620,000 |
573,234 |
|
|
890,683 |
Specialty
Retail — 1.0% | ||
Asbury
Automotive Group, Inc.
|
|
|
4.50%,
3/1/2028 |
65,000 |
59,295 |
4.63%,
11/15/2029 (a) |
875,000 |
771,911 |
4.75%,
3/1/2030 |
70,000 |
61,367 |
Bath
& Body Works, Inc.
|
|
|
7.50%,
6/15/2029 |
105,000 |
105,863 |
6.75%,
7/1/2036 |
115,000 |
106,158 |
Gap,
Inc. (The) 3.63%, 10/1/2029 (a) |
385,000 |
293,094 |
Group
1 Automotive, Inc. 4.00%,
8/15/2028 (a) |
30,000 |
26,637 |
Lithia
Motors, Inc. 3.88%, 6/1/2029 (a) |
660,000 |
566,646 |
Penske
Automotive Group, Inc. 3.75%,
6/15/2029 |
304,000 |
260,854 |
PetSmart,
Inc. 4.75%, 2/15/2028 (a) |
2,150,000 |
1,928,615 |
Sonic
Automotive, Inc. 4.63%,
11/15/2029 (a) |
413,000 |
353,071 |
SRS
Distribution, Inc.
|
|
|
4.63%,
7/1/2028 (a) |
866,000 |
770,759 |
6.13%,
7/1/2029 (a) |
45,000 |
39,127 |
6.00%,
12/1/2029 (a) |
124,000 |
106,020 |
Staples,
Inc. 7.50%, 4/15/2026 (a) |
1,100,000 |
910,138 |
|
|
6,359,555 |
Technology
Hardware, Storage & Peripherals — 0.1% | ||
Seagate
HDD Cayman
|
|
|
4.09%,
6/1/2029 |
430,000 |
378,869 |
8.25%,
12/15/2029 (a) |
190,000 |
199,310 |
8.50%,
7/15/2031 (a) |
32,000 |
33,527 |
|
|
611,706 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Tobacco
— 0.0% ^ | ||
BAT
International Finance plc (United Kingdom)
4.45%,
3/16/2028 |
310,000 |
293,889 |
Trading
Companies & Distributors — 1.0% | ||
Air
Lease Corp. 5.85%, 12/15/2027 |
540,000 |
539,991 |
Herc
Holdings, Inc. 5.50%, 7/15/2027 (a) |
605,000 |
581,753 |
Imola
Merger Corp. 4.75%, 5/15/2029 (a) |
1,825,000 |
1,622,164 |
United
Rentals North America, Inc.
|
|
|
4.88%,
1/15/2028 |
1,401,000 |
1,332,983 |
6.00%,
12/15/2029 (a) |
214,000 |
212,662 |
WESCO
Distribution, Inc.
|
|
|
7.13%,
6/15/2025 (a) |
1,200,000 |
1,205,301 |
7.25%,
6/15/2028 (a) |
470,000 |
478,336 |
|
|
5,973,190 |
Wireless
Telecommunication Services — 0.4% | ||
Kenbourne
Invest SA (Chile) 4.70%,
1/22/2028 (f) |
200,000 |
123,000 |
Millicom
International Cellular SA (Guatemala)
5.13%,
1/15/2028 (f) |
180,000 |
161,325 |
Sprint
LLC
|
|
|
7.13%,
6/15/2024 |
25,000 |
25,199 |
7.63%,
2/15/2025 |
275,000 |
280,412 |
7.63%,
3/1/2026 |
1,680,000 |
1,741,367 |
Vodafone
Group plc (United Kingdom) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
5 Year + 2.77%), 4.13%,
6/4/2081 (g) |
100,000 |
78,083 |
|
|
2,409,386 |
Total
Corporate Bonds
(Cost
$238,518,383) |
|
233,598,053 |
Asset-Backed
Securities — 27.3% | ||
ACHV
ABS TRUST Series 2023-1PL, Class A,
6.42%,
3/18/2030 (a) |
61,227 |
61,239 |
Affirm
Asset Securitization Trust |
|
|
Series
2022-A, Class 1D, 5.53%,
5/17/2027 (a) |
595,000 |
571,995 |
Series
2023-A, Class 1A, 6.61%,
1/18/2028 (a) |
1,030,000 |
1,023,425 |
Series
2023-A, Class A, 6.61%,
1/18/2028 (a) |
500,000 |
497,505 |
Air
Canada Pass-Through Trust (Canada) Series
2020-2,
Class B, 9.00%, 10/1/2025 (a) |
5,568 |
5,634 |
American
Airlines Pass-Through Trust Series
2021-1,
Class B, 3.95%, 7/11/2030 |
45,500 |
39,684 |
70
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
American
Credit Acceptance Receivables Trust |
|
|
Series
2019-4, Class E, 3.85%,
12/12/2025 (a) |
2,000,000 |
1,990,670 |
Series
2023-1, Class A, 5.45%,
9/14/2026 (a) |
289,329 |
288,140 |
Series
2022-3, Class B, 4.55%,
10/13/2026 (a) |
500,000 |
495,671 |
Series
2022-4, Class B, 6.75%,
10/13/2026 (a) |
200,000 |
200,423 |
Series
2021-3, Class E, 2.56%,
11/15/2027 (a) |
800,000 |
743,441 |
Series
2021-1, Class F, 4.01%,
11/15/2027 (a) |
900,000 |
877,300 |
Series
2021-2, Class F, 3.73%,
1/13/2028 (a) |
1,200,000 |
1,129,397 |
Series
2021-3, Class F, 3.64%,
5/15/2028 (a) |
2,000,000 |
1,854,069 |
Series
2022-2, Class D, 4.85%,
6/13/2028 (a) |
230,000 |
220,664 |
Series
2022-2, Class E, 6.57%,
6/13/2028 (a) |
190,000 |
181,088 |
Series
2021-4, Class F, 4.21%,
7/13/2028 (a) |
500,000 |
448,547 |
Series
2022-3, Class C, 4.86%,
10/13/2028 (a) |
290,000 |
284,418 |
Series
2022-3, Class D, 5.83%,
10/13/2028 (a) |
267,000 |
260,437 |
Series
2022-4, Class C, 7.86%,
2/15/2029 (a) |
210,000 |
212,778 |
Series
2023-1, Class C, 5.59%,
4/12/2029 (a) |
400,000 |
392,800 |
Series
2023-1, Class D, 6.35%,
4/12/2029 (a) |
395,000 |
389,376 |
Series
2023-2, Class C, 5.96%,
8/13/2029 (a) |
900,000 |
889,492 |
Series
2023-3, Class C, 6.44%,
10/12/2029 (a) |
1,083,000 |
1,083,339 |
Series
2023-3, Class D, 6.82%,
10/12/2029 (a) |
1,800,000 |
1,801,525 |
AmeriCredit
Automobile Receivables Trust
Series
2022-2, Class C, 5.32%, 4/18/2028 |
1,600,000 |
1,579,305 |
AMSR
Trust Series 2020-SFR1, Class H, 5.30%,
4/17/2037 (a) |
100,000 |
94,068 |
Apidos
CLO (Cayman Islands) |
|
|
Series
2019-31A, Class A1R, 6.67%,
4/15/2031 (a)
(i) |
1,000,000 |
995,000 |
Series
XXXA, Class A1A, 6.71%,
10/18/2031 (a)
(i) |
990,000 |
985,069 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Applebee's
Funding LLC Series 2019-1A,
Class
A2II, 4.72%, 6/5/2049 (a) |
495,000 |
459,957 |
Ares
CLO Ltd. (Cayman Islands) |
|
|
Series
2016-40A, Class A1RR, 6.44%,
1/15/2029 (a)
(i) |
777,255 |
773,435 |
Series
2016-39A, Class A1R2, 6.62%,
4/18/2031 (a)
(i) |
1,440,000 |
1,435,620 |
Series
2019-52A, Class A1R, 6.66%,
4/22/2031 (a)
(i) |
1,400,000 |
1,391,739 |
Avis
Budget Rental Car Funding AESOP LLC |
|
|
Series
2020-1A, Class C, 3.02%,
8/20/2026 (a) |
461,000 |
427,999 |
Series
2022-3A, Class A, 4.62%,
2/20/2027 (a) |
943,000 |
915,158 |
Series
2023-4A, Class A, 5.49%,
6/20/2029 (a) |
800,000 |
787,341 |
Bain
Capital Credit CLO (Cayman Islands) |
|
|
Series
2018-1A, Class A1, 6.57%,
4/23/2031 (a)
(i) |
943,766 |
940,910 |
Series
2020-1A, Class A1, 6.76%,
4/18/2033 (a)
(i) |
560,000 |
556,196 |
Bain
Capital Credit CLO Ltd. (Cayman Islands) |
|
|
Series
2020-3A, Class A1R, 6.77%,
10/23/2034 (a)
(i) |
250,000 |
247,811 |
Series
2021-7A, Class A1, 6.75%,
1/22/2035 (a)
(i) |
270,000 |
267,406 |
Ballyrock
CLO Ltd. (Cayman Islands) Series
2019-1A,
Class A1R, 6.60%,
7/15/2032 (a)
(i) |
800,000 |
791,451 |
Benefit
Street Partners CLO Ltd. (Cayman
Islands)
Series 2019-18A, Class A1R,
6.74%,
10/15/2034 (a)
(i) |
1,000,000 |
992,446 |
British
Airways Pass-Through Trust (United
Kingdom)
Series 2020-1, Class B, 8.38%,
11/15/2028 (a) |
8,298 |
8,405 |
BSPRT
Issuer Ltd. (Cayman Islands) |
|
|
Series
2021-FL7, Class D, 8.17%,
12/15/2038 (a)
(i) |
275,000 |
255,373 |
Series
2021-FL7, Class E, 8.82%,
12/15/2038 (a)
(i) |
265,000 |
242,636 |
Business
Jet Securities LLC Series 2020-1A,
Class
A, 2.98%, 11/15/2035 ‡
(a) |
52,971 |
49,985 |
Carlyle
Global Market Strategies CLO Ltd.
(Cayman
Islands) |
|
|
Series
2014-1A, Class A1R2, 6.54%,
4/17/2031 (a)
(i) |
993,434 |
989,542 |
Series
2014-3RA, Class A1A, 6.67%,
7/27/2031 (a)
(i) |
1,487,749 |
1,484,034 |
August
31, 2023
|
|
71
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2015-4A, Class A1R, 6.93%,
7/20/2032 (a)
(i) |
850,000 |
848,132 |
Carlyle
US CLO Ltd. (Cayman Islands) Series
2018-1A,
Class A1, 6.61%, 4/20/2031 (a)
(i) |
1,340,912 |
1,331,016 |
CIFC
Funding Ltd. (Cayman Islands) |
|
|
Series
2014-5A, Class A1R2, 6.77%,
10/17/2031 (a)
(i) |
595,000 |
594,294 |
Series
2021-4A, Class A, 6.62%,
7/15/2033 (a)
(i) |
2,000,000 |
1,989,718 |
Conn's
Receivables Funding LLC |
|
|
Series
2022-A, Class B, 9.52%,
12/15/2026 (a) |
689,249 |
692,052 |
Series
2023-A, Class A, 8.01%,
1/17/2028 (a) |
696,000 |
696,347 |
Series
2023-A, Class B, 10.00%,
1/17/2028 (a) |
508,000 |
499,115 |
CoreVest
American Finance Trust |
|
|
Series
2019-1, Class E, 5.78%,
3/15/2052 (a)
(i) |
300,000 |
276,851 |
Series
2019-2, Class E, 5.42%,
6/15/2052 (a)
(i) |
350,000 |
309,520 |
Series
2019-3, Class E, 4.90%,
10/15/2052 (a)
(i) |
350,000 |
299,491 |
CPS
Auto Receivables Trust |
|
|
Series
2021-B, Class E, 3.41%,
6/15/2028 (a) |
1,500,000 |
1,402,375 |
Series
2022-C, Class D, 6.45%,
4/15/2030 (a) |
240,000 |
237,824 |
Credit
Acceptance Auto Loan Trust |
|
|
Series
2022-3A, Class A, 6.57%,
10/15/2032 (a) |
250,000 |
250,901 |
Series
2023-1A, Class A, 6.48%,
3/15/2033 (a) |
700,000 |
702,766 |
Series
2022-3A, Class D, 9.00%,
4/18/2033 (a) |
300,000 |
298,640 |
Series
2023-2A, Class A, 5.92%,
5/16/2033 (a) |
900,000 |
888,356 |
Series
2023-3A, Class B, 7.09%,
10/17/2033 (a) |
391,000 |
391,374 |
DB
Master Finance LLC Series 2021-1A,
Class
A23, 2.79%, 11/20/2051 (a) |
294,750 |
233,421 |
Dewolf
Park CLO Ltd. Series 2017-1A, Class AR,
6.49%,
10/15/2030 (a)
(i) |
1,596,717 |
1,588,831 |
Domino's
Pizza Master Issuer LLC Series
2015-1A,
Class A2II, 4.47%,
10/25/2045 (a) |
559,500 |
535,947 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Driven
Brands Funding LLC |
|
|
Series
2019-1A, Class A2, 4.64%,
4/20/2049 (a) |
257,850 |
243,905 |
Series
2020-1A, Class A2, 3.79%,
7/20/2050 (a) |
485,000 |
434,043 |
Series
2021-1A, Class A2, 2.79%,
10/20/2051 (a) |
1,965,000 |
1,630,262 |
Series
2022-1A, Class A2, 7.39%,
10/20/2052 (a) |
595,500 |
596,933 |
Dryden
CLO Ltd. (Cayman Islands) |
|
|
Series
2018-64A, Class A, 6.54%,
4/18/2031 (a)
(i) |
990,306 |
982,801 |
Series
2018-58A, Class A1, 6.57%,
7/17/2031 (a)
(i) |
450,000 |
448,209 |
Series
2019-68A, Class AR, 6.74%,
7/15/2035 (a)
(i) |
1,790,000 |
1,774,873 |
Dryden
Senior Loan Fund (Cayman Islands) |
|
|
Series
2017-47A, Class A1R, 6.55%,
4/15/2028 (a)
(i) |
901,907 |
898,786 |
Series
2013-26A, Class AR, 6.47%,
4/15/2029 (a)
(i) |
1,122,795 |
1,118,788 |
Series
2015-41A, Class AR, 6.54%,
4/15/2031 (a)
(i) |
902,961 |
896,995 |
Series
2016-43A, Class AR2, 6.63%,
4/20/2034 (a)
(i) |
600,000 |
593,425 |
DT
Auto Owner Trust |
|
|
Series
2019-2A, Class E, 4.46%,
5/15/2026 (a) |
718,482 |
716,619 |
Series
2021-3A, Class D, 1.31%,
5/17/2027 (a) |
2,420,000 |
2,205,717 |
Series
2021-4A, Class D, 1.99%,
9/15/2027 (a) |
1,500,000 |
1,371,452 |
Series
2021-2A, Class E, 2.97%,
7/17/2028 (a) |
1,080,000 |
1,000,312 |
Series
2021-4A, Class E, 3.34%,
7/17/2028 (a) |
1,600,000 |
1,417,105 |
Series
2022-3A, Class C, 7.69%,
7/17/2028 (a) |
374,000 |
380,173 |
Series
2023-1A, Class B, 5.19%,
10/16/2028 (a) |
467,000 |
459,910 |
Series
2023-1A, Class C, 5.55%,
10/16/2028 (a) |
525,000 |
516,937 |
Series
2022-1A, Class E, 5.53%,
3/15/2029 (a) |
2,400,000 |
2,254,350 |
Series
2023-3A, Class C, 6.40%,
5/15/2029 (a) |
1,349,000 |
1,351,003 |
Elmwood
CLO Ltd. (Cayman Islands) |
|
|
Series
2020-1A, Class A, 6.81%,
4/15/2033 (a)
(i) |
1,200,000 |
1,196,712 |
72
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2021-3A, Class A, 6.63%,
10/20/2034 (a)
(i) |
890,000 |
884,304 |
Exeter
Automobile Receivables Trust |
|
|
Series
2020-3A, Class E, 3.44%,
8/17/2026 (a) |
2,000,000 |
1,920,142 |
Series
2021-2A, Class D, 1.40%,
4/15/2027 |
2,000,000 |
1,854,224 |
Series
2023-1A, Class B, 5.72%,
4/15/2027 |
149,000 |
148,027 |
Series
2021-3A, Class D, 1.55%,
6/15/2027 |
500,000 |
460,163 |
Series
2020-3A, Class F, 5.56%,
6/15/2027 (a) |
1,500,000 |
1,463,959 |
Series
2023-1A, Class C, 5.82%,
2/15/2028 |
176,000 |
174,192 |
Series
2023-3A, Class C, 6.21%,
6/15/2028 |
1,827,000 |
1,824,310 |
Series
2021-2A, Class E, 2.90%,
7/17/2028 (a) |
750,000 |
697,133 |
Series
2023-2A, Class C, 5.75%,
7/17/2028 |
500,000 |
493,880 |
Series
2023-4A, Class C, 6.51%,
8/15/2028 |
920,000 |
923,608 |
Series
2022-3A, Class D, 6.76%,
9/15/2028 |
400,000 |
399,576 |
Series
2021-3A, Class E, 3.04%,
12/15/2028 (a) |
900,000 |
809,977 |
Series
2022-4A, Class D, 5.98%,
12/15/2028 |
168,000 |
165,364 |
Series
2022-6A, Class D, 8.03%, 4/6/2029 |
375,000 |
388,455 |
Series
2023-3A, Class D, 6.68%,
4/16/2029 |
954,000 |
952,805 |
Series
2023-1A, Class D, 6.69%,
6/15/2029 |
500,000 |
500,095 |
Series
2023-2A, Class D, 6.32%,
8/15/2029 |
500,000 |
495,273 |
Series
2022-1A, Class E, 5.02%,
10/15/2029 (a) |
1,070,000 |
953,966 |
Series
2023-1A, Class E, 12.07%,
9/16/2030 (a) |
900,000 |
968,826 |
FirstKey
Homes Trust Series 2020-SFR1,
Class
F1, 3.64%, 8/17/2037 (a) |
500,000 |
464,321 |
Flagship
Credit Auto Trust |
|
|
Series
2023-1, Class A3, 5.01%,
8/16/2027 (a) |
133,000 |
131,404 |
Series
2023-1, Class B, 5.05%,
1/18/2028 (a) |
100,000 |
98,029 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Flatiron
CLO Ltd. (Cayman Islands) |
|
|
Series
2018-1A, Class A, 6.52%,
4/17/2031 (a)
(i) |
232,820 |
231,674 |
Series
2019-1A, Class AR, 6.71%,
11/16/2034 (a)
(i) |
450,000 |
448,009 |
FMC
GMSR Issuer Trust Series 2022-GT1,
Class
B, 7.17%, 4/25/2027 (a) |
300,000 |
269,296 |
Foundation
Finance Trust Series 2023-1A,
Class
D, 9.18%, 12/15/2043 (a) |
438,000 |
423,468 |
FREED
ABS Trust |
|
|
Series
2022-1FP, Class D, 3.35%,
3/19/2029 (a) |
200,000 |
185,707 |
Series
2022-3FP, Class C, 7.05%,
8/20/2029 (a) |
100,000 |
99,604 |
Series
2022-4FP, Class B, 7.58%,
12/18/2029 (a) |
391,215 |
393,153 |
Galaxy
CLO Ltd. (Cayman Islands) |
|
|
Series
2015-21A, Class AR, 6.61%,
4/20/2031 (a)
(i) |
316,334 |
315,171 |
Series
2016-22A, Class ARR, 6.77%,
4/16/2034 (a)
(i) |
2,200,000 |
2,185,531 |
GLS
Auto Receivables Issuer Trust |
|
|
Series
2023-1A, Class A2, 5.98%,
8/17/2026 (a) |
520,000 |
518,730 |
Series
2023-1A, Class B, 6.19%,
6/15/2027 (a) |
484,000 |
482,622 |
Series
2021-4A, Class D, 2.48%,
10/15/2027 (a) |
250,000 |
230,625 |
Series
2021-1A, Class E, 3.14%,
1/18/2028 (a) |
650,000 |
612,224 |
Series
2022-1A, Class D, 3.97%,
1/18/2028 (a) |
250,000 |
236,620 |
Series
2022-2A, Class D, 6.15%,
4/17/2028 (a) |
420,000 |
412,982 |
Series
2021-3A, Class E, 3.20%,
10/16/2028 (a) |
1,000,000 |
909,163 |
Series
2023-1A, Class C, 6.38%,
12/15/2028 (a) |
203,000 |
202,727 |
Series
2023-1A, Class D, 7.01%,
1/16/2029 (a) |
652,000 |
655,240 |
Series
2022-2A, Class E, 5.50%,
6/15/2029 (a) |
1,250,000 |
1,126,691 |
Goldentree
Loan Management US CLO Ltd.
(Cayman
Islands) Series 2017-2A, Class AR,
6.50%,
11/20/2030 (a)
(i) |
1,358,555 |
1,352,799 |
GoldenTree
Loan Opportunities Ltd. Series
2015-10A,
Class AR, 6.71%,
7/20/2031 (a)
(i) |
250,000 |
248,999 |
August
31, 2023
|
|
73
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Goldman
Home Improvement Trust Issuer Trust
Series
2022-GRN1, Class A, 4.50%,
6/25/2052 (a) |
235,391 |
226,524 |
Greenwood
Park CLO Ltd. Series 2018-1A,
Class
A2, 6.58%, 4/15/2031 (a)
(i) |
305,000 |
303,591 |
Hertz
Vehicle Financing LLC |
|
|
Series
2022-3A, Class B, 3.86%,
3/25/2025 (a) |
500,000 |
495,103 |
Series
2021-1A, Class A, 1.21%,
12/26/2025 (a) |
263,000 |
248,946 |
Series
2022-4A, Class D, 6.56%,
9/25/2026 (a) |
300,000 |
285,363 |
Series
2023-1A, Class A, 5.49%,
6/25/2027 (a) |
400,000 |
395,434 |
Series
2023-1A, Class C, 6.91%,
6/25/2027 (a) |
292,000 |
288,182 |
Series
2023-3A, Class A, 5.94%,
2/25/2028 (a) |
595,000 |
597,987 |
Series
2023-3A, Class D, 9.43%,
2/25/2028 (a) |
1,600,000 |
1,609,622 |
HGI
CRE CLO Ltd. (Cayman Islands) Series
2022-FL3,
Class E, 9.51%, 4/20/2037 (a)
(i) |
195,500 |
187,579 |
Hilton
Grand Vacations Trust Series 2022-1D,
Class
D, 6.79%, 6/20/2034 (a) |
269,072 |
254,521 |
HINNT
LLC Series 2022-A, Class D, 6.50%,
5/15/2041 (a) |
474,971 |
447,627 |
LCM
Ltd. (Cayman Islands) Series 26A,
Class
A1, 6.66%, 1/20/2031 (a)
(i) |
541,813 |
539,918 |
LendingClub
Loan Certificate Issuer Trust |
|
|
Series
2022-NP1, Class CERT, 0.00%,
3/16/2037 ‡
(a) |
50,000 |
607,295 |
Series
2022-P1, Class CERT, 0.00%,
3/16/2037 ‡
(a) |
50,000 |
554,015 |
Series
2022-P2, Class CERT, 0.00%,
4/15/2037 ‡
(a) |
50,000 |
611,850 |
Lendingpoint
Asset Securitization Trust |
|
|
Series
2022-A, Class D, 4.54%,
6/15/2029 (a) |
2,250,000 |
1,844,551 |
Series
2022-B, Class A, 4.77%,
10/15/2029 (a) |
101,124 |
99,808 |
Series
2022-C, Class C, 8.68%,
2/15/2030 (a) |
200,000 |
195,493 |
Lendmark
Funding Trust |
|
|
Series
2021-1A, Class B, 2.47%,
11/20/2031 (a) |
2,000,000 |
1,687,111 |
Series
2021-1A, Class D, 5.05%,
11/20/2031 (a) |
500,000 |
389,872 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Madison
Park Funding Ltd. (Cayman Islands) |
|
|
Series
2014-13A, Class AR2, 6.53%,
4/19/2030 (a)
(i) |
277,726 |
276,822 |
Series
2018-32A, Class A1R, 6.61%,
1/22/2031 (a)
(i) |
500,000 |
497,554 |
Series
2017-23A, Class AR, 6.59%,
7/27/2031 (a)
(i) |
1,221,607 |
1,215,625 |
Series
2019-34A, Class AR, 6.73%,
4/25/2032 (a)
(i) |
530,000 |
528,179 |
Series
2019-33A, Class AR, 6.60%,
10/15/2032 (a)
(i) |
1,500,000 |
1,488,905 |
Series
2019-37A, Class AR, 6.64%,
7/15/2033 (a)
(i) |
1,150,000 |
1,143,888 |
Magnetite
Ltd. (Cayman Islands) |
|
|
Series
2012-7A, Class A1R2, 6.37%,
1/15/2028 (a)
(i) |
334,809 |
333,545 |
Series
2016-18A, Class AR2, 6.51%,
11/15/2028 (a)
(i) |
1,657,811 |
1,651,948 |
Series
2019-22A, Class AR, 6.63%,
4/15/2031 (a)
(i) |
1,000,000 |
995,700 |
Series
2015-15A, Class AR, 6.62%,
7/25/2031 (a)
(i) |
400,000 |
398,252 |
Series
2015-12A, Class ARR, 6.67%,
10/15/2031 (a)
(i) |
700,000 |
697,882 |
Marlette
Funding Trust |
|
|
Series
2023-1A, Class A, 6.07%,
4/15/2033 (a) |
467,193 |
465,975 |
Series
2023-1A, Class B, 6.50%,
4/15/2033 (a) |
700,000 |
699,702 |
Series
2023-1A, Class C, 7.20%,
4/15/2033 (a) |
350,000 |
350,729 |
ME
Funding LLC Series 2019-1, Class A2,
6.45%,
7/30/2049 (a) |
173,250 |
169,093 |
Neuberger
Berman CLO (Cayman Islands)
Series
2013-15A, Class A1R2, 6.49%,
10/15/2029 (a)
(i) |
242,969 |
241,923 |
Neuberger
Berman CLO Ltd. (Cayman Islands)
Series
2013-14A, Class AR2, 6.66%,
1/28/2030 (a)
(i) |
732,413 |
730,668 |
Neuberger
Berman Loan Advisers CLO Ltd.
(Cayman
Islands) |
|
|
Series
2017-26A, Class AR, 6.49%,
10/18/2030 (a)
(i) |
501,665 |
499,258 |
Series
2019-34A, Class A1R, 6.57%,
1/20/2035 (a)
(i) |
1,950,000 |
1,933,638 |
New
Residential Mortgage LLC Series
2020-FNT2,
Class A, 5.44%,
7/25/2025 (a) |
613,932 |
588,706 |
74
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
New
Residential Mortgage Loan Trust Series
2022-SFR1,
Class E1, 3.55%,
2/17/2039 (a) |
168,000 |
145,460 |
NRZ
Excess Spread-Collateralized Notes |
|
|
Series
2021-FNT1, Class A, 2.98%,
3/25/2026 (a) |
352,805 |
321,103 |
Series
2021-FNT2, Class A, 3.23%,
5/25/2026 (a) |
182,419 |
165,891 |
Series
2021-FHT1, Class A, 3.10%,
7/25/2026 (a) |
329,023 |
293,463 |
Series
2021-GNT1, Class A, 3.47%,
11/25/2026 (a) |
166,163 |
149,893 |
OCP
CLO Ltd. (Cayman Islands) |
|
|
Series
2018-15A, Class A1, 6.69%,
7/20/2031 (a)
(i) |
350,000 |
348,947 |
Series
2020-18A, Class AR, 6.68%,
7/20/2032 (a)
(i) |
320,000 |
317,663 |
Series
2015-9A, Class A1R2, 6.56%,
1/15/2033 (a)
(i) |
1,500,000 |
1,484,144 |
Octagon
Investment Partners 35 Ltd. (Cayman
Islands)
Series 2018-1A, Class A1A, 6.65%,
1/20/2031 (a)
(i) |
1,034,976 |
1,032,424 |
Octagon
Loan Funding Ltd. (Cayman Islands)
Series
2014-1A, Class ARR, 6.82%,
11/18/2031 (a)
(i) |
1,530,000 |
1,526,940 |
OHA
Credit Partners Ltd. (Cayman Islands)
Series
2012-7A, Class AR3, 6.71%,
2/20/2034 (a)
(i) |
1,500,000 |
1,490,037 |
OnDeck
Asset Securitization Trust IV LLC Series
2023-1A,
Class A, 7.00%, 8/19/2030 (a) |
468,000 |
468,115 |
OneMain
Direct Auto Receivables Trust Series
2022-1A,
Class A1, 4.65%, 3/14/2029 (a) |
294,000 |
287,695 |
OneMain
Financial Issuance Trust |
|
|
Series
2018-2A, Class A, 3.57%,
3/14/2033 (a) |
186,509 |
184,145 |
Series
2023-2A, Class A2, 6.75%,
9/15/2036 (a)
(i) |
1,780,000 |
1,781,125 |
Oportun
Issuance Trust |
|
|
Series
2022-2, Class A, 5.94%,
10/9/2029 (a) |
48,075 |
47,909 |
Series
2022-2, Class D, 11.34%,
10/9/2029 |
863,000 |
854,373 |
Series
2022-3, Class A, 7.45%,
1/8/2030 (a) |
421,604 |
422,058 |
Pagaya
AI Debt Selection Trust Series 2021-3,
Class
C, 3.27%, 5/15/2029 (a) |
1,499,918 |
1,265,583 |
Palmer
Square CLO Ltd. (Cayman Islands) |
|
|
Series
2014-1A, Class A1R2, 6.70%,
1/17/2031 (a)
(i) |
1,113,437 |
1,111,385 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2018-2A, Class A1A, 6.67%,
7/16/2031 (a)
(i) |
850,000 |
847,283 |
Series
2015-1A, Class A1A4, 6.77%,
5/21/2034 (a)
(i) |
510,000 |
507,760 |
Palmer
Square Loan Funding Ltd. (Cayman
Islands)
Series 2022-1A, Class A1, 6.36%,
4/15/2030 (a)
(i) |
547,006 |
543,582 |
Planet
Fitness Master Issuer LLC Series
2018-1A,
Class A2II, 4.67%, 9/5/2048 (a) |
666,750 |
640,238 |
PMT
Issuer Trust-FMSR |
|
|
Series
2021-FT1, Class A, 8.43%,
3/25/2026 (a)
(i) |
600,000 |
579,924 |
Series
2022-FT1, Class A, 9.49%,
6/25/2027 (a)
(i) |
1,200,000 |
1,197,050 |
PNMAC
GMSR Issuer Trust Series 2022-GT1,
Class
A, 9.54%, 5/25/2027 (a)
(i) |
343,000 |
341,713 |
PRET
LLC Series 2022-NPL4, Class A1, 6.56%,
8/25/2052 (a)
(h) |
151,112 |
149,257 |
Progress
Residential Trust Series 2023-SFR1,
Class
E1, 6.15%, 3/17/2040 (a) |
736,000 |
696,020 |
PRPM
LLC Series 2021-11, Class A2, 4.58%,
11/25/2026 (a)
(h) |
1,000,000 |
894,673 |
RCO
VI Mortgage LLC Series 2022-1, Class A1,
3.00%,
1/25/2027 (a)
(h) |
134,209 |
127,180 |
Republic
Finance Issuance Trust Series 2021-A,
Class
D, 5.23%, 12/22/2031 (a) |
800,000 |
673,158 |
Santander
Bank Auto Credit-Linked Notes |
|
|
Series
2022-C, Class B, 6.45%,
12/15/2032 (a) |
253,792 |
253,140 |
Series
2022-C, Class C, 6.99%,
12/15/2032 (a) |
219,954 |
220,080 |
Series
2022-C, Class D, 8.20%,
12/15/2032 (a) |
203,034 |
204,737 |
Series
2022-C, Class E, 11.37%,
12/15/2032 (a) |
168,332 |
169,587 |
Santander
Drive Auto Receivables Trust |
|
|
Series
2021-3, Class D, 1.33%, 9/15/2027 |
2,000,000 |
1,879,916 |
Series
2023-4, Class B, 5.77%,
12/15/2028 |
428,000 |
429,679 |
Series
2022-2, Class C, 3.76%, 7/16/2029 |
1,550,000 |
1,483,382 |
Series
2022-4, Class C, 5.00%,
11/15/2029 |
1,130,000 |
1,105,182 |
Series
2023-3, Class C, 5.77%,
11/15/2030 |
220,000 |
218,834 |
Series
2022-7, Class C, 6.69%, 3/17/2031 |
174,000 |
176,394 |
SBA
Small Business Investment Cos. Series
2023-10A,
Class 1, 5.17%, 3/10/2033 |
2,400,000 |
2,376,355 |
Service
Experts Issuer LLC Series 2021-1A,
Class
A, 2.67%, 2/2/2032 (a) |
248,395 |
226,582 |
August
31, 2023
|
|
75
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
SoFi
Consumer Loan Program Trust Series
2023-1S,
Class A, 5.81%, 5/15/2031 (a) |
167,572 |
167,255 |
Symphony
CLO Ltd. (Cayman Islands) |
|
|
Series
2018-19A, Class A, 6.53%,
4/16/2031 (a)
(i) |
1,052,830 |
1,045,955 |
Series
2020-23A, Class AR, 6.59%,
1/15/2034 (a)
(i) |
600,000 |
595,504 |
Tesla
Auto Lease Trust Series 2021-B, Class B,
0.91%,
9/22/2025 (a) |
770,000 |
736,768 |
Theorem
Funding Trust |
|
|
Series
2022-2A, Class B, 9.27%,
12/15/2028 (a) |
400,000 |
412,243 |
Series
2022-3A, Class A, 7.60%,
4/15/2029 (a) |
184,945 |
186,021 |
Tricon
Residential Trust Series 2022-SFR1,
Class
E2, 5.74%, 4/17/2039 (a) |
101,000 |
93,434 |
United
Airlines Pass-Through Trust |
|
|
Series
2016-2, Class B, 3.65%, 10/7/2025 |
31,736 |
29,910 |
Series
2016-1, Class B, 3.65%, 1/7/2026 |
26,447 |
24,546 |
Upstart
Pass-Through Trust |
|
|
Series
2022-PT2, Class A, 17.81%,
2/20/2030 (a)
(i) |
493,765 |
493,765 |
Series
2022-PT3, Class A, 19.73%,
4/20/2030 ‡
(a) (i) |
315,335 |
318,967 |
Upstart
Securitization Trust |
|
|
Series
2021-2, Class C, 3.61%,
6/20/2031 (a) |
1,500,000 |
1,392,428 |
Series
2022-2, Class B, 6.10%,
5/20/2032 (a) |
500,000 |
493,674 |
Voya
CLO Ltd. (Cayman Islands) Series
2020-2A,
Class A1R, 6.74%,
7/19/2034 (a)
(i) |
1,000,000 |
993,584 |
Westlake
Automobile Receivables Trust |
|
|
Series
2022-2A, Class C, 4.85%,
9/15/2027 (a) |
504,000 |
493,761 |
Series
2022-2A, Class D, 5.48%,
9/15/2027 (a) |
432,000 |
423,201 |
Series
2023-1A, Class B, 5.41%,
1/18/2028 (a) |
375,000 |
370,889 |
Series
2023-1A, Class C, 5.74%,
8/15/2028 (a) |
405,000 |
399,701 |
Series
2023-3A, Class C, 6.02%,
9/15/2028 (a) |
920,000 |
918,634 |
Series
2023-1A, Class D, 6.79%,
11/15/2028 (a) |
437,000 |
435,782 |
Series
2023-3A, Class D, 6.47%,
3/15/2029 (a) |
632,000 |
629,425 |
Total
Asset-Backed Securities
(Cost
$166,442,198) |
|
164,957,182 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — 21.8% | ||
FHLMC
Gold Pools, Other
|
|
|
Pool
# WN1250, 4.40%, 5/1/2028 |
1,500,000 |
1,448,342 |
Pool
# WN2184, 2.50%, 4/1/2032 |
330,000 |
271,811 |
Pool
# WN2270, 3.95%, 10/1/2032 |
600,000 |
545,171 |
Pool
# WN2271, 3.95%, 10/1/2032 |
450,000 |
408,881 |
Pool
# WN2290, 3.80%, 11/1/2032 |
470,000 |
423,373 |
Pool
# WN2298, 4.35%, 11/1/2032 |
580,000 |
539,806 |
Pool
# WA3236, 4.75%, 11/1/2032 |
577,222 |
546,566 |
Pool
# WN1205, 4.60%, 1/1/2033 |
390,000 |
365,746 |
Pool
# WN1206, 4.60%, 1/1/2033 |
537,000 |
504,351 |
Pool
# WN2308, 4.90%, 1/1/2033 |
200,000 |
190,041 |
FNMA
UMBS, 30 Year Pool # MA5073, 6.00%,
7/1/2053 |
18,678,293 |
18,726,245 |
FNMA,
Other Pool # BS9065, 4.62%,
7/1/2028 |
1,500,000 |
1,465,502 |
FNMA/FHLMC
UMBS, Single Family, 30 Year
TBA,
3.50%, 9/25/2053 (j) |
25,850,000 |
23,104,447 |
GNMA
II, 30 Year
|
|
|
Pool
# MA8151, 4.50%, 7/20/2052 |
30 |
29 |
Pool
# MA8493, 6.50%, 12/20/2052 |
11,910,938 |
12,065,821 |
Pool
# MA8573, 7.00%, 1/20/2053 |
7,519,349 |
7,681,013 |
Pool
# MA8649, 6.00%, 2/20/2053 |
498,903 |
501,800 |
Pool
# MA8651, 7.00%, 2/20/2053 |
200,000 |
204,307 |
Pool
# MA8729, 7.00%, 3/20/2053 |
1,000,001 |
1,023,932 |
Pool
# MA9109, 7.00%, 8/20/2053 |
2,159,114 |
2,231,524 |
Pool
# MA9110, 7.50%, 8/20/2053 |
560,000 |
579,183 |
GNMA
II, Single Family, 30 Year
|
|
|
TBA,
5.50%, 9/15/2053 (j) |
6,883,000 |
6,813,095 |
TBA,
6.00%, 9/15/2053 (j) |
25,897,000 |
25,980,963 |
TBA,
6.50%, 9/15/2053 (j) |
26,000,000 |
26,332,109 |
Total
Mortgage-Backed Securities
(Cost
$132,020,737) |
|
131,954,058 |
Commercial
Mortgage-Backed Securities — 13.8% | ||
BANK |
|
|
Series
2022-BNK39, Class XA, IO, 0.53%,
2/15/2055 (i) |
8,064,600 |
220,918 |
Series
2019-BN20, Class D, 2.50%,
9/15/2062 (a) |
700,000 |
403,554 |
Series
2020-BN28, Class XA, IO, 1.88%,
3/15/2063 (i) |
4,136,987 |
380,068 |
Series
2020-BN26, Class E, 2.50%,
3/15/2063 (a) |
320,000 |
137,613 |
BBCMS
Mortgage Trust |
|
|
Series
2021-C11, Class XB, IO, 1.08%,
9/15/2054 (i) |
4,500,000 |
287,392 |
Series
2023-C20, Class XA, IO, 1.07%,
7/15/2056 (i) |
13,298,636 |
747,456 |
76
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Benchmark
Mortgage Trust |
|
|
Series
2021-B26, Class ASB, 2.26%,
6/15/2054 |
800,000 |
682,414 |
Series
2022-B33, Class A5, 3.46%,
3/15/2055 |
800,000 |
692,195 |
Series
2022-B36, Class A5, 4.47%,
7/15/2055 (i) |
800,000 |
740,278 |
Series
2022-B37, Class A5, 5.94%,
11/15/2055 (i) |
604,000 |
618,856 |
BHMS
Series 2018-ATLS, Class A, 6.86%,
7/15/2035 (a)
(i) |
1,580,000 |
1,551,969 |
BX
Series 2021-MFM1, Class A, 6.12%,
1/15/2034 (a)
(i) |
632,972 |
623,029 |
BX
Commercial Mortgage Trust |
|
|
Series
2021-21M, Class A, 6.15%,
10/15/2036 (a)
(i) |
372,506 |
364,474 |
Series
2021-VINO, Class A, 6.08%,
5/15/2038 (a)
(i) |
272,098 |
266,802 |
Series
2021-XL2, Class A, 6.11%,
10/15/2038 (a)
(i) |
664,641 |
648,585 |
Series
2021-ACNT, Class A, 6.27%,
11/15/2038 (a)
(i) |
850,000 |
834,275 |
BX
Trust |
|
|
Series
2022-LBA6, Class A, 6.31%,
1/15/2039 (a)
(i) |
155,000 |
151,694 |
Series
2022-FOX2, Class A2, 6.06%,
4/15/2039 (a)
(i) |
543,570 |
526,186 |
CD
Mortgage Trust Series 2018-CD7, Class C,
5.00%,
8/15/2051 (i) |
580,000 |
472,833 |
Citigroup
Commercial Mortgage Trust |
|
|
Series
2013-GC17, Class B, 5.10%,
11/10/2046 (i) |
100,000 |
98,649 |
Series
2018-C5, Class XA, IO, 0.83%,
6/10/2051 (i) |
1,482,636 |
39,905 |
Series
2018-C6, Class XA, IO, 0.93%,
11/10/2051 (i) |
2,140,543 |
65,522 |
Series
2015-GC33, Class B, 4.73%,
9/10/2058 (i) |
65,000 |
53,982 |
Commercial
Mortgage Trust |
|
|
Series
2015-CR22, Class D, 4.20%,
3/10/2048 (a)
(i) |
500,000 |
388,389 |
Series
2015-PC1, Class B, 4.42%,
7/10/2050 (i) |
65,000 |
59,216 |
Credit
Suisse Mortgage Capital Certificates
Series
2019-ICE4, Class A, 6.34%,
5/15/2036 (a)
(i) |
588,536 |
587,862 |
FHLMC
Series K-153, Class X1, IO, 0.60%,
12/25/2032 (i) |
16,500,000 |
581,896 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
FHLMC
Multiclass Certificates |
|
|
Series
2020-RR12, Class X, IO, 2.10%,
10/27/2027 (i) |
2,000,000 |
135,733 |
Series
2020-RR06, Class AX, IO, 1.88%,
10/27/2028 (i) |
2,000,000 |
140,216 |
Series
2020-RR14, Class X, IO, 2.13%,
3/27/2034 (i) |
2,500,000 |
379,941 |
Series
2021-RR16, Class X, IO, 0.96%,
10/27/2034 (i) |
5,600,000 |
426,550 |
FHLMC,
Multi-Family Structured Pass-Through
Certificates |
|
|
Series
K038, Class X1, IO, 1.23%,
3/25/2024 (i) |
59,306,271 |
200,770 |
Series
KC06, Class X1, IO, 1.01%,
6/25/2026 (i) |
5,582,276 |
69,184 |
Series
K738, Class X1, IO, 1.51%,
1/25/2027 (i) |
14,846,257 |
604,217 |
Series
K740, Class X1, IO, 0.83%,
9/25/2027 (i) |
15,765,278 |
400,236 |
Series
K072, Class X1, IO, 0.49%,
12/25/2027 (i) |
15,390,520 |
209,403 |
Series
K741, Class X1, IO, 0.65%,
12/25/2027 (i) |
1,442,695 |
28,542 |
Series
K742, Class X1, IO, 0.87%,
3/25/2028 (i) |
2,766,878 |
65,263 |
Series
K742, Class X3, IO, 2.68%,
4/25/2028 (i) |
5,000,000 |
475,373 |
Series
K743, Class X1, IO, 1.03%,
5/25/2028 (i) |
1,651,826 |
59,744 |
Series
K745, Class X1, IO, 0.77%,
8/25/2028 (i) |
15,956,731 |
435,603 |
Series
K084, Class X3, IO, 2.31%,
11/25/2028 (i) |
751,485 |
72,963 |
Series
K091, Class X1, IO, 0.71%,
3/25/2029 (i) |
8,814,443 |
234,099 |
Series
K096, Class X3, IO, 2.11%,
7/25/2029 (i) |
8,380,000 |
789,228 |
Series
K100, Class X1, IO, 0.77%,
9/25/2029 (i) |
54,839,095 |
1,780,198 |
Series
K104, Class X1, IO, 1.25%,
1/25/2030 (i) |
9,320,112 |
517,439 |
Series
K109, Class X1, IO, 1.70%,
4/25/2030 (i) |
5,950,127 |
479,503 |
Series
K110, Class X1, IO, 1.81%,
4/25/2030 (i) |
8,851,093 |
747,674 |
Series
K115, Class X1, IO, 1.43%,
6/25/2030 (i) |
7,968,779 |
557,691 |
Series
K119, Class X1, IO, 1.02%,
9/25/2030 (i) |
7,347,458 |
369,495 |
August
31, 2023
|
|
77
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
K120, Class X1, IO, 1.13%,
10/25/2030 (i) |
21,761,559 |
1,194,916 |
Series
K123, Class X1, IO, 0.86%,
12/25/2030 (i) |
18,421,238 |
792,837 |
Series
K129, Class X3, IO, 3.27%,
5/25/2031 (i) |
8,000,000 |
1,462,796 |
Series
K133, Class X1, IO, 0.44%,
9/25/2031 (i) |
7,471,894 |
170,585 |
Series
K-154, Class X1, IO, 0.53%,
1/25/2033 (i) |
192 |
6 |
Series
K157, Class X3, IO, 3.33%,
9/25/2033 (i) |
1,800,000 |
389,525 |
Series
K-1514, Class X1, IO, 0.70%,
10/25/2034 (i) |
1,187,651 |
53,040 |
Series
Q012, Class X, IO, 4.09%,
9/25/2035 (i) |
408,724 |
74,341 |
Series
K-1520, Class X1, IO, 0.58%,
2/25/2036 (i) |
412,676 |
15,927 |
Series
K067, Class X3, IO, 2.19%,
9/25/2044 (i) |
1,575,428 |
108,171 |
Series
K060, Class X3, IO, 1.96%,
12/25/2044 (i) |
11,950,000 |
640,576 |
Series
K071, Class X3, IO, 2.08%,
11/25/2045 (i) |
8,700,000 |
639,711 |
Series
K085, Class X3, IO, 2.39%,
12/25/2045 (i) |
1,850,000 |
178,549 |
Series
K097, Class X3, IO, 2.09%,
9/25/2046 (i) |
3,000,000 |
284,468 |
Series
K083, Class X3, IO, 2.37%,
11/25/2046 (i) |
621,062 |
59,199 |
Series
K737, Class X3, IO, 1.83%,
1/25/2048 (i) |
11,779,376 |
590,697 |
Series
K121, Class X3, IO, 2.87%,
11/25/2048 (i) |
5,000,000 |
758,513 |
Series
K126, Class X3, IO, 2.72%,
1/25/2049 (i) |
2,950,000 |
434,769 |
Series
K124, Class X3, IO, 2.71%,
2/25/2049 (i) |
5,000,000 |
719,916 |
Series
K741, Class X3, IO, 2.53%,
3/25/2049 (i) |
13,766,615 |
1,160,012 |
Series
K743, Class X3, IO, 3.06%,
6/25/2049 (i) |
13,000,000 |
1,446,205 |
Series
2021-MN3, Class M2, 9.29%,
11/25/2051 (a)
(i) |
3,200,000 |
3,053,251 |
FIVE
Mortgage Trust Series 2023-V1, Class XA,
IO,
1.04%, 2/10/2056 (i) |
5,685,871 |
175,746 |
FNMA
ACES |
|
|
Series
2020-M3, Class X1, IO, 0.44%,
2/25/2030 (i) |
3,554,169 |
62,178 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2022-M2, Class X2, IO, 0.30%,
1/25/2032 (i) |
2,833,478 |
38,707 |
Series
2020-M31, Class AB, 0.50%,
10/25/2032 |
73,297 |
57,549 |
FREMF
Mortgage Trust |
|
|
Series
2017-KF31, Class B, 8.12%,
4/25/2024 (a)
(i) |
145,324 |
143,937 |
Series
2017-KF36, Class B, 7.87%,
8/25/2024 (a)
(i) |
902,075 |
879,913 |
Series
2017-KF38, Class B, 7.72%,
9/25/2024 (a)
(i) |
828,828 |
809,338 |
Series
2018-KF45, Class B, 7.17%,
3/25/2025 (a)
(i) |
768,233 |
734,247 |
Series
2018-KF47, Class B, 7.22%,
5/25/2025 (a)
(i) |
243,085 |
235,335 |
Series
2018-KC02, Class B, 4.23%,
7/25/2025 (a)
(i) |
25,000 |
23,380 |
Series
2018-KF53, Class B, 7.27%,
10/25/2025 (i) |
24,588 |
23,593 |
Series
2019-KF60, Class B, 7.57%,
2/25/2026 (a)
(i) |
807,494 |
773,967 |
Series
2019-KF62, Class B, 7.27%,
4/25/2026 (a)
(i) |
5,755 |
5,332 |
Series
2019-K735, Class B, 4.16%,
5/25/2026 (a)
(i) |
150,000 |
141,592 |
Series
2019-KF72, Class B, 7.32%,
11/25/2026 (a)
(i) |
730,796 |
682,154 |
Series
2017-KF40, Class B, 7.92%,
11/25/2027 (a)
(i) |
943,700 |
868,281 |
Series
2018-KF43, Class B, 7.37%,
1/25/2028 (a)
(i) |
21,473 |
20,229 |
Series
2018-KF50, Class B, 7.12%,
7/25/2028 (a)
(i) |
3,383 |
2,996 |
Series
2018-KF54, Class B, 7.42%,
11/25/2028 (i) |
679,860 |
622,054 |
Series
2019-KF59, Class B, 7.57%,
2/25/2029 (a)
(i) |
675,975 |
633,812 |
Series
2019-KW09, Class X2A, IO, 0.10%,
5/25/2029 (a) |
19,784,415 |
74,031 |
Series
2019-KW09, Class C, PO,
6/25/2029 (a) |
790,000 |
462,070 |
Series
2019-KW09, Class X2B, IO, 0.10%,
6/25/2029 (a) |
10,000,000 |
42,933 |
Series
2019-KF67, Class C, 11.22%,
8/25/2029 (a)
(i) |
3,247,611 |
2,696,532 |
Series
2020-KF76, Class B, 7.97%,
1/25/2030 (a)
(i) |
811,471 |
753,135 |
Series
2018-KW07, Class B, 4.22%,
10/25/2031 (a)
(i) |
300,000 |
248,105 |
78
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
2023-KF149, Class CS, 11.25%,
12/25/2032 (a)
(i) |
499,921 |
510,350 |
Series
19K-1513, Class X2A, IO, 0.10%,
8/25/2034 (a) |
64,933,479 |
438,859 |
Series
2014-K38, Class B, 4.37%,
6/25/2047 (a)
(i) |
335,000 |
329,465 |
Series
2015-K46, Class C, 3.82%,
4/25/2048 (a)
(i) |
100,000 |
95,474 |
Series
2017-K724, Class D, PO,
12/25/2049 (a) |
500,000 |
483,940 |
Series
2017-K62, Class B, 4.01%,
1/25/2050 (a)
(i) |
415,000 |
387,706 |
Series
2018-K730, Class B, 3.92%,
2/25/2050 (a)
(i) |
200,000 |
192,469 |
Series
2019-K91, Class C, 4.40%,
4/25/2051 (a)
(i) |
250,000 |
227,563 |
GNMA |
|
|
Series
2015-93, IO, 0.28%,
11/16/2054 (i) |
30,740,960 |
247,428 |
Series
2015-33, IO, 0.26%, 2/16/2056 (i) |
48,270,890 |
417,674 |
Series
2017-53, IO, 0.53%,
11/16/2056 (i) |
4,422,141 |
136,497 |
Series
2017-158, IO, 0.46%,
9/16/2057 (i) |
3,530,385 |
91,782 |
Series
2018-45, IO, 0.54%, 3/16/2059 (i) |
12,724,724 |
420,469 |
Series
2023-108, IO, 0.70%,
8/16/2059 (i) |
13,547,220 |
487,173 |
Series
2019-109, IO, 0.80%,
4/16/2060 (i) |
5,688,058 |
309,464 |
Series
2020-184, IO, 0.91%,
11/16/2060 (i) |
9,403,222 |
571,458 |
Series
2021-90, IO, 0.83%, 5/16/2061 (i) |
18,068,692 |
1,095,579 |
Series
2021-147, IO, 0.99%,
6/16/2061 (i) |
3,017,463 |
208,785 |
Series
2019-154, IO, 0.58%,
9/16/2061 (i) |
7,312,962 |
303,699 |
Series
2021-218, IO, 0.96%,
10/16/2061 (i) |
333,061 |
23,257 |
Series
2020-120, IO, 0.76%,
5/16/2062 (i) |
5,977,635 |
337,277 |
Series
2020-100, IO, 0.78%,
5/16/2062 (i) |
5,757,596 |
328,101 |
Series
2020-194, IO, 1.08%,
6/16/2062 (i) |
8,555,725 |
612,520 |
Series
2020-161, IO, 1.05%,
8/16/2062 (i) |
5,045,690 |
344,115 |
Series
2021-71, IO, 0.87%,
10/16/2062 (i) |
3,642,774 |
227,155 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2021-35, IO, 1.03%,
12/16/2062 (i) |
3,239,793 |
232,431 |
Series
2021-11, Class IX, IO, 1.16%,
12/16/2062 (i) |
6,483,857 |
507,301 |
Series
2021-40, IO, 0.82%, 2/16/2063 (i) |
3,168,887 |
193,554 |
Series
2021-120, IO, 0.99%,
2/16/2063 (i) |
6,512,881 |
454,882 |
Series
2021-62, Class SA, IF, IO, 3.37%,
2/16/2063 (i) |
3,304,675 |
197,950 |
Series
2021-106, IO, 0.86%,
4/16/2063 (i) |
5,022,103 |
327,417 |
Series
2021-151, IO, 0.92%,
4/16/2063 (i) |
8,043,804 |
544,475 |
Series
2021-60, IO, 0.83%, 5/16/2063 (i) |
2,266,027 |
134,455 |
Series
2021-126, IO, 0.85%,
5/16/2063 (i) |
9,847,732 |
640,444 |
Series
2021-10, IO, 0.99%, 5/16/2063 (i) |
4,975,446 |
343,841 |
Series
2021-170, IO, 0.99%,
5/16/2063 (i) |
2,352,621 |
167,411 |
Series
2021-141, Class SA, IF, IO, 3.65%,
6/16/2063 (i) |
1,738,108 |
85,669 |
Series
2021-133, IO, 0.88%,
7/16/2063 (i) |
9,079,034 |
599,052 |
Series
2021-61, IO, 1.03%, 8/16/2063 (i) |
1,400,201 |
96,944 |
Series
2023-15, Class AB, 4.00%,
8/16/2063 (i) |
745,055 |
693,235 |
Series
2021-110, IO, 0.87%,
11/16/2063 (i) |
5,781,058 |
372,937 |
Series
2021-200, IO, 0.88%,
11/16/2063 (i) |
1,996,646 |
136,032 |
Series
2021-180, IO, 0.91%,
11/16/2063 (i) |
8,996,031 |
617,566 |
Series
2021-185, IO, 1.10%,
11/16/2063 (i) |
1,512,973 |
120,218 |
Series
2021-220, IO, 0.83%,
12/16/2063 (i) |
11,193,754 |
707,615 |
Series
2022-7, Class SA, IF, IO, 3.37%,
2/16/2064 (i) |
1,257,817 |
72,890 |
Series
2021-224, IO, 0.78%,
4/16/2064 (i) |
1,950,480 |
126,614 |
Series
2022-149, IO, 0.45%,
6/16/2064 (i) |
13,347,109 |
600,854 |
Series
2022-134, IO, 0.51%,
6/16/2064 (i) |
2,961,132 |
138,818 |
Series
2022-165, IO, 0.59%,
6/16/2064 (i) |
9,653,859 |
531,523 |
Series
2022-80, IO, 0.59%, 6/16/2064 (i) |
1,171,765 |
58,267 |
Series
2022-62, IO, 0.62%, 6/16/2064 (i) |
1,957,902 |
104,401 |
Series
2022-52, IO, 0.77%, 6/16/2064 (i) |
9,787,166 |
563,381 |
August
31, 2023
|
|
79
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
2022-141, IO, 0.78%,
6/16/2064 (i) |
2,973,272 |
209,683 |
Series
2022-210, IO, 0.70%,
7/16/2064 (i) |
2,183,642 |
141,067 |
Series
2022-199, IO, 0.76%,
7/16/2064 (i) |
3,968,374 |
260,590 |
Series
2023-15, IO, 0.92%, 8/16/2064 (i) |
1,790,088 |
134,008 |
Series
2023-36, IO, 0.95%,
10/16/2064 (i) |
6,014,403 |
418,038 |
Series
2023-26, IO, 0.97%, 4/16/2065 (i) |
4,977,853 |
359,775 |
Series
2023-51, IO, 1.11%, 5/16/2065 (i) |
11,950,784 |
1,026,564 |
GS
Mortgage Securities Trust |
|
|
Series
2016-GS2, Class D, 2.75%,
5/10/2049 (a) |
750,000 |
575,990 |
Series
2019-GC40, Class E, 3.00%,
7/10/2052 (a) |
800,000 |
392,147 |
ILPT
Commercial Mortgage Trust |
|
|
Series
2022-LPF2, Class A, 7.56%,
10/15/2039 (a)
(i) |
104,962 |
104,600 |
Series
2022-LPF2, Class E, 11.25%,
10/15/2039 (a)
(i) |
240,000 |
237,561 |
JPMBB
Commercial Mortgage Securities Trust
Series
2015-C33, Class C, 4.79%,
12/15/2048 (i) |
150,000 |
121,281 |
JPMCC
Commercial Mortgage Securities Trust |
|
|
Series
2017-JP5, Class C, 3.90%,
3/15/2050 (i) |
1,050,000 |
832,325 |
Series
2017-JP5, Class B, 4.08%,
3/15/2050 (i) |
850,000 |
719,330 |
JPMorgan
Chase Commercial Mortgage
Securities
Trust Series 2013-C16, Class D,
5.13%,
12/15/2046 (a)
(i) |
1,500,000 |
1,278,794 |
Morgan
Stanley Bank of America Merrill Lynch
Trust |
|
|
Series
2014-C15, Class D, 5.01%,
4/15/2047 (a)
(i) |
1,337,000 |
1,208,645 |
Series
2014-C16, Class AS, 4.09%,
6/15/2047 |
600,000 |
571,944 |
Series
2014-C18, Class B, 4.58%,
10/15/2047 (i) |
100,000 |
95,025 |
Series
2016-C31, Class C, 4.40%,
11/15/2049 (i) |
100,000 |
77,216 |
Series
2015-C23, Class B, 4.28%,
7/15/2050 (i) |
900,000 |
825,550 |
Morgan
Stanley Capital I Trust Series 2020-L4,
Class
D, 2.50%, 2/15/2053 (a) |
500,000 |
250,442 |
MRCD
MARK Mortgage Trust Series
2019-PARK,
Class E, 2.72%,
12/15/2036 (a) |
400,000 |
247,536 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
MSC
Trust Series 2021-ILP, Class A, 6.20%,
11/15/2023 (a)
(i) |
239,209 |
233,806 |
MTN
Commercial Mortgage Trust Series
2022-LPFL,
Class A, 6.72%, 3/15/2039 (a)
(i) |
1,190,000 |
1,174,332 |
Multi-Family
Connecticut Avenue Securities
Trust |
|
|
Series
2019-01, Class M10, 8.65%,
10/25/2049 (a)
(i) |
1,892,893 |
1,843,092 |
Series
2020-01, Class M10, 9.15%,
3/25/2050 (a)
(i) |
3,900,000 |
3,793,171 |
TPGI
Trust Series 2021-DGWD, Class A, 6.12%,
6/15/2026 (a)
(i) |
335,592 |
329,166 |
Velocity
Commercial Capital Loan Trust |
|
|
Series
2018-1, Class A, 3.59%,
4/25/2048 (a) |
153,264 |
143,008 |
Series
2022-3, Class A, 5.22%,
6/25/2052 (a)
(i) |
255,871 |
242,556 |
Series
2022-4, Class A, 5.63%,
8/25/2052 (a)
(i) |
534,801 |
509,613 |
Wells
Fargo Commercial Mortgage Trust |
|
|
Series
2018-C44, Class D, 3.00%,
5/15/2051 (a) |
250,000 |
150,664 |
Series
2022-C62, Class C, 4.50%,
4/15/2055 (i) |
100,000 |
73,445 |
WFRBS
Commercial Mortgage Trust |
|
|
Series
2013-C13, Class C, 3.91%,
5/15/2045 (i) |
18,560 |
17,762 |
Series
2014-C22, Class C, 3.91%,
9/15/2057 (i) |
100,000 |
78,236 |
Series
2014-C22, Class B, 4.37%,
9/15/2057 (i) |
100,000 |
87,389 |
Total
Commercial Mortgage-Backed Securities
(Cost
$88,331,956) |
|
83,807,020 |
Collateralized
Mortgage Obligations — 7.6% | ||
Angel
Oak Mortgage Trust I LLC Series 2019-4,
Class
B2, 5.66%, 7/26/2049 (a)
(i) |
800,000 |
712,154 |
CHL
Mortgage Pass-Through Trust Series
2006-OA5,
Class 2A1, 5.83%,
4/25/2046 (i) |
149,361 |
123,810 |
COLT
Mortgage Loan Trust Series 2023-2,
Class
A1, 6.60%, 7/25/2068 (a)
(h) |
392,451 |
395,221 |
Connecticut
Avenue Securities Trust |
|
|
Series
2019-R01, Class 2B1, 9.75%,
7/25/2031 (a)
(i) |
1,500,000 |
1,587,729 |
Series
2019-R04, Class 2B1, 10.65%,
6/25/2039 (a)
(i) |
716,662 |
755,818 |
Series
2019-R07, Class 1B1, 8.80%,
10/25/2039 (a)
(i) |
670,000 |
679,925 |
80
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
Series
2020-R01, Class 1B1, 8.65%,
1/25/2040 (a)
(i) |
1,500,000 |
1,502,959 |
Series
2022-R06, Class 1M2, 9.14%,
5/25/2042 (a)
(i) |
1,100,000 |
1,141,222 |
Series
2023-R02, Class 1M1, 7.59%,
1/25/2043 (a)
(i) |
292,175 |
295,827 |
Series
2023-R02, Class 1M2, 8.64%,
1/25/2043 (a)
(i) |
550,000 |
563,372 |
Series
2023-R02, Class 1B1, 10.84%,
1/25/2043 (a)
(i) |
350,000 |
371,875 |
Series
2023-R04, Class 1M1, 7.60%,
5/25/2043 (a)
(i) |
1,139,816 |
1,157,659 |
Series
2023-R04, Class 1M2, 8.85%,
5/25/2043 (a)
(i) |
500,000 |
518,750 |
Series
2023-R06, Class 1M2, 7.99%,
7/25/2043 (a)
(i) |
680,000 |
683,828 |
Deephaven
Residential Mortgage Trust Series
2022-2,
Class A1, 4.30%, 3/25/2067 (a)
(i) |
117,683 |
109,258 |
FHLMC
STACR REMIC Trust |
|
|
Series
2021-HQA1, Class M2, 7.54%,
8/25/2033 (a)
(i) |
1,864,815 |
1,843,835 |
Series
2022-DNA3, Class M1B, 8.19%,
4/25/2042 (a)
(i) |
500,000 |
508,528 |
FHLMC
STACR Trust |
|
|
Series
2019-HQA1, Class B1, 9.80%,
2/25/2049 (a)
(i) |
750,000 |
809,768 |
Series
2019-DNA2, Class B1, 9.75%,
3/25/2049 (a)
(i) |
1,000,000 |
1,071,880 |
FHLMC
Structured Agency Credit Risk Debt
Notes |
|
|
Series
2017-DNA2, Class B1, 10.55%,
10/25/2029 (i) |
250,000 |
273,125 |
Series
2017-DNA3, Class B1, 9.85%,
3/25/2030 (i) |
1,550,000 |
1,681,295 |
FHLMC,
REMIC Series 5164, Class J, 2.50%,
5/25/2049 |
1,367,063 |
1,163,333 |
FNMA,
Connecticut Avenue Securities |
|
|
Series
2017-C01, Class 1B1, 11.15%,
7/25/2029 (i) |
2,400,000 |
2,702,549 |
Series
2017-C02, Class 2B1, 10.90%,
9/25/2029 (i) |
2,120,000 |
2,340,678 |
Series
2017-C03, Class 1B1, 10.25%,
10/25/2029 (i) |
780,000 |
855,261 |
Series
2017-C04, Class 2B1, 10.45%,
11/25/2029 (i) |
1,650,000 |
1,803,831 |
Series
2017-C05, Class 1B1, 9.00%,
1/25/2030 (i) |
1,090,558 |
1,149,964 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2017-C06, Class 1B1, 9.55%,
2/25/2030 (i) |
450,000 |
481,524 |
Series
2017-C07, Class 1B1, 9.40%,
5/25/2030 (i) |
790,000 |
843,325 |
Series
2018-C01, Class 1B1, 8.95%,
7/25/2030 (i) |
1,346,000 |
1,423,395 |
Series
2018-C03, Class 1B1, 9.15%,
10/25/2030 (i) |
3,647,000 |
3,909,363 |
Series
2021-R02, Class 2B1, 8.59%,
11/25/2041 (a)
(i) |
64,000 |
64,000 |
Series
2021-R02, Class 2B2, 11.49%,
11/25/2041 (a)
(i) |
26,000 |
26,071 |
FWD
Securitization Trust Series 2020-INV1,
Class
A1, 2.24%, 1/25/2050 (a)
(i) |
479,317 |
431,725 |
GNMA |
|
|
Series
2014-181, Class SL, IF, IO, 0.17%,
12/20/2044 (i) |
507,469 |
41,879 |
Series
2021-78, Class IB, IO, 3.00%,
5/20/2051 |
969,822 |
136,041 |
Series
2021-107, Class XI, IO, 3.00%,
6/20/2051 |
1,460,260 |
199,507 |
Series
2021-117, Class ES, IF, IO, 0.87%,
7/20/2051 (i) |
1,695,233 |
176,876 |
Series
2021-142, Class XI, IO, 3.00%,
8/20/2051 |
151,627 |
23,530 |
Series
2021-188, Class IJ, IO, 3.00%,
10/20/2051 |
3,038,416 |
428,817 |
0.43%,
7/16/2057 (i) |
50,000,000 |
839,845 |
1.16%,
7/16/2065 (i) |
4,500,000 |
372,798 |
LHOME
Mortgage Trust |
|
|
Series
2023-RTL1, Class A1, 7.87%,
1/25/2028 (a)
(h) |
1,160,000 |
1,154,252 |
Series
2023-RTL2, Class A1, 8.00%,
6/25/2028 (a)
(h) |
500,000 |
498,569 |
MFA
Trust |
|
|
Series
2022-RTL1, Class A1, 5.07%,
4/26/2027 (a)
(h) |
270,000 |
259,622 |
Series
2023-RTL1, Class A1, 7.58%,
8/25/2027 (a)
(h) |
260,000 |
256,093 |
Series
2021-NQM1, Class A1, 1.15%,
4/25/2065 (a)
(i) |
132,629 |
115,915 |
New
Residential Mortgage Loan Trust |
|
|
Series
2018-3A, Class A1C, 3.00%,
5/25/2058 (a)
(i) |
277,769 |
249,421 |
Series
2019-NQM5, Class A1, 2.71%,
11/25/2059 (a)
(i) |
197,059 |
176,925 |
OBX
Trust |
|
|
Series
2023-NQM3, Class A1, 5.95%,
2/25/2063 (a)
(h) |
635,028 |
630,382 |
August
31, 2023
|
|
81
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
Series
2023-NQM6, Class A1, 6.52%,
7/25/2063 (a)
(h) |
393,319 |
395,076 |
PNMAC
GMSR Issuer Trust Series 2018-GT2,
Class
A, 8.08%, 8/25/2025 (a)
(i) |
280,000 |
278,114 |
PRPM
LLC Series 2020-6, Class A1, 2.36%,
11/25/2025 (a)
(h) |
661,230 |
644,783 |
STACR
Trust |
|
|
Series
2018-HRP2, Class M3, 7.80%,
2/25/2047 (a)
(i) |
1,183,586 |
1,205,044 |
Series
2018-HRP2, Class B1, 9.60%,
2/25/2047 (a)
(i) |
600,000 |
637,500 |
Series
2018-DNA3, Class B1, 9.30%,
9/25/2048 (a)
(i) |
300,000 |
321,000 |
Starwood
Mortgage Residential Trust Series
2020-INV1,
Class B2, 4.26%,
11/25/2055 (a) |
250,000 |
185,495 |
Verus
Securitization Trust |
|
|
Series
2023-1, Class A1, 5.85%,
12/25/2067 (a)
(h) |
822,903 |
813,417 |
Series
2023-2, Class A1, 6.19%,
3/25/2068 (a)
(h) |
647,108 |
644,773 |
Series
2023-4, Class A1, 5.81%,
5/25/2068 (a)
(h) |
957,488 |
947,248 |
VM
Master Issuer LLC Series 2022-1, Class B,
6.88%,
5/24/2025 ‡
(a) (i) |
500,000 |
448,550 |
Total
Collateralized Mortgage Obligations
(Cost
$45,658,532) |
|
46,064,329 |
Foreign
Government Securities — 2.7% | ||
Banque
Centrale de Tunisie 5.75%,
1/30/2025 (f) |
200,000 |
136,084 |
Dominican
Republic Government Bond |
|
|
5.50%,
2/22/2029 (f) |
350,000 |
326,840 |
7.05%,
2/3/2031 (a) |
510,000 |
505,945 |
7.05%,
2/3/2031 (f) |
200,000 |
198,410 |
6.00%,
2/22/2033 (a) |
150,000 |
138,288 |
6.00%,
2/22/2033 (f) |
500,000 |
460,960 |
6.40%,
6/5/2049 (f) |
150,000 |
125,304 |
5.88%,
1/30/2060 (f) |
150,000 |
115,007 |
Federal
Republic of Nigeria |
|
|
7.63%,
11/21/2025 (f) |
600,000 |
569,616 |
6.50%,
11/28/2027 (f) |
800,000 |
685,456 |
7.38%,
9/28/2033 (f) |
400,000 |
304,988 |
8.25%,
9/28/2051 (a) |
200,000 |
142,458 |
Federative
Republic of Brazil 3.75%,
9/12/2031 |
200,000 |
171,936 |
Hashemite
Kingdom of Jordan |
|
|
5.85%,
7/7/2030 (f) |
400,000 |
368,068 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
7.38%,
10/10/2047 (f) |
200,000 |
174,442 |
Islamic
Republic of Pakistan 6.00%,
4/8/2026 (f) |
200,000 |
102,910 |
Kingdom
of Bahrain |
|
|
7.38%,
5/14/2030 (f) |
200,000 |
204,670 |
5.45%,
9/16/2032 (f) |
200,000 |
178,960 |
7.50%,
9/20/2047 (f) |
200,000 |
183,978 |
Kingdom
of Morocco 6.50%, 9/8/2033 (f) |
400,000 |
400,924 |
Magyar
Export-Import Bank Zrt. 6.13%,
12/4/2027 (a) |
200,000 |
198,562 |
Republic
of Angola |
|
|
9.50%,
11/12/2025 (f) |
400,000 |
392,748 |
8.25%,
5/9/2028 (f) |
200,000 |
174,540 |
8.00%,
11/26/2029 (f) |
400,000 |
329,644 |
9.13%,
11/26/2049 (f) |
200,000 |
147,932 |
Republic
of Armenia 3.60%, 2/2/2031 (f) |
200,000 |
157,292 |
Republic
of Colombia 3.00%, 1/30/2030 |
200,000 |
158,690 |
Republic
of Costa Rica |
|
|
6.13%,
2/19/2031 (f) |
200,000 |
199,170 |
6.55%,
4/3/2034 (a) |
620,000 |
623,683 |
7.00%,
4/4/2044 (f) |
400,000 |
395,244 |
Republic
of Cote d'Ivoire |
|
|
6.38%,
3/3/2028 (f) |
400,000 |
376,660 |
5.75%,
12/31/2032 (f)
(h) |
283,473 |
256,098 |
6.13%,
6/15/2033 (f) |
600,000 |
511,152 |
Republic
of El Salvador |
|
|
6.38%,
1/18/2027 (f) |
250,000 |
194,505 |
7.12%,
1/20/2050 (f) |
150,000 |
99,395 |
Republic
of Ghana |
|
|
6.38%,
2/11/2027 (f)
(k) |
200,000 |
86,278 |
8.75%,
3/11/2061 (f)
(k) |
200,000 |
82,258 |
Republic
of Guatemala 6.60%, 6/13/2036 (a) |
400,000 |
401,000 |
Republic
of Honduras 6.25%, 1/19/2027 (f) |
150,000 |
141,673 |
Republic
of Iraq 5.80%, 1/15/2028 (f) |
731,250 |
671,931 |
Republic
of Kenya |
|
|
7.00%,
5/22/2027 (f) |
200,000 |
177,008 |
8.00%,
5/22/2032 (f) |
200,000 |
165,138 |
Republic
of Namibia 5.25%, 10/29/2025 (f) |
200,000 |
189,000 |
Republic
of Panama 6.40%, 2/14/2035 |
200,000 |
205,142 |
Republic
of Paraguay |
|
|
5.85%,
8/21/2033 (a) |
200,000 |
196,718 |
6.10%,
8/11/2044 (f) |
400,000 |
369,980 |
5.40%,
3/30/2050 (a) |
200,000 |
166,886 |
Republic
of Rwanda 5.50%, 8/9/2031 (a) |
200,000 |
153,810 |
Republic
of Senegal |
|
|
6.25%,
5/23/2033 (f) |
500,000 |
408,255 |
82
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — continued | ||
6.75%,
3/13/2048 (f) |
200,000 |
138,884 |
Republic
of Serbia 6.50%, 9/26/2033 (a) |
200,000 |
197,014 |
Republic
of South Africa |
|
|
4.30%,
10/12/2028 |
200,000 |
176,384 |
5.88%,
4/20/2032 |
200,000 |
176,616 |
6.25%,
3/8/2041 |
100,000 |
81,005 |
Republic
of Turkey |
|
|
9.38%,
3/14/2029 |
200,000 |
207,210 |
9.38%,
1/19/2033 |
200,000 |
208,222 |
Republic
of Uzbekistan 5.38%, 2/20/2029 (f) |
200,000 |
182,428 |
Romania
Government Bond 6.63%,
2/17/2028 (f) |
200,000 |
206,492 |
State
of Mongolia |
|
|
3.50%,
7/7/2027 (f) |
200,000 |
167,402 |
4.45%,
7/7/2031 (f) |
200,000 |
154,618 |
Sultanate
of Oman Government Bond |
|
|
6.25%,
1/25/2031 (f) |
400,000 |
404,332 |
6.50%,
3/8/2047 (f) |
400,000 |
374,760 |
6.75%,
1/17/2048 (f) |
200,000 |
193,052 |
Turkiye
Ihracat Kredi Bankasi A/S 9.38%,
1/31/2026 (a) |
400,000 |
407,768 |
Total
Foreign Government Securities
(Cost
$17,470,693) |
|
16,401,823 |
Municipal
Bonds — 0.1% (a)
(i) (j) (l) | ||
California
— 0.1% | ||
California
Infrastructure and Economic
Development
Bank, Academy of Motion
Picture
Series 2020A-3, Rev., AMT, 8.00%,
9/14/2023
(Cost $600,000) |
600,000 |
600,044 |
|
SHARES |
|
Short-Term
Investments — 0.4% | ||
Investment
Companies — 0.4% | ||
JPMorgan
Prime Money Market Fund Class IM
Shares,
5.46% (m)
(n)
(Cost
$2,637,620) |
2,636,829 |
2,637,620 |
Total
Investments — 112.3%
(Cost
$691,680,119) |
|
680,020,129 |
Liabilities
in Excess of Other Assets —
(12.3)% |
|
(74,749,221
) |
NET
ASSETS — 100.0% |
|
605,270,908 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ABS |
Asset-Backed
Securities |
ACES |
Alternative
Credit Enhancement Securities |
AMT |
Alternative
Minimum Tax |
CIFC |
Commercial
Industrial Finance Corp. |
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,
2023. 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 |
PIK |
Payment
In Kind |
PO |
Principal
Only represents the right to receive the principal portion
only
on an underlying pool of mortgage loans. The market value of
these
securities is extremely volatile in response to changes in
market
interest rates. As prepayments on the underlying
mortgages
of these securities increase, the yield on these
securities
increases. |
REIT |
Real
Estate Investment Trust |
REMIC |
Real
Estate Mortgage Investment Conduit |
Rev. |
Revenue |
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
has the ability to pay in kind (“PIK”) or pay
income
in cash. When applicable, separate rates of
such
payments are disclosed. |
|
(c) |
Contingent
Capital security (“CoCo”). CoCos are hybrid
debt
securities that may be convertible into equity or
may
be written down if a pre-specified trigger event
occurs.
The total value of aggregate CoCo holdings at
August
31, 2023 is $2,670,004 or 0.44% of the
Fund’s
net assets as of August 31, 2023. |
|
(d) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
August
31, 2023
|
|
83
|
(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, 2023. |
|
(f) |
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. |
|
(g) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2023. |
|
(h) |
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, 2023.
|
|
(i) |
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, 2023.
|
|
(j) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(k) |
Defaulted
security. |
|
(l) |
The
date shown represents the earliest of the
prerefunded
date, next put date or final maturity date. |
|
(m) |
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. |
|
(n) |
The
rate shown is the current yield as of August 31,
2023. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
194 |
12/19/2023 |
USD |
21,537,031 |
167,905 |
U.S.
Treasury Long Bond |
4 |
12/19/2023 |
USD |
486,250 |
5,132 |
U.S.
Treasury Ultra Bond |
10 |
12/19/2023 |
USD |
1,294,375 |
15,611 |
U.S.
Treasury 2 Year Note |
160 |
12/29/2023 |
USD |
32,616,250 |
65,414 |
U.S.
Treasury 5 Year Note |
604 |
12/29/2023 |
USD |
64,599,688 |
352,846 |
|
|
|
|
|
606,908 |
Short
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Ultra Note |
(112
) |
12/19/2023 |
USD |
(13,000,749
) |
(102,162
) |
U.S.
Treasury Ultra Bond |
(47
) |
12/19/2023 |
USD |
(6,083,563
) |
(73,799
) |
|
|
|
|
|
(175,961
) |
|
|
|
|
|
430,947 |
Abbreviations |
|
USD |
United
States Dollar |
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
JPY |
762,680,703 |
USD |
5,396,518 |
BNP
Paribas |
9/15/2023 |
(146,271
) |
JPY |
69,831,790 |
USD |
484,956 |
HSBC
Bank, NA |
9/15/2023 |
(4,238
) |
Net
unrealized depreciation |
(150,509
) |
84
|
|
August
31, 2023
|
Abbreviations |
|
JPY |
Japanese
Yen |
USD |
United
States Dollar |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
COUNTERPARTY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD2,200,000 |
17,660 |
(43,288
) |
(25,628
) |
Bank
of America Corp.,
3.50%,
4/19/2026 |
1.00 |
Quarterly |
Morgan
Stanley |
6/20/2028 |
0.77 |
USD5,000,000 |
8,422 |
(66,667
) |
(58,245
) |
|
|
|
|
|
|
|
26,082 |
(109,955
) |
(83,873
) |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium
to
or from the protection seller, in exchange for the right to receive a
contingent payment, upon occurrence of a credit event with respect to
an
underlying reference obligation, as defined under the terms of individual
swap contracts. |
| |||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract. Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant factors).
| ||||||||
Abbreviations |
|
|
|
|
|
|
|
|
|
USD |
United
States Dollar |
|
|
|
|
|
|
|
|
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.40-V1 |
5.00 |
Quarterly |
6/20/2028 |
4.26 |
USD12,188,000 |
(43,775
) |
(424,141
) |
(467,916
) |
CDX.NA.HY.40-V1 |
5.00 |
Quarterly |
6/20/2028 |
4.26 |
USD14,112,000 |
(85,297
) |
(456,484
) |
(541,781
) |
CDX.NA.HY.40-V1 |
5.00 |
Quarterly |
6/20/2028 |
4.26 |
USD31,100,000 |
(704,717
) |
(489,260
) |
(1,193,977
) |
|
|
|
|
|
|
(833,789
) |
(1,369,885
) |
(2,203,674
) |
(*) |
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. |
August
31, 2023
|
|
85
|
(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
($) |
CDX.NA.HY.40-V1 |
5.00 |
Quarterly |
6/20/2028 |
4.26 |
USD1,800,000 |
9,359 |
59,746 |
69,105 |
(**)
|
The
Fund, as a seller of credit protection, receives periodic payments and may
also receive or pay an upfront premium from or to the protection buyer,
and
is obligated to make a contingent payment, upon occurrence of a credit
event with respect to an underlying reference obligation, as defined under
the
terms
of individual swap contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract.Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
Abbreviations |
|
CDX |
Credit
Default Swap Index |
USD |
United
States Dollar |
|
NET
UPFRONT
PAYMENTS
(RECEIPTS)
($) |
VALUE
($) |
Liabilities |
|
|
OTC
Credit default swap contracts outstanding - buy
protection |
26,082 |
(83,873
) |
86
|
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 56.3% | ||
Australia
— 0.8% | ||
APA
Infrastructure Ltd. 2.00%,
7/15/2030 (a) |
EUR150,000 |
139,064 |
Commonwealth
Bank of Australia
2.69%,
3/11/2031 (b)
(c) |
1,250,000 |
979,381 |
Glencore
Funding LLC |
|
|
5.40%,
5/8/2028 (b) |
450,000 |
445,653 |
2.85%,
4/27/2031 (b) |
450,000 |
366,771 |
2.63%,
9/23/2031 (b) |
1,099,000 |
874,680 |
5.70%,
5/8/2033 (b) |
96,000 |
94,061 |
|
|
2,899,610 |
Austria
— 0.2% | ||
ams-OSRAM
AG 6.00%,
7/31/2025 (a) |
EUR200,000 |
199,087 |
Benteler
International AG |
|
|
9.38%,
5/15/2028 (b) |
EUR116,000 |
128,021 |
9.38%,
5/15/2028 (a) |
EUR200,000 |
220,539 |
|
|
547,647 |
Belgium
— 0.9% | ||
Azelis
Finance NV 5.75%,
3/15/2028 (a) |
EUR400,000 |
440,946 |
KBC
Group NV |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.10%), 5.80%,
1/19/2029 (b)
(d) |
200,000 |
198,005 |
(EUR
Swap Annual 5 Year +
1.25%),
1.63%,
9/18/2029 (a)
(d) |
EUR300,000 |
311,640 |
Ontex
Group NV 3.50%,
7/15/2026 (a) |
EUR700,000 |
688,112 |
Sarens
Finance Co. NV 5.75%,
2/21/2027 (a) |
EUR300,000 |
281,389 |
Solvay
Finance SACA (EUR Swap
Annual
5 Year + 3.70%),
5.43%,
11/12/2023 (a)
(d)
(e)
(f) |
EUR100,000 |
108,183 |
Solvay
SA (EUR Swap Annual 5
Year
+ 3.92%), 4.25%,
12/4/2023 (a)
(d) (e) (f) |
EUR800,000 |
863,143 |
Telenet
Finance Luxembourg
Notes
SARL 3.50%,
3/1/2028 (a) |
EUR500,000 |
504,727 |
|
|
3,396,145 |
Brazil
— 0.3% | ||
Braskem
Netherlands Finance BV
7.25%,
2/13/2033 (a) |
350,000 |
330,208 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Brazil
— continued | ||
Guara
Norte SARL 5.20%,
6/15/2034 (b) |
287,384 |
251,461 |
Klabin
Austria GmbH 7.00%,
4/3/2049 (a) |
200,000 |
193,348 |
Suzano
Austria GmbH |
|
|
3.75%,
1/15/2031 |
48,000 |
40,625 |
7.00%,
3/16/2047 (a) |
200,000 |
199,046 |
Vale
Overseas Ltd. 6.13%,
6/12/2033 |
130,000 |
128,704 |
|
|
1,143,392 |
Canada
— 0.9% | ||
Bank
of Nova Scotia (The) |
|
|
2.45%,
2/2/2032 |
420,000 |
340,302 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 2.05%), 4.59%,
5/4/2037 (c)
(d) |
570,000 |
492,096 |
Canadian
Pacific Railway Co.
3.50%,
5/1/2050 |
90,000 |
66,191 |
Emera
US Finance LP 2.64%,
6/15/2031 |
1,272,000 |
1,013,778 |
Emera,
Inc. Series 16-A, (ICE
LIBOR
USD 3 Month +
5.44%),
6.75%,
6/15/2076 (d) |
236,000 |
226,560 |
Federation
des Caisses
Desjardins
du Quebec
(SOFRINDX
+ 1.09%), 5.28%,
1/23/2026 (b)
(d) |
510,000 |
503,571 |
TransCanada
PipeLines Ltd.
2.50%,
10/12/2031 |
500,000 |
398,394 |
Transcanada
Trust Series 16-A,
(ICE
LIBOR USD 3 Month +
4.64%),
5.88%,
8/15/2076 (d) |
57,000 |
52,563 |
|
|
3,093,455 |
Chile
— 0.1% | ||
Alfa
Desarrollo SpA 4.55%,
9/27/2051 (b) |
338,324 |
243,079 |
Kenbourne
Invest SA 6.88%,
11/26/2024 (b) |
200,000 |
167,718 |
|
|
410,797 |
China
— 0.8% | ||
Country
Garden Holdings Co. Ltd.
3.13%,
10/22/2025 (a) |
530,000 |
45,050 |
Huarong
Finance 2017 Co. Ltd.
4.25%,
11/7/2027 (a) |
200,000 |
150,022 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
87
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
China
— continued | ||
Huarong
Finance 2019 Co. Ltd.
2.13%,
9/30/2023 (a) |
200,000 |
198,528 |
Longfor
Group Holdings Ltd.
4.50%,
1/16/2028 (a) |
300,000 |
192,858 |
NXP
BV |
|
|
5.55%,
12/1/2028 |
1,472,000 |
1,469,311 |
2.50%,
5/11/2031 |
485,000 |
390,348 |
2.65%,
2/15/2032 |
40,000 |
31,898 |
TI
Automotive Finance plc
3.75%,
4/15/2029 (a) |
EUR500,000 |
453,336 |
|
|
2,931,351 |
Colombia
— 0.1% | ||
AI
Candelaria Spain SA 5.75%,
6/15/2033 (b) |
250,000 |
181,340 |
Denmark
— 0.2% | ||
Danske
Bank A/S |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.10%), 6.47%,
1/9/2026 (b)
(d) |
262,000 |
262,120 |
(EURIBOR
ICE Swap Rate 1
Year
+ 0.88%), 0.75%,
6/9/2029 (a)
(d) |
EUR500,000 |
456,950 |
|
|
719,070 |
France
— 8.5% | ||
Accor
SA 3.00%, 2/4/2026 (a)
(g) |
EUR700,000 |
728,361 |
Airbus
SE |
|
|
1.63%,
6/9/2030 (a) |
EUR1,100,000 |
1,047,814 |
1.38%,
5/13/2031 (a) |
EUR300,000 |
279,600 |
Altice
France SA 3.38%,
1/15/2028 (a) |
EUR1,000,000 |
759,099 |
Autoroutes
du Sud de la France
SA |
|
|
1.13%,
4/20/2026 (a) |
EUR800,000 |
815,214 |
3.25%,
1/19/2033 (a) |
EUR600,000 |
625,253 |
AXA
SA (EURIBOR 3 Month +
3.75%),
3.38%,
7/6/2047 (a)
(d) |
EUR600,000 |
616,983 |
Banijay
Entertainment SASU
3.50%,
3/1/2025 (a) |
EUR725,000 |
771,413 |
BPCE
SA |
|
|
5.15%,
7/21/2024 (b) |
600,000 |
592,610 |
4.88%,
4/1/2026 (b) |
450,000 |
434,066 |
(SOFR
+ 2.10%), 5.97%,
1/18/2027 (b)
(d) |
2,038,000 |
2,027,675 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
France
— continued | ||
(EURIBOR
3 Month + 1.00%),
0.50%,
9/15/2027 (a)
(d) |
EUR400,000 |
385,563 |
4.38%,
7/13/2028 (a) |
EUR500,000 |
542,536 |
(SOFR
+ 1.31%), 2.28%,
1/20/2032 (b)
(d) |
480,000 |
370,942 |
(SOFR
+ 1.73%), 3.12%,
10/19/2032 (b)
(d) |
250,000 |
193,270 |
Burger
King France SAS
(EURIBOR
3 Month + 4.75%),
8.48%,
11/1/2026 (a)
(d) |
EUR250,000 |
272,297 |
Casino
Guichard Perrachon SA
4.50%,
3/7/2024 (a)
(g) |
EUR300,000 |
4,229 |
Cerba
Healthcare SACA 3.50%,
5/31/2028 (a) |
EUR739,000 |
696,159 |
CGG
SA 7.75%, 4/1/2027 (a) |
EUR434,000 |
407,076 |
Credit
Agricole SA |
|
|
(SOFR
+ 0.89%), 1.25%,
1/26/2027 (b)
(d) |
1,000,000 |
896,333 |
(U.K.
Government Bonds 1
Year
Note Generic Bid Yield
+
2.60%), 5.75%,
11/29/2027 (a)
(d) |
GBP500,000 |
620,109 |
2.00%,
3/25/2029 (a) |
EUR200,000 |
188,423 |
Credit
Mutuel Arkea SA
(EURIBOR
ICE Swap Rate 5
Year
+ 1.45%), 1.88%,
10/25/2029 (a)
(d) |
EUR300,000 |
311,704 |
Electricite
de France SA |
|
|
(EUR
Swap Annual 6 Year +
3.44%),
4.00%,
7/4/2024 (a)
(d) (e) (f) |
EUR1,000,000 |
1,050,464 |
(EUR
Swap Annual 5 Year +
3.97%),
3.38%,
6/15/2030 (a)
(d) (e) (f) |
EUR1,000,000 |
840,371 |
6.25%,
5/23/2033 (b) |
500,000 |
514,480 |
Elis
SA 1.63%, 4/3/2028 (a) |
EUR1,100,000 |
1,049,866 |
Forvia
SE |
|
|
2.63%,
6/15/2025 (a) |
EUR300,000 |
314,996 |
3.13%,
6/15/2026 (a) |
EUR600,000 |
616,433 |
2.38%,
6/15/2027 (a) |
EUR600,000 |
577,481 |
3.75%,
6/15/2028 (a) |
EUR700,000 |
692,629 |
iliad
SA |
|
|
5.38%,
6/14/2027 (a) |
EUR400,000 |
428,969 |
1.88%,
2/11/2028 (a) |
EUR700,000 |
649,981 |
5.63%,
2/15/2030 (a) |
EUR500,000 |
527,122 |
Loxam
SAS |
|
|
2.88%,
4/15/2026 (a) |
EUR300,000 |
301,252 |
88
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
France
— continued | ||
4.50%,
2/15/2027 (b) |
EUR288,000 |
296,678 |
Lune
Holdings SARL 5.63%,
11/15/2028 (a) |
EUR375,000 |
333,852 |
Orange
SA |
|
|
(EUR
Swap Annual 5 Year +
2.36%),
2.38%,
1/15/2025 (a)
(d) (e) (f) |
EUR200,000 |
206,306 |
(EUR
Swap Annual 5 Year +
3.99%),
5.00%,
10/1/2026 (a)
(d) (e) (f) |
EUR400,000 |
431,593 |
(EUR
Swap Annual 5 Year +
2.10%),
1.75%,
7/15/2028 (a)
(d) (e) (f) |
EUR700,000 |
638,507 |
Paprec
Holding SA |
|
|
4.00%,
3/31/2025 (a) |
EUR100,000 |
106,402 |
3.50%,
7/1/2028 (a) |
EUR473,000 |
464,173 |
Parts
Europe SA 6.50%,
7/16/2025 (a) |
EUR400,000 |
432,990 |
Renault
SA |
|
|
1.25%,
6/24/2025 (a) |
EUR500,000 |
508,967 |
2.00%,
9/28/2026 (a) |
EUR600,000 |
598,041 |
1.13%,
10/4/2027 (a) |
EUR800,000 |
747,016 |
Rexel
SA 2.13%, 6/15/2028 (a) |
EUR600,000 |
580,365 |
Societe
Generale SA |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 4.51%), 5.38%,
11/18/2030 (b)
(c) (d) (e)
(f) |
525,000 |
394,895 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.60%), 3.34%,
1/21/2033 (b)
(d) |
501,000 |
404,120 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.95%), 6.69%,
1/10/2034 (b)
(d) |
580,000 |
590,757 |
7.37%,
1/10/2053 (b) |
336,000 |
326,066 |
SPIE
SA 2.63%, 6/18/2026 (a) |
EUR600,000 |
618,802 |
TotalEnergies
Capital
International
SA 3.13%,
5/29/2050 |
50,000 |
34,561 |
TotalEnergies
SE (EUR Swap
Annual
5 Year + 1.77%),
1.75%,
4/4/2024 (a)
(d) (e)
(f) |
EUR750,000 |
790,507 |
Vallourec
SA 8.50%,
6/30/2026 (a) |
EUR500,000 |
541,508 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
France
— continued | ||
Veolia
Environnement SA
(EURIBOR
ICE Swap Rate 5
Year
+ 2.15%), 1.63%,
6/1/2026 (a)
(d) (e) (f) |
EUR400,000 |
380,607 |
Vinci
SA 1.75%, 9/26/2030 (a) |
EUR100,000 |
96,785 |
|
|
30,674,271 |
Germany
— 4.6% | ||
Adler
Pelzer Holding GmbH
9.50%,
4/1/2027 (b) |
EUR308,000 |
307,479 |
BK
LC Lux Finco1 SARL 5.25%,
4/30/2029 (a) |
EUR800,000 |
833,345 |
Cheplapharm
Arzneimittel GmbH |
|
|
3.50%,
2/11/2027 (a) |
EUR300,000 |
294,727 |
4.38%,
1/15/2028 (a) |
EUR450,000 |
445,182 |
Commerzbank
AG (EUR Swap
Annual
5 Year + 4.35%),
4.00%,
12/5/2030 (a)
(d) |
EUR500,000 |
516,387 |
CT
Investment GmbH 5.50%,
4/15/2026 (a) |
EUR206,000 |
208,689 |
Deutsche
Bank AG |
|
|
(SOFR
+ 2.16%), 2.22%,
9/18/2024 (d) |
1,075,000 |
1,073,316 |
(SOFR
+ 2.26%), 3.74%,
1/7/2033 (d) |
450,000 |
337,918 |
Deutsche
Lufthansa AG |
|
|
2.88%,
2/11/2025 (a) |
EUR1,200,000 |
1,260,692 |
3.00%,
5/29/2026 (a) |
EUR1,000,000 |
1,025,036 |
Douglas
GmbH 6.00%,
4/8/2026 (a) |
EUR700,000 |
724,888 |
IHO
Verwaltungs GmbH |
|
|
3.75%
(Cash),
9/15/2026 (a)
(h) |
EUR325,000 |
332,150 |
3.88%
(Cash),
5/15/2027 (a)
(h) (i) |
EUR500,000 |
491,357 |
8.75%
(Cash),
5/15/2028 (b)
(h) |
EUR263,169 |
296,508 |
Kirk
Beauty SUN GmbH 9.00%
(PIK),
10/1/2026 (a)
(h) |
EUR100,000 |
95,407 |
Nidda
Healthcare Holding GmbH
7.50%,
8/21/2026 (a) |
EUR1,000,000 |
1,089,930 |
Renk
AG 5.75%, 7/15/2025 (a) |
EUR300,000 |
321,692 |
Schaeffler
AG |
|
|
2.88%,
3/26/2027 (a) |
EUR550,000 |
565,082 |
3.38%,
10/12/2028 (a) |
EUR200,000 |
197,081 |
Techem
Verwaltungsgesellschaft
674
mbH 6.00%,
7/30/2026 (a) |
EUR747,318 |
792,122 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
89
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Germany
— continued | ||
Techem
Verwaltungsgesellschaft
675
mbH 2.00%,
7/15/2025 (a) |
EUR400,000 |
416,390 |
thyssenkrupp
AG |
|
|
2.88%,
2/22/2024 (a) |
EUR600,000 |
645,691 |
2.50%,
2/25/2025 (a) |
EUR300,000 |
318,262 |
TK
Elevator Midco GmbH 4.38%,
7/15/2027 (a) |
EUR300,000 |
295,214 |
TUI
Cruises GmbH 6.50%,
5/15/2026 (a) |
EUR350,000 |
360,053 |
Volkswagen
International
Finance
NV |
|
|
(EUR
Swap Annual 5 Year +
3.75%),
3.50%,
6/17/2025 (a)
(d) (e) (f) |
EUR400,000 |
408,258 |
(EUR
Swap Annual 10 Year +
3.98%),
4.63%,
6/27/2028 (a)
(d) (e) (f) |
EUR500,000 |
485,247 |
3.25%,
11/18/2030 (a) |
EUR600,000 |
604,406 |
ZF
Europe Finance BV |
|
|
2.00%,
2/23/2026 (a) |
EUR900,000 |
896,622 |
2.50%,
10/23/2027 (a) |
EUR400,000 |
382,409 |
ZF
Finance GmbH |
|
|
2.25%,
5/3/2028 (a) |
EUR200,000 |
184,914 |
3.75%,
9/21/2028 (a) |
EUR500,000 |
491,211 |
|
|
16,697,665 |
India
— 0.2% | ||
Greenko
Dutch BV 3.85%,
3/29/2026 (b) |
188,000 |
169,480 |
Greenko
Power II Ltd. 4.30%,
12/13/2028 (b) |
394,188 |
342,324 |
NTPC
Ltd. 3.75%, 4/3/2024 (a) |
200,000 |
197,348 |
|
|
709,152 |
Indonesia
— 0.2% | ||
Indonesia
Asahan Aluminium PT
5.45%,
5/15/2030 (b) |
200,000 |
192,068 |
Pertamina
Persero PT 3.65%,
7/30/2029 (b) |
400,000 |
363,744 |
Perusahaan
Perseroan Persero
PT
Perusahaan Listrik Negara
4.13%,
5/15/2027 (a) |
200,000 |
189,958 |
|
|
745,770 |
Ireland
— 1.3% | ||
AerCap
Ireland Capital DAC |
|
|
2.45%,
10/29/2026 |
300,000 |
269,924 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Ireland
— continued | ||
3.30%,
1/30/2032 |
600,000 |
487,582 |
AIB
Group plc |
|
|
(EUR
Swap Annual 1 Year +
1.95%),
4.63%,
7/23/2029 (a)
(d) |
EUR300,000 |
324,385 |
(EUR
Swap Annual 5 Year +
2.15%),
1.88%,
11/19/2029 (a)
(d) |
EUR750,000 |
773,486 |
Avolon
Holdings Funding Ltd. |
|
|
3.95%,
7/1/2024 (b) |
126,000 |
122,903 |
2.88%,
2/15/2025 (b) |
265,000 |
250,040 |
2.13%,
2/21/2026 (b) |
940,000 |
844,604 |
4.25%,
4/15/2026 (b) |
125,000 |
117,882 |
4.38%,
5/1/2026 (b) |
60,000 |
56,562 |
Bank
of Ireland Group plc (EUR
Swap
Annual 5 Year +
7.92%),
7.50%,
5/19/2025 (a)
(c) (d) (e) (f) |
EUR300,000 |
318,897 |
eircom
Finance DAC 3.50%,
5/15/2026 (a) |
EUR1,100,000 |
1,127,182 |
|
|
4,693,447 |
Israel
— 0.2% | ||
Energean
Israel Finance Ltd.
5.38%,
3/30/2028 (a) |
150,475 |
136,749 |
Energian
Israel Finance Ltd.
4.88%,
3/30/2026 (a) |
156,000 |
145,983 |
Leviathan
Bond Ltd. |
|
|
6.13%,
6/30/2025 (a) |
200,000 |
195,660 |
6.50%,
6/30/2027 (a) |
165,554 |
159,644 |
|
|
638,036 |
Italy
— 4.6% | ||
Assicurazioni
Generali SpA |
|
|
2.43%,
7/14/2031 (a) |
EUR200,000 |
178,723 |
(EURIBOR
3 Month + 5.35%),
5.50%,
10/27/2047 (a)
(d) |
EUR200,000 |
218,748 |
Autostrade
per l'Italia SpA
1.88%,
9/26/2029 (a) |
EUR900,000 |
826,003 |
Enel
Finance International NV |
|
|
1.38%,
7/12/2026 (b) |
1,460,000 |
1,294,836 |
3.50%,
4/6/2028 (b) |
200,000 |
182,008 |
1.88%,
7/12/2028 (b) |
425,000 |
358,803 |
0.50%,
6/17/2030 (a) |
EUR200,000 |
172,444 |
0.88%,
1/17/2031 (a) |
EUR493,000 |
426,444 |
2.25%,
7/12/2031 (b) |
536,000 |
416,723 |
5.00%,
6/15/2032 (b) |
200,000 |
187,020 |
90
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Italy
— continued | ||
Enel
SpA |
|
|
Series
63.5, (EUR Swap
Annual
5 Year + 2.58%),
3.38%,
8/24/2026 (a)
(d)
(e)
(f) |
EUR800,000 |
804,588 |
Series
9.5Y, (EUR Swap Annual
5
Year + 2.01%), 1.88%,
6/8/2030 (a)
(d) (e) (f) |
EUR300,000 |
240,732 |
Eni
SpA 4.25%, 5/9/2029 (b) |
250,000 |
237,220 |
Guala
Closures SpA 3.25%,
6/15/2028 (a) |
EUR484,000 |
455,286 |
Infrastrutture
Wireless Italiane
SpA |
|
|
1.88%,
7/8/2026 (a) |
EUR500,000 |
507,445 |
1.63%,
10/21/2028 (a) |
EUR100,000 |
95,729 |
Intesa
Sanpaolo SpA |
|
|
(EUR
Swap Annual 5 Year +
7.19%),
7.75%,
1/11/2027 (a)
(c) (d) (e)
(f) |
EUR276,000 |
292,513 |
5.25%,
1/13/2030 (a) |
EUR145,000 |
162,173 |
6.63%,
6/20/2033 (b) |
1,220,000 |
1,203,986 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.75%), 4.95%,
6/1/2042 (b)
(d) |
200,000 |
133,283 |
Lottomatica
SpA 7.13%,
6/1/2028 (b) |
EUR237,000 |
262,773 |
Mundys
SpA |
|
|
1.63%,
2/3/2025 (a) |
EUR300,000 |
311,519 |
1.88%,
7/13/2027 (a) |
EUR450,000 |
436,494 |
1.88%,
2/12/2028 (a) |
EUR500,000 |
466,580 |
Pro-Gest
SpA 3.25%,
12/15/2024 (a) |
EUR477,000 |
357,786 |
Rossini
SARL 6.75%,
10/30/2025 (a) |
EUR450,000 |
490,074 |
Saipem
Finance International BV |
|
|
3.75%,
9/8/2023 (a) |
EUR200,000 |
216,451 |
2.63%,
1/7/2025 (a) |
EUR600,000 |
627,365 |
Shiba
Bidco SpA 4.50%,
10/31/2028 (a) |
EUR650,000 |
634,345 |
TeamSystem
SpA 3.50%,
2/15/2028 (a) |
EUR300,000 |
278,913 |
Telecom
Italia SpA |
|
|
2.88%,
1/28/2026 (a) |
EUR200,000 |
205,565 |
3.63%,
5/25/2026 (a) |
EUR400,000 |
419,925 |
2.38%,
10/12/2027 (a) |
EUR1,350,000 |
1,271,695 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Italy
— continued | ||
6.88%,
2/15/2028 (a) |
EUR500,000 |
546,941 |
1.63%,
1/18/2029 (a) |
EUR200,000 |
169,701 |
UniCredit
SpA |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.20%), 1.98%,
6/3/2027 (b)
(d) |
200,000 |
177,658 |
(EURIBOR
3 Month + 0.85%),
0.93%,
1/18/2028 (a)
(d) |
EUR600,000 |
580,572 |
(EURIBOR
3 Month + 1.90%),
4.80%,
1/17/2029 (a)
(d) |
EUR200,000 |
219,092 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.55%), 3.13%,
6/3/2032 (b)
(d) |
410,000 |
324,164 |
|
|
16,392,320 |
Japan
— 0.8% | ||
Mitsubishi
UFJ Financial Group,
Inc.
(US Treasury Yield Curve
Rate
T Note Constant Maturity
1
Year + 0.83%), 2.34%,
1/19/2028 (d) |
707,000 |
634,343 |
Takeda
Pharmaceutical Co. Ltd. |
|
|
5.00%,
11/26/2028 |
1,110,000 |
1,101,078 |
1.00%,
7/9/2029 |
EUR363,000 |
336,505 |
2.05%,
3/31/2030 |
546,000 |
449,224 |
3.00%,
11/21/2030 (a) |
EUR200,000 |
204,385 |
3.03%,
7/9/2040 |
270,000 |
196,245 |
|
|
2,921,780 |
Kazakhstan
— 0.1% | ||
KazMunayGas
National Co. JSC
5.75%,
4/19/2047 (a) |
380,000 |
305,303 |
Kuwait
— 0.1% | ||
MEGlobal
Canada ULC 5.00%,
5/18/2025 (b) |
200,000 |
195,970 |
Luxembourg
— 1.5% | ||
Altice
Finco SA 4.75%,
1/15/2028 (a) |
EUR500,000 |
353,015 |
Altice
France Holding SA |
|
|
8.00%,
5/15/2027 (a) |
EUR450,000 |
231,332 |
8.00%,
5/15/2027 (b) |
EUR123,000 |
63,231 |
ARD
Finance SA 5.00% (Cash),
6/30/2027 (a)
(h) (i) |
EUR300,000 |
246,971 |
Herens
Midco SARL 5.25%,
5/15/2029 (a) |
EUR403,000 |
235,976 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
91
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Luxembourg
— continued | ||
INEOS
Finance plc |
|
|
3.38%,
3/31/2026 (a) |
EUR347,000 |
355,575 |
6.63%,
5/15/2028 (a) |
EUR200,000 |
215,786 |
Matterhorn
Telecom SA |
|
|
3.13%,
9/15/2026 (a) |
EUR775,000 |
787,848 |
4.00%,
11/15/2027 (a) |
EUR100,000 |
102,064 |
Monitchem
HoldCo 3 SA 8.75%,
5/1/2028 (a) |
EUR300,000 |
321,662 |
PLT
VII Finance SARL 4.63%,
1/5/2026 (a) |
EUR750,000 |
787,124 |
SELP
Finance SARL, REIT 0.88%,
5/27/2029 (a) |
EUR900,000 |
777,941 |
SES
SA |
|
|
(EUR
Swap Annual 5 Year +
3.19%),
2.88%,
5/27/2026 (a)
(d) (e) (f) |
EUR400,000 |
375,359 |
0.88%,
11/4/2027 (a) |
EUR130,000 |
122,863 |
Summer
BC Holdco A SARL
9.25%,
10/31/2027 (a) |
EUR90,105 |
78,505 |
Summer
BC Holdco B SARL
5.75%,
10/31/2026 (a) |
EUR500,000 |
492,664 |
|
|
5,547,916 |
Malaysia
— 0.1% | ||
Petronas
Capital Ltd. 3.40%,
4/28/2061 (b) |
436,000 |
293,075 |
Mexico
— 0.6% | ||
BBVA
Bancomer SA (US Treasury
Yield
Curve Rate T
Note
Constant Maturity 5 Year
+
2.65%), 5.13%,
1/18/2033 (b)
(c) (d) |
200,000 |
172,752 |
Cemex
SAB de CV (US Treasury
Yield
Curve Rate T
Note
Constant Maturity 5 Year
+
4.53%), 5.13%,
6/8/2026 (b)
(d) (e) (f) |
488,000 |
452,315 |
Fomento
Economico Mexicano
SAB
de CV 3.50%,
1/16/2050 |
150,000 |
108,132 |
Petroleos
Mexicanos 5.95%,
1/28/2031 |
1,908,000 |
1,378,225 |
Southern
Copper Corp. 5.88%,
4/23/2045 |
140,000 |
136,812 |
|
|
2,248,236 |
Morocco
— 0.1% | ||
OCP
SA 6.88%, 4/25/2044 (a) |
200,000 |
178,890 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Netherlands
— 2.0% | ||
ABN
AMRO Bank NV |
|
|
4.75%,
7/28/2025 (b) |
200,000 |
194,193 |
(EUR
Swap Annual 5 Year +
4.67%),
4.38%,
9/22/2025 (a)
(c) (d) (e)
(f) |
EUR200,000 |
196,656 |
4.80%,
4/18/2026 (b) |
200,000 |
192,494 |
Cooperatieve
Rabobank UA |
|
|
3.88%,
9/26/2023 (b) |
250,000 |
249,675 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 0.73%), 1.00%,
9/24/2026 (b)
(d) |
365,000 |
330,016 |
(EUR
Swap Annual 5 Year +
4.68%),
4.38%,
6/29/2027 (a)
(c) (d) (e)
(f) |
EUR400,000 |
383,137 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.22%), 3.65%,
4/6/2028 (b)
(d) |
890,000 |
826,254 |
Q-Park
Holding I BV 2.00%,
3/1/2027 (a) |
EUR500,000 |
476,436 |
Sigma
Holdco BV 5.75%,
5/15/2026 (a) |
EUR800,000 |
745,748 |
Titan
Holdings II BV 5.13%,
7/15/2029 (a) |
EUR568,000 |
505,663 |
Trivium
Packaging Finance BV
3.75%,
8/15/2026 (a)
(g) |
EUR550,000 |
541,226 |
UPC
Holding BV 3.88%,
6/15/2029 (a) |
EUR600,000 |
538,471 |
Versuni
Group BV 3.13%,
6/15/2028 (a) |
EUR436,000 |
378,221 |
VZ
Vendor Financing II BV
2.88%,
1/15/2029 (a) |
EUR100,000 |
84,176 |
Wolters
Kluwer NV 3.75%,
4/3/2031 (a) |
EUR500,000 |
541,053 |
Ziggo
Bond Co. BV 3.38%,
2/28/2030 (a) |
EUR1,200,000 |
974,252 |
|
|
7,157,671 |
New
Zealand — 0.1% | ||
ANZ
New Zealand Int'l Ltd.
2.55%,
2/13/2030 (b) |
490,000 |
412,197 |
92
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Norway
— 0.5% | ||
DNB
Bank ASA |
|
|
(U.K.
Government Bonds 1
Year
Note Generic Bid Yield
+
1.35%), 2.63%,
6/10/2026 (a)
(d) |
GBP1,000,000 |
1,190,566 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 0.85%), 1.13%,
9/16/2026 (b)
(d) |
841,000 |
759,879 |
|
|
1,950,445 |
Portugal
— 0.8% | ||
EDP
- Energias de Portugal SA |
|
|
(EUR
Swap Annual 5 Year +
1.84%),
1.70%,
7/20/2080 (a)
(d) |
EUR1,000,000 |
997,923 |
Series
NC5., (EUR Swap
Annual
5 Year + 1.89%),
1.50%,
3/14/2082 (a)
(d) |
EUR400,000 |
370,188 |
(EUR
Swap Annual 5 Year +
3.18%),
5.94%,
4/23/2083 (a)
(d) |
EUR200,000 |
214,445 |
EDP
Finance BV |
|
|
3.63%,
7/15/2024 (b) |
675,000 |
660,848 |
1.50%,
11/22/2027 (a) |
EUR750,000 |
743,834 |
|
|
2,987,238 |
South
Africa — 0.4% | ||
Anglo
American Capital plc |
|
|
4.00%,
9/11/2027 (b) |
500,000 |
469,710 |
5.50%,
5/2/2033 (b) |
1,170,000 |
1,124,475 |
|
|
1,594,185 |
Spain
— 4.8% | ||
Abertis
Infraestructuras Finance
BV |
|
|
(EUR
Swap Annual 5 Year +
3.69%),
3.25%,
11/24/2025 (a)
(d) (e) (f) |
EUR900,000 |
881,068 |
(EUR
Swap Annual 5 Year +
3.27%),
2.63%,
1/26/2027 (a)
(d) (e) (f) |
EUR100,000 |
90,977 |
Banco
de Sabadell SA (EUR Swap
Annual
1 Year + 0.97%),
0.63%,
11/7/2025 (a)
(d) |
EUR300,000 |
310,571 |
Banco
Santander SA |
|
|
5.15%,
8/18/2025 |
1,400,000 |
1,377,154 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Spain
— continued | ||
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 0.90%), 1.72%,
9/14/2027 (d) |
800,000 |
703,171 |
CaixaBank
SA |
|
|
(EUR
Swap Annual 5 Year +
6.50%),
6.75%,
6/13/2024 (a)
(c) (d) (e)
(f) |
EUR400,000 |
426,249 |
1.13%,
3/27/2026 (a) |
EUR1,000,000 |
1,008,007 |
(EUR
Swap Annual 5 Year +
3.62%),
3.75%,
2/15/2029 (a)
(d) |
EUR800,000 |
860,564 |
Cellnex
Finance Co. SA 2.25%,
4/12/2026 (a) |
EUR500,000 |
512,919 |
Cellnex
Telecom SA |
|
|
1.00%,
4/20/2027 (a) |
EUR600,000 |
578,166 |
1.88%,
6/26/2029 (a) |
EUR600,000 |
556,454 |
1.75%,
10/23/2030 (a) |
EUR600,000 |
533,734 |
Cirsa
Finance International SARL
4.75%,
5/22/2025 (a) |
EUR950,000 |
1,014,681 |
eDreams
ODIGEO SA |
|
|
5.50%,
7/15/2027 (b) |
EUR307,000 |
304,747 |
5.50%,
7/15/2027 (a) |
EUR400,000 |
397,065 |
Grifols
SA |
|
|
1.63%,
2/15/2025 (a) |
EUR550,000 |
577,905 |
2.25%,
11/15/2027 (a) |
EUR1,000,000 |
975,011 |
3.88%,
10/15/2028 (a) |
EUR200,000 |
188,284 |
Grupo
Antolin-Irausa SA |
|
|
3.38%,
4/30/2026 (a) |
EUR100,000 |
90,679 |
3.50%,
4/30/2028 (a) |
EUR200,000 |
159,883 |
Iberdrola
International BV |
|
|
(EUR
Swap Annual 5 Year +
2.06%),
2.63%,
12/26/2023 (a)
(d) (e) (f) |
EUR800,000 |
854,478 |
Series
NC5, (EUR Swap Annual
5
Year + 2.32%), 1.87%,
1/28/2026 (a)
(d) (e) (f) |
EUR300,000 |
293,879 |
Kaixo
Bondco Telecom SA
5.13%,
9/30/2029 (a) |
EUR392,000 |
372,945 |
Lorca
Telecom Bondco SA
4.00%,
9/18/2027 (a) |
EUR1,066,000 |
1,069,223 |
Naturgy
Finance BV (EUR Swap
Annual
9 Year + 3.08%),
3.38%,
4/24/2024 (a)
(d)
(e)
(f) |
EUR200,000 |
212,262 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
93
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Spain
— continued | ||
Repsol
International Finance BV
(EUR
Swap Annual 10 Year +
4.20%),
4.50%,
3/25/2075 (a)
(d) |
EUR800,000 |
841,528 |
Telefonica
Emisiones SA 5.21%,
3/8/2047 |
150,000 |
125,716 |
Telefonica
Europe BV |
|
|
Series
NC5, (EUR Swap Annual
5
Year + 2.45%), 3.00%,
10/9/2023 (a)
(d) (e) (f) |
EUR100,000 |
107,515 |
(EUR
Swap Annual 8 Year +
2.97%),
3.88%,
6/22/2026 (a)
(d) (e) (f) |
EUR900,000 |
907,601 |
(EUR
Swap Annual 6 Year +
2.87%),
2.88%,
2/24/2028 (a)
(d) (e) (f) |
EUR1,000,000 |
927,119 |
|
|
17,259,555 |
Sweden
— 0.7% | ||
Svenska
Handelsbanken AB (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year
+
4.05%), 4.75%,
3/1/2031 (a)
(c) (d) (e) (f) |
200,000 |
155,000 |
Verisure
Holding AB |
|
|
3.88%,
7/15/2026 (a) |
EUR275,000 |
279,962 |
3.25%,
2/15/2027 (a) |
EUR1,100,000 |
1,072,015 |
Verisure
Midholding AB 5.25%,
2/15/2029 (a) |
EUR300,000 |
282,007 |
Volvo
Car AB |
|
|
2.00%,
1/24/2025 (a) |
EUR200,000 |
208,217 |
2.50%,
10/7/2027 (a) |
EUR400,000 |
392,535 |
|
|
2,389,736 |
Switzerland
— 1.5% | ||
Dufry
One BV |
|
|
2.50%,
10/15/2024 (a) |
EUR700,000 |
740,248 |
2.00%,
2/15/2027 (a) |
EUR400,000 |
383,405 |
Holcim
Finance Luxembourg SA
0.50%,
4/23/2031 (a) |
EUR400,000 |
329,035 |
Holcim
Sterling Finance
Netherlands
BV 2.25%,
4/4/2034 (a) |
GBP300,000 |
265,669 |
Swiss
Re Finance Luxembourg SA
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 3.58%), 5.00%,
4/2/2049 (b)
(d) |
200,000 |
189,000 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Switzerland
— continued | ||
UBS
Group AG |
|
|
(SOFR
+ 3.34%), 6.37%,
7/15/2026 (b)
(d) |
300,000 |
301,248 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.05%), 4.70%,
8/5/2027 (b)
(d) |
322,000 |
312,156 |
4.28%,
1/9/2028 (b) |
550,000 |
514,505 |
(SOFR
+ 3.73%), 4.19%,
4/1/2031 (b)
(d) |
274,000 |
246,717 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.00%), 2.10%,
2/11/2032 (b)
(d) |
280,000 |
215,860 |
(SOFR
+ 1.73%), 3.09%,
5/14/2032 (b)
(d) |
561,000 |
462,312 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.10%), 2.75%,
2/11/2033 (b)
(d) |
430,000 |
338,744 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.40%), 4.99%,
8/5/2033 (b)
(d) |
200,000 |
186,384 |
Zurich
Insurance Co. Ltd.
(EURIBOR
3 Month + 3.95%),
3.50%,
10/1/2046 (a)
(d) |
EUR700,000 |
722,080 |
|
|
5,207,363 |
Taiwan
— 0.4% | ||
TSMC
Arizona Corp. 4.25%,
4/22/2032 |
380,000 |
359,826 |
TSMC
Global Ltd. |
|
|
1.25%,
4/23/2026 (b) |
700,000 |
630,490 |
2.25%,
4/23/2031 (b) |
700,000 |
575,463 |
|
|
1,565,779 |
United
Kingdom — 9.2% | ||
888
Acquisitions Ltd. |
|
|
7.56%,
7/15/2027 (b) |
EUR230,000 |
236,494 |
7.56%,
7/15/2027 (a) |
EUR100,000 |
102,945 |
AstraZeneca
plc |
|
|
0.38%,
6/3/2029 (a) |
EUR700,000 |
639,307 |
4.00%,
9/18/2042 |
490,000 |
421,806 |
Barclays
plc |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 0.80%), 1.01%,
12/10/2024 (d) |
630,000 |
621,291 |
94
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
Kingdom — continued | ||
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.30%), 5.30%,
8/9/2026 (d) |
398,000 |
392,124 |
BAT
Capital Corp. |
|
|
6.34%,
8/2/2030 |
380,000 |
382,417 |
7.08%,
8/2/2043 |
1,005,000 |
999,333 |
Bellis
Acquisition Co. plc |
|
|
3.25%,
2/16/2026 (a) |
GBP100,000 |
108,470 |
4.50%,
2/16/2026 (a) |
GBP200,000 |
221,690 |
BP
Capital Markets plc |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 4.04%), 4.38%,
6/22/2025 (d)
(e) (f) |
204,000 |
195,177 |
(EUR
Swap Annual 5 Year +
3.52%),
3.25%,
3/22/2026 (a)
(d) (e) (f) |
EUR800,000 |
810,010 |
(EUR
Swap Annual 5 Year +
3.78%),
3.63%,
3/22/2029 (a)
(d) (e) (f) |
EUR200,000 |
190,579 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 4.40%), 4.88%,
3/22/2030 (d)
(e) (f) |
94,000 |
85,128 |
Centrica
plc 4.38%,
3/13/2029 (a) |
GBP200,000 |
235,336 |
CPUK
Finance Ltd. 4.50%,
8/28/2027 (a) |
GBP400,000 |
437,553 |
EC
Finance plc 3.00%,
10/15/2026 (a) |
EUR899,000 |
914,017 |
eG
Global Finance plc 4.38%,
2/7/2025 (a) |
EUR184,955 |
193,995 |
Eversholt
Funding plc 2.74%,
6/30/2040 (a) |
GBP697,440 |
689,002 |
Gatwick
Funding Ltd. 2.50%,
4/15/2030 (a) |
GBP700,000 |
718,512 |
Heathrow
Funding Ltd. |
|
|
1.50%,
10/12/2025 (a) |
EUR800,000 |
821,745 |
6.75%,
12/3/2026 (a) |
GBP300,000 |
386,242 |
1.50%,
2/11/2030 (a) |
EUR300,000 |
277,408 |
1.88%,
3/14/2034 (a) |
EUR250,000 |
215,351 |
5.88%,
5/13/2041 (a) |
GBP100,000 |
121,619 |
HSBC
Holdings plc |
|
|
(SOFR
+ 1.54%), 1.64%,
4/18/2026 (d) |
490,000 |
456,415 |
(SOFR
+ 3.03%), 7.34%,
11/3/2026 (d) |
720,000 |
741,091 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
Kingdom — continued | ||
5.75%,
12/20/2027 (a) |
GBP200,000 |
247,224 |
(SOFR
+ 2.61%), 5.21%,
8/11/2028 (d) |
380,000 |
370,805 |
(SOFR
+ 1.73%), 2.01%,
9/22/2028 (d) |
1,270,000 |
1,091,460 |
(3-MONTH
CME TERM SOFR +
1.87%),
3.97%,
5/22/2030 (d) |
374,000 |
336,678 |
(SOFR
+ 1.41%), 2.87%,
11/22/2032 (d) |
440,000 |
350,154 |
Iceland
Bondco plc 10.88%,
12/15/2027 (b) |
GBP120,000 |
153,596 |
INEOS
Quattro Finance 1 plc
3.75%,
7/15/2026 (a) |
EUR400,000 |
384,022 |
INEOS
Quattro Finance 2 plc
2.50%,
1/15/2026 (a) |
EUR200,000 |
197,165 |
INEOS
Styrolution Group GmbH
2.25%,
1/16/2027 (a) |
EUR300,000 |
279,762 |
International
Consolidated
Airlines
Group SA |
|
|
2.75%,
3/25/2025 (a) |
EUR100,000 |
104,368 |
1.50%,
7/4/2027 (a) |
EUR600,000 |
559,850 |
Jaguar
Land Rover Automotive
plc |
|
|
2.20%,
1/15/2024 (a) |
EUR200,000 |
214,094 |
4.50%,
1/15/2026 (a) |
EUR500,000 |
521,187 |
Lloyds
Banking Group plc |
|
|
4.58%,
12/10/2025 |
200,000 |
192,552 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.48%), 5.99%,
8/7/2027 (d) |
410,000 |
409,580 |
National
Grid plc |
|
|
2.18%,
6/30/2026 (a) |
EUR900,000 |
932,251 |
0.25%,
9/1/2028 (a) |
EUR800,000 |
725,253 |
NatWest
Group plc |
|
|
(ICE
LIBOR USD 3 Month +
1.76%),
4.27%,
3/22/2025 (d) |
780,000 |
771,202 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 5.63%), 6.00%,
12/29/2025 (c)
(d) (e) (f) |
250,000 |
229,743 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.27%), 5.52%,
9/30/2028 (d) |
400,000 |
392,874 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
95
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
Kingdom — continued | ||
(EURIBOR
3 Month + 0.89%),
0.67%,
9/14/2029 (a)
(d) |
EUR1,200,000 |
1,072,887 |
NGG
Finance plc (EUR Swap
Annual
5 Year + 2.53%),
2.13%,
9/5/2082 (a)
(d) |
EUR730,000 |
688,751 |
Nomad
Foods Bondco plc
2.50%,
6/24/2028 (a) |
EUR600,000 |
572,374 |
Pinnacle
Bidco plc 5.50%,
2/15/2025 (a) |
EUR500,000 |
538,625 |
Punch
Finance plc 6.13%,
6/30/2026 (a) |
GBP438,000 |
483,420 |
RAC
Bond Co. plc 5.25%,
11/4/2027 (a) |
GBP554,000 |
557,375 |
RELX
Finance BV 0.88%,
3/10/2032 (a) |
EUR500,000 |
432,292 |
Rolls-Royce
plc |
|
|
0.88%,
5/9/2024 (a) |
EUR600,000 |
632,120 |
4.63%,
2/16/2026 (a) |
EUR400,000 |
428,860 |
Santander
UK Group Holdings plc |
|
|
(SOFR
+ 2.75%), 6.83%,
11/21/2026 (d) |
285,000 |
288,579 |
(SOFR
+ 0.99%), 1.67%,
6/14/2027 (d) |
900,000 |
792,136 |
(SOFR
+ 2.60%), 6.53%,
1/10/2029 (d) |
665,000 |
670,237 |
South
Eastern Power Networks
plc
5.63%, 9/30/2030 (a) |
GBP400,000 |
503,297 |
Standard
Chartered plc |
|
|
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 0.78%), 0.99%,
1/12/2025 (b)
(d) |
312,000 |
305,494 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 1.65%), 3.97%,
3/30/2026 (b)
(d) |
395,000 |
381,140 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 3.45%), 7.77%,
11/16/2028 (b)
(d) |
670,000 |
709,576 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 2.45%), 6.30%,
1/9/2029 (b)
(d) |
214,000 |
216,056 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 1
Year
+ 3.85%), 4.64%,
4/1/2031 (b)
(d) |
306,000 |
283,974 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
Kingdom — continued | ||
Synthomer
plc 3.88%,
7/1/2025 (a) |
EUR200,000 |
200,898 |
Thames
Water Utilities Finance
plc
4.38%, 1/18/2031 (a) |
EUR400,000 |
407,313 |
Virgin
Media Finance plc 3.75%,
7/15/2030 (a) |
EUR800,000 |
699,892 |
Vmed
O2 UK Financing I plc
3.25%,
1/31/2031 (a) |
EUR500,000 |
450,584 |
Vodafone
Group plc |
|
|
(EUR
Swap Annual 5 Year +
3.43%),
4.20%,
10/3/2078 (a)
(d) |
EUR300,000 |
299,982 |
(USD
Swap Semi 5 Year +
4.87%),
7.00%,
4/4/2079 (d) |
429,000 |
432,095 |
(EUR
Swap Annual 5 Year +
3.48%),
3.00%,
8/27/2080 (a)
(d) |
EUR925,000 |
819,972 |
|
|
32,946,806 |
United
States — 8.7% | ||
AbbVie,
Inc. |
|
|
2.63%,
11/15/2028 |
EUR500,000 |
514,373 |
4.25%,
11/21/2049 |
220,000 |
185,275 |
AES
Corp. (The) |
|
|
3.30%,
7/15/2025 (b) |
31,000 |
29,477 |
3.95%,
7/15/2030 (b) |
42,000 |
37,332 |
Air
Lease Corp. 3.13%,
12/1/2030 |
256,000 |
213,356 |
Alexander
Funding Trust 1.84%,
11/15/2023 (b) |
70,000 |
69,276 |
American
Express Co. (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year
+
2.85%), 3.55%,
9/15/2026 (d)
(e) (f) |
104,000 |
86,580 |
American
Medical Systems
Europe
BV 1.63%, 3/8/2031 |
EUR100,000 |
92,530 |
Amgen,
Inc. |
|
|
4.20%,
3/1/2033 |
94,000 |
86,542 |
5.25%,
3/2/2033 |
374,000 |
372,055 |
Ardagh
Metal Packaging Finance
USA
LLC 2.00%,
9/1/2028 (a) |
EUR200,000 |
179,430 |
AT&T,
Inc. |
|
|
3.50%,
9/15/2053 |
130,000 |
85,567 |
3.55%,
9/15/2055 |
99,000 |
64,614 |
96
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
States — continued | ||
Bank
of America Corp. |
|
|
(SOFR
+ 1.29%), 5.08%,
1/20/2027 (d) |
210,000 |
207,240 |
(SOFR
+ 1.05%), 2.55%,
2/4/2028 (d) |
175,000 |
158,271 |
(SOFR
+ 1.63%), 5.20%,
4/25/2029 (d) |
500,000 |
492,441 |
Series
N, (SOFR + 1.22%),
2.65%,
3/11/2032 (d) |
560,000 |
457,758 |
(SOFR
+ 1.32%), 2.69%,
4/22/2032 (d) |
249,000 |
203,735 |
(SOFR
+ 1.22%), 2.30%,
7/21/2032 (d) |
470,000 |
370,667 |
Baxter
International, Inc. |
|
|
2.54%,
2/1/2032 |
315,000 |
252,850 |
3.13%,
12/1/2051 |
181,000 |
115,114 |
Berkshire
Hathaway Energy Co.
4.60%,
5/1/2053 |
47,000 |
38,724 |
Boeing
Co. (The) 5.81%,
5/1/2050 |
205,000 |
199,442 |
BP
Capital Markets America, Inc.
2.72%,
1/12/2032 |
881,000 |
737,379 |
Broadcom,
Inc. 3.47%,
4/15/2034 (b) |
400,000 |
326,843 |
Capital
One Financial Corp.
Series
M, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 3.16%),
3.95%,
9/1/2026 (d)
(e) (f) |
310,000 |
237,925 |
CCO
Holdings LLC 5.13%,
5/1/2027 (b) |
140,000 |
131,613 |
Cencora,
Inc. 2.70%,
3/15/2031 |
839,000 |
705,743 |
CenterPoint
Energy, Inc. 2.95%,
3/1/2030 |
280,000 |
241,028 |
CF
Industries, Inc. 4.95%,
6/1/2043 |
224,000 |
189,338 |
Charter
Communications
Operating
LLC |
|
|
3.70%,
4/1/2051 |
308,000 |
191,400 |
3.90%,
6/1/2052 |
282,000 |
180,443 |
Cheniere
Energy Partners LP
5.95%,
6/30/2033 (b) |
540,000 |
538,901 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Citigroup,
Inc. |
|
|
Series
W, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 3.60%),
4.00%,
12/10/2025 (d)
(e)
(f) |
160,000 |
143,207 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 3.42%), 3.88%,
2/18/2026 (d)
(e) (f) |
686,000 |
600,277 |
(SOFR
+ 1.17%), 2.56%,
5/1/2032 (d) |
320,000 |
257,820 |
(SOFR
+ 1.18%), 2.52%,
11/3/2032 (d) |
140,000 |
111,098 |
Columbia
Pipelines Operating Co.
LLC |
|
|
5.93%,
8/15/2030 (b) |
800,000 |
806,989 |
6.04%,
11/15/2033 (b) |
200,000 |
202,050 |
Comcast
Corp. |
|
|
2.80%,
1/15/2051 |
130,000 |
82,460 |
5.35%,
5/15/2053 |
1,365,000 |
1,335,750 |
2.94%,
11/1/2056 |
290,000 |
180,460 |
Constellation
Energy
Generation
LLC |
|
|
5.80%,
3/1/2033 |
200,000 |
203,736 |
5.60%,
6/15/2042 |
210,000 |
197,969 |
Crown
Castle, Inc., REIT |
|
|
4.80%,
9/1/2028 |
190,000 |
184,451 |
2.10%,
4/1/2031 |
280,000 |
220,747 |
CVS
Health Corp. 5.25%,
2/21/2033 |
286,000 |
279,689 |
Danaher
Corp. 2.80%,
12/10/2051 |
85,000 |
55,956 |
Diamondback
Energy, Inc.
3.13%,
3/24/2031 |
277,000 |
238,167 |
Discovery
Communications LLC
3.63%,
5/15/2030 |
50,000 |
43,914 |
Duke
Energy Indiana LLC 5.40%,
4/1/2053 |
35,000 |
34,019 |
Duke
Energy Ohio, Inc. |
|
|
5.25%,
4/1/2033 |
45,000 |
45,108 |
5.65%,
4/1/2053 |
15,000 |
14,921 |
Duquesne
Light Holdings, Inc.
2.78%,
1/7/2032 (b) |
140,000 |
108,023 |
Entergy
Texas, Inc. 1.75%,
3/15/2031 |
115,000 |
90,058 |
Fells
Point Funding Trust 3.05%,
1/31/2027 (b) |
274,000 |
250,558 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
97
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
States — continued | ||
FirstEnergy
Transmission LLC
2.87%,
9/15/2028 (b) |
705,000 |
618,761 |
Ford
Motor Credit Co. LLC |
|
|
4.27%,
1/9/2027 |
200,000 |
184,917 |
3.63%,
6/17/2031 |
467,000 |
378,383 |
Freeport-McMoRan,
Inc. |
|
|
4.25%,
3/1/2030 |
218,000 |
197,864 |
5.40%,
11/14/2034 |
55,000 |
52,120 |
General
Electric Co. 4.13%,
9/19/2035 (a) |
EUR100,000 |
107,987 |
Global
Payments, Inc. 2.90%,
11/15/2031 |
265,000 |
217,127 |
Goldman
Sachs Group, Inc. (The) |
|
|
Series
T, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 2.97%),
3.80%,
5/10/2026 (d)
(e)
(f) |
10,000 |
8,395 |
(SOFR
+ 0.91%), 1.95%,
10/21/2027 (d) |
355,000 |
315,920 |
Series
W, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 3.16%),
7.50%,
2/10/2029 (d)
(e)
(f) |
510,000 |
512,550 |
(SOFR
+ 1.28%), 2.62%,
4/22/2032 (d) |
290,000 |
234,653 |
(SOFR
+ 1.25%), 2.38%,
7/21/2032 (d) |
190,000 |
150,185 |
(SOFR
+ 1.26%), 2.65%,
10/21/2032 (d) |
300,000 |
240,739 |
Gray
Oak Pipeline LLC 2.60%,
10/15/2025 (b) |
50,000 |
46,237 |
HCA,
Inc. |
|
|
5.88%,
2/15/2026 |
185,000 |
185,252 |
5.20%,
6/1/2028 |
170,000 |
167,516 |
2.38%,
7/15/2031 |
370,000 |
292,081 |
5.50%,
6/15/2047 |
91,000 |
82,848 |
5.25%,
6/15/2049 |
120,000 |
104,734 |
3.50%,
7/15/2051 |
150,000 |
99,995 |
4.63%,
3/15/2052 |
687,000 |
551,242 |
5.90%,
6/1/2053 |
335,000 |
321,277 |
Healthpeak
OP LLC, REIT 5.25%,
12/15/2032 |
367,000 |
354,751 |
Hyundai
Capital America |
|
|
3.50%,
11/2/2026 (b) |
555,000 |
519,919 |
3.50%,
11/2/2026 (a) |
150,000 |
140,519 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
International
Game Technology
plc
2.38%, 4/15/2028 (a) |
EUR200,000 |
193,242 |
JBS
USA LUX SA 4.38%,
2/2/2052 |
120,000 |
85,062 |
Kinder
Morgan, Inc. 5.20%,
6/1/2033 |
230,000 |
220,320 |
Kraft
Heinz Foods Co. 4.88%,
10/1/2049 |
250,000 |
221,614 |
Lowe's
Cos., Inc. 4.80%,
4/1/2026 |
225,000 |
222,393 |
Metropolitan
Life Global Funding
I
3.30%, 3/21/2029 (b) |
185,000 |
167,032 |
Morgan
Stanley |
|
|
(SOFR
+ 0.46%), 5.79%,
1/25/2024 (d) |
598,000 |
597,872 |
(SOFR
+ 0.88%), 1.59%,
5/4/2027 (d) |
690,000 |
619,026 |
(SOFR
+ 1.61%), 4.21%,
4/20/2028 (d) |
315,000 |
301,157 |
(SOFR
+ 1.73%), 5.12%,
2/1/2029 (d) |
455,000 |
445,959 |
(SOFR
+ 1.59%), 5.16%,
4/20/2029 (d) |
575,000 |
563,977 |
(SOFR
+ 1.63%), 5.45%,
7/20/2029 (d) |
870,000 |
864,894 |
(SOFR
+ 1.18%), 2.24%,
7/21/2032 (d) |
220,000 |
173,059 |
(SOFR
+ 1.20%), 2.51%,
10/20/2032 (d) |
173,000 |
137,761 |
(SOFR
+ 1.88%), 5.42%,
7/21/2034 (d) |
290,000 |
285,134 |
(US
Treasury Yield Curve Rate
T
Note Constant Maturity 5
Year
+ 2.43%), 5.95%,
1/19/2038 (d) |
125,000 |
121,550 |
Netflix,
Inc. 5.38%,
11/15/2029 (b) |
357,000 |
355,025 |
OI
European Group BV 6.25%,
5/15/2028 (b) |
EUR180,000 |
199,547 |
Oracle
Corp. 5.55%, 2/6/2053 |
250,000 |
232,396 |
Pacific
Gas and Electric Co. |
|
|
3.30%,
3/15/2027 |
366,000 |
333,363 |
6.15%,
1/15/2033 |
460,000 |
447,968 |
6.40%,
6/15/2033 |
360,000 |
355,089 |
Par
Pharmaceutical, Inc. 7.50%,
4/1/2027 (b)
(g) (j) |
9,000 |
6,407 |
Pfizer
Investment Enterprises
Pte.
Ltd. 5.30%, 5/19/2053 |
112,000 |
112,041 |
98
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
States — continued | ||
PNC
Financial Services Group,
Inc.
(The) Series T, (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year
+
2.60%), 3.40%,
9/15/2026 (d)
(e) (f) |
321,000 |
245,578 |
Regency
Centers LP, REIT
2.95%,
9/15/2029 |
95,000 |
82,091 |
Roper
Technologies, Inc. 2.95%,
9/15/2029 |
160,000 |
141,503 |
Take-Two
Interactive Software,
Inc. |
|
|
3.55%,
4/14/2025 |
60,000 |
58,010 |
5.00%,
3/28/2026 |
57,000 |
56,388 |
3.70%,
4/14/2027 |
210,000 |
199,000 |
4.00%,
4/14/2032 |
70,000 |
63,017 |
Texas
Instruments, Inc. 5.05%,
5/18/2063 |
85,000 |
81,437 |
Thermo
Fisher Scientific, Inc.
0.88%,
10/1/2031 |
EUR100,000 |
87,131 |
T-Mobile
USA, Inc. |
|
|
2.63%,
2/15/2029 |
34,000 |
29,441 |
2.55%,
2/15/2031 |
81,000 |
66,746 |
UGI
International LLC 2.50%,
12/1/2029 (a) |
EUR250,000 |
212,820 |
Union
Electric Co. 3.90%,
4/1/2052 |
80,000 |
62,861 |
Warnermedia
Holdings, Inc. |
|
|
4.28%,
3/15/2032 |
822,000 |
725,365 |
5.05%,
3/15/2042 |
155,000 |
127,415 |
5.14%,
3/15/2052 |
508,000 |
404,932 |
Wells
Fargo & Co. |
|
|
Series
BB, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 3.45%),
3.90%,
3/15/2026 (d)
(e)
(f) |
340,000 |
301,410 |
(SOFR
+ 1.74%), 5.57%,
7/25/2029 (d) |
780,000 |
776,770 |
(SOFR
+ 1.99%), 5.56%,
7/25/2034 (d) |
500,000 |
493,423 |
Welltower
OP LLC, REIT 2.80%,
6/1/2031 |
220,000 |
181,470 |
|
|
31,425,357 |
Total
Corporate Bonds
(Cost
$223,733,506) |
|
202,460,970 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — 32.8% | ||
Angola
— 0.2% | ||
Republic
of Angola |
|
|
8.00%,
11/26/2029 (a) |
210,000 |
173,063 |
8.75%,
4/14/2032 (b) |
483,000 |
396,075 |
|
|
569,138 |
Australia
— 2.7% | ||
Commonwealth
of Australia |
|
|
1.25%,
5/21/2032 |
AUD16,638,000 |
8,614,567 |
3.00%,
3/21/2047 (a) |
AUD2,140,000 |
1,100,661 |
|
|
9,715,228 |
Bahrain
— 0.1% | ||
Kingdom
of Bahrain 6.00%,
9/19/2044 (a) |
335,000 |
268,871 |
Brazil
— 5.0% | ||
Notas
do Tesouro Nacional |
|
|
10.00%,
1/1/2025 (j) |
BRL40,000,000 |
8,019,825 |
10.00%,
1/1/2027 |
BRL49,300,000 |
9,837,866 |
|
|
17,857,691 |
Canada
— 6.4% | ||
Canada
Government Bond |
|
|
0.50%,
11/1/2023 |
CAD4,969,000 |
3,651,325 |
0.75%,
2/1/2024 |
CAD7,000,000 |
5,090,749 |
0.25%,
4/1/2024 |
CAD8,600,000 |
6,196,493 |
2.50%,
6/1/2024 |
CAD4,300,000 |
3,123,769 |
2.75%,
8/1/2024 |
CAD7,000,000 |
5,074,275 |
|
|
23,136,611 |
Colombia
— 0.2% | ||
Republic
of Colombia |
|
|
3.13%,
4/15/2031 |
460,000 |
354,200 |
5.20%,
5/15/2049 |
520,000 |
365,607 |
|
|
719,807 |
Costa
Rica — 0.1% | ||
Republic
of Costa Rica 6.13%,
2/19/2031 (a) |
300,000 |
298,755 |
Czech
Republic — 1.0% | ||
Czech
Republic |
|
|
4.90%,
4/14/2034 |
CZK49,480,000 |
2,316,492 |
1.95%,
7/30/2037 |
CZK37,240,000 |
1,250,939 |
|
|
3,567,431 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
99
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — continued | ||
Dominican
Republic — 0.3% | ||
Dominican
Republic Government
Bond |
|
|
6.88%,
1/29/2026 (b) |
280,000 |
281,126 |
5.30%,
1/21/2041 (b) |
375,000 |
293,029 |
6.85%,
1/27/2045 (a) |
660,000 |
589,868 |
|
|
1,164,023 |
Germany
— 0.3% | ||
Bundesrepublik
Deutschland
2.30%,
2/15/2033 (a) |
EUR1,090,000 |
1,169,016 |
Hungary
— 0.1% | ||
Hungary
Government Bond
6.75%,
9/25/2052 (b) |
394,000 |
399,461 |
Israel
— 0.1% | ||
State
of Israel Government Bond
3.38%,
1/15/2050 |
570,000 |
403,030 |
Italy
— 1.4% | ||
Italian
Republic Government
Bond |
|
|
0.88%,
5/6/2024 |
962,000 |
928,621 |
2.38%,
10/17/2024 |
3,295,000 |
3,164,880 |
2.88%,
10/17/2029 |
1,135,000 |
986,996 |
|
|
5,080,497 |
Ivory
Coast — 0.4% | ||
Republic
of Cote d'Ivoire |
|
|
6.38%,
3/3/2028 (a) |
270,000 |
254,246 |
6.13%,
6/15/2033 (a) |
570,000 |
485,594 |
6.88%,
10/17/2040 (b) |
EUR730,000 |
593,959 |
|
|
1,333,799 |
Kazakhstan
— 0.1% | ||
Republic
of Kazakhstan 1.50%,
9/30/2034 (b) |
EUR370,000 |
292,558 |
Lebanon
— 0.0% ^ | ||
Lebanese
Republic |
|
|
6.65%,
4/22/2024 (a)
(j) |
227,000 |
17,876 |
6.65%,
11/3/2028 (a)
(j) |
226,000 |
17,508 |
|
|
35,384 |
Mexico
— 4.4% | ||
Mex
Bonos Desarr Fix Rt |
|
|
7.75%,
5/29/2031 |
MXN125,280,000 |
6,694,330 |
7.50%,
5/26/2033 |
MXN70,230,000 |
3,647,198 |
8.00%,
5/24/2035 |
MXN72,630,000 |
3,863,686 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Mexico—continued | ||
United
Mexican States |
|
|
6.35%,
2/9/2035 |
325,000 |
336,219 |
3.77%,
5/24/2061 |
392,000 |
257,230 |
3.75%,
4/19/2071 |
1,433,000 |
915,687 |
|
|
15,714,350 |
New
Zealand — 0.6% | ||
New
Zealand Government Bond |
|
|
4.50%,
4/15/2027 (a) |
NZD952,000 |
558,192 |
2.75%,
4/15/2037 (a) |
NZD3,201,000 |
1,485,890 |
|
|
2,044,082 |
Nigeria
— 0.1% | ||
Federal
Republic of Nigeria |
|
|
7.63%,
11/21/2025 (a) |
300,000 |
284,808 |
7.38%,
9/28/2033 (b) |
327,000 |
249,328 |
|
|
534,136 |
Oman
— 0.3% | ||
Sultanate
of Oman Government
Bond |
|
|
5.63%,
1/17/2028 (a) |
300,000 |
296,178 |
6.25%,
1/25/2031 (a) |
550,000 |
555,957 |
6.75%,
1/17/2048 (a) |
320,000 |
308,883 |
|
|
1,161,018 |
Paraguay
— 0.2% | ||
Republic
of Paraguay |
|
|
5.00%,
4/15/2026 (a) |
232,000 |
226,529 |
4.95%,
4/28/2031 (b) |
550,000 |
519,140 |
|
|
745,669 |
Philippines
— 0.1% | ||
Republic
of Philippines |
|
|
2.95%,
5/5/2045 |
330,000 |
227,495 |
5.50%,
1/17/2048 |
200,000 |
201,346 |
|
|
428,841 |
Portugal
— 1.2% | ||
Portuguese
Republic 5.13%,
10/15/2024 (a) |
4,260,000 |
4,226,329 |
Qatar
— 0.1% | ||
State
of Qatar |
|
|
5.10%,
4/23/2048 (a) |
245,000 |
234,869 |
4.40%,
4/16/2050 (b) |
200,000 |
175,856 |
|
|
410,725 |
100
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — continued | ||
Romania
— 0.4% | ||
Romania
Government Bond |
|
|
6.63%,
9/27/2029 (b) |
EUR776,000 |
874,138 |
4.63%,
4/3/2049 (b) |
EUR276,000 |
236,114 |
7.63%,
1/17/2053 (b) |
148,000 |
158,893 |
|
|
1,269,145 |
Saudi
Arabia — 0.1% | ||
Kingdom
of Saudi Arabia 5.00%,
1/18/2053 (b) |
566,000 |
502,189 |
Senegal
— 0.1% | ||
Republic
of Senegal 6.25%,
5/23/2033 (a) |
660,000 |
538,897 |
Serbia
— 0.1% | ||
Republic
of Serbia 1.50%,
6/26/2029 (b) |
EUR410,000 |
348,851 |
South
Africa — 1.7% | ||
Republic
of South Africa |
|
|
4.30%,
10/12/2028 |
490,000 |
432,141 |
8.25%,
3/31/2032 |
ZAR29,250,000 |
1,312,254 |
8.88%,
2/28/2035 |
ZAR88,692,132 |
3,862,093 |
5.75%,
9/30/2049 |
710,000 |
501,736 |
|
|
6,108,224 |
Spain
— 4.6% | ||
Bonos
and Obligaciones del
Estado |
|
|
0.25%,
7/30/2024 |
EUR3,000,000 |
3,155,608 |
2.75%,
10/31/2024 (a) |
EUR5,480,000 |
5,889,109 |
1.60%,
4/30/2025 (a) |
EUR7,070,000 |
7,452,463 |
|
|
16,497,180 |
Turkey
— 0.1% | ||
Republic
of Turkey 9.88%,
1/15/2028 |
350,000 |
369,743 |
United
Arab Emirates — 0.3% | ||
United
Arab Emirates
Government
Bond |
|
|
4.05%,
7/7/2032 (b) |
441,000 |
420,833 |
4.00%,
7/28/2050 (b) |
400,000 |
245,688 |
4.95%,
7/7/2052 (b) |
305,000 |
288,265 |
|
|
954,786 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Uruguay
— 0.0% ^ | ||
Oriental
Republic of Uruguay
5.10%,
6/18/2050 |
88,906 |
85,742 |
Total
Foreign Government
Securities
(Cost
$124,095,332) |
|
117,951,207 |
Asset-Backed
Securities — 1.4% | ||
Cayman
Islands — 0.3% | ||
Bain
Capital Credit CLO Ltd.
Series
2021-7A, Class A1,
6.75%,
1/22/2035 (b)
(i) |
250,000 |
247,598 |
Dryden
CLO Ltd. Series
2019-68A,
Class AR, 6.74%,
7/15/2035 (b)
(i) |
290,000 |
287,550 |
Galaxy
CLO Ltd. Series
2013-15A,
Class ARR, 6.54%,
10/15/2030 (b)
(i) |
236,029 |
235,218 |
Neuberger
Berman CLO Series
2013-15A,
Class A1R2,
6.49%,
10/15/2029 (b)
(i) |
242,969 |
241,923 |
|
|
1,012,289 |
United
States — 1.1% | ||
Accelerated
Assets LLC Series
2018-1,
Class C, 6.65%,
12/2/2033 (b) |
77,209 |
74,792 |
American
Credit Acceptance
Receivables
Trust |
|
|
Series
2023-1, Class A,
5.45%,
9/14/2026 (b) |
173,598 |
172,884 |
Series
2023-1, Class C,
5.59%,
4/12/2029 (b) |
267,000 |
262,194 |
BMW
Vehicle Lease Trust Series
2023-1,
Class A3, 5.16%,
11/25/2025 |
81,000 |
80,468 |
Chase
Funding Trust Series
2003-6,
Class 1A7, 4.83%,
11/25/2034 (g) |
60,404 |
57,882 |
Credit-Based
Asset Servicing and
Securitization
LLC Series
2004-CB5,
Class M1, 6.34%,
1/25/2034 (i) |
71,384 |
71,160 |
Flagship
Credit Auto Trust |
|
|
Series
2023-1, Class A3,
5.01%,
8/16/2027 (b) |
88,000 |
86,944 |
Series
2023-1, Class B,
5.05%,
1/18/2028 (b) |
66,000 |
64,699 |
FREED
ABS Trust Series
2022-3FP,
Class B, 5.79%,
8/20/2029 (b) |
496,038 |
494,998 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
101
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
United
States — continued | ||
GM
Financial Automobile Leasing
Trust |
|
|
Series
2023-1, Class A2B,
5.79%,
6/20/2025 (i) |
106,349 |
106,377 |
Series
2023-1, Class A3,
5.16%,
4/20/2026 |
172,000 |
170,918 |
GoldenTree
Loan Opportunities
Ltd.
Series 2015-10A,
Class
AR, 6.71%,
7/20/2031 (b)
(i) |
275,000 |
273,899 |
JetBlue
Pass-Through Trust |
|
|
Series
2019-1, Class B,
8.00%,
11/15/2027 |
126,546 |
127,617 |
Series
2019-1, Class A,
2.95%,
5/15/2028 |
42,075 |
36,391 |
Series
2020-1, Class B,
7.75%,
11/15/2028 |
34,740 |
35,252 |
Progress
Residential Series
2021-SFR1,
Class E, 2.11%,
4/17/2038 (b) |
250,000 |
218,773 |
Santander
Revolving Auto Loan
Trust |
|
|
Series
2019-A, Class C,
3.00%,
1/26/2032 (b) |
150,000 |
142,465 |
Series
2019-A, Class D,
3.45%,
1/26/2032 (b) |
650,000 |
613,351 |
Structured
Asset Investment
Loan
Trust Series 2005-HE3,
Class
M1, 6.15%,
9/25/2035 (i) |
19,500 |
19,024 |
US
Auto Funding Series
2021-1A,
Class C, 2.20%,
5/15/2026 (b) |
1,125,000 |
1,061,723 |
|
|
4,171,811 |
Total
Asset-Backed Securities
(Cost
$5,332,584) |
|
5,184,100 |
Commercial
Mortgage-Backed Securities — 1.0% | ||
United
States — 1.0% | ||
BANK
Series 2018-BN13,
Class
C, 4.68%,
8/15/2061 (i) |
118,000 |
94,743 |
Benchmark
Mortgage Trust
Series
2019-B11, Class C,
3.75%,
5/15/2052 (i) |
315,000 |
221,493 |
BHMS
Series 2018-ATLS, Class A,
6.86%,
7/15/2035 (b)
(i) |
130,000 |
127,694 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Cascade
Funding Mortgage Trust
Series
2021-FRR1,
Class
BK45, 2.08%,
2/28/2025 (b)
(i) |
1,000,000 |
909,772 |
CCUBS
Commercial Mortgage
Trust
Series 2017-C1, Class C,
4.58%,
11/15/2050 (i) |
28,000 |
22,784 |
CD
Mortgage Trust Series
2016-CD2,
Class C, 4.11%,
11/10/2049 (i) |
21,000 |
15,866 |
FHLMC,
Multi-Family Structured
Pass-Through
Certificates |
|
|
Series
K739, Class X1, IO,
1.31%,
9/25/2027 (i) |
2,096,704 |
76,373 |
Series
K153, Class X3, IO,
3.91%,
4/25/2035 (i) |
340,000 |
75,264 |
Series
K036, Class X3, IO,
2.22%,
12/25/2041 (i) |
2,640,000 |
6,202 |
Series
K041, Class X3, IO,
1.70%,
11/25/2042 (i) |
3,470,000 |
50,504 |
Series
K054, Class X3, IO,
1.65%,
4/25/2043 (i) |
1,365,000 |
48,549 |
Series
K050, Class X3, IO,
1.61%,
10/25/2043 (i) |
1,010,000 |
25,861 |
Series
K051, Class X3, IO,
1.67%,
10/25/2043 (i) |
1,395,000 |
43,553 |
Series
K052, Class X3, IO,
1.67%,
1/25/2044 (i) |
750,000 |
22,826 |
Series
K726, Class X3, IO,
2.22%,
7/25/2044 (i) |
2,290,000 |
28,453 |
Series
K067, Class X3, IO,
2.19%,
9/25/2044 (i) |
1,385,000 |
95,096 |
Series
K072, Class X3, IO,
2.21%,
12/25/2045 (i) |
400,000 |
30,246 |
Series
K089, Class X3, IO,
2.38%,
1/25/2046 (i) |
850,000 |
86,601 |
Series
K078, Class X3, IO,
2.29%,
6/25/2046 (i) |
1,820,000 |
158,364 |
Series
K088, Class X3, IO,
2.43%,
2/25/2047 (i) |
880,000 |
91,058 |
FREMF
Series 2018-KF46,
Class
B, 7.17%,
3/25/2028 (b)
(i) |
241,539 |
220,004 |
FREMF
Mortgage Trust |
|
|
Series
2017-KF31, Class B,
8.12%,
4/25/2024 (b)
(i) |
38,243 |
37,878 |
Series
2017-KF36, Class B,
7.87%,
8/25/2024 (b)
(i) |
30,220 |
29,478 |
102
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
United
States — continued | ||
Series
2017-KF38, Class B,
7.72%,
9/25/2024 (b)
(i) |
19,725 |
19,261 |
Series
2018-KF47, Class B,
7.22%,
5/25/2025 (b)
(i) |
9,422 |
9,121 |
Series
2018-KF49, Class B,
7.12%,
6/25/2025 (b)
(i) |
133,319 |
127,682 |
Series
2017-K728, Class C,
3.77%,
11/25/2050 (b)
(i) |
105,000 |
101,404 |
GS
Mortgage Securities Trust |
|
|
Series
2012-GCJ9, Class D,
4.77%,
11/10/2045 (b)
(i) |
265,413 |
239,532 |
Series
2015-GC30, Class C,
4.20%,
5/10/2050 (i) |
36,000 |
31,769 |
JPMBB
Commercial Mortgage
Securities
Trust |
|
|
Series
2015-C30, Class C,
4.37%,
7/15/2048 (i) |
62,000 |
52,631 |
Series
2015-C31, Class C,
4.78%,
8/15/2048 (i) |
23,000 |
18,094 |
JPMorgan
Chase Commercial
Mortgage
Securities Trust
Series
2016-JP4, Class C,
3.52%,
12/15/2049 (i) |
28,000 |
22,757 |
LB-UBS
Commercial Mortgage
Trust
Series 2006-C6,
Class
AJ, 5.45%,
9/15/2039 (i) |
134,898 |
50,722 |
Morgan
Stanley Bank of America
Merrill
Lynch Trust |
|
|
Series
2014-C14, Class C,
5.22%,
2/15/2047 (i) |
21,000 |
20,276 |
Series
2015-C24, Class C,
4.47%,
5/15/2048 (i) |
36,000 |
31,171 |
Morgan
Stanley Capital I Trust |
|
|
Series
2005-HQ7, Class E,
5.49%,
11/14/2042 (i) |
35,173 |
33,558 |
Series
2015-MS1, Class B,
4.16%,
5/15/2048 (i) |
28,000 |
25,743 |
UBS
Commercial Mortgage Trust
Series
2017-C7, Class B,
4.29%,
12/15/2050 (i) |
106,000 |
92,123 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Velocity
Commercial Capital Loan
Trust |
|
|
Series
2018-2, Class A,
4.05%,
10/26/2048 (b)
(i) |
75,502 |
71,269 |
Series
2019-1, Class M1,
3.94%,
3/25/2049 (b)
(i) |
85,453 |
73,998 |
Total
Commercial
Mortgage-Backed
Securities
(Cost
$4,039,104) |
|
3,539,773 |
Collateralized
Mortgage Obligations — 0.8% | ||
United
States — 0.8% | ||
Alternative
Loan Trust |
|
|
Series
2004-25CB, Class A1,
6.00%,
12/25/2034 |
80,369 |
70,558 |
Series
2005-6CB, Class 1A6,
5.50%,
4/25/2035 |
53,171 |
45,103 |
Series
2005-80CB, Class 5A1,
6.00%,
2/25/2036 |
60,292 |
56,124 |
Series
2007-2CB, Class 1A6,
5.75%,
3/25/2037 |
113,956 |
62,754 |
Chase
Mortgage Finance Trust
Series
2007-A1, Class 1A5,
4.52%,
2/25/2037 (i) |
11,866 |
11,528 |
CHL
Mortgage Pass-Through
Trust
Series 2007-16,
Class
A1, 6.50%,
10/25/2037 |
40,871 |
18,129 |
Connecticut
Avenue Securities
Trust
Series 2023-R02, Class
1M1,
7.59%, 1/25/2043 (b)
(i) |
339,397 |
343,640 |
FHLMC,
REMIC |
|
|
Series
4305, Class SK, IF, IO,
1.30%,
2/15/2044 (i) |
376,577 |
40,112 |
Series
4689, Class SD, IF, IO,
0.85%,
6/15/2047 (i) |
250,850 |
29,971 |
Series
5022, IO, 3.00%,
9/25/2050 |
380,399 |
62,195 |
Series
5023, Class MI, IO,
3.00%,
10/25/2050 |
690,613 |
111,059 |
Series
4839, Class WS, IF, IO,
0.80%,
8/15/2056 (i) |
1,719,247 |
203,482 |
FNMA,
REMIC |
|
|
Series
2012-146, Class AI, IO,
3.00%,
1/25/2028 |
454,191 |
17,171 |
Series
2016-68, Class BI, IO,
3.00%,
10/25/2031 |
422,097 |
30,262 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
103
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
United
States — continued | ||
Series
2012-93, Class SE, IF,
IO,
0.70%, 9/25/2042 (i) |
75,926 |
7,244 |
Series
2012-124, Class UI, IO,
4.00%,
11/25/2042 |
78,323 |
14,082 |
Series
2015-40, Class LS, IF,
IO,
0.77%, 6/25/2045 (i) |
193,288 |
17,277 |
Series
2017-31, Class SG, IF,
IO,
0.70%, 5/25/2047 (i) |
645,814 |
66,838 |
Series
2017-39, Class ST, IF,
IO,
0.70%, 5/25/2047 (i) |
180,709 |
20,387 |
Series
2017-69, Class SH, IF,
IO,
0.80%, 9/25/2047 (i) |
290,566 |
33,184 |
Series
2019-42, Class SK, IF,
IO,
0.65%, 8/25/2049 (i) |
484,245 |
47,722 |
FNMA,
STRIPS Series 409, Class
27,
IO, 4.00%, 4/25/2027 (i) |
48,276 |
1,439 |
GNMA |
|
|
Series
2017-107, Class KS, IF,
IO,
0.77%, 7/20/2047 (i) |
977 |
104 |
Series
2015-H13, Class GI, IO,
1.55%,
4/20/2065 (i) |
82,934 |
1,691 |
Merrill
Lynch Mortgage Investors
Trust
Series 2004-C, Class A1,
5.99%,
7/25/2029 (i) |
18,198 |
17,038 |
MFA
Trust Series 2023-RTL1,
Class
A1, 7.58%,
8/25/2027 (b)
(g) |
230,000 |
226,544 |
PNMAC
GMSR Issuer Trust Series
2018-GT2,
Class A, 8.08%,
8/25/2025 (b)
(i) |
210,000 |
208,586 |
Structured
Adjustable Rate
Mortgage
Loan Trust Series
2004-8,
Class 3A, 6.17%,
7/25/2034 (i) |
10,521 |
10,067 |
VM
Master Issuer LLC Series
2022-1,
Class A1, 5.16%,
5/24/2025 ‡
(b) (i) |
1,200,000 |
1,180,200 |
Total
Collateralized Mortgage
Obligations
(Cost
$3,449,329) |
|
2,954,491 |
Supranational
— 0.2% | ||
European
Union, 0.10%,
10/4/2040 (a)
(Cost
$1,214,714) |
EUR1,070,000 |
680,823 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
U.S.
Treasury Obligations — 0.0% ^ | ||
United
States — 0.0% ^ | ||
U.S.
Treasury Bonds , 3.63%,
5/15/2053
(Cost
$8,707) |
10,000 |
9,019 |
|
SHARES |
|
Common
Stocks — 0.0% ^ | ||
United
States — 0.0% ^ | ||
Windstream
Holdings, Inc. ‡
*(Cost
$—) |
16 |
172 |
Short-Term
Investments — 4.2% | ||
Investment
Companies — 4.2% | ||
JPMorgan
U.S. Government
Money
Market Fund Class IM
Shares,
5.27% (k)
(l)(Cost
$14,922,581) |
14,922,581 |
14,922,581 |
Total
Investments — 96.7%
(Cost
$376,795,857) |
|
347,703,136 |
Other
Assets Less Liabilities —
3.3% |
|
11,744,877 |
NET
ASSETS — 100.0% |
|
359,448,013 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ABS |
Asset-Backed
Securities |
AUD |
Australian
Dollar |
BRL |
Brazilian
Real |
CAD |
Canadian
Dollar |
CLO |
Collateralized
Loan Obligations |
CME |
Chicago
Mercantile Exchange |
CZK |
Czech
Republic Koruna |
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,
2023. The rate may be subject to a cap and
floor. |
104
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
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 |
PIK |
Payment
In Kind |
PT |
Limited
liability company |
REIT |
Real
Estate Investment Trust |
REMIC |
Real
Estate Mortgage Investment Conduit |
SOFR |
Secured
Overnight Financing Rate |
SOFRINDX |
Compounding
index of the Secured Overnight Financing Rate |
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.
|
|
(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) |
Contingent
Capital security (“CoCo”). CoCos are hybrid
debt
securities that may be convertible into equity or
may
be written down if a pre-specified trigger event
occurs.
The total value of aggregate CoCo holdings at
August
31, 2023 is $4,041,319 or 1.12% of the
Fund’s
net assets as of August 31, 2023. |
|
(d) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2023. |
|
(e) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
(f) |
Security
is perpetual and thus, does not have a
predetermined
maturity date. The coupon rate for this
security
is fixed for a period of time and may be
structured
to adjust thereafter. The date shown, if
applicable,
reflects the next call date. The coupon rate
shown
is the rate in effect as of August 31, 2023. |
|
(g) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2023.
|
|
(h) |
Security
has the ability to pay in kind (“PIK”) or pay
income
in cash. When applicable, separate rates of
such
payments are disclosed. |
|
(i) |
Variable
or floating rate security, the interest rate of
which
adjusts periodically based on changes in current
interest
rates and prepayments on the underlying
pool
of assets. The interest rate shown is the current
rate
as of August 31, 2023.
|
|
(j) |
Defaulted
security. |
|
(k) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(l) |
The
rate shown is the current yield as of August 31,
2023. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
Euro-Bund |
33 |
09/07/2023 |
EUR |
4,764,580 |
(23,994
) |
Euro-Buxl
30 Year Bond |
23 |
09/07/2023 |
EUR |
3,332,988 |
(91,065
) |
Australia
10 Year Bond |
150 |
09/15/2023 |
AUD |
11,291,077 |
77,629 |
U.S.
Treasury 10 Year Note |
292 |
12/19/2023 |
USD |
32,416,562 |
252,723 |
Long
Gilt |
82 |
12/27/2023 |
GBP |
9,927,582 |
90,714 |
U.S.
Treasury 2 Year Note |
332 |
12/29/2023 |
USD |
67,678,719 |
135,727 |
U.S.
Treasury 5 Year Note |
464 |
12/29/2023 |
USD |
49,626,250 |
269,689 |
|
|
|
|
|
711,423 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
105
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Short
Contracts |
|
|
|
|
|
Euro-Bobl |
(200
) |
09/07/2023 |
EUR |
(25,185,113
) |
180,798 |
Euro-Schatz |
(244
) |
09/07/2023 |
EUR |
(27,816,766
) |
(66,879
) |
Japan
10 Year Bond |
(24
) |
09/12/2023 |
JPY |
(24,243,307
) |
173,366 |
U.S.
Treasury 10 Year Note |
(9
) |
12/19/2023 |
USD |
(999,141
) |
(1,658
) |
U.S.
Treasury 10 Year Ultra Note |
(178
) |
12/19/2023 |
USD |
(20,661,906
) |
(171,421
) |
U.S.
Treasury Long Bond |
(3
) |
12/19/2023 |
USD |
(364,687
) |
(3,897
) |
U.S.
Treasury Ultra Bond |
(53
) |
12/19/2023 |
USD |
(6,860,187
) |
(83,210
) |
U.S.
Treasury 2 Year Note |
(12
) |
12/29/2023 |
USD |
(2,446,219
) |
(5,086
) |
U.S.
Treasury 5 Year Note |
(89
) |
12/29/2023 |
USD |
(9,518,828
) |
(52,412
) |
|
|
|
|
|
(30,399
) |
|
|
|
|
|
681,024 |
Abbreviations |
|
AUD |
Australian
Dollar |
EUR |
Euro |
GBP |
British
Pound |
JPY |
Japanese
Yen |
USD |
United
States Dollar |
106
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
USD |
564,457 |
EUR |
516,143 |
BNP
Paribas |
9/5/2023 |
4,777 |
USD |
1,096,266 |
EUR |
985,001 |
Citibank,
NA |
9/5/2023 |
28,180 |
USD |
108,086,193 |
EUR |
98,023,848 |
Morgan
Stanley |
9/5/2023 |
1,794,032 |
USD |
98,628 |
EUR |
90,682 |
Royal
Bank of Canada |
9/5/2023 |
296 |
USD |
1,690,161 |
EUR |
1,556,436 |
TD
Bank Financial Group |
9/5/2023 |
2,440 |
USD |
7,595,733 |
GBP |
5,907,488 |
HSBC
Bank, NA |
9/5/2023 |
112,126 |
USD |
151,919 |
GBP |
119,045 |
State
Street Corp. |
9/5/2023 |
1,113 |
AUD |
229,447 |
USD |
148,600 |
BNP
Paribas |
9/26/2023 |
186 |
CNY |
12,622,149 |
USD |
1,730,082 |
Citibank,
NA**
|
9/26/2023 |
23,042 |
IDR |
14,997,380,903 |
USD |
983,338 |
BNP
Paribas**
|
9/26/2023 |
1,390 |
IDR |
11,903,552,638 |
USD |
774,920 |
Goldman
Sachs International**
|
9/26/2023 |
6,667 |
INR |
125,411,475 |
USD |
1,500,478 |
Goldman
Sachs International**
|
9/26/2023 |
15,958 |
KRW |
6,767,302,271 |
USD |
5,063,982 |
BNP
Paribas**
|
9/26/2023 |
48,526 |
KRW |
2,375,579,436 |
USD |
1,775,470 |
Goldman
Sachs International**
|
9/26/2023 |
19,213 |
MXN |
6,397,272 |
USD |
371,741 |
Barclays
Bank plc |
9/26/2023 |
2,077 |
MXN |
28,415,084 |
USD |
1,656,484 |
State
Street Corp. |
9/26/2023 |
3,922 |
PHP |
101,458,153 |
USD |
1,786,518 |
Barclays
Bank plc**
|
9/26/2023 |
5,850 |
SGD |
2,391,461 |
USD |
1,770,377 |
Goldman
Sachs International |
9/26/2023 |
841 |
THB |
122,709,592 |
USD |
3,476,783 |
Goldman
Sachs International |
9/26/2023 |
34,786 |
USD |
23,189,540 |
CAD |
31,181,085 |
Citibank,
NA |
9/26/2023 |
105,588 |
USD |
222,321 |
CZK |
4,916,457 |
BNP
Paribas |
9/26/2023 |
1,002 |
USD |
24,742,268 |
EUR |
22,605,907 |
Citibank,
NA |
9/26/2023 |
204,895 |
USD |
13,635 |
EUR |
12,345 |
Merrill
Lynch International |
9/26/2023 |
236 |
USD |
111,596 |
EUR |
102,357 |
Morgan
Stanley |
9/26/2023 |
494 |
USD |
118,207 |
EUR |
108,050 |
State
Street Corp. |
9/26/2023 |
926 |
USD |
3,484,489 |
GBP |
2,744,533 |
BNP
Paribas |
9/26/2023 |
7,369 |
USD |
2,123,462 |
NZD |
3,557,996 |
BNP
Paribas |
9/26/2023 |
1,728 |
USD |
1,792,640 |
PHP |
101,024,210 |
Goldman
Sachs International**
|
9/26/2023 |
7,938 |
USD |
363,845 |
PHP |
20,452,833 |
Merrill
Lynch International**
|
9/26/2023 |
2,524 |
USD |
1,799,278 |
THB |
62,713,830 |
Citibank,
NA |
9/26/2023 |
4,602 |
USD |
109,796,334 |
EUR |
100,757,112 |
HSBC
Bank, NA |
10/4/2023 |
387,805 |
USD |
7,471,914 |
GBP |
5,888,199 |
Morgan
Stanley |
10/4/2023 |
11,728 |
Total
unrealized appreciation |
2,842,257 | |||||
EUR |
207,481 |
USD |
227,262 |
Royal
Bank of Canada |
9/5/2023 |
(2,280
) |
EUR |
799,983 |
USD |
880,086 |
Standard
Chartered Bank |
9/5/2023 |
(12,625
) |
GBP |
138,334 |
USD |
177,709 |
BNP
Paribas |
9/5/2023 |
(2,468
) |
USD |
640,810 |
EUR |
592,464 |
State
Street Corp. |
9/5/2023 |
(1,628
) |
BRL |
8,750,239 |
USD |
1,763,272 |
Citibank,
NA** |
9/26/2023 |
(2,071
) |
BRL |
15,147,400 |
USD |
3,067,504 |
Goldman
Sachs International**
|
9/26/2023 |
(18,716
) |
EUR |
1,634,463 |
USD |
1,779,247 |
Barclays
Bank plc |
9/26/2023 |
(5,134
) |
EUR |
174,207 |
USD |
190,689 |
Morgan
Stanley |
9/26/2023 |
(1,599
) |
IDR |
20,031,431,794 |
USD |
1,318,638 |
Citibank,
NA** |
9/26/2023 |
(3,374
) |
JPY |
56,918,278 |
USD |
399,734 |
BNP
Paribas |
9/26/2023 |
(7,216
) |
JPY |
961,089,642 |
USD |
6,633,035 |
Citibank,
NA |
9/26/2023 |
(5,192
) |
PHP |
97,679,224 |
USD |
1,739,752 |
Merrill
Lynch International** |
9/26/2023 |
(14,143
) |
USD |
9,856,792 |
AUD |
15,219,484 |
BNP
Paribas |
9/26/2023 |
(12,316
) |
USD |
1,803,511 |
AUD |
2,787,153 |
Goldman
Sachs International |
9/26/2023 |
(3,825
) |
USD |
15,686,935 |
BRL |
78,466,804 |
BNP
Paribas** |
9/26/2023 |
(106,445
) |
USD |
1,770,377 |
CNY |
12,829,127 |
Merrill
Lynch International** |
9/26/2023 |
(11,495
) |
USD |
1,670,382 |
COP |
6,940,423,252 |
BNP
Paribas** |
9/26/2023 |
(14,024
) |
USD |
13,447 |
EUR |
12,420 |
HSBC
Bank, NA |
9/26/2023 |
(34
) |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
107
|
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
USD |
1,695,786 |
HUF |
607,065,900 |
Goldman
Sachs International |
9/26/2023 |
(23,058
) |
USD |
3,075,633 |
IDR |
47,289,393,660 |
BNP
Paribas** |
9/26/2023 |
(29,389
) |
USD |
1,744,733 |
IDR |
26,579,261,560 |
Merrill
Lynch International** |
9/26/2023 |
(461
) |
USD |
1,758,091 |
KRW |
2,345,749,860 |
Goldman
Sachs International** |
9/26/2023 |
(14,058
) |
USD |
156,995 |
MXN |
2,699,273 |
BNP
Paribas |
9/26/2023 |
(734
) |
USD |
413,081 |
MXN |
7,106,425 |
Citibank,
NA |
9/26/2023 |
(2,175
) |
USD |
15,856,075 |
MXN |
273,556,431 |
Goldman
Sachs International |
9/26/2023 |
(128,902
) |
USD |
3,073,642 |
PHP |
174,905,615 |
Goldman
Sachs International** |
9/26/2023 |
(16,254
) |
USD |
1,778,794 |
SGD |
2,413,343 |
Barclays
Bank plc |
9/26/2023 |
(8,631
) |
USD |
1,777,104 |
SGD |
2,407,532 |
Goldman
Sachs International |
9/26/2023 |
(6,017
) |
USD |
5,043,545 |
ZAR |
97,090,351 |
BNP
Paribas |
9/26/2023 |
(88,121
) |
GBP |
202,929 |
USD |
257,358 |
BNP
Paribas |
10/4/2023 |
(252
) |
Total
unrealized depreciation |
(542,637
) | |||||
Net
unrealized appreciation |
2,299,620 |
Abbreviations |
|
AUD |
Australian
Dollar |
BRL |
Brazilian
Real |
CAD |
Canadian
Dollar |
CNY |
China
Yuan |
COP |
Columbian
Peso |
CZK |
Czech
Republic Koruna |
EUR |
Euro |
GBP |
British
Pound |
HUF |
Hungarian
Forint |
IDR |
Indonesian
Rupiah |
INR |
Indian
Rupee |
JPY |
Japanese
Yen |
KRW |
Korean
Republic Won |
MXN |
Mexican
Peso |
NZD |
New
Zealand Dollar |
PHP |
Philippines
Peso |
SGD |
Singapore
Dollar |
THB |
Thai
Baht |
USD |
United
States Dollar |
ZAR |
South
African Rand |
** |
Non-deliverable
forward. |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
iTraxx.Europe.Crossover.39-V1 |
5.00 |
Quarterly |
6/20/2028 |
3.96 |
EUR14,164,071 |
(113,646
) |
(659,331
) |
(772,977
) |
(*) |
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. |
108
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
(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/
RECEIVE
FLOATING
RATE |
MATURITY
DATE |
NOTIONAL
AMOUNT |
UPFRONT
PAYMENTS
(RECEIPTS)
($) |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
1
day SOFR annually |
2.95
annually |
Receive |
12/17/2035 |
USD3,750,000 |
— |
176,116 |
176,116 |
1
day SOFR annually |
3.03
annually |
Receive |
12/4/2035 |
USD7,500,000 |
— |
304,620 |
304,620 |
1
day SOFR annually |
3.60
annually |
Pay |
7/14/2028 |
USD53,000,000 |
(144
) |
136,441 |
136,297 |
|
|
|
|
|
(144
) |
617,177 |
617,033 |
1
day SOFR annually |
2.74
annually |
Pay |
12/17/2027 |
USD17,000,000 |
— |
(209,106
) |
(209,106
) |
1
day SOFR annually |
2.87
annually |
Pay |
12/4/2027 |
USD34,000,000 |
— |
(344,040
) |
(344,040
) |
1
day SOFR annually |
3.71
annually |
Receive |
7/14/2036 |
USD12,000,000 |
3,807 |
(117,448
) |
(113,641
) |
|
|
|
|
|
3,807 |
(670,594
) |
(666,787
) |
|
|
|
|
|
3,663 |
(53,417
) |
(49,754
) |
| ||||||||
(a) |
Value
of floating rate index at August 31, 2023 was as
follows: |
FLOATING
RATE INDEX |
VALUE |
1
day SOFR |
5.31% |
Abbreviations |
|
EUR |
Euro |
SOFR |
Secured
Overnight Financing Rate |
USD |
United
States Dollar |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
109
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — 89.7% (a) | ||
Alabama
— 5.4% | ||
Alabama
Federal Aid Highway Finance
Authority
Series 2015, Rev., 4.00%,
9/1/2024 (b) |
3,000,000 |
3,018,796 |
Black
Belt Energy Gas District, Gas Project |
|
|
Series
2022E, Rev., 5.00%, 6/1/2028 (c) |
1,750,000 |
1,795,080 |
Series
2023D-1, Rev., 5.50%, 2/1/2029 (c)
(d) |
1,335,000 |
1,392,721 |
Series
2022C-1, Rev., 5.25%, 6/1/2029 (c) |
4,500,000 |
4,665,426 |
Series
2023A, Rev., 5.25%, 10/1/2030 (c) |
2,000,000 |
2,077,607 |
Series
2023B-2, Rev., LIQ : Royal Bank of
Canada,
5.25%, 12/1/2030 (c) |
1,000,000 |
1,054,014 |
Series
2021A, Rev., 4.00%, 12/1/2031 (c) |
2,535,000 |
2,471,320 |
Black
Belt Energy Gas District, Gas Project No.
8
Series 2022A, Rev., 4.00%,
12/1/2029 (c) |
970,000 |
931,181 |
City
of Pell City, Warrants Series 2015A, GO,
5.00%,
2/1/2025 |
100,000 |
102,146 |
Energy
Southeast A Cooperative District Series
2023A-1,
Rev., 5.50%, 1/1/2031 (c) |
5,000,000 |
5,276,597 |
Lower
Alabama Gas District (The), Gas Project
Series
2016A, Rev., 5.00%, 9/1/2031 |
1,250,000 |
1,282,897 |
Selma
Industrial Development Board,
International
Paper Co. Project Series
2020A,
Rev., 1.38%, 6/16/2025 (c) |
100,000 |
95,381 |
Southeast
Alabama Gas Supply District (The),
Project
No. 1 Series 2018A, Rev., 4.00%,
4/1/2024 (c) |
25,000 |
24,927 |
Southeast
Energy Authority A Cooperative
District
Project No.06 Series 2023B, Rev.,
LIQ
: Royal Bank of Canada, 5.00%,
6/1/2030 (c) |
5,870,000 |
6,086,486 |
Southeast
Energy Authority A Cooperative
District,
Project No. 2 Series 2021B, Rev.,
4.00%,
12/1/2031 (c) |
2,115,000 |
2,015,328 |
Southeast
Energy Authority A Cooperative
District,
Project No. 3 Series 2022A-1, Rev.,
5.50%,
12/1/2029 (c) |
1,000,000 |
1,048,457 |
Southeast
Energy Authority A Cooperative
District,
Project No. 4 Series 2022B-1, Rev.,
5.00%,
8/1/2028 (c) |
1,250,000 |
1,274,959 |
University
of Alabama (The), Huntsville General
Fee
Series 2018B-2, Rev., 5.00%,
9/1/2031 |
95,000 |
103,318 |
Total
Alabama |
|
34,716,641 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Alaska
— 0.0% ^ | ||
Alaska
Industrial Development and Export
Authority,
Tanana Chiefs Conference Project
Series
2019A, Rev., 5.00%, 10/1/2026 |
200,000 |
206,814 |
Alaska
Municipal Bond Bank Authority Series
2014-3,
Rev., 5.00%, 10/1/2025 |
20,000 |
20,285 |
Total
Alaska |
|
227,099 |
Arizona
— 1.8% | ||
Arizona
Board of Regents Series 2020A, Rev.,
5.00%,
7/1/2030 |
105,000 |
117,861 |
Arizona
Board of Regents, Tax-Exempt Series
2020A
Series 2020A, Rev., 5.00%,
7/1/2033 |
430,000 |
479,474 |
Arizona
Industrial Development Authority,
Academies
of Math and Science Projects |
|
|
Rev.,
5.00%, 7/1/2032 (e) |
120,000 |
121,130 |
Rev.,
4.50%, 7/1/2033 (e) |
510,000 |
496,151 |
Arizona
Industrial Development Authority,
Cadence
Campus Project |
|
|
Series
2020A, Rev., 4.00%, 7/15/2030 (e) |
105,000 |
99,076 |
Series
2020A, Rev., 4.00%, 7/15/2040 (e) |
125,000 |
102,637 |
Arizona
Industrial Development Authority,
Equitable
School Revolving Fund LLC Series
2022A,
Rev., 5.00%, 11/1/2033 |
440,000 |
475,318 |
Arizona
Industrial Development Authority,
Great
Lakes Senior Living Communities LLC
Project
Series 2019A, Rev., 5.00%,
1/1/2036 |
250,000 |
175,804 |
Arizona
Industrial Development Authority, KIPP
Nashville
Project |
|
|
Series
2022A, Rev., 5.00%, 7/1/2028 |
225,000 |
230,370 |
Series
2022A, Rev., 5.00%, 7/1/2029 |
235,000 |
241,618 |
Arizona
Industrial Development Authority,
Macombs
Facility Project Series 2021A, Rev.,
4.00%,
7/1/2051 |
125,000 |
101,556 |
Arizona
Industrial Development Authority,
National
Charter School Revolving Loan Fund
Series
2020A, Rev., 4.00%, 11/1/2038 |
200,000 |
187,726 |
Arizona
Industrial Development Authority,
Phoenix
Children's Hospital Series 2020A,
Rev.,
5.00%, 2/1/2031 |
150,000 |
165,850 |
Arizona
Industrial Development Authority,
Pinecrest
Academy of Northern Nevada
Project
Series 2022A, Rev., 4.50%,
7/15/2029 (e) |
250,000 |
240,630 |
City
of Mesa, Excise Tax Rev., 5.00%,
7/1/2031 |
75,000 |
84,435 |
110
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Arizona
— continued | ||
City
of Phoenix Civic Improvement Corp., Junior
Lien,
Airport System |
|
|
Series
2017D, Rev., 5.00%, 7/1/2026 |
160,000 |
167,897 |
Series
2019A, Rev., 5.00%, 7/1/2044 |
2,000,000 |
2,084,618 |
City
of Phoenix Civic Improvement Corp., Senior
Lien,
Airport System |
|
|
Series
2023, Rev., AMT, 5.00%, 7/1/2024 |
375,000 |
378,265 |
Series
2023, Rev., AMT, 5.00%, 7/1/2025 |
500,000 |
510,076 |
Industrial
Development Authority of the County
of
Pima (The), La Posada at Pusch Ridge
Project
Series 2022B-3, Rev., 5.13%,
11/15/2029 (e) |
750,000 |
736,883 |
Maricopa
County Industrial Development
Authority,
Banner Health |
|
|
Series
2023A-1, Rev., 5.00%,
5/15/2026 (c) |
1,235,000 |
1,279,751 |
Series
A, Rev., 4.00%, 1/1/2041 |
1,500,000 |
1,446,313 |
Maricopa
County Industrial Development
Authority,
Valley Christian Schools Project |
|
|
Series
2023A, Rev., 5.25%, 7/1/2033 (e) |
360,000 |
355,635 |
Series
2023A, Rev., 6.00%, 7/1/2043 (e) |
945,000 |
933,037 |
Maricopa
County School District No. 3, Tempe
Elementary,
School Improvement, Project of
2016
Series 2017A, GO, 5.00%, 7/1/2027 |
30,000 |
32,047 |
Maricopa
County Unified School District No. 60
Higley
COP, AGM, 5.00%, 6/1/2036 |
200,000 |
220,342 |
Salt
Verde Financial Corp. Series 2007-1, Rev.,
5.25%,
12/1/2026 |
100,000 |
102,639 |
Total
Arizona |
|
11,567,139 |
Arkansas
— 0.1% | ||
City
of Fort Smith, Water and Sewer
Construction
Rev., 5.00%, 10/1/2024 |
75,000 |
76,026 |
County
of Pulaski |
|
|
Rev.,
5.00%, 3/1/2037 |
500,000 |
539,654 |
Rev.,
4.25%, 3/1/2048 |
250,000 |
237,272 |
Total
Arkansas |
|
852,952 |
California
— 6.2% | ||
Azusa
Unified School District, Election of 2014 |
|
|
Series
2022D, GO, 5.00%, 8/1/2029 |
125,000 |
139,698 |
Series
2022D, GO, 5.00%, 8/1/2032 |
175,000 |
201,324 |
Brentwood
Infrastructure Financing Authority,
Civic
Center Project Rev., 5.00%,
10/1/2025 |
45,000 |
46,421 |
California
Community Choice Financing
Authority,
Clean Energy Project |
|
|
Series
2023A-1, Rev., 5.00%, 8/1/2029 (c) |
2,500,000 |
2,574,493 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
California
— continued | ||
Series
2023E-1, Rev., 5.00%, 3/1/2031 (c) |
2,565,000 |
2,686,539 |
Series
2021B-1, Rev., 4.00%, 8/1/2031 (c) |
4,250,000 |
4,157,486 |
California
Enterprise Development Authority,
Riverside
County, Rocketship Public
Schools-Obligated
Group No. 2 Series
2022A,
Rev., 4.00%, 6/1/2027 (e) |
260,000 |
247,976 |
California
Health Facilities Financing Authority,
Kaiser
Permanente Series 2006C, Rev.,
5.00%,
11/1/2029 (c) |
300,000 |
331,520 |
California
Health Facilities Financing Authority,
On
Lok Senior Health Service Rev., 5.00%,
8/1/2040 |
100,000 |
101,879 |
California
Infrastructure and Economic
Development
Bank, Academy of Motion
Picture
Series 2020A-3, Rev., AMT, 8.00%,
9/14/2023 (c)
(d) (e) |
1,000,000 |
1,000,072 |
California
Municipal Finance Authority,
Community
Health System Series 2021A,
Rev.,
5.00%, 2/1/2033 |
800,000 |
858,290 |
California
Municipal Finance Authority, San
Antonio
Gardens Project Rev., 5.00%,
11/15/2039 |
150,000 |
141,096 |
California
Municipal Finance Authority, Waste
Management,
Inc. Project Series 2022A,
Rev.,
AMT, 4.13%, 10/1/2025 (c) |
1,500,000 |
1,502,407 |
California
Pollution Control Financing Authority,
Poseidon
Resources Channelside LP
Desalination
Project Rev., AMT, 5.00%,
7/1/2036 (e) |
770,000 |
797,769 |
California
Public Finance Authority, Enso Village
Project |
|
|
Series
2021B-3, Rev., 2.13%,
11/15/2027 (e) |
1,500,000 |
1,454,371 |
Series
2021B-1, Rev., 3.13%,
5/15/2029 (e) |
200,000 |
189,106 |
California
School Finance Authority, Kipp SoCal
Public
Schools Series 2019A, Rev., 5.00%,
7/1/2039 (e) |
500,000 |
509,316 |
City
of Aliso Viejo COP, 4.00%, 11/1/2028 |
175,000 |
184,581 |
City
of Los Angeles Department of Airports,
International
Airport Subordinate |
|
|
Series
2019E, Rev., AMT, 5.00%,
5/15/2026 |
10,000 |
10,531 |
Series
2021A, Rev., AMT, 5.00%,
5/15/2039 |
1,740,000 |
1,830,615 |
City
of Roseville, 316 Vernon Street Project
COP,
5.00%, 8/1/2025 |
70,000 |
72,132 |
City
of Santa Rosa, Courthouse Square Project
and
Lease COP, 4.00%, 10/1/2024 |
90,000 |
90,473 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
111
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
California
— continued | ||
County
of San Joaquin, California Refunding
Certificates
of Participation COP, AGM,
5.00%,
11/15/2027 |
50,000 |
53,976 |
CSCDA
Community Improvement Authority,
Essential
Housing, Pasadena Portfolio Series
2021A-1,
Rev., 2.65%, 12/1/2046 (e) |
255,000 |
188,029 |
CSCDA
Community Improvement Authority,
Essential
Housing, Towne at Glendale
Apartments
Series 2022B, Rev., 5.00%,
9/1/2037 (e) |
100,000 |
97,254 |
Downey
Unified School District Series A, GO,
4.00%,
8/1/2052 |
2,500,000 |
2,377,842 |
El
Centro Financing Authority, Police Station
Project |
|
|
Series
2023A, Rev., 5.00%, 10/1/2023 |
180,000 |
180,169 |
Series
2023A, Rev., 5.00%, 10/1/2024 |
260,000 |
263,119 |
Series
2023A, Rev., 5.00%, 10/1/2025 |
545,000 |
561,223 |
El
Monte City School District, Election of 2014
Series
A, GO, 5.00%, 8/1/2025 |
55,000 |
56,624 |
Golden
State Tobacco Securitization Corp.,
Enhanced
Tobacco Settlement Series
2018A-1,
Rev., 5.00%, 6/1/2028 (b) |
250,000 |
274,714 |
Indio
Finance Authority, City of Indio |
|
|
Series
2022A, Rev., 5.00%, 11/1/2028 |
275,000 |
299,162 |
Series
2022A, Rev., 5.00%, 11/1/2029 |
325,000 |
358,764 |
Series
2022A, Rev., 5.00%, 11/1/2030 |
400,000 |
448,004 |
Series
2022A, Rev., 5.00%, 11/1/2034 |
200,000 |
229,071 |
Los
Angeles County Development Authority,
West
LA Building 156 & 157 Apartments
Series
2023C, Rev., 3.75%, 12/1/2026 (c) |
3,000,000 |
2,985,808 |
Los
Angeles Department of Water and Power,
Power
System Series 2022A, Rev., 5.00%,
7/1/2030 |
235,000 |
268,141 |
Los
Angeles Unified School District Series
2021A,
GO, 5.00%, 7/1/2030 |
110,000 |
125,439 |
Ontario
Public Financing Authority, Civic Center
Improvements
Series 2022A, Rev., AGM,
5.00%,
11/1/2033 |
140,000 |
162,678 |
Orange
County Community Facilities District No.
2021-1,
Rienda Series 2021-1, Rev.,
5.00%,
8/15/2037 |
500,000 |
514,850 |
Petaluma
Public Financing Authority, Road
Improvement
Projects Rev., 5.00%,
5/1/2026 |
150,000 |
157,279 |
Redding
Joint Powers Financing Authority
Series
2019A, Rev., 5.00%, 4/1/2026 |
150,000 |
156,185 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
California
— continued | ||
River
Islands Public Financing Authority,
Facilities
District No. 2003 |
|
|
Series
2022A-1, Rev., AGM, 5.00%,
9/1/2029 |
210,000 |
231,980 |
Series
2022A-1, Rev., AGM, 5.00%,
9/1/2030 |
330,000 |
370,050 |
Salinas
Union High School District, Election of
2020
Series A, GO, 4.00%, 8/1/2047 |
1,000,000 |
964,818 |
San
Diego Redevelopment Agency Successor
Agency
Series A, Rev., 5.00%, 9/1/2023 |
130,000 |
130,000 |
San
Dieguito Union High School District,
Election
of 2012 Series A-2, GO, 5.00%,
8/1/2024 |
150,000 |
150,122 |
San
Francisco City and County Public Utilities
Commission
Wastewater Series 2022B, Rev.,
5.00%,
10/1/2034 |
2,000,000 |
2,342,259 |
San
Jose Evergreen Community College District
Series
C, GO, 4.00%, 9/1/2043 |
2,000,000 |
1,990,314 |
Sanger
Unified School District COP, AGM,
5.00%,
6/1/2034 |
400,000 |
449,236 |
Santa
Cruz County Capital Financing Authority
Series
2020A, Rev., 4.00%, 6/1/2025 |
100,000 |
101,174 |
Solano
Irrigation District, Water COP, 4.00%,
8/1/2031 |
285,000 |
293,494 |
South
San Francisco Public Facilities Financing
Authority,
Community Civic Campus and
Multiple
Capital Projects Series 2021A, Rev.,
4.00%,
6/1/2029 |
220,000 |
232,879 |
South
San Francisco Public Facilities Financing
Authority,
Multiple Capital Project Series
2022A,
Rev., 5.00%, 6/1/2029 |
270,000 |
299,990 |
State
of California, Various Purpose GO,
5.00%,
11/1/2032 |
335,000 |
380,549 |
Tobacco
Securitization Authority of Northern
California
Series 2021A, Class 1, Rev.,
5.00%,
6/1/2032 |
110,000 |
121,501 |
Tracy
Public Financing Authority, Legacy Fields
Series
2022A, Rev., 5.00%, 11/1/2036 |
1,035,000 |
1,138,348 |
University
of California Series 2018AZ, Rev.,
4.00%,
5/15/2029 |
130,000 |
136,165 |
Vallecito
Union School District Series A, GO,
5.00%,
8/1/2031 |
595,000 |
669,023 |
Yucaipa
Valley Water District Financing
Authority,
Water & Sewer Revenue Series
2022A,
Rev., 5.00%, 9/1/2034 |
500,000 |
575,157 |
Total
California |
|
39,463,485 |
112
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Colorado
— 2.6% | ||
Board
of Water Commissioners City and County
of
Denver (The) Series 2020B, Rev., 4.00%,
9/15/2034 |
2,015,000 |
2,101,445 |
Boulder
Valley School District No. Re-2 Boulder
GO,
4.13%, 12/1/2046 |
1,000,000 |
954,693 |
City
and County of Denver Series 2020B, GO,
5.00%,
8/1/2029 |
220,000 |
244,982 |
City
and County of Denver, Airport System |
|
|
Series
2018A, Rev., AMT, 5.00%,
12/1/2029 |
2,845,000 |
3,001,579 |
Series
2022A, Rev., AMT, 5.00%,
11/15/2032 |
1,000,000 |
1,098,589 |
Series
2018A, Rev., AMT, 5.00%,
12/1/2035 |
505,000 |
527,370 |
Series
2022A, Rev., AMT, 5.50%,
11/15/2042 |
1,500,000 |
1,630,672 |
Colorado
Educational and Cultural Facilities
Authority,
Aspen View Academy Project Rev.,
4.00%,
5/1/2036 |
85,000 |
77,685 |
Colorado
Educational and Cultural Facilities
Authority,
Vega Collegiate Academy Project
Series
2021A, Rev., 5.00%, 2/1/2051 (e) |
150,000 |
128,685 |
Colorado
Health Facilities Authority, Tax Exempt
Series
2021B-3, Rev., 2.13%, 5/15/2028 |
295,000 |
266,338 |
Colorado
Higher Education, Capital
Construction,
Lease Purchase Financing
Program |
|
|
Series
2014A, COP, 5.00%, 11/1/2025 |
10,000 |
10,371 |
COP,
4.00%, 9/1/2034 |
335,000 |
342,048 |
Colorado
Housing and Finance Authority, Single
Family
Mortgage Series 2023L, Rev., GNMA
COLL,
5.75%, 11/1/2053 (d) |
3,000,000 |
3,185,002 |
County
of Adams |
|
|
COP,
5.00%, 12/1/2023 |
60,000 |
60,226 |
COP,
5.00%, 12/1/2024 |
150,000 |
152,912 |
Dominion
Water and Sanitation District Rev.,
5.00%,
12/1/2027 |
500,000 |
494,890 |
Regional
Transportation District, Denver Transit
Partners |
|
|
Series
2020A, Rev., 5.00%, 7/15/2029 |
130,000 |
139,434 |
Series
2020A, Rev., 5.00%, 1/15/2030 |
170,000 |
183,041 |
Series
2020A, Rev., 5.00%, 7/15/2030 |
115,000 |
124,489 |
Series
2020A, Rev., 5.00%, 1/15/2031 |
250,000 |
271,568 |
Series
2020A, Rev., 4.00%, 7/15/2036 |
185,000 |
183,511 |
Southlands
Metropolitan District No. 1 Series
A-1,
GO, 5.00%, 12/1/2037 |
250,000 |
242,840 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Colorado
— continued | ||
State
of Colorado, Building Excellent Schools
Today
Series S, COP, 4.00%, 3/15/2037 |
1,000,000 |
1,003,292 |
University
of Colorado, Enterprise System
Series
2017A-2, Rev., 5.00%, 6/1/2026 |
40,000 |
41,926 |
Total
Colorado |
|
16,467,588 |
Connecticut
— 0.7% | ||
City
of Meriden |
|
|
Series
2023, GO, 4.00%, 6/15/2041 |
890,000 |
857,238 |
GO,
4.00%, 6/15/2043 |
1,080,000 |
1,023,793 |
City
of Norwalk |
|
|
Series
2023, GO, 4.00%, 8/15/2042 |
700,000 |
682,985 |
Series
2023, GO, 4.00%, 8/15/2043 |
500,000 |
485,625 |
Metropolitan
District (The) Series 2021A, GO,
5.00%,
9/1/2030 |
200,000 |
225,750 |
Stamford
Housing Authority, The Dogwoods
Project
Rev., BAN, 11.00%, 12/1/2027 (e) |
1,000,000 |
1,054,207 |
State
of Connecticut Series A, GO, 5.00%,
4/15/2033 |
135,000 |
143,274 |
University
of Connecticut Series 2017A, Rev.,
5.00%,
1/15/2028 |
125,000 |
132,013 |
Total
Connecticut |
|
4,604,885 |
Delaware
— 0.4% | ||
Delaware
State Economic Development
Authority,
Newark Charter School, Inc.
Project |
|
|
Rev.,
4.00%, 9/1/2025 |
100,000 |
99,172 |
Rev.,
4.00%, 9/1/2026 |
140,000 |
138,631 |
Delaware
State Economic Development
Authority,
St. Andrews School Project Rev.,
4.00%,
7/1/2041 |
2,190,000 |
2,121,967 |
Total
Delaware |
|
2,359,770 |
District
of Columbia — 2.2% | ||
District
of Columbia Series 2023A, GO, 5.00%,
1/1/2036 |
3,000,000 |
3,437,306 |
District
of Columbia, Income Tax Series 2019A,
Rev.,
5.00%, 3/1/2029 |
100,000 |
110,440 |
District
of Columbia, International School |
|
|
Rev.,
5.00%, 7/1/2028 |
115,000 |
119,006 |
Rev.,
5.00%, 7/1/2039 |
125,000 |
125,492 |
District
of Columbia, Kipp DC Project Rev.,
4.00%,
7/1/2039 |
100,000 |
90,269 |
District
of Columbia, Water and Sewer
Authority,
Public Utility, Senior Lien Series B,
Rev.,
5.00%, 10/1/2025 |
65,000 |
67,330 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
113
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
District
of Columbia — continued | ||
District
of Columbia, Water and Sewer
Authority,
Public Utility, Subordinate Lien
Series
2022C1, Rev., 4.00%, 10/1/2040 |
2,000,000 |
1,972,672 |
Metropolitan
Washington Airports Authority
Aviation |
|
|
Series
2023A, Rev., AMT, 5.00%,
10/1/2025 |
875,000 |
893,485 |
Series
2021A, Rev., AMT, 5.00%,
10/1/2028 |
2,000,000 |
2,123,877 |
Series
2021A, Rev., AMT, 5.00%,
10/1/2031 |
1,360,000 |
1,481,965 |
Series
2020A, Rev., AMT, 4.00%,
10/1/2035 |
1,750,000 |
1,745,319 |
Washington
Metropolitan Area Transit Authority
Dedicated,
Sustainability Climate Transition
Bonds
Series 2023A, Rev., 5.00%,
7/15/2037 |
1,500,000 |
1,676,979 |
Total
District of Columbia |
|
13,844,140 |
Florida
— 3.1% | ||
Central
Florida Tourism Oversight District
Series
2016A, GO, 5.00%, 6/1/2026 |
50,000 |
51,915 |
Charlotte
County Industrial Development
Authority,
Town and Country Utilities Project
Series
2021A, Rev., AMT, 4.00%,
10/1/2041 (e) |
100,000 |
83,884 |
City
of Cape Coral, Florida Special Obligation
Rev.,
5.00%, 10/1/2024 |
110,000 |
111,760 |
City
of Jacksonville Series 2022A, Rev., 5.00%,
10/1/2031 |
250,000 |
281,517 |
City
of Kissimmee, Sales Tax Rev., 4.00%,
10/1/2025 |
170,000 |
172,747 |
City
of Lakeland, Lakeland Regional Health
Systems
Rev., 5.00%, 11/15/2023 |
40,000 |
40,079 |
City
of Miami Beach, Water and Sewer Rev.,
5.00%,
9/1/2033 |
25,000 |
26,868 |
City
of Orlando, Capital Improvement Series B,
Rev.,
5.00%, 10/1/2024 |
60,000 |
61,068 |
City
of Pompano Beach, John Knox Village
Project
Rev., 3.50%, 9/1/2030 |
200,000 |
181,273 |
City
of Tampa, H. Lee Moffitt Cancer Center
Project
Series 2016B, Rev., 5.00%,
7/1/2024 |
35,000 |
35,313 |
Collier
County Educational Facilities Authority
Series
2023, Rev., 5.00%, 6/1/2027 |
1,930,000 |
1,961,350 |
County
of Broward, Port Facilities Series
2019A,
Rev., 5.00%, 9/1/2030 |
50,000 |
55,162 |
County
of Hillsborough, Communications
Services
Tax Rev., 5.00%, 10/1/2024 |
40,000 |
40,716 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Florida
— continued | ||
County
of Lee, Airport Series 2021A, Rev.,
AMT,
5.00%, 10/1/2031 |
400,000 |
432,681 |
County
of Miami-Dade, Aviation System Series
A,
Rev., AMT, 5.00%, 10/1/2034 |
1,000,000 |
1,005,192 |
County
of Miami-Dade, Jackson Health System
Series
2015A, Rev., 5.00%, 6/1/2025 |
140,000 |
143,441 |
County
of Okaloosa, Sales Tax Rev., 5.00%,
10/1/2024 |
30,000 |
30,525 |
County
of Osceola, Sales Tax Series 2016A,
Rev.,
4.00%, 10/1/2023 |
10,000 |
10,003 |
County
of Pasco |
|
|
Series
2023A, Rev., AGM, 5.25%, 9/1/2026 |
275,000 |
288,764 |
Series
2023A, Rev., AGM, 5.25%, 9/1/2027 |
300,000 |
319,803 |
Series
2023A, Rev., AGM, 5.25%, 9/1/2028 |
300,000 |
324,107 |
County
of Seminole, Special Obligation Rev.,
4.00%,
10/1/2024 |
90,000 |
90,615 |
Duval
County Public Schools Series 2022-A,
COP,
AGM, 5.00%, 7/1/2034 |
500,000 |
549,842 |
East
Central Regional Wastewater Treatment
Facilities
Operation Board, Biosolids Project
Rev.,
5.00%, 10/1/2024 |
30,000 |
30,525 |
Florida
Atlantic University Finance Corp.,
Student
Housing Project Series 2019B, Rev.,
5.00%,
7/1/2032 |
250,000 |
271,388 |
Florida
Department of Children and Families,
Evaluation
Treatment Center Financing Corp.
Project
Series 2021B, COP, 5.00%,
10/1/2028 |
210,000 |
230,236 |
Florida
Development Finance Corp.,
Educational
Facilities, River City Science
Academy
Projects |
|
|
Series
2022A-1, Rev., 4.00%, 7/1/2031 |
175,000 |
168,437 |
Series
2021A, Rev., 4.00%, 7/1/2035 |
325,000 |
301,115 |
Series
2022A-1, Rev., 5.00%, 7/1/2042 |
215,000 |
207,611 |
Florida
Development Finance Corp., IDEA
Florida,
Inc., Jacksonville IV Project Rev.,
5.25%,
6/15/2029 (e) |
150,000 |
147,208 |
Florida
Housing Finance Corp. |
|
|
Series
2023E, Rev., 5.00%, 5/1/2025 (c) |
1,320,000 |
1,341,021 |
Series
2023C, Rev., 5.00%, 12/1/2025 (c) |
1,410,000 |
1,437,628 |
Series
2023B, Rev., GNMA COLL, 5.00%,
2/1/2026 (c) |
1,000,000 |
1,022,728 |
Florida
Municipal Loan Council, Village of
Palmetto
Bay Series 2021A, Rev., 4.00%,
10/1/2028 |
75,000 |
77,430 |
Florida
Municipal Power Agency,
All-Requirements
Power Supply Project
Series
2016A, Rev., 5.00%, 10/1/2024 |
130,000 |
132,121 |
114
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Florida
— continued | ||
Florida
State Board of Governors, University of
Florida
Mandatory Student Fee Series
2021A,
Rev., AGM, 5.00%, 11/1/2028 |
100,000 |
108,291 |
Lee
County School Board (The) Series 2023A,
COP,
4.00%, 8/1/2048 |
1,500,000 |
1,397,240 |
Middleton
Community Development District A,
City
of Wildwood, Florida Special Assessment |
|
|
5.45%,
5/1/2032 |
250,000 |
258,837 |
5.85%,
5/1/2037 |
250,000 |
258,983 |
Monroe
County School District Series 2018A,
COP,
4.00%, 6/1/2025 |
45,000 |
45,452 |
Orange
County Health Facilities Authority,
Orlando
Health Obligated Group Series
2023A,
Rev., 5.00%, 10/1/2036 |
750,000 |
815,238 |
Orange
County Health Facilities Authority, The
Nemours
Foundation Project Series
2009C-2,
Rev., VRDO, LOC : TD Bank NA,
3.90%,
9/12/2023 (c) |
1,120,000 |
1,120,000 |
Orange
County School Board Series 2015D,
COP,
5.00%, 8/1/2025 |
25,000 |
25,761 |
Palm
Beach County Health Facilities Authority,
Acts
Retirement Life Communities, Inc.,
Obligated
Group Rev., 5.00%, 11/15/2032 |
240,000 |
242,096 |
Palm
Beach County Health Facilities Authority,
Jupiter
Medical Center Series 2022, Rev.,
5.00%,
11/1/2030 |
100,000 |
104,672 |
Pinellas
County Industrial Development
Authority,
Drs. Kiran & Pallavi Patel 2017
Foundation
for Global Understanding, Inc.,
Project
Rev., 5.00%, 7/1/2029 |
125,000 |
127,104 |
School
District of Broward County Series A,
COP,
5.00%, 7/1/2028 |
2,000,000 |
2,174,209 |
Seminole
County Industrial Development
Authority,
Galileo Schools for Gifted Learning
Series
2021A, Rev., 4.00%, 6/15/2036 (e) |
155,000 |
133,850 |
State
of Florida Board of Education, Public
Education
Capital Outlay |
|
|
Series
2015B, GO, 5.00%, 6/1/2024 |
30,000 |
30,368 |
Series
2016B, GO, 5.00%, 6/1/2026 |
20,000 |
21,012 |
Series
2017B, GO, 5.00%, 6/1/2031 |
75,000 |
80,467 |
State
of Florida, State Board of Education,
Lottery
Series 2016A, Rev., 5.00%,
7/1/2026 |
75,000 |
78,598 |
Tampa
Bay Water, Regional Water Supply
Authority,
Utility System Series 2016C, Rev.,
5.00%,
10/1/2025 |
55,000 |
56,849 |
Tampa-Hillsborough
County Expressway
Authority
Series 2017B, Rev., 5.00%,
7/1/2031 |
40,000 |
43,192 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Florida
— continued | ||
Tohopekaliga
Water Authority, Utility System
Rev.,
5.00%, 10/1/2025 |
10,000 |
10,371 |
University
of Florida Department of Housing &
Residence
Education Hsg Sys Rev Series
2021A,
Rev., 5.00%, 7/1/2026 |
125,000 |
130,825 |
Village
Community Development District No. 15 |
|
|
4.25%,
5/1/2028 (e) |
350,000 |
349,981 |
4.38%,
5/1/2033 (e) |
500,000 |
500,781 |
Total
Florida |
|
19,780,250 |
Georgia
— 3.4% | ||
Bartow
County Development Authority Series
2009-1,
Rev., 3.95%, 3/8/2028 (c) |
2,000,000 |
1,970,301 |
City
of Atlanta Series 2019B, Rev., AMT,
5.00%,
7/1/2031 |
1,810,000 |
1,931,655 |
City
of Atlanta, Airport Passenger Facility
Charge
Series 2019D, Rev., AMT, 4.00%,
7/1/2037 |
2,350,000 |
2,316,995 |
Clayton
County Development Authority, Clayton
State
University Rev., 5.00%, 7/1/2034 |
225,000 |
247,979 |
County
of DeKalb, Water and Sewerage Series
2006B,
Rev., 5.25%, 10/1/2026 |
25,000 |
26,606 |
Development
Authority of Monroe County (The)
Series
2009-2, Rev., 3.88%, 3/6/2026 (c) |
1,250,000 |
1,237,422 |
Georgia
Higher Education Facilities Authority,
USG
Real Estate Foundation II LLC Projects
Rev.,
4.00%, 6/15/2038 |
1,425,000 |
1,388,416 |
Georgia
Ports Authority Rev., 4.00%,
7/1/2052 |
1,300,000 |
1,236,349 |
Glynn-Brunswick
Memorial Hospital Authority,
Southeast
Georgia Health System Project
Rev.,
4.00%, 8/1/2037 |
255,000 |
231,433 |
Lee
County School District Series 2022, GO,
5.00%,
2/1/2028 |
315,000 |
340,086 |
Main
Street Natural Gas, Inc., Gas Supply |
|
|
Series
2021A, Rev., 4.00%, 9/1/2027 (c) |
2,250,000 |
2,230,560 |
Series
2022B, Rev., 5.00%, 6/1/2029 (c) |
1,500,000 |
1,533,837 |
Series
2023A, Rev., 5.00%, 6/1/2030 (c) |
2,500,000 |
2,562,975 |
Series
2023C, Rev., 5.00%, 9/1/2030 (c) |
2,500,000 |
2,595,215 |
Metropolitan
Atlanta Rapid Transit Authority,
Sales
Tax |
|
|
Series
2017D, Rev., 4.00%, 7/1/2028 |
35,000 |
36,327 |
Series
2023A, Rev., 5.00%, 7/1/2036 |
490,000 |
559,601 |
Series
2023A, Rev., 5.00%, 7/1/2039 |
900,000 |
999,493 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
115
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Georgia
— continued | ||
Walton
County Water and Sewer Authority, Hard
Labor
Creek Reservoir Water Treatment
Facility
Project |
|
|
Rev.,
5.25%, 2/1/2034 |
100,000 |
117,235 |
Rev.,
5.25%, 2/1/2035 |
135,000 |
157,286 |
Total
Georgia |
|
21,719,771 |
Hawaii
— 0.0% ^ | ||
City
and County of Honolulu Series D, GO,
5.00%,
9/1/2032 |
45,000 |
48,074 |
State
of Hawaii |
|
|
Series
B, Rev., 5.00%, 1/1/2027 |
25,000 |
26,196 |
Series
FK, GO, 5.00%, 5/1/2033 |
30,000 |
31,858 |
Total
Hawaii |
|
106,128 |
Idaho
— 0.1% | ||
Idaho
Health Facilities Authority, St. Luke's
Health
System Project Series 2021A, Rev.,
5.00%,
3/1/2029 |
35,000 |
37,769 |
Idaho
Housing and Finance Association,
Transportation
Expansion and Congestion
Mitigation
Fund Series 2022A, Rev., 5.00%,
8/15/2035 |
500,000 |
566,625 |
Total
Idaho |
|
604,394 |
Illinois
— 6.1% | ||
Champaign
County Community Unit School
District
No. 4 Champaign, School Building
GO,
5.00%, 1/1/2027 |
45,000 |
46,562 |
Chicago
O'Hare International Airport, Customer
Facility
Charge Senior Lien |
|
|
Series
2023, Rev., 5.00%, 1/1/2036 |
1,265,000 |
1,370,387 |
Series
2023, Rev., 5.00%, 1/1/2037 |
825,000 |
885,651 |
Chicago
O'Hare International Airport, General
Airport,
Senior Lien |
|
|
Series
2020B, Rev., 5.00%, 1/1/2024 |
210,000 |
210,939 |
Series
B, Rev., 5.00%, 1/1/2034 |
40,000 |
41,924 |
Chicago
O'Hare International Airport, Senior
Lien
Series 2020A, Rev., 5.00%, 1/1/2034 |
200,000 |
219,087 |
City
of Chicago, Waterworks, Second Lien |
|
|
Series
2023B, Rev., 5.00%, 11/1/2024 |
625,000 |
633,806 |
Series
2023B, Rev., AGM, 5.00%,
11/1/2037 |
200,000 |
216,633 |
Series
2023B, Rev., AGM, 5.00%,
11/1/2038 |
835,000 |
896,949 |
Series
2023A, Rev., AGM, 5.25%,
11/1/2053 |
365,000 |
388,864 |
City
of Decatur GO, 5.00%, 3/1/2027 |
130,000 |
134,606 |
City
of Highland Park GO, 4.00%, 12/30/2028 |
35,000 |
36,658 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Illinois
— continued | ||
Cook
County School District No. 87 Berkeley
GO,
AGM, 4.00%, 12/1/2030 |
35,000 |
36,578 |
County
of Cook, Sales Tax Rev., 5.00%,
11/15/2034 |
2,000,000 |
2,105,996 |
County
of Lake, Sales Tax GO, 4.00%,
11/30/2027 |
100,000 |
103,521 |
Illinois
Finance Authority, Clark-Lindsey Village
Series
2022A, Rev., 5.13%, 6/1/2032 |
185,000 |
178,110 |
Illinois
Finance Authority, Clean Water Initiative
Revolving
Fund Rev., 5.00%, 7/1/2032 |
35,000 |
37,116 |
Illinois
Finance Authority, Depaul College Prep
Project |
|
|
Series
2023A, Rev., 4.50%, 8/1/2033 (e) |
500,000 |
491,356 |
Series
2023A, Rev., 5.25%, 8/1/2038 (e) |
650,000 |
652,948 |
Illinois
Finance Authority, Lake Forest College |
|
|
Series
2022A, Rev., 5.00%, 10/1/2029 |
320,000 |
327,012 |
Series
2022A, Rev., 5.00%, 10/1/2030 |
205,000 |
209,813 |
Series
2022A, Rev., 5.00%, 10/1/2031 |
235,000 |
240,887 |
Illinois
Finance Authority, Plymouth Place, Inc. |
|
|
Series
2022B-3, Rev., 4.75%, 11/15/2027 |
200,000 |
198,413 |
Series
2022B-2, Rev., 5.25%, 11/15/2027 |
200,000 |
198,797 |
Series
2022B-1, Rev., 6.00%, 11/15/2027 |
100,000 |
100,043 |
Illinois
Finance Authority, Smith Crossing Rev.,
4.00%,
10/15/2028 |
350,000 |
326,866 |
Illinois
Finance Authority, Social Bonds-Learn
Chapter
School Project Rev., 4.00%,
11/1/2024 |
135,000 |
134,334 |
Illinois
Finance Authority, Uchicago Medicine
Series
2022B-2, Rev., 5.00%,
8/15/2027 (c) |
1,000,000 |
1,054,508 |
Illinois
Finance Authority, Unitypoint Health
Series
2016D, Rev., 5.00%, 2/15/2024 (b) |
115,000 |
115,820 |
Illinois
Finance Authority, University of Chicago
Series
2015A, Rev., 5.00%, 10/1/2025 (b) |
3,250,000 |
3,353,977 |
Illinois
Housing Development Authority Rev.,
FHA,
4.00%, 6/1/2025 (c) |
2,815,000 |
2,807,976 |
Illinois
State Toll Highway Authority |
|
|
Series
2014D, Rev., 5.00%, 1/1/2024 |
25,000 |
25,126 |
Series
2019A, Rev., 5.00%, 1/1/2036 |
250,000 |
270,038 |
Kane
McHenry Cook and De Kalb Counties Unit
School
District No. 300 GO, 5.00%,
1/1/2024 |
35,000 |
35,162 |
Kendall
and Kane Counties Community Unit
School
District No. 115 Series 2017B, GO,
5.00%,
1/1/2027 |
25,000 |
26,256 |
Lake
County Community Consolidated School
District
No. 3 Beach Park GO, AGM, 4.00%,
2/1/2032 |
175,000 |
181,112 |
116
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Illinois
— continued | ||
Lake
County Forest Preserve District GO,
5.00%,
12/15/2028 |
165,000 |
179,519 |
McLean
and Woodford Counties Community
Unit
School District No. 5 Normal Series
2017A,
GO, 4.00%, 12/1/2023 |
80,000 |
80,062 |
Metropolitan
Water Reclamation District of
Greater
Chicago, Limited Tax Series 2021C,
GO,
5.00%, 12/1/2023 |
20,000 |
20,068 |
Northern
Illinois University, Auxiliary Facilities
System
Series 2020B, Rev., 5.00%,
4/1/2034 |
200,000 |
208,792 |
Northern
Illinois University, Board of Trustees,
Auxiliary
Facilities System |
|
|
Rev.,
5.00%, 10/1/2029 |
300,000 |
317,817 |
Rev.,
5.00%, 10/1/2030 |
325,000 |
345,319 |
Peoria
Tazewell Etc Counties Community
College
District No. 514 GO, 4.00%,
12/1/2023 |
35,000 |
35,056 |
Sales
Tax Securitization Corp., Second Lien
Series
2020A, Rev., 4.00%, 1/1/2040 |
1,750,000 |
1,687,275 |
Sales
Tax Securitization Corp., Senior Lien
Series
2023C, Rev., 5.00%, 1/1/2033 |
1,000,000 |
1,078,437 |
Southern
Illinois University |
|
|
Series
2022A, Rev., 5.00%, 4/1/2029 |
675,000 |
717,525 |
Series
2022A, Rev., 5.00%, 4/1/2030 |
800,000 |
857,064 |
Series
2022A, Rev., 5.00%, 4/1/2031 |
575,000 |
622,029 |
Series
2022A, Rev., 5.00%, 4/1/2032 |
510,000 |
555,037 |
Southwestern
Illinois Development Authority,
Flood
Prevention District Council Project
Rev.,
5.00%, 4/15/2030 |
625,000 |
692,965 |
State
of Illinois |
|
|
GO,
5.00%, 4/1/2024 |
30,000 |
30,206 |
Series
2018A, GO, 5.00%, 10/1/2024 |
30,000 |
30,390 |
Series
2023D, GO, 5.00%, 7/1/2025 |
1,145,000 |
1,170,222 |
Series
2017D, GO, 5.00%, 11/1/2025 |
2,550,000 |
2,616,911 |
Series
2022A, GO, 5.00%, 3/1/2029 |
500,000 |
534,864 |
Series
2018B, GO, 5.00%, 10/1/2029 |
2,000,000 |
2,128,228 |
GO,
4.00%, 6/1/2032 |
1,000,000 |
989,957 |
Series
2018A, GO, 5.00%, 10/1/2033 |
1,000,000 |
1,054,444 |
GO,
4.00%, 6/1/2035 |
3,735,000 |
3,681,903 |
Series
2023B, GO, 5.50%, 5/1/2047 |
375,000 |
402,258 |
Series
2023B, GO, 4.50%, 5/1/2048 |
65,000 |
62,291 |
University
of Illinois Series 2021A, Rev.,
5.00%,
4/1/2029 |
450,000 |
492,074 |
Village
of Bolingbrook Series 2018A, GO, AGM,
5.00%,
1/1/2033 |
125,000 |
133,901 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Illinois
— continued | ||
Village
of Elk Grove GO, 5.00%, 1/1/2029 |
25,000 |
26,497 |
Village
of Wilmette Series 2020B, GO, 5.00%,
12/1/2026 |
140,000 |
148,196 |
Total
Illinois |
|
39,193,138 |
Indiana
— 1.4% | ||
Adams
Central Elementary School Building
Corp.,
Ad Valorem Property Tax First
Mortgage
Rev., 5.00%, 1/15/2027 |
20,000 |
21,039 |
Ball
State University, Student Fee Series R,
Rev.,
5.00%, 7/1/2024 |
35,000 |
35,444 |
City
of Goshen, Multi-Family, Green Oaks of
Goshen
Project Series 2021A, Rev., 5.00%,
8/1/2041 (e) |
250,000 |
197,454 |
City
of Valparaiso Rev., 5.38%, 12/1/2041 (e) |
200,000 |
152,240 |
Decatur
County, Jail Building Corp. Rev.,
5.00%,
7/15/2028 |
250,000 |
268,128 |
Indiana
Finance Authority |
|
|
Series
2016C, Rev., 5.00%, 12/1/2025 |
35,000 |
36,255 |
Series
2023A, Rev., 5.00%, 10/1/2037 |
800,000 |
888,656 |
Series
2023A, Rev., 5.00%, 6/1/2038 |
400,000 |
409,263 |
Series
2023A, Rev., 5.00%, 6/1/2043 |
430,000 |
434,595 |
Series
2023A, Rev., 5.00%, 6/1/2053 |
790,000 |
790,766 |
Indiana
Finance Authority, DePauw University
Series
2022A, Rev., 5.00%, 7/1/2031 |
730,000 |
767,807 |
Indiana
Finance Authority, Educational
Facilities,
Valparaiso University Project Rev.,
4.00%,
10/1/2035 |
215,000 |
199,784 |
Indiana
Finance Authority, Franciscan Alliance,
Inc.,
Obligated Group Series 2017C, Rev.,
4.00%,
11/1/2034 |
115,000 |
113,664 |
Indiana
Finance Authority, Parkview Health
System,
Inc. Series 2017A, Rev., 5.00%,
11/1/2023 |
50,000 |
50,106 |
Indiana
Finance Authority, Rose-Hulman
Institute
of Technology Project Rev., 5.00%,
6/1/2030 |
200,000 |
217,088 |
Indiana
Housing and Community Development
Authority,
Vita of New Whiteland Project
Rev.,
6.75%, 1/1/2043 |
1,000,000 |
968,469 |
Indiana
State University, Housing and Dining
System
Rev., 5.00%, 4/1/2031 |
75,000 |
78,057 |
Indiana
University, Student Fee Series Y, Rev.,
5.00%,
8/1/2028 |
25,000 |
26,709 |
IPS
Multi-School Building Corp., Indiana
Unlimited
Ad Valorem Property Tax, First
Mortgage
Rev., 5.00%, 7/15/2029 |
50,000 |
54,790 |
Monroe
County Community School Corp. GO,
5.00%,
7/15/2027 |
250,000 |
265,608 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
117
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Indiana
— continued | ||
Perry
Township Multi School Building Corp., Ad
Valorem
Property Tax First Mortgage Rev.,
5.00%,
7/15/2025 |
35,000 |
35,963 |
Vinton-Tecumseh
School Building Corp., Ad
Valorem
Property Tax |
|
|
Rev.,
5.00%, 1/15/2030 |
1,125,000 |
1,234,734 |
Rev.,
5.00%, 7/15/2030 |
1,150,000 |
1,270,610 |
Wheeler-Union
Township School Building Corp.
Rev.,
4.00%, 7/15/2034 |
400,000 |
413,449 |
Total
Indiana |
|
8,930,678 |
Iowa
— 0.3% | ||
City
of West Des Moines, Urban Renewal Series
2016B,
GO, 5.00%, 6/1/2024 |
35,000 |
35,414 |
Des
Moines Independent Community School
District,
Sales Services and Use Tax Rev.,
5.00%,
6/1/2028 |
175,000 |
189,226 |
Iowa
Finance Authority, State Revolving Fund
Rev.,
5.00%, 8/1/2027 |
30,000 |
32,203 |
Iowa
Student Loan Liquidity Corp., Student
Loan |
|
|
Series
2023B, Rev., AMT, 5.00%,
12/1/2026 |
600,000 |
615,724 |
Series
2023B, Rev., AMT, 5.00%,
12/1/2027 |
900,000 |
932,741 |
Total
Iowa |
|
1,805,308 |
Kansas
— 0.9% | ||
City
of Manhattan, Meadowlark Hills Series
2022B-2,
Rev., 2.38%, 6/1/2027 |
200,000 |
187,485 |
City
of Topeka, Kansas Health Care Facilities |
|
|
Series
2022B, Rev., 5.13%, 12/1/2026 |
250,000 |
246,685 |
Series
2022A, Rev., 5.75%, 12/1/2033 |
250,000 |
246,557 |
Johnson
County Community College
Foundation,
Inc. COP, 5.00%, 10/1/2024 |
105,000 |
106,880 |
Johnson
County Water District No. 1 Series
2017A,
Rev., 5.00%, 1/1/2025 |
50,000 |
51,019 |
Kansas
Development Finance Authority,
AdventHealth
Series 2021B, Rev., 5.00%,
11/15/2031 (c) |
200,000 |
221,706 |
University
of Kansas Hospital Authority, Health
System
Rev., VRDO, LOC : US Bank NA,
3.95%,
9/1/2023 (c) |
5,000,000 |
5,000,000 |
Total
Kansas |
|
6,060,332 |
Kentucky
— 0.2% | ||
City
of Henderson, Pratt Paper LLC Project
Series
2022A, Rev., AMT, 4.45%,
1/1/2042 (e) |
165,000 |
156,270 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Kentucky
— continued | ||
County
of Boone, Duke Energy Kentucky, Inc.
Series
2008A, Rev., 3.70%, 8/1/2027 |
500,000 |
487,327 |
Kentucky
Economic Development Finance
Authority,
Baptist Healthcare System
Obligated
Group Series 2017B, Rev., 5.00%,
8/15/2029 |
165,000 |
173,037 |
Louisville
and Jefferson County Metropolitan
Government,
Norton Healthcare, Inc. Series
2016A,
Rev., 4.00%, 10/1/2036 |
65,000 |
61,354 |
Louisville
and Jefferson County Metropolitan
Sewer
District, Sewer and Drainage System |
|
|
Series
2017B, Rev., 5.00%, 5/15/2024 |
25,000 |
25,273 |
Series
2017A, Rev., 5.00%, 5/15/2027 |
40,000 |
42,305 |
Total
Kentucky |
|
945,566 |
Louisiana
— 1.3% | ||
Louisiana
Local Government Environmental
Facilities
and Community Development
Authority,
Calcasieu Parish Projects Rev.,
5.00%,
12/1/2030 |
250,000 |
273,153 |
Louisiana
Public Facilities Authority, Materra
Campus
Project Series 2021C, Rev., 4.00%,
6/1/2031 (e) |
245,000 |
222,795 |
Louisiana
Public Facilities Authority, Tulane
University
Project Series 2020A, Rev.,
5.00%,
4/1/2029 |
145,000 |
158,635 |
Parish
of St. John the Baptist, Marathon Oil
Corp.,
Project Series 2017A-1, Rev., 4.05%,
7/1/2026 (c) |
2,750,000 |
2,722,422 |
State
of Louisiana Series 2016-B, GO, 4.00%,
8/1/2026 |
30,000 |
30,581 |
State
of Louisiana Gasoline and Fuels Tax Series
A,
Rev., 4.50%, 5/1/2025 (b) |
5,000,000 |
5,085,753 |
Total
Louisiana |
|
8,493,339 |
Maine
— 0.4% | ||
Maine
Health and Higher Educational Facilities
Authority |
|
|
Series
2023A, Rev., AGM, 5.00%, 7/1/2038 |
250,000 |
266,880 |
Series
2023A, Rev., AGM, 5.00%, 7/1/2039 |
295,000 |
313,330 |
Maine
Municipal Bond Bank Series C, Rev.,
5.00%,
11/1/2024 |
75,000 |
76,441 |
Maine
Turnpike Authority Rev., 4.00%,
7/1/2040 |
2,100,000 |
2,045,508 |
Total
Maine |
|
2,702,159 |
Maryland
— 1.0% | ||
County
of Howard, Consolidated Public
Improvement
Series 2022B, GO, 5.00%,
8/15/2030 |
160,000 |
181,332 |
118
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Maryland
— continued | ||
County
of Montgomery, Consolidated Public
Improvement
Project Series 2021A, GO,
5.00%,
8/1/2031 |
2,000,000 |
2,298,779 |
County
of St. Mary's, Public Improvement GO,
4.00%,
7/15/2027 |
70,000 |
72,435 |
Maryland
Economic Development Corp.,
Annapolis
Mobility and Resilience Project
Series
2022A, Rev., 5.00%, 12/31/2037 |
500,000 |
516,422 |
Maryland
Economic Development Corp., Bowie
State
University Project Rev., 4.00%,
7/1/2040 |
200,000 |
183,181 |
Maryland
Economic Development Corp.,
Morgan
State University Project Series
2022A,
Rev., 5.25%, 7/1/2031 |
585,000 |
645,650 |
Maryland
Health and Higher Educational
Facilities
Authority, Stevenson University
Project |
|
|
Series
2021A, Rev., 5.00%, 6/1/2033 |
200,000 |
214,467 |
Series
2021A, Rev., 4.00%, 6/1/2051 |
250,000 |
212,841 |
State
of Maryland, Department of
Transportation
Rev., 5.00%, 9/1/2026 |
75,000 |
79,076 |
State
of Maryland, State and Local Facilities
Loan
of 2017 |
|
|
Series
2017A, GO, 5.00%, 8/1/2025 |
45,000 |
46,548 |
Series
2017B, GO, 5.00%, 8/1/2026 |
205,000 |
216,120 |
State
of Maryland, State and Local Facilities
Loan
of 2021 Series 2021A, GO, 5.00%,
3/1/2031 |
400,000 |
456,753 |
State
of Maryland, State and Local Facilities
Loan
of 2022 Series 2022A, GO, 5.00%,
6/1/2033 |
1,000,000 |
1,161,295 |
Total
Maryland |
|
6,284,899 |
Massachusetts
— 0.5% | ||
City
of Boston Series 2017A, GO, 5.00%,
4/1/2025 |
10,000 |
10,277 |
Commonwealth
of Massachusetts Series C, GO,
5.00%,
10/1/2026 |
25,000 |
26,484 |
Massachusetts
Development Finance Agency,
Boston
Medical Center Issue |
|
|
Series
2023G, Rev., 5.00%, 7/1/2029 |
750,000 |
810,214 |
Series
2023G, Rev., 4.38%, 7/1/2052 |
700,000 |
638,752 |
Series
2023G, Rev., 5.25%, 7/1/2052 |
1,000,000 |
1,023,231 |
Massachusetts
Development Finance Agency,
Milford
Regional Medical Center Series
2020G,
Rev., 5.00%, 7/15/2037 (e) |
245,000 |
218,753 |
Massachusetts
Development Finance Agency,
Salem
Community Corp. Rev., 5.00%,
1/1/2030 |
235,000 |
226,230 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Massachusetts
— continued | ||
Massachusetts
Development Finance Agency,
Southcoast
Health System Obligated Group
Issue
Series 2021G, Rev., 5.00%, 7/1/2035 |
200,000 |
211,899 |
Massachusetts
Development Finance Agency,
Wellforce
Issue Series 2020C, Rev., AGM,
5.00%,
10/1/2030 |
175,000 |
191,468 |
Massachusetts
State College Building Authority
Series
2017D, Rev., 5.00%, 5/1/2027 |
45,000 |
48,125 |
Town
of Hopkinton, Municipal Purpose Loan GO,
5.00%,
11/15/2024 |
30,000 |
30,628 |
Total
Massachusetts |
|
3,436,061 |
Michigan
— 1.2% | ||
Berrien
Springs Public Schools, School Building
and
Site, Unlimited Tax GO, Q-SBLF, 5.00%,
5/1/2030 |
250,000 |
274,143 |
City
of Ann Arbor |
|
|
Rev.,
4.00%, 4/1/2042 |
1,515,000 |
1,465,822 |
Rev.,
4.00%, 4/1/2045 |
1,705,000 |
1,616,949 |
City
of Detroit, Unlimited Tax |
|
|
Series
2021A, GO, 5.00%, 4/1/2031 |
480,000 |
500,595 |
Series
2021A, GO, 5.00%, 4/1/2035 |
400,000 |
412,530 |
Series
2023C, GO, 6.00%, 5/1/2043 |
1,200,000 |
1,317,400 |
Series
2021A, GO, 5.00%, 4/1/2046 |
1,015,000 |
993,059 |
Grand
Traverse County Hospital Finance
Authority,
Munson Healthcare Obligated
Group
Rev., 5.00%, 7/1/2026 |
175,000 |
181,812 |
Michigan
Finance Authority, Lawrence
Technological
University Obligated Group
Rev.,
4.00%, 2/1/2032 |
95,000 |
88,353 |
Michigan
State Building Authority, Facilities
Program
Series 2023-II, Rev., 4.00%,
10/15/2047 |
675,000 |
637,009 |
Michigan
State Hospital Finance Authority,
Trinity
Health Credit Group Series 2008C,
Rev.,
5.00%, 12/1/2025 |
25,000 |
25,793 |
State
of Michigan Trunk Line, Rebuilding
Michigan
Program Series 2021A, Rev.,
4.00%,
11/15/2036 |
395,000 |
401,905 |
Western
Michigan University, Tax Exempt Series
2021A,
Rev., AGM, 5.00%, 11/15/2031 |
25,000 |
27,622 |
Total
Michigan |
|
7,942,992 |
Minnesota
— 1.3% | ||
City
of Mankato |
|
|
Series
2022B, GO, 5.00%, 2/1/2027 |
250,000 |
265,257 |
Series
2022B, GO, 5.00%, 2/1/2029 |
755,000 |
831,479 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
119
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Minnesota
— continued | ||
City
of Minneapolis, Health Care System,
Fairview
Health Services Series 2018A, Rev.,
5.00%,
11/15/2033 |
180,000 |
188,718 |
City
of Woodbury, Charter School Lease,
Woodbury
Leadership Academy Project
Series
2021A, Rev., 4.00%, 7/1/2031 |
175,000 |
158,795 |
Duluth
Economic Development Authority,
Benedictine
Health System Series 2021A,
Rev.,
3.00%, 7/1/2024 |
100,000 |
98,373 |
Metropolitan
Council Series 2023C, GO,
4.00%,
3/1/2041 |
2,800,000 |
2,753,899 |
Minnesota
Housing Finance Agency Series
2023F,
Rev., GNMA / FNMA / FHLMC,
5.75%,
7/1/2053 |
2,500,000 |
2,657,836 |
Minnesota
Municipal Gas Agency Subseries,
2022A,
Rev., LIQ : Royal Bank of Canada,
4.00%,
6/1/2027 |
1,000,000 |
994,431 |
State
of Minnesota, Various Purpose Series
2020A,
GO, 5.00%, 8/1/2030 |
350,000 |
395,006 |
University
of Minnesota Series 2017B, Rev.,
5.00%,
12/1/2025 |
15,000 |
15,545 |
Total
Minnesota |
|
8,359,339 |
Mississippi
— 0.1% | ||
Mississippi
Development Bank, Ranking County
Project
Rev., 5.00%, 3/1/2026 |
205,000 |
213,731 |
Mississippi
State University Educational
Building
Corp., New Facilities and
Refinancing
Project Rev., 5.00%, 8/1/2025 |
35,000 |
35,981 |
State
of Mississippi |
|
|
Series
2015F, GO, 5.00%, 11/1/2025 (b) |
35,000 |
36,319 |
Series
2016B, GO, 5.00%, 12/1/2025 |
20,000 |
20,744 |
Series
2018A, GO, 5.00%, 11/1/2026 (b) |
60,000 |
63,410 |
University
of Mississippi Educational Building
Corp.,
Facilities Refinancing Project Series
2016A,
Rev., 5.00%, 10/1/2030 |
40,000 |
41,795 |
Total
Mississippi |
|
411,980 |
Missouri
— 0.9% | ||
Bi-State
Development Agency of the
Missouri-Illinois
Metropolitan District,
Combined
Lien Mass Transit Sales Rev.,
5.00%,
10/1/2023 |
280,000 |
280,305 |
Bi-State
Development Agency of the
Missouri-Illinois
Metropolitan District, St.
Clair
County Metrolink Project Rev., AGM,
5.25%,
7/1/2024 |
40,000 |
40,591 |
City
of Excelsior Springs Series 2020B, COP,
4.00%,
3/1/2030 |
115,000 |
119,289 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Missouri
— continued | ||
City
of Kansas City, Sanitary Sewer System
Series
2018B, Rev., 5.00%, 1/1/2033 |
25,000 |
26,990 |
Health
and Educational Facilities Authority of
the
State of Missouri, City Art Institute Rev.,
5.00%,
9/1/2030 |
200,000 |
213,076 |
Health
and Educational Facilities Authority of
the
State of Missouri, Lake Regional Health
System |
|
|
Rev.,
5.00%, 2/15/2027 |
225,000 |
231,276 |
Rev.,
4.00%, 2/15/2035 |
390,000 |
370,746 |
Rev.,
4.00%, 2/15/2036 |
580,000 |
541,137 |
Health
and Educational Facilities Authority of
the
State of Missouri, Lutheran Senior
Services
Projects Series 2016A, Rev.,
5.00%,
2/1/2036 |
1,000,000 |
988,129 |
Health
and Educational Facilities Authority of
the
State of Missouri, Mercy Health Series
2018A,
Rev., 5.00%, 6/1/2028 |
180,000 |
192,341 |
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 |
168,556 |
Health
and Educational Facilities Authority of
the
State of Missouri, St. Luke's Health
System,
Inc. Rev., 5.00%, 11/15/2029 |
300,000 |
309,755 |
Health
and Educational Facilities Authority of
the
State of Missouri, Wright Memorial
Hospital
Rev., 5.00%, 9/1/2026 |
200,000 |
202,140 |
Industrial
Development Authority of the City of
St
Louis Missouri (The), Innovation District
Rev.,
5.00%, 5/15/2041 |
285,000 |
278,114 |
Metropolitan
St. Louis Sewer District,
Wastewater
System Improvement Series
2017A,
Rev., 5.00%, 5/1/2027 |
45,000 |
47,916 |
Missouri
Development Finance Board, Fulton
State
Hospital Project Rev., 5.00%,
10/1/2025 |
25,000 |
25,447 |
Springfield
School District No. R-12 GO,
4.00%,
3/1/2042 |
1,800,000 |
1,742,934 |
Total
Missouri |
|
5,778,742 |
Montana
— 0.3% | ||
County
of Missoula GO, 4.00%, 7/1/2025 |
50,000 |
50,611 |
Yellowstone
and Carbon Counties School
District
No. 7-70 Laurel Series 2023, GO,
5.00%,
7/1/2039 |
1,675,000 |
1,824,067 |
Total
Montana |
|
1,874,678 |
120
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Nebraska
— 0.6% | ||
Central
Plains Energy Project, Gas Project No. 3
Series
2017A, Rev., 5.00%, 9/1/2030 |
320,000 |
333,241 |
Central
Plains Energy Project, Gas Project No. 4
Series
2018A, Rev., 5.00%, 1/1/2024 (c) |
3,000,000 |
3,007,548 |
City
of Lincoln, Electric System |
|
|
Rev.,
5.00%, 9/1/2026 |
85,000 |
89,347 |
Rev.,
5.00%, 9/1/2028 |
50,000 |
53,099 |
City
of Omaha, Sanitary Sewerage System Rev.,
5.00%,
4/1/2027 |
50,000 |
52,216 |
Nebraska
Educational Health Cultural and
Social
Services Finance Authority, Immanuel
Retirement
Communities Obligated Group
Series
2019A, Rev., 4.00%, 1/1/2033 |
250,000 |
253,171 |
Omaha
Public Power District, Electric System |
|
|
Series
B, Rev., 5.00%, 2/1/2025 |
20,000 |
20,298 |
Series
2016A, Rev., 5.00%, 2/1/2026 |
40,000 |
41,636 |
Series
2016A, Rev., 5.00%, 2/1/2027 |
30,000 |
31,261 |
Public
Power Generation Agency, Whelan
Energy
Center Unit 2 Series 2015A, Rev.,
5.00%,
1/1/2024 |
155,000 |
155,618 |
University
of Nebraska Facilities Corp., UNMC
Global
Center Project Rev., 5.00%,
12/15/2025 |
35,000 |
36,320 |
Total
Nebraska |
|
4,073,755 |
Nevada
— 0.8% | ||
Clark
County School District, Limited Tax |
|
|
Series
2018A, GO, 5.00%, 6/15/2032 |
95,000 |
101,708 |
Series
2018A, GO, 4.00%, 6/15/2035 |
90,000 |
90,767 |
Clark
County Water Reclamation District Series
2023,
GO, 5.00%, 7/1/2043 |
4,000,000 |
4,306,753 |
County
of Clark Department of Aviation, Jet
Aviation
Fuel tax Series 2022A, Rev., AMT,
5.00%,
7/1/2026 |
500,000 |
514,446 |
County
of Clark, Indexed Fuel Tax and
Subordinate
Motor Vehicle Fuel Tax Rev.,
5.00%,
7/1/2028 |
25,000 |
26,627 |
County
of Clark, Passenger Facility Charge, Las
Vegas-McCarran
International Airport
Passenger
Facility Series 2019E, Rev.,
5.00%,
7/1/2033 |
155,000 |
168,355 |
County
of Clark, Transporation Improvement
Series
2018B, GO, 5.00%, 12/1/2027 |
120,000 |
129,205 |
Truckee
Meadows Water Authority Rev.,
5.00%,
7/1/2029 |
50,000 |
53,162 |
Total
Nevada |
|
5,391,023 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
New
Hampshire — 1.1% | ||
New
Hampshire Business Finance Authority,
Springpoint
Senior Living Project Rev.,
4.00%,
1/1/2025 |
290,000 |
287,009 |
New
Hampshire Business Finance Authority,
University
of Nevada Reno Project |
|
|
Series
2023A, Rev., 5.00%, 12/1/2036 |
715,000 |
774,968 |
Series
2023A, Rev., 5.00%, 12/1/2037 |
860,000 |
923,264 |
Series
2023A, Rev., 5.00%, 12/1/2038 |
665,000 |
706,302 |
Series
2023A, Rev., 5.25%, 12/1/2039 |
790,000 |
850,456 |
Series
2023A, Rev., 5.25%, 6/1/2051 |
2,400,000 |
2,518,194 |
Series
2023A, Rev., 4.50%, 6/1/2053 |
1,075,000 |
1,003,636 |
Total
New Hampshire |
|
7,063,829 |
New
Jersey — 2.7% | ||
Borough
of North Haledon GO, BAN, 4.50%,
6/26/2024 |
5,000,000 |
5,025,915 |
Burlington
County Bridge
Commission,Government
Leasing Program
Rev.,
4.50%, 8/7/2024 |
1,750,000 |
1,764,924 |
City
of New Brunswick GO, 4.00%, 3/15/2024 |
10,000 |
10,036 |
New
Jersey Economic Development Authority
Series
2024SSS, Rev., 5.00%,
6/15/2026 (d) |
1,000,000 |
1,021,227 |
New
Jersey Economic Development Authority,
Biomedical
Research Facilities Series 2016A,
Rev.,
5.00%, 7/15/2028 |
160,000 |
166,015 |
New
Jersey Transportation Trust Fund
Authority,
Transportation System |
|
|
Series
2018A, Rev., 4.00%, 12/15/2031 |
250,000 |
255,181 |
Series
2018A, Rev., 5.00%, 12/15/2033 |
2,000,000 |
2,136,387 |
New
Jersey Turnpike Authority |
|
|
Series
2020D, Rev., 5.00%, 1/1/2028 |
200,000 |
208,044 |
Series
2022B, Rev., 5.00%, 1/1/2042 |
1,500,000 |
1,624,309 |
Passaic
County Improvement Authority (The),
City
of Paterson Project Rev., 5.00%,
6/15/2025 |
10,000 |
10,283 |
Township
of Raritan GO, BAN, 4.50%,
4/29/2024 |
5,000,000 |
5,020,314 |
Total
New Jersey |
|
17,242,635 |
New
Mexico — 0.8% | ||
Albuquerque
Municipal School District No. 12
Series
2023B, GO, 5.00%, 8/1/2024 |
590,000 |
598,308 |
City
of Albuquerque, Gross Receipts Tax Series
2015A,
Rev., 5.00%, 7/1/2026 |
240,000 |
247,106 |
Loving
Municipal School District No. 10 Series
2023,
GO, 5.00%, 9/15/2024 |
3,875,000 |
3,928,539 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
121
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
New
Mexico — continued | ||
New
Mexico Finance Authority, Senior Lien
Public
Project Revolving Fund Series 2016E,
Rev.,
5.00%, 6/1/2024 |
25,000 |
25,301 |
New
Mexico Finance Authority, State
Transportation,
Subordinate Lien Series
2018A,
Rev., 5.00%, 6/15/2027 |
100,000 |
106,917 |
New
Mexico Hospital Equipment Loan Council,
Presbyterian
Health Care Services Series
2015A,
Rev., 5.00%, 8/1/2025 (b) |
25,000 |
25,682 |
State
of New Mexico, Capital Projects GO,
5.00%,
3/1/2024 |
305,000 |
307,504 |
Total
New Mexico |
|
5,239,357 |
New
York — 10.1% | ||
Broome
County Local Development Corp., Good
Shepherd
Village at Endwell, Inc. Rev.,
3.50%,
7/1/2026 |
210,000 |
200,836 |
Build
NYC Resource Corp., Grand Concourse
Academy
Charter School Series 2022A, Rev.,
5.00%,
7/1/2032 |
100,000 |
103,864 |
Build
NYC Resource Corp., Kipp NYC Public
School
Facilities - Canal West Project |
|
|
Rev.,
5.00%, 7/1/2033 |
585,000 |
621,498 |
Rev.,
5.00%, 7/1/2034 |
205,000 |
216,886 |
Build
NYC Resource Corp., New World
Preparatory
Charter School Project |
|
|
Series
2021A, Rev., 4.00%, 6/15/2041 (e) |
100,000 |
79,715 |
Series
2021A, Rev., 4.00%, 6/15/2051 (e) |
150,000 |
107,609 |
City
of New York |
|
|
Series
2023E, SubseriesE-1, GO, 4.00%,
4/1/2045 |
760,000 |
727,560 |
Series
2023E, Subseries E-1, GO, 4.00%,
4/1/2050 |
1,290,000 |
1,215,067 |
City
of New York, Fiscal Year 2018 Series
2018F-1,
GO, 5.00%, 4/1/2033 |
105,000 |
112,673 |
City
of New York, Fiscal Year 2019 Series
2019E,
GO, 5.00%, 8/1/2033 |
100,000 |
108,618 |
City
of New York, Fiscal Year 2020 Series
2020C-1,
GO, 5.00%, 8/1/2033 |
160,000 |
177,732 |
City
of New York, Fiscal Year 2021 |
|
|
Series
2021A-1, GO, 5.00%, 8/1/2031 |
185,000 |
206,285 |
Series
2021-1, GO, 5.00%, 4/1/2033 |
235,000 |
263,311 |
Series
2021F-1, GO, 5.00%, 3/1/2037 |
1,000,000 |
1,088,591 |
City
of New York, Fiscal Year 2022 Series
2022B-1,
GO, 5.00%, 8/1/2033 |
1,650,000 |
1,878,779 |
City
of New York, Fiscal Year 2024 Series
2024A,
GO, 4.13%, 8/1/2053 |
1,225,000 |
1,157,472 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
New
York — continued | ||
County
of Erie, Public Improvement Series
2019A,
GO, 5.00%, 9/15/2025 |
25,000 |
25,940 |
County
of Onondaga GO, 5.00%, 3/15/2026 |
20,000 |
20,177 |
Dutchess
County Local Development Corp., The
Culinary
Institute of America Project Rev.,
5.00%,
7/1/2025 |
100,000 |
101,014 |
Erie
County Water Authority Rev., 5.00%,
12/1/2027 |
30,000 |
31,804 |
Falconer
Central School District GO, 4.00%,
12/15/2034 |
1,145,000 |
1,166,566 |
Longwood
Central School District, Suffolk
County
GO, 5.00%, 6/15/2025 |
175,000 |
180,442 |
Malone
Central School District GO, BAN,
4.50%,
6/27/2024 |
5,000,000 |
5,022,895 |
New
York City Municipal Water Finance
Authority,
Second General Resolution Series
2023,
Subseries AA-3, Rev., 5.00%,
6/15/2047 |
725,000 |
771,021 |
New
York City Municipal Water Finance
Authority,
Water and Sewer System Second
General
Resolution Series 2019FF-1, Rev.,
4.00%,
6/15/2049 |
1,530,000 |
1,451,209 |
New
York City Transitional Finance Authority
Building
Aid, Fiscal Year 2018 Series
2018S-4A,
Rev., 5.00%, 7/15/2033 |
105,000 |
113,404 |
New
York City Transitional Finance Authority
Building
Aid, Subordinate |
|
|
Series
2019 S-2A, Rev., 5.00%,
7/15/2025 (b) |
45,000 |
46,400 |
Series
2019S-2A, Rev., 5.00%, 7/15/2025 |
5,000 |
5,154 |
Series
2023, Subseries S-1A, Rev., 5.00%,
7/15/2035 |
800,000 |
909,780 |
Series
2020S-1B, Rev., 4.00%, 7/15/2042 |
1,500,000 |
1,439,889 |
New
York City Transitional Finance Authority,
Future
Tax Secured |
|
|
Series
2021C, Subseries C-1, Rev., 4.00%,
5/1/2035 |
750,000 |
768,340 |
Series
2020A, Subseries A-2, Rev., 5.00%,
5/1/2039 |
265,000 |
278,966 |
Series
2023F, Subseries F-1, Rev., 4.00%,
2/1/2051 |
1,250,000 |
1,173,180 |
New
York City Transitional Finance Authority,
Future
Tax Secured, Fiscal Year 2017 |
|
|
Series
2017E1-1, Rev., 5.00%, 2/1/2030 |
150,000 |
158,112 |
Series
2017F-1, Rev., 5.00%, 5/1/2030 |
550,000 |
582,257 |
New
York City Transitional Finance Authority,
Future
Tax Secured, Fiscal Year 2018 Series
2018
-1, Rev., 5.00%, 11/1/2026 |
25,000 |
26,483 |
122
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
New
York — continued | ||
New
York City Transitional Finance Authority,
Future
Tax Secured, Tax-Exempt, Fiscal Year
2022
Series 2022F, SubseriesF-1, Rev.,
5.00%,
2/1/2036 |
525,000 |
582,487 |
New
York State Dormitory Authority, Columbia
University
Series 2018B, Rev., 5.00%,
10/1/2038 |
25,000 |
26,806 |
New
York State Dormitory Authority, Cornell
University
Series 2019D, Rev., 5.00%,
7/1/2033 |
135,000 |
160,760 |
New
York State Dormitory Authority, Northwell
Health
Obligated Group Series 2019A, Rev.,
5.00%,
5/1/2029 |
70,000 |
74,839 |
New
York State Dormitory Authority, Personal
Income
Tax |
|
|
Series
2019D, Rev., 5.00%, 2/15/2034 |
2,000,000 |
2,204,529 |
Series
2021A, Rev., 4.00%, 3/15/2037 |
990,000 |
1,000,334 |
Series
2021E, Rev., 4.00%, 3/15/2040 |
3,000,000 |
2,954,750 |
New
York State Dormitory Authority, State
Personal
Income Tax, General Purpose |
|
|
Series
2018A, Rev., 5.00%, 3/15/2031 |
25,000 |
27,123 |
Series
2021E, Rev., 5.00%, 3/15/2033 |
1,610,000 |
1,826,641 |
New
York State Dormitory Authority, State
Supported
Debt University Facilities Series
2019A,
Rev., 5.00%, 7/1/2024 |
25,000 |
25,350 |
New
York State Environmental Facilities Corp.,
State
Clean Water and Drinking Water
Revolving
Funds, Municipal Water Finance
Authority
Projects - Second Resolution Series
2019B,
Rev., 5.00%, 6/15/2031 |
100,000 |
111,456 |
New
York State Housing Finance Agency, 160
Madison
Avenue LLC Series 2013A, Rev.,
VRDO,
LOC : Landesbank Hessen-Thuringen
Girozentrale,
3.89%, 9/1/2023 (c) |
5,000,000 |
5,000,000 |
New
York State Urban Development Corp.,
State
Personal Income Tax, General Purpose |
|
|
Series
2016A, Rev., 5.00%, 3/15/2026 (b) |
30,000 |
31,356 |
Series
2017A, Rev., 5.00%, 3/15/2028 |
150,000 |
158,915 |
Series
A-1, Rev., 5.00%, 3/15/2028 |
25,000 |
25,039 |
Series
2020A, Rev., 4.00%, 3/15/2045 |
500,000 |
479,029 |
New
York State Urban Development Corp.,
State
Sales Tax Series 2021A, Rev., 4.00%,
3/15/2046 |
2,500,000 |
2,388,806 |
New
York Transportation Development Corp.,
Delta
Air Lines, Inc., LaGuardia Airport
Terminals
C&D Redevelopment Project Series
2018,
Rev., AMT, 5.00%, 1/1/2031 |
1,430,000 |
1,471,610 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
New
York — continued | ||
Onondaga
Civic Development Corp., Le Moyne
College
Project |
|
|
Rev.,
5.00%, 7/1/2027 |
100,000 |
103,464 |
Rev.,
5.00%, 7/1/2031 |
360,000 |
380,858 |
Series
2020B, Rev., 5.00%, 7/1/2032 |
250,000 |
261,916 |
Port
Authority of New York and New Jersey,
Consolidated |
|
|
Series
214, Rev., AMT, 5.00%, 9/1/2036 |
1,975,000 |
2,070,815 |
Series
223, Rev., AMT, 4.00%, 7/15/2037 |
510,000 |
499,432 |
Port
Washington Union Free School District GO,
4.00%,
8/1/2036 |
1,370,000 |
1,418,950 |
Smithtown
Central School District |
|
|
GO,
4.00%, 6/1/2035 |
2,465,000 |
2,558,509 |
GO,
4.00%, 6/1/2036 |
2,125,000 |
2,189,737 |
GO,
4.00%, 6/1/2037 |
2,000,000 |
2,024,684 |
Suffolk
County Economic Development Corp.,
St.
Johnland Assisted Living Inc., Project
Rev.,
5.13%, 11/1/2041 (e) |
340,000 |
277,118 |
Syracuse
Industrial Development Agency,
Syracuse
City School District Project Series
2020A,
Rev., 4.00%, 5/1/2036 |
1,275,000 |
1,291,469 |
Town
of Stony Point GO, 5.00%, 8/15/2027 |
75,000 |
80,515 |
Triborough
Bridge and Tunnel Authority Sales
Tax,
TBTA Capital Lockbox Series 2023A,
Rev.,
4.13%, 5/15/2053 |
2,250,000 |
2,152,666 |
Triborough
Bridge and Tunnel Authority, Payroll
Mobility
Tax Senior Lien Series 2022D-1A,
Rev.,
5.00%, 11/15/2037 |
1,000,000 |
1,108,448 |
Tully
Central School District GO, BAN, 4.50%,
6/27/2024 |
5,000,000 |
5,026,405 |
Westchester
County Local Development Corp.,
Kendal
on Hudson Project Series 2022B,
Rev.,
5.00%, 1/1/2032 |
240,000 |
242,328 |
Westchester
County Local Development Corp.,
Purchase
Senior Learning Community, Inc.
Project |
|
|
Series
2021D, Rev., 2.88%, 7/1/2026 (e) |
250,000 |
238,133 |
Series
2021C-EFRB, Rev., 3.20%,
7/1/2028 (e) |
250,000 |
233,075 |
Yonkers
Industrial Development Agency, New
Community
School Project Rev., 5.00%,
5/1/2042 |
1,445,000 |
1,541,061 |
Total
New York |
|
64,788,942 |
North
Carolina — 0.9% | ||
City
of Sanford |
|
|
Series
2023, Rev., 5.00%, 4/1/2034 |
390,000 |
448,012 |
Series
2023, Rev., 5.00%, 4/1/2036 |
390,000 |
437,250 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
123
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
North
Carolina — continued | ||
County
of Davidson GO, 5.00%, 6/1/2027 |
35,000 |
37,417 |
County
of Duplin Rev., 5.00%, 6/1/2028 |
65,000 |
70,076 |
County
of New Hanover, Limited Obligation
Series
2022, Rev., 5.00%, 6/1/2027 |
480,000 |
513,151 |
County
of Wayne, Limited Obligation Rev.,
5.00%,
6/1/2024 |
25,000 |
25,298 |
North
Carolina Turnpike Authority, Triangle
Expressway
System, Senior Lien Series
NTS2020,
Rev., BAN, 5.00%, 2/1/2024 (b) |
400,000 |
402,191 |
State
of North Carolina, Build NC Programs,
Limited
Obligation |
|
|
Series
2014C, Rev., 5.00%, 5/1/2024 |
25,000 |
25,271 |
Series
2020B, Rev., 5.00%, 5/1/2029 |
100,000 |
110,625 |
University
of North Carolina, Hospital at Chapel
Hill
Series A, Rev., VRDO, LIQ : TD Bank NA,
3.93%,
9/1/2023 (c) |
2,900,000 |
2,900,000 |
Winston-Salem
State University
Foundation
LLC, The Board of Governors of
The
University of North Carolina Rev.,
5.00%,
4/1/2031 |
945,000 |
1,035,335 |
Total
North Carolina |
|
6,004,626 |
North
Dakota — 0.7% | ||
North
Dakota Building Authority, Facilities
Improvement
Series 2020A, Rev., 5.00%,
12/1/2023 |
115,000 |
115,392 |
North
Dakota Housing Finance Agency, Home
Mortgage
Finance Program |
|
|
Series
2017H, Rev., VRDO, LIQ : Royal Bank
of
Canada, 4.05%, 9/8/2023 (c) |
1,725,000 |
1,725,000 |
Series
2023A, Rev., 5.75%, 7/1/2053 |
2,250,000 |
2,377,911 |
Total
North Dakota |
|
4,218,303 |
Ohio
— 2.0% | ||
Akron
Bath Copley Joint Township Hospital
District,
Summa Health Obligated Group
Rev.,
5.00%, 11/15/2029 |
330,000 |
348,301 |
American
Municipal Power, Inc., Greenup
Hydroelectric
Projects Series 2016A, Rev.,
5.00%,
2/15/2030 |
25,000 |
25,829 |
Bowling
Green State University, General
Receipts
Series 2016A, Rev., 5.00%,
6/1/2024 |
25,000 |
25,268 |
Buckeye
Tobacco Settlement Financing
Authority
Series 2020A-2, Class 1, Rev.,
4.00%,
6/1/2048 |
250,000 |
221,206 |
City
of Akron, Income Tax Series 2019, Rev.,
4.00%,
12/1/2023 |
175,000 |
175,144 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Ohio
— continued | ||
City
of Cleveland Series 2022A, GO, 5.00%,
12/1/2035 |
460,000 |
517,747 |
City
of Reynoldsburg, Limited Tax, Capital
Facilities
GO, 5.00%, 12/1/2026 |
15,000 |
15,845 |
County
of Cuyahoga, Eliza Jennings Senior Care
Network
Series 2022A, Rev., 5.00%,
5/15/2032 |
340,000 |
324,056 |
County
of Summit, Various Purpose
Improvement
Series 2022, GO, 5.00%,
12/1/2031 |
100,000 |
114,363 |
County
of Warren, Healthcare Facilities,
Otterbein
Homes Obligated Group Series
2019A,
Rev., 4.00%, 7/1/2033 |
205,000 |
202,408 |
Northeast
Ohio Medical University Series 2022,
Rev.,
5.00%, 12/1/2035 |
1,000,000 |
1,075,610 |
Ohio
Air Quality Development Authority, Duke
Energy
Corp. |
|
|
Series
2022B, Rev., 4.00%, 6/1/2027 (c) |
2,000,000 |
1,986,812 |
Series
2022A, Rev., AMT, 4.25%,
6/1/2027 (c) |
1,500,000 |
1,490,149 |
Ohio
Higher Educational Facility Commission,
Capital
University 2022 Project |
|
|
Rev.,
5.00%, 9/1/2031 |
400,000 |
408,690 |
Rev.,
5.75%, 9/1/2037 |
500,000 |
516,328 |
Ohio
Higher Educational Facility Commission,
Denison
University Project Series 2017A,
Rev.,
5.00%, 11/1/2025 |
75,000 |
77,305 |
Ohio
Higher Educational Facility Commission,
John
Carroll university Rev., 4.00%,
10/1/2034 |
440,000 |
420,034 |
Ohio
Higher Educational Facility Commission,
Tiffin
University 2019 Project Rev., 5.00%,
11/1/2034 |
125,000 |
121,278 |
Ohio
Higher Educational Facility Commission,
University
of Findlay 2019 Project |
|
|
Rev.,
5.00%, 3/1/2027 |
55,000 |
55,212 |
Rev.,
5.00%, 3/1/2034 |
160,000 |
160,677 |
Ohio
Turnpike and Infrastructure Commission,
Junior
Lien |
|
|
Series
2018A, Rev., 5.00%, 2/15/2027 |
135,000 |
143,170 |
Series
2022A, Rev., 5.00%, 2/15/2033 |
500,000 |
580,147 |
Ohio
Water Development Authority Water
Pollution
Control Loan Fund Series 2023B,
Rev.,
5.00%, 12/1/2038 |
1,500,000 |
1,679,649 |
Ohio
Water Development Authority, Drinking
Water
Assistance Fund Series 2022A, Rev.,
5.00%,
12/1/2041 |
1,000,000 |
1,100,576 |
124
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Ohio
— continued | ||
Ohio
Water Development Authority, Fresh
Water
Series 2016B, Rev., 5.00%,
6/1/2026 |
30,000 |
31,493 |
Ohio
Water Development Authority, Water
Pollution
Control Loan Fund Series 2017A,
Rev.,
5.00%, 12/1/2026 |
45,000 |
47,720 |
State
of Ohio Series 2021B, GO, 5.00%,
9/15/2031 |
210,000 |
240,356 |
State
of Ohio, Capital Facilities Lease
Appropriation,
Administrative Building Fund
Projects,
Tax Exempt Series 2018A, Rev.,
5.00%,
10/1/2034 |
220,000 |
238,335 |
State
of Ohio, Cleveland Clinic Health System
Obligated
Group Series 2017A, Rev., 5.00%,
1/1/2028 |
25,000 |
26,865 |
State
of Ohio, Infrastructure Improvement
Series
2018A, GO, 5.00%, 9/1/2028 |
25,000 |
27,360 |
State
of Ohio, Natural Resources Series 2017V,
GO,
5.00%, 10/1/2027 |
35,000 |
37,667 |
Youngstown
State University, General Receipts
Rev.,
AGM, 4.00%, 12/15/2030 |
490,000 |
508,364 |
Total
Ohio |
|
12,943,964 |
Oklahoma
— 0.8% | ||
Cleveland
County Educational Facilities
Authority,
Norman Public Schools Project
Rev.,
5.00%, 6/1/2025 |
150,000 |
153,891 |
Oklahoma
Capitol Improvement Authority
Series
2014A, Rev., 5.00%, 7/1/2025 |
1,000,000 |
1,010,695 |
Oklahoma
Capitol Improvement Authority,
Capitol
Repair Project |
|
|
Series
2018C, Rev., 5.00%, 1/1/2030 |
10,000 |
10,662 |
Series
2018C, Rev., 5.00%, 1/1/2036 |
45,000 |
47,679 |
Oklahoma
Capitol Improvement Authority, State
Highway,
Capital Improvement Rev., 5.00%,
7/1/2024 |
100,000 |
101,236 |
Oklahoma
Water Resources Board Series
2023A,
Rev., 4.00%, 10/1/2043 |
3,720,000 |
3,629,797 |
Total
Oklahoma |
|
4,953,960 |
Oregon
— 0.4% | ||
Salem
Hospital Facility Authority, Capital Manor
Project
Rev., 4.00%, 5/15/2040 |
375,000 |
308,334 |
Salem
Hospital Facility Authority, Multi Model,
Salem
Health Project Series 2019A, Rev.,
5.00%,
5/15/2028 |
75,000 |
79,752 |
Southeastern
Pennsylvania Transportation
Authority
GO, 5.00%, 6/15/2028 |
25,000 |
26,680 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oregon
— continued | ||
Tri-County
Metropolitan Transportation District
of
Oregon, Senior Lien Payroll Tax |
|
|
Series
2018A, Rev., 5.00%, 9/1/2027 (b) |
45,000 |
48,353 |
Series
2021A, Rev., 5.00%, 9/1/2035 |
1,060,000 |
1,199,467 |
Union
County Hospital Facility Authority,
Grande
Ronde Hospital, Inc. |
|
|
Series
2022, Rev., 5.00%, 7/1/2026 |
300,000 |
306,093 |
Series
2022, Rev., 5.00%, 7/1/2028 |
400,000 |
414,641 |
Total
Oregon |
|
2,383,320 |
Pennsylvania
— 5.9% | ||
Aliquippa
School District, Limited Tax GO,
3.88%,
12/1/2037 |
200,000 |
183,632 |
Allegheny
County Higher Education Building
Authority,
Carnegie Mellon University Series
2008A,
Rev., VRDO, LIQ : Bank of New York
Mellon
(The), 3.70%, 9/1/2023 (c) |
6,000,000 |
6,000,000 |
Allegheny
County Higher Education Building
Authority,
Chatham University |
|
|
Rev.,
5.00%, 9/1/2024 |
130,000 |
130,285 |
Rev.,
5.00%, 9/1/2025 |
225,000 |
225,719 |
Rev.,
5.00%, 9/1/2026 |
135,000 |
136,183 |
Rev.,
5.00%, 9/1/2027 |
250,000 |
252,844 |
Berks
County Industrial Development Authority,
The
Highlands at Wyomissing Series 2017A,
Rev.,
5.00%, 5/15/2037 |
250,000 |
241,092 |
Bucks
County Community College Authority
Series
2019A, Rev., GTD, 5.00%,
6/15/2033 |
35,000 |
37,764 |
Bucks
County Water and Sewer Authority |
|
|
Series
2022A, Rev., AGM, 5.00%,
12/1/2032 |
115,000 |
132,997 |
Series
2022A, Rev., AGM, 5.00%,
12/1/2033 |
105,000 |
121,099 |
Series
2022A, Rev., AGM, 5.00%,
12/1/2036 |
380,000 |
424,779 |
City
of Philadelphia, Airport System Series
2017B,
Rev., AMT, 5.00%, 7/1/2035 |
2,000,000 |
2,070,681 |
Commonwealth
Financing Authority, Tobacco
Master
Settlement Payment Rev., 5.00%,
6/1/2035 |
225,000 |
237,391 |
Commonwealth
of Pennsylvania Series 1, GO,
4.00%,
4/1/2033 |
2,000,000 |
2,000,728 |
County
of Chester GO, 5.00%, 11/15/2027 |
30,000 |
32,484 |
County
of Lehigh, Lehigh Valley Health Network
Hospital
Series 2016A, Rev., 4.00%,
7/1/2035 |
175,000 |
171,747 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
125
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Pennsylvania
— continued | ||
Delaware
Valley Regional Finance Authority,
Local
Government |
|
|
Series
2022D, Rev., 4.00%, 3/1/2029 |
1,000,000 |
1,032,988 |
Series
2021A, Rev., 2.00%, 10/1/2029 |
25,000 |
21,750 |
Geisinger
Authority, Health System Series
2020B,
Rev., 5.00%, 2/15/2027 (c) |
250,000 |
260,055 |
General
Authority of Southcentral
Pennsylvania,
WellSpan Health Obligated
Group
Series D, Rev., VRDO, LIQ : Bank of
America
NA, 4.05%, 9/1/2023 (c) |
5,000,000 |
5,000,000 |
Montgomery
County Higher Education and
Health
Authority, Thomas Jefferson
University |
|
|
Rev.,
5.00%, 9/1/2027 |
265,000 |
277,428 |
Series
2018A, Rev., 4.00%, 9/1/2038 |
135,000 |
129,475 |
Montgomery
County Industrial Development
Authority,
Constellation Energy
Generation
LLC Series 2023A, Rev., 4.10%,
4/3/2028 (c) |
2,250,000 |
2,268,641 |
Northampton
County General Purpose
Authority,
Moravian College Project Rev.,
5.00%,
10/1/2027 |
185,000 |
187,791 |
Pennsylvania
Economic Development Financing
Authority,
The Penndot Major Bridges Rev.,
AMT,
AGM, 5.00%, 12/31/2057 |
425,000 |
429,312 |
Pennsylvania
Higher Educational Facilities
Authority,
State System of Higher Education
Series
2017AU-1, Rev., 5.00%, 6/15/2026 |
70,000 |
73,049 |
Pennsylvania
Housing Finance Agency, Single
Family
Mortgage Series 2023-141A, Rev.,
5.75%,
10/1/2053 |
5,000,000 |
5,284,458 |
Pennsylvania
Turnpike Commission |
|
|
Series
A-1, Rev., 5.00%, 12/1/2029 |
105,000 |
113,092 |
Series
A-1, Rev., 5.00%, 12/1/2031 |
60,000 |
64,222 |
Series
2016B, Rev., 4.00%, 6/1/2033 |
575,000 |
581,079 |
Series
2022A, Rev., 5.00%, 12/1/2033 |
1,000,000 |
1,140,376 |
Series
2023-1, Rev., 5.00%, 12/1/2036 |
750,000 |
825,321 |
Series
2023, Rev., 5.00%, 12/1/2039 |
500,000 |
538,946 |
Series
2022B, Rev., 5.25%, 12/1/2041 |
1,000,000 |
1,098,628 |
Philadelphia
Authority for Industrial
Development,
Holy Family University Project
Rev.,
5.00%, 9/1/2027 |
610,000 |
632,879 |
Philadelphia
Energy Authority (The),
Philadelphia
Street Lighting Project |
|
|
Series
2023A, Rev., 5.00%, 11/1/2037 |
835,000 |
913,455 |
Series
2023A, Rev., 5.00%, 11/1/2038 |
850,000 |
920,620 |
Series
2023A, Rev., 5.00%, 11/1/2041 |
1,265,000 |
1,345,887 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pennsylvania
— continued | ||
State
Public School Building Authority,
Delaware
County Community College Project
Rev.,
5.00%, 10/1/2027 |
25,000 |
26,112 |
Township
of Hampton |
|
|
GO,
5.00%, 1/1/2035 |
150,000 |
166,524 |
GO,
5.00%, 1/1/2037 |
175,000 |
191,183 |
GO,
4.00%, 1/1/2042 |
970,000 |
941,830 |
GO,
4.00%, 1/1/2047 |
700,000 |
658,307 |
Township
of Palmer Series 2020C, GO, 4.00%,
11/15/2031 |
175,000 |
181,975 |
Township
of Upper St. Clair Series 2016A, GO,
4.00%,
6/1/2025 |
20,000 |
20,238 |
Total
Pennsylvania |
|
37,725,046 |
Rhode
Island — 0.0% ^ | ||
State
of Rhode Island and Providence
Plantations
Consolidated Capital
Development
Loan Series 2018A, GO,
5.00%,
4/1/2029 |
75,000 |
81,349 |
South
Carolina — 0.5% | ||
Charleston
County Airport District Rev., 5.00%,
7/1/2035 |
250,000 |
269,555 |
County
of Dorchester, Waterworks and Sewer
System
Series 2023, Rev., 4.25%,
10/1/2048 |
2,320,000 |
2,240,107 |
South
Carolina Jobs-Economic Development
Authority,
Episcopal Home at Still Hopes
Series
2018A, Rev., 5.00%, 4/1/2033 |
125,000 |
119,406 |
South
Carolina Jobs-Economic Development
Authority,
Wofford College Project Rev.,
5.00%,
4/1/2029 |
10,000 |
10,703 |
University
of South Carolina, Athletic Facilities
Series
2022A, Rev., 5.00%, 5/1/2034 |
415,000 |
467,781 |
Total
South Carolina |
|
3,107,552 |
South
Dakota — 0.0% ^ | ||
City
of Rapid City, Sales Tax Rev., 5.00%,
12/1/2023 |
25,000 |
25,094 |
South
Dakota Board of Regents Housing and
Auxiliary
Facilities System Rev., 5.00%,
4/1/2027 |
35,000 |
36,685 |
South
Dakota Conservancy District, State
Revolving
Fund Program Rev., 5.00%,
8/1/2025 |
35,000 |
36,164 |
South
Dakota Health and Educational Facilities
Authority,
Sanford Obligated Group Rev.,
5.00%,
11/1/2023 |
145,000 |
145,262 |
Total
South Dakota |
|
243,205 |
126
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Tennessee
— 4.6% | ||
City
of Clarksville |
|
|
Series
2021A, Rev., 4.00%, 2/1/2041 |
3,950,000 |
3,897,081 |
Series
2021A, Rev., 4.00%, 2/1/2051 |
1,000,000 |
948,005 |
City
of Knoxville, Wastewater System Series
2022B,
Rev., 4.00%, 4/1/2045 |
2,765,000 |
2,692,503 |
City
of Lenoir City, Electric System Series 2022,
Rev.,
5.00%, 6/1/2033 |
165,000 |
188,329 |
City
of Murfreesboro GO, 4.00%, 4/1/2025 |
25,000 |
25,082 |
County
of Coffee, Rural High School Series
2021A,
GO, 5.00%, 6/1/2028 |
125,000 |
135,563 |
County
of Montgomery, Public Improvement
GO,
5.00%, 4/1/2027 |
25,000 |
26,647 |
County
of Robertson GO, 5.00%, 6/1/2025 |
25,000 |
25,734 |
County
of Shelby, Public Improvement Series
2019A,
GO, 5.00%, 4/1/2027 |
105,000 |
111,882 |
County
of Sullivan GO, 5.00%, 5/1/2026 |
30,000 |
31,401 |
County
of Washington Series 2016A, GO,
4.00%,
6/1/2027 |
50,000 |
51,104 |
County
of Williamson GO, 5.00%, 4/1/2024 |
20,000 |
20,195 |
Johnson
City Health and Educational Facilities
Board,
Ballad Health Series 2023A, Rev.,
5.00%,
7/1/2024 |
625,000 |
630,796 |
Knox
County Health Educational and Housing
Facility
Board, East Tennessee Children's
Hospital
Rev., 5.00%, 11/15/2023 |
50,000 |
50,123 |
Memphis-Shelby
County Airport Authority
Series
2021A, Rev., AMT, 5.00%, 7/1/2045 |
1,000,000 |
1,023,618 |
Metropolitan
Government Nashville and
Davidson
County, Health and Educational
Facilities
Board, Belmont University |
|
|
Rev.,
5.00%, 5/1/2026 |
450,000 |
467,404 |
Series
2023, Rev., 5.00%, 5/1/2038 |
400,000 |
427,925 |
Series
2023, Rev., 5.00%, 5/1/2041 |
500,000 |
527,735 |
Metropolitan
Government Nashville and
Davidson
County, Health and Educational
Facilities
Board, Trevecca Nazarene
University
Project Series 2021B, Rev.,
4.00%,
10/1/2041 |
355,000 |
300,706 |
Metropolitan
Government of Nashville and
Davidson
County |
|
|
Series
A, GO, 5.00%, 7/1/2025 |
10,000 |
10,310 |
GO,
5.00%, 7/1/2031 |
2,000,000 |
2,167,510 |
Metropolitan
Government of Nashville and
Davidson
County, Electric System Series
2014A,
Rev., 5.00%, 5/15/2024 |
10,000 |
10,117 |
Metropolitan
Government of Nashville and
Davidson
County, Water and Sewer Series
2021A,
Rev., 4.00%, 7/1/2035 |
1,805,000 |
1,865,937 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Tennessee
— continued | ||
Metropolitan
Nashville Airport Authority (The) |
|
|
Series
2022B, Rev., AMT, 5.50%, 7/1/2036 |
600,000 |
671,286 |
Series
2022B, Rev., AMT, 5.25%, 7/1/2047 |
630,000 |
659,044 |
Series
2022B, Rev., AMT, 5.00%, 7/1/2052 |
500,000 |
511,148 |
Shelby
County Health Educational and Housing
Facilities
Board, Methodist Le Bonheur
Healthcare |
|
|
Series
2017A, Rev., 5.00%, 5/1/2024 |
155,000 |
156,195 |
Series
2017A, Rev., 5.00%, 5/1/2027 |
200,000 |
210,342 |
Shelby
County Health Educational and Housing
Facilities
Board, The Farms at Bailey Station
Project |
|
|
Series
2019A, Rev., 5.00%, 10/1/2029 |
150,000 |
138,285 |
Series
2019A, Rev., 5.50%, 10/1/2034 |
150,000 |
135,208 |
State
of Tennessee |
|
|
Series
A, GO, 5.00%, 9/1/2024 (b) |
25,000 |
25,422 |
Series
2023A, GO, 5.00%, 5/1/2038 |
10,000,000 |
11,163,107 |
Total
Tennessee |
|
29,305,744 |
Texas
— 6.8% | ||
Alamo
Community College District, Limited Tax
GO,
5.00%, 2/15/2024 |
75,000 |
75,555 |
Aledo
Independent School District, Unlimited
Tax |
|
|
Series
2023, GO, PSF-GTD, 5.00%,
2/15/2042 |
500,000 |
535,267 |
Series
2023, GO, PSF-GTD, 5.00%,
2/15/2048 |
5,615,000 |
5,936,495 |
Angleton
Independent School District,
Unlimited
Tax GO, 5.00%, 2/15/2036 |
2,140,000 |
2,373,506 |
Arlington
Higher Education Finance Corp.,
Trinity
Basin Preparatory, Inc. |
|
|
Rev.,
PSF-GTD, 5.00%, 8/15/2026 |
160,000 |
167,622 |
Rev.,
PSF-GTD, 5.00%, 8/15/2027 |
145,000 |
154,717 |
Rev.,
PSF-GTD, 5.00%, 8/15/2028 |
150,000 |
162,938 |
Rev.,
PSF-GTD, 5.00%, 8/15/2029 |
130,000 |
143,362 |
Rev.,
PSF-GTD, 5.00%, 8/15/2030 |
100,000 |
111,929 |
Rev.,
PSF-GTD, 5.00%, 8/15/2031 |
120,000 |
136,278 |
Rev.,
PSF-GTD, 5.00%, 8/15/2032 |
125,000 |
140,846 |
Austin
Independent School District, Unlimited
Tax
Series 2022B, GO, PSF-GTD, 5.00%,
8/1/2028 |
50,000 |
54,583 |
Board
of Regents of the University of Texas
System,
Financing System Series 2016D,
Rev.,
5.00%, 8/15/2024 |
50,000 |
50,759 |
Brushy
Creek Regional Utility Authority, Inc.,
Brushy
Creek Regional Water Treatment and
Distribution
Project Rev., 5.00%, 8/1/2026 |
85,000 |
88,695 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
127
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Texas
— continued | ||
City
of Austin, Airport System |
|
|
Series
2019B, Rev., AMT, 5.00%,
11/15/2029 |
240,000 |
255,887 |
Rev.,
AMT, 5.00%, 11/15/2035 |
1,000,000 |
1,075,784 |
Series
2017B, Rev., AMT, 5.00%,
11/15/2046 |
1,000,000 |
1,006,877 |
City
of Corpus Christi, Certificates of Obligation
Series
2016A, GO, 4.00%, 3/1/2026 |
100,000 |
101,478 |
City
of Corpus Christi, Utility System Series
2022B,
Rev., 5.00%, 7/15/2032 |
325,000 |
367,956 |
City
of Dallas Housing Finance Corp., Rosemont
At
Ash Creek Apartments Series 2023, Rev.,
FHA,
5.00%, 12/1/2025 (c) |
1,375,000 |
1,402,828 |
City
of Georgetown, Utilities System |
|
|
Series
2023, Rev., 5.00%, 8/15/2025 |
520,000 |
534,505 |
Series
2023, Rev., 5.00%, 8/15/2038 |
1,375,000 |
1,491,297 |
City
of Houston, Airport System, Subordinate
Lien
Series 2021A, Rev., AMT, 5.00%,
7/1/2033 |
150,000 |
161,679 |
City
of Houston, Combined Utility System, First
Lien
Series 2018D, Rev., 5.00%,
11/15/2030 |
45,000 |
48,956 |
City
of League City, Combination Tax GO,
5.00%,
2/15/2027 |
20,000 |
20,723 |
City
of Pflugerville, Limited Tax GO, 5.00%,
8/1/2026 |
25,000 |
26,207 |
City
of San Angelo GO, 5.00%, 2/15/2027 |
20,000 |
21,204 |
City
of San Antonio, Electric and Gas Systems
Series
2023B, Rev., 5.25%, 2/1/2041 |
1,560,000 |
1,723,747 |
City
of San Marcos, Combination Tax,
Certificates
of Obligation GO, 5.00%,
8/15/2031 |
170,000 |
180,721 |
City
of Temple, Utility System Series 2021,
Rev.,
5.00%, 8/1/2029 |
245,000 |
268,500 |
Clifton
Higher Education Finance Corp., Idea
Public
Schools Series 2022A, Rev., 5.00%,
8/15/2031 |
250,000 |
265,413 |
Clifton
Higher Education Finance Corp., Yes
Prep
Public Schools, Inc. |
|
|
Series
2023, Rev., PSF-GTD, 5.00%,
4/1/2025 |
195,000 |
199,315 |
Series
2023, Rev., PSF-GTD, 5.00%,
4/1/2026 |
250,000 |
258,559 |
Rev.,
PSF-GTD, 5.00%, 4/1/2029 |
100,000 |
107,550 |
Rev.,
PSF-GTD, 5.00%, 4/1/2030 |
185,000 |
201,227 |
Rev.,
PSF-GTD, 4.00%, 4/1/2031 |
175,000 |
180,675 |
Series
2023, Rev., PSF-GTD, 5.00%,
4/1/2038 |
265,000 |
281,400 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Texas
— continued | ||
Series
2023, Rev., PSF-GTD, 4.25%,
4/1/2048 |
1,000,000 |
945,889 |
Clint
Independent School District, Unlimited Tax
Series
2015A, GO, PSF-GTD, 5.00%,
2/15/2024 |
25,000 |
25,184 |
County
of Harris, Unlimited Tax Series 2017A,
GO,
5.00%, 10/1/2026 |
25,000 |
26,326 |
County
of Hays, Limited Tax GO, 5.00%,
2/15/2026 |
20,000 |
20,801 |
County
of Montgomery, Unlimited Tax GO,
5.00%,
3/1/2025 |
25,000 |
25,592 |
County
of Williamson, Limited Tax GO, 5.00%,
2/15/2026 |
40,000 |
41,630 |
Crandall
Independent School District, Unlimited
Tax |
|
|
Series
2023, GO, PSF-GTD, 5.00%,
8/15/2048 |
1,000,000 |
1,066,653 |
Series
2023, GO, PSF-GTD, 5.00%,
8/15/2053 |
595,000 |
628,910 |
Cypress-Fairbanks
Independent School District,
Unlimited
Tax Series 2015A, GO, PSF-GTD,
5.00%,
2/15/2025 |
20,000 |
20,465 |
Dallas
Area Rapid Transit, Sales Tax, Senior
Lien
Series 2014A, Rev., 5.00%,
12/1/2024 (b) |
200,000 |
203,882 |
Denton
Independent School District Series
2023,
GO, PSF-GTD, 5.00%, 8/15/2043 |
1,805,000 |
1,969,600 |
Fort
Worth Independent School District,
Unlimited
Tax Series 2019A, GO, PSF-GTD,
5.00%,
2/15/2029 |
285,000 |
313,017 |
Glen
Rose Independent School District,
Unlimited
tax |
|
|
Series
2023, GO, PSF-GTD, 5.00%,
8/15/2035 |
1,000,000 |
1,100,137 |
Series
2023, GO, PSF-GTD, 5.00%,
8/15/2036 |
1,000,000 |
1,088,982 |
Harris
County Cultural Education Facilities
Finance
Corp., Baylor Medical Project Rev.,
5.00%,
11/15/2023 |
25,000 |
25,055 |
Laredo
Independent School District, Unlimited
Tax
GO, PSF-GTD, 5.00%, 8/1/2024 |
25,000 |
25,363 |
Lower
Colorado River Authority, LCRA
Transmission
Services Corp. Project Rev.,
5.00%,
5/15/2035 |
155,000 |
164,505 |
Melissa
Independent School District, Unlimited
Tax
Series 2023, GO, PSF-GTD, 5.00%,
2/1/2041 (d) |
1,000,000 |
1,089,781 |
128
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Texas
— continued | ||
Metropolitan
Transit Authority of Harris County,
Sales
and Use Tax |
|
|
Series
2017A, Rev., 5.00%, 11/1/2023 |
150,000 |
150,371 |
Series
2017A, Rev., 5.00%, 11/1/2025 |
45,000 |
46,478 |
Metropolitan
Transit Authority of Harris County,
Sales
and Use Tax, Contractual Obligations
Series
B, Rev., 5.00%, 11/1/2029 |
25,000 |
26,688 |
New
Hope Cultural Education Facilities Finance
Corp,
Outlook at Windhaven Forefront Living
Series
2022B-3, Rev., 4.25%, 10/1/2026 |
800,000 |
784,194 |
North
East Independent School District,
Unlimited
Tax GO, PSF-GTD, 5.00%,
8/1/2025 |
20,000 |
20,583 |
North
Texas Municipal Water District,
Wastewater
System Rev., 5.00%, 6/1/2027 |
20,000 |
21,396 |
Northside
Independent School District,
Unlimited
Tax GO, PSF-GTD, 5.00%,
8/15/2024 |
65,000 |
65,974 |
Northwest
Independent School District,
Unlimited
Tax Series 2023, GO, PSF-GTD,
5.00%,
2/15/2039 |
2,500,000 |
2,727,153 |
Permanent
University Fund - University of
Texas
System Series 2016A, Rev., 5.00%,
7/1/2024 |
85,000 |
86,189 |
Prosper
Independent School District, Unlimited
Tax
School Building GO, PSF-GTD, 5.00%,
2/15/2037 |
25,000 |
26,370 |
San
Antonio Education Facilities Corp.,
Hallmark
University Project Series 2021A,
Rev.,
5.00%, 10/1/2041 |
100,000 |
83,066 |
San
Antonio Water System, Junior Lien Series
2017A,
Rev., 5.00%, 5/15/2025 |
25,000 |
25,714 |
Sherman
Independent School District,
Unlimited
Tax Series 2018A, GO, PSF-GTD,
5.00%,
2/15/2030 |
25,000 |
26,977 |
State
of Texas, Transportation Commission
Mobility
Fund Series 2015-A, GO, 5.00%,
10/1/2024 |
50,000 |
50,837 |
Stephen
F Austin State University, Financing
System
Series 2019A, Rev., 5.00%,
10/15/2026 |
60,000 |
62,739 |
Tarrant
County Cultural Education Facilities
Finance
Corp., Baylor Scott & White Health
Project
Series 2022F, Rev., 5.00%,
11/15/2030 (c) |
2,000,000 |
2,185,209 |
Tarrant
Regional, Water Control and
Improvement
District, Water System Rev.,
5.00%,
3/1/2025 |
25,000 |
25,592 |
Texas
A&M University, Financing System Series
2017E,
Rev., 5.00%, 5/15/2030 |
155,000 |
164,557 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Texas
— continued | ||
Texas
Public Finance Authority, Texas Southern
University |
|
|
Series
2023, Rev., 5.00%, 5/1/2026 |
500,000 |
515,618 |
Series
2023, Rev., 5.00%, 5/1/2027 |
625,000 |
653,167 |
Texas
State Affordable Housing Corp., Juniper
Creek
Apartments Project Series 2023, Rev.,
3.75%,
7/1/2026 (c) |
3,000,000 |
2,961,391 |
Texas
Tech University System Series 2017A,
Rev.,
5.00%, 2/15/2024 |
35,000 |
35,257 |
Trinity
River Authority of Texas, Livingston
Regional
Water Supply System Project |
|
|
Series
2023, Rev., 5.00%, 8/1/2036 |
1,120,000 |
1,227,447 |
Series
2023, Rev., 5.00%, 8/1/2037 |
1,175,000 |
1,273,732 |
Trinity
River Authority, Tarrant County Water
Project |
|
|
Series
2023, Rev., 5.00%, 2/1/2041 |
700,000 |
751,658 |
Series
2023, Rev., 5.00%, 2/1/2042 |
675,000 |
721,452 |
Trinity
River Authority, Water Project Rev.,
5.00%,
2/1/2026 |
60,000 |
62,384 |
Total
Texas |
|
43,879,005 |
Utah
— 1.3% | ||
City
of Salt Lake City, Airport System |
|
|
Series
2021A, Rev., AMT, 5.00%, 7/1/2029 |
2,350,000 |
2,496,625 |
Series
2023A, Rev., AMT, 5.25%, 7/1/2040 |
1,060,000 |
1,139,251 |
Series
2023A, Rev., AMT, 5.25%, 7/1/2048 |
1,750,000 |
1,840,408 |
City
of Salt Lake City, Sales and Excise Tax
Series
2022A, Rev., 4.00%, 10/1/2030 |
155,000 |
164,031 |
City
of South Jordan, Sales Tax Rev., 5.00%,
8/15/2029 |
45,000 |
50,012 |
County
of Summit, Sales Tax Rev., 5.00%,
12/15/2023 |
70,000 |
70,327 |
Metropolitan
Water District of Salt Lake and
Sandy
Series 2021A, Rev., 4.00%,
7/1/2030 |
365,000 |
387,807 |
Snyderville
Basin Special Recreation District
GO,
4.00%, 12/15/2025 |
100,000 |
101,748 |
Utah
Charter School Finance Authority, The
Freedom
Academy Foundation, St. George
Campus
Project Series 2021A, Rev., 5.00%,
6/15/2041 (e) |
150,000 |
133,576 |
Utah
Infrastructure Agency, Tax-Exempt
Telecommunications |
|
|
Rev.,
5.00%, 10/15/2027 |
130,000 |
131,655 |
Rev.,
5.00%, 10/15/2032 |
310,000 |
318,035 |
Utah
Telecommunication Open Infrastructure
Agency,
Sales Tax and Telecomunications |
|
|
Rev.,
5.25%, 6/1/2033 |
250,000 |
284,051 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
129
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Utah
— continued | ||
Rev.,
5.25%, 6/1/2034 |
325,000 |
369,004 |
Rev.,
5.25%, 6/1/2035 |
580,000 |
654,055 |
Utah
Transit Authority, Sales Tax Series 2007A,
Rev.,
BHAC - CR, MBIA, 5.00%, 6/15/2035 |
295,000 |
337,495 |
Total
Utah |
|
8,478,080 |
Virgin
Islands — 0.0% ^ | ||
Matching
Fund Special Purpose Securitization
Corp.
Series 2022A, Rev., 5.00%,
10/1/2025 |
150,000 |
151,658 |
Virginia
— 2.4% | ||
City
of Richmond, Public Improvement Series
2017B,
GO, 5.00%, 7/15/2027 |
175,000 |
187,814 |
Commonwealth
of Virginia Series 2018A, GO,
5.00%,
6/1/2030 |
25,000 |
27,314 |
County
of Fairfax, Public Improvement |
|
|
Series
2023A, GO, 4.00%, 10/1/2038 |
2,000,000 |
2,024,383 |
Series
2023A, GO, 4.00%, 10/1/2039 |
2,000,000 |
2,007,772 |
County
of Spotsylvania, Public Improvement
GO,
5.00%, 7/15/2029 |
85,000 |
93,145 |
Loudoun
County Economic Development
Authority,
Howard Hughes Medical Institute
Series
E, Rev., VRDO, 4.06%,
9/12/2023 (c) |
4,000,000 |
4,000,000 |
Northern
Virginia Transportation Commission,
Transforming
Rail in Virginia Program Rev.,
5.00%,
6/1/2040 |
640,000 |
700,061 |
Virginia
College Building Authority, Virginia
Educational
Facilities, Public Higher
Education
Financing Program Series 2023A,
Rev.,
4.00%, 9/1/2040 |
1,485,000 |
1,476,343 |
Virginia
Commonwealth Transportation Board,
US
Route 58 Corridor Development Rev.,
4.00%,
5/15/2045 |
2,000,000 |
1,933,338 |
Virginia
Public Building Authority, Public
Facilities |
|
|
Series
2021A-1, Rev., 5.00%, 8/1/2030 |
145,000 |
163,163 |
Series
2022A, Rev., 5.00%, 8/1/2030 |
345,000 |
388,215 |
Virginia
Resources Authority, Infrastructure
Pooled
Financing Program Series 2013C,
Rev.,
5.00%, 11/1/2023 |
35,000 |
35,089 |
Virginia
Small Business Financing Authority,
Senior
Lien, Elizabeth River Crossing Opco,
LLC
Project |
|
|
Rev.,
AMT, 4.00%, 7/1/2032 |
250,000 |
245,456 |
Rev.,
AMT, 4.00%, 1/1/2036 |
2,000,000 |
1,912,747 |
Total
Virginia |
|
15,194,840 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Washington
— 3.3% | ||
Auburn
School District No. 408 of King and
Pierce
Counties, Unlimited Tax GO, 4.00%,
12/1/2036 |
1,000,000 |
1,007,190 |
Central
Puget Sound Regional Transit Authority
Series
2021S-1, Rev., 4.00%, 11/1/2040 |
2,000,000 |
1,961,455 |
Central
Puget Sound Regional Transit Authority,
Sales
and Use Tax Series 2015S-1, Rev.,
5.00%,
11/1/2024 |
30,000 |
30,559 |
City
of Bonney Lake, Water and Sewer System
Rev.,
4.00%, 12/1/2030 |
10,000 |
10,174 |
City
of Seattle, Drainage and Wastewater
System
Improvement Rev., 4.00%,
4/1/2026 |
20,000 |
20,395 |
City
of Seattle, Water System Rev., 5.00%,
8/1/2024 |
35,000 |
35,540 |
City
of Tacoma, Solid Waste Utility Rev., 5.00%,
12/1/2031 |
700,000 |
797,803 |
City
of University Place, Limited Tax GO,
5.00%,
12/1/2026 |
85,000 |
88,974 |
Clark
County School District No. 101 La Center,
Unlimited
Tax GO, 5.00%, 12/1/2029 |
50,000 |
54,300 |
County
of King, Limited Tax |
|
|
Series
2015A, GO, 5.00%, 7/1/2025 |
50,000 |
51,140 |
Series
2013B, GO, 5.00%, 12/1/2025 |
20,000 |
20,075 |
County
of Snohomish, Limited Tax GO, 5.00%,
12/1/2025 |
10,000 |
10,285 |
County
of Spokane, Limited Tax Series 2022A,
GO,
5.00%, 12/1/2042 |
900,000 |
972,584 |
Energy
Northwest, Bonneville Power
Administrator
Series 2016-A, Rev., 5.00%,
7/1/2028 |
25,000 |
26,237 |
Energy
Northwest, Columbia Generating Station
Series
2021A, Rev., 4.00%, 7/1/2042 |
3,760,000 |
3,677,123 |
Energy
Northwest, Project 1 Series 2017A,
Rev.,
5.00%, 7/1/2028 |
55,000 |
58,723 |
Franklin
County School District No. 1 Pasco,
Unlimited
Tax GO, 5.00%, 12/1/2030 |
35,000 |
37,595 |
King
County Public Hospital District No. 2,
Evergreen
Healthcare, Limited Tax GO,
5.00%,
12/1/2024 (b) |
105,000 |
107,102 |
King
County School District No. 403 Renton,
Unlimited
Tax GO, 4.00%, 12/1/2023 |
160,000 |
160,258 |
King
County School District No. 405 Bellevue,
Unlimited
Tax GO, 5.00%, 12/1/2026 |
20,000 |
21,190 |
King
County School District No. 411 Issaquah,
Unlimited
Tax GO, 5.00%, 12/1/2024 |
35,000 |
35,731 |
Mason
County School District No. 309 Shelton,
Unlimited
Tax GO, 5.00%, 12/1/2029 |
45,000 |
47,834 |
130
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Washington
— continued | ||
North
Thurston Public Schools, Unlimited Tax
GO,
4.00%, 12/1/2036 |
2,100,000 |
2,143,677 |
Pierce
County School District No. 403 Bethel,
Unlimited
Tax GO, 4.00%, 12/1/2023 |
20,000 |
20,032 |
Pierce
County School District No. 416 White
River,
Unlimited Tax GO, 5.00%, 12/1/2025 |
50,000 |
51,936 |
Port
of Seattle, Intermediate Lien Series
2022B,
Rev., AMT, 4.00%, 8/1/2047 |
400,000 |
358,055 |
Snohomish
County School District No. 15
Edmonds,
Unlimited Tax GO, 5.00%,
12/1/2025 |
25,000 |
25,968 |
Snohomish
County School District No.
4
Lake Stevens, Unlimited Tax GO, 5.00%,
12/1/2024 |
25,000 |
25,522 |
Snohomish
County School District No. 6
Mukilteo,
Unlimited Tax GO, 5.00%,
12/1/2023 |
105,000 |
105,421 |
Spokane
County School District No. 354 Mead,
Unlimited
Tax GO, 5.00%, 12/1/2024 |
20,000 |
20,400 |
State
of Washington, State and Local Agency
Real
and Personal Property Series 2015-C,
COP,
5.00%, 1/1/2029 |
55,000 |
57,146 |
State
of Washington, Various Purpose |
|
|
Series
2021B, GO, 5.00%, 6/1/2033 |
1,000,000 |
1,118,611 |
Series
2020C, GO, 5.00%, 2/1/2043 |
700,000 |
743,803 |
Series
2023B, GO, 5.00%, 2/1/2043 |
2,000,000 |
2,172,515 |
Series
2022A, GO, 5.00%, 8/1/2043 |
1,170,000 |
1,257,339 |
Series
2024B, GO, 5.00%, 6/1/2044 |
3,000,000 |
3,256,785 |
Washington
Health Care Facilities Authority,
Providence
St. Joseph Health Series 2018B,
Rev.,
5.00%, 10/1/2028 |
30,000 |
31,801 |
Washington
State Housing Finance Commission,
Emerald
Heights Project |
|
|
Series
2023A, Rev., 5.00%, 7/1/2026 |
285,000 |
292,136 |
Series
2023A, Rev., 5.00%, 7/1/2027 |
350,000 |
363,026 |
Total
Washington |
|
21,276,440 |
West
Virginia — 0.3% | ||
West
Virginia Hospital Finance Authority, West
Virginia
University Health System Obligation
Series
2023A, Rev., 5.00%, 6/1/2038 |
1,800,000 |
1,904,692 |
Wisconsin
— 1.8% | ||
City
of Oshkosh, Sewer |
|
|
Series
2022E, Rev., 5.00%, 5/1/2027 |
550,000 |
585,441 |
Series
2022E, Rev., 5.00%, 5/1/2029 |
605,000 |
663,665 |
City
of Oshkosh, Water |
|
|
Series
2022D, Rev., 5.00%, 1/1/2027 |
165,000 |
174,517 |
Series
2022D, Rev., 5.00%, 1/1/2028 |
180,000 |
193,580 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Wisconsin
— continued | ||
Hamilton
School District, School Building and
Improvement
GO, 5.00%, 4/1/2025 |
60,000 |
61,606 |
Public
Finance Authority |
|
|
Series
2023, Rev., AMT, 5.00%, 7/1/2025 |
265,000 |
267,132 |
Series
2023, Rev., AMT, 5.00%, 7/1/2026 |
450,000 |
457,104 |
Series
2023, Rev., AMT, 5.00%, 7/1/2027 |
790,000 |
808,363 |
Series
2022, Rev., 4.00%, 4/1/2032 (e) |
225,000 |
211,709 |
Public
Finance Authority, Acts Retirement Life
Communities,
Inc., Obligated Group Series
2020A,
Rev., 4.00%, 11/15/2037 |
300,000 |
262,235 |
Public
Finance Authority, Eastern Michigan
University
Student Housing Project Series
2022A-1,
Rev., 5.00%, 7/1/2032 |
500,000 |
559,357 |
Public
Finance Authority, Entrance Fee
Principal
Redemption, Searstone CCRC
Project
Series 2021B2, Rev., 2.25%,
6/1/2027 (e) |
250,000 |
231,647 |
Public
Finance Authority, Lenoir-Rhyne
University |
|
|
Series
2022, Rev., 5.00%, 4/1/2029 |
1,155,000 |
1,175,367 |
Series
2022, Rev., 5.00%, 4/1/2030 |
1,215,000 |
1,237,820 |
Series
2022, Rev., 5.00%, 4/1/2031 |
1,275,000 |
1,300,810 |
Series
2022, Rev., 5.00%, 4/1/2032 |
665,000 |
678,274 |
Public
Finance Authority, Piedmont Community
Charter
School Rev., 5.00%, 6/15/2039 |
200,000 |
195,294 |
Public
Finance Authority, Scotland Healthcare
System
Series 2021A, Rev., 5.00%,
10/1/2027 |
500,000 |
524,586 |
Public
Finance Authority, Triad Educational
Services,
Inc. |
|
|
Rev.,
5.00%, 6/15/2032 |
365,000 |
369,687 |
Rev.,
5.00%, 6/15/2042 |
380,000 |
353,272 |
Public
Finance Authority, Ultimate Medical
Academy
Project Series 2019A, Rev.,
5.00%,
10/1/2029 (e) |
150,000 |
150,540 |
State
of Wisconsin |
|
|
Series
2016-1, GO, 5.00%, 11/1/2024 |
40,000 |
40,773 |
Series
2016-2, GO, 5.00%, 11/1/2026 |
50,000 |
52,361 |
State
of Wisconsin, Clean Water Fund
Leveraged
Loan Portfolio Series 20161,
Rev.,
5.00%, 6/1/2024 (b) |
65,000 |
65,697 |
State
of Wisconsin, Environmental
Improvement
Fund |
|
|
Series
2018A, Rev., 5.00%, 6/1/2025 |
35,000 |
36,021 |
Series
2018A, Rev., 5.00%, 6/1/2026 |
20,000 |
20,990 |
Village
of Pleasant Prairie GO, 4.00%,
8/1/2024 |
10,000 |
10,041 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
131
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Wisconsin
— continued | ||
Wisconsin
Department of Transportation |
|
|
Series
2017 2, Rev., 5.00%, 7/1/2031 |
180,000 |
190,266 |
Series
2017 2, Rev., 5.00%, 7/1/2032 |
50,000 |
52,824 |
Wisconsin
Health and Educational Facilities
Authority,
Oakwood Lutheran Senior
Ministries |
|
|
Rev.,
4.00%, 1/1/2026 |
175,000 |
170,154 |
Rev.,
4.00%, 1/1/2027 |
175,000 |
167,731 |
Wisconsin
Health and Educational Facilities
Authority,
St. Camillus Health System Series
2019A,
Rev., 5.00%, 11/1/2029 |
150,000 |
141,625 |
WPPI
Energy Series 2016A, Rev., 5.00%,
7/1/2024 |
170,000 |
172,101 |
Total
Wisconsin |
|
11,582,590 |
Total
Municipal Bonds
(Cost
$583,340,582) |
|
575,767,368 |
U.S.
Treasury Obligations — 0.6% | ||
U.S.
Treasury Notes
3.88%,
4/30/2025 (Cost $3,986,352) |
4,000,000 |
3,927,344 |
|
SHARES |
|
Short-Term
Investments — 10.2% | ||
Investment
Companies — 10.2% | ||
JPMorgan
Institutional Tax Free Money Market
Fund
Class IM Shares, 3.71% (f)
(g)
(Cost
$65,306,566) |
65,303,708 |
65,310,239 |
Total
Investments — 100.5%
(Cost
$652,633,500) |
|
645,004,951 |
Liabilities
in Excess of Other Assets — (0.5)% |
|
(2,902,699
) |
NET
ASSETS — 100.0% |
|
642,102,252 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
AGM |
Insured
by Assured Guaranty Municipal
Corp. |
AMT |
Alternative
Minimum Tax |
BAN |
Bond
Anticipation Note |
BHAC |
Insured
by Berkshire Hathaway Assurance Corp. |
CCRC |
Congregate
Care Retirement Center |
COLL |
Collateral |
COP |
Certificate
of Participation |
CR |
Custodial
Receipts |
FHA |
Federal
Housing Administration |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
GNMA |
Government
National Mortgage Association |
GO |
General
Obligation |
GTD |
Guaranteed |
LIQ |
Liquidity
Agreement |
LOC |
Letter
of Credit |
MBIA |
Insured
by Municipal Bond Insurance Corp. |
PSF-GTD |
Permanent
School Fund Guaranteed |
Q-SBLF |
Qualified
School Bond Loan Fund |
Rev. |
Revenue |
VRDO |
Variable
Rate Demand Obligation |
^ |
Amount
rounds to less than 0.1% of net assets. | |
(a) |
The
date shown represents the earliest of the
prerefunded
date, next put date or final maturity date. |
|
(b) |
Security
is prerefunded or escrowed to maturity. |
|
(c) |
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, 2023.
|
|
(d) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(e) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(f) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(g) |
The
rate shown is the current yield as of August 31,
2023. |
|
132
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury 2 Year Note |
30 |
12/29/2023 |
USD |
6,115,547 |
12,262 |
U.S.
Treasury 5 Year Note |
67 |
12/29/2023 |
USD |
7,165,859 |
38,944 |
|
|
|
|
|
51,206 |
Abbreviations |
|
USD |
United
States Dollar |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
CDX.NA.HY.40-V1 |
5.00 |
Quarterly |
6/20/2028 |
4.26 |
USD9,350,000 |
(221,496
) |
(137,465
) |
(358,961
) |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium to or
from
the
protection seller, in exchange for the right to receive a contingent
payment, upon occurrence of a credit event with respect to an underlying
reference
obligation,
as defined under the terms of individual swap
contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract. Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
Abbreviations |
|
CDX |
Credit
Default Swap Index |
USD |
United
States Dollar |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
133
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 35.3% | ||
Aerospace
& Defense — 0.1% | ||
Boeing
Co. (The) 2.20%, 2/4/2026 |
125,000 |
115,313 |
Bombardier,
Inc. (Canada) |
|
|
7.88%,
4/15/2027 (a) |
41,000 |
40,894 |
6.00%,
2/15/2028 (a) |
49,000 |
45,797 |
Spirit
AeroSystems, Inc.
|
|
|
7.50%,
4/15/2025 (a) |
38,000 |
37,529 |
9.38%,
11/30/2029 (a) |
29,000 |
30,221 |
TransDigm,
Inc. 6.25%, 3/15/2026 (a) |
95,000 |
94,095 |
|
|
363,849 |
Automobile
Components — 0.2% | ||
Adient
Global Holdings Ltd. 7.00%,
4/15/2028 (a) |
50,000 |
50,515 |
Allison
Transmission, Inc. 5.88%,
6/1/2029 (a) |
89,000 |
85,958 |
American
Axle & Manufacturing, Inc.
|
|
|
6.50%,
4/1/2027 |
68,000 |
64,446 |
6.88%,
7/1/2028 (b) |
44,000 |
40,358 |
Clarios
Global LP 6.25%, 5/15/2026 (a) |
32,000 |
31,692 |
Dana,
Inc.
|
|
|
5.38%,
11/15/2027 |
62,000 |
58,654 |
4.50%,
2/15/2032 |
23,000 |
18,570 |
Goodyear
Tire & Rubber Co. (The) 5.25%,
4/30/2031 (b) |
112,000 |
98,245 |
Icahn
Enterprises LP 5.25%, 5/15/2027 |
80,000 |
70,200 |
|
|
518,638 |
Automobiles
— 0.2% | ||
Ford
Motor Co. 9.63%, 4/22/2030 |
36,000 |
41,636 |
Hyundai
Capital America 1.80%,
10/15/2025 (a) |
200,000 |
184,473 |
Volkswagen
Group of America
Finance
LLC (Germany) 3.35%,
5/13/2025 (a) |
200,000 |
192,440 |
|
|
418,549 |
Banks
— 16.4% | ||
ABN
AMRO Bank NV (Netherlands) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
1 Year + 0.80%), 1.54%,
6/16/2027 (a)
(c) |
400,000 |
352,841 |
AIB
Group plc (Ireland) (ICE LIBOR USD 3
Month
+ 1.87%), 4.26%,
4/10/2025 (a)
(c) |
645,000 |
635,420 |
ASB
Bank Ltd. (New Zealand) 5.35%,
6/15/2026 (a) |
1,000,000 |
993,075 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
Banco
Bilbao Vizcaya Argentaria SA (Spain) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
1 Year + 2.30%), 5.86%,
9/14/2026 (c) |
800,000 |
793,391 |
Banco
Continental SAECA (Paraguay) 2.75%,
12/10/2025 (a) |
150,000 |
136,488 |
Banco
Santander SA (Spain) |
|
|
2.75%,
5/28/2025 |
600,000 |
567,661 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.90%),
1.72%,
9/14/2027 (c) |
200,000 |
175,793 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.00%),
4.18%,
3/24/2028 (c) |
200,000 |
187,538 |
Bank
of America Corp.
|
|
|
(3-MONTH
CME TERM SOFR + 0.90%),
2.02%,
2/13/2026 (c) |
585,000 |
551,606 |
(SOFR
+ 1.33%), 3.38%, 4/2/2026 (c) |
380,000 |
365,194 |
(SOFR
+ 0.96%), 1.73%, 7/22/2027 (c) |
230,000 |
205,802 |
(SOFR
+ 1.05%), 2.55%, 2/4/2028 (c) |
345,000 |
312,021 |
(SOFR
+ 2.04%), 4.95%, 7/22/2028 (c) |
475,000 |
465,074 |
(SOFR
+ 1.99%), 6.20%, 11/10/2028 (c) |
400,000 |
409,195 |
(SOFR
+ 1.63%), 5.20%, 4/25/2029 (c) |
870,000 |
856,847 |
Bank
of Ireland Group plc (Ireland) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.65%),
6.25%,
9/16/2026 (a)
(c) |
335,000 |
334,202 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.10%),
2.03%,
9/30/2027 (a)
(c) |
245,000 |
215,556 |
Bank
of Montreal (Canada) 5.20%, 2/1/2028 |
585,000 |
580,086 |
Bank
of Nova Scotia (The) (Canada) 5.25%,
6/12/2028 |
500,000 |
495,603 |
Banque
Federative du Credit Mutuel SA
(France) |
|
|
5.90%,
7/13/2026 (a) |
500,000 |
501,525 |
4.75%,
7/13/2027 (a) |
530,000 |
514,369 |
Barclays
plc (United Kingdom) (US Treasury
Yield
Curve Rate T Note Constant Maturity 1
Year
+ 1.05%), 2.28%, 11/24/2027 (c) |
820,000 |
728,191 |
BNP
Paribas SA (France) |
|
|
(SOFR
+ 2.07%), 2.22%, 6/9/2026 (a)
(c) |
795,000 |
742,719 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.50%),
5.34%,
6/12/2029 (a)
(c) |
500,000 |
492,672 |
BPCE
SA (France) |
|
|
5.70%,
10/22/2023 (a) |
400,000 |
399,269 |
5.15%,
7/21/2024 (a) |
285,000 |
281,490 |
134
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(SOFR
+ 1.52%), 1.65%, 10/6/2026 (a)
(c) |
750,000 |
681,714 |
(SOFR
+ 2.10%), 5.97%, 1/18/2027 (a)
(c) |
500,000 |
497,467 |
4.75%,
7/19/2027 (a) |
500,000 |
483,266 |
Canadian
Imperial Bank of Commerce (Canada)
5.00%,
4/28/2028 |
505,000 |
494,531 |
Citigroup,
Inc.
|
|
|
(SOFR
+ 0.67%), 0.98%, 5/1/2025 (c) |
85,000 |
82,090 |
(SOFR
+ 0.69%), 2.01%, 1/25/2026 (c) |
455,000 |
430,441 |
(SOFR
+ 2.84%), 3.11%, 4/8/2026 (c) |
200,000 |
191,403 |
(SOFR
+ 1.55%), 5.61%, 9/29/2026 (c) |
1,750,000 |
1,742,011 |
(SOFR
+ 0.77%), 1.12%, 1/28/2027 (c) |
85,000 |
76,178 |
(3-MONTH
CME TERM SOFR + 1.82%),
3.89%,
1/10/2028 (c) |
370,000 |
349,532 |
Series
VAR, (SOFR + 1.28%), 3.07%,
2/24/2028 (c) |
500,000 |
458,980 |
Cooperatieve
Rabobank UA (Netherlands) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.22%),
3.65%,
4/6/2028 (a)
(c) |
535,000 |
496,681 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.40%),
5.56%,
2/28/2029 (a)
(c) |
500,000 |
494,040 |
Credit
Agricole SA (France) |
|
|
(SOFR
+ 1.68%), 1.91%, 6/16/2026 (a)
(c) |
765,000 |
712,121 |
5.59%,
7/5/2026 (a) |
825,000 |
824,735 |
Danske
Bank A/S (Denmark) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1 Year +
0.55%),
0.98%, 9/10/2025 (a)
(c) |
805,000 |
761,521 |
DNB
Bank ASA (Norway) (SOFRINDX + 1.95%),
5.90%,
10/9/2026 (a)
(c) |
500,000 |
500,853 |
Federation
des Caisses Desjardins du Quebec
(Canada) |
|
|
4.40%,
8/23/2025 (a) |
200,000 |
194,111 |
5.70%,
3/14/2028 (a) |
325,000 |
325,465 |
HSBC
Holdings plc (United Kingdom) |
|
|
(3-MONTH
CME TERM SOFR + 1.47%),
3.80%,
3/11/2025 (c) |
250,000 |
246,871 |
(SOFR
+ 0.71%), 0.98%, 5/24/2025 (c) |
350,000 |
336,401 |
(SOFR
+ 1.29%), 1.59%, 5/24/2027 (c) |
569,000 |
505,560 |
(SOFR
+ 1.57%), 5.89%, 8/14/2027 (c) |
855,000 |
852,319 |
(SOFR
+ 1.10%), 2.25%, 11/22/2027 (c) |
385,000 |
343,322 |
(SOFR
+ 2.61%), 5.21%, 8/11/2028 (c) |
420,000 |
409,837 |
ING
Groep NV (Netherlands) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.10%),
1.40%,
7/1/2026 (a)
(c) |
500,000 |
459,763 |
(SOFR
+ 1.01%), 1.73%, 4/1/2027 (c) |
200,000 |
179,851 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
KBC
Group NV (Belgium) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1 Year +
2.10%),
5.80%, 1/19/2029 (a)
(c) |
200,000 |
198,005 |
Lloyds
Banking Group plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.00%),
2.44%,
2/5/2026 (c) |
200,000 |
189,435 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.70%),
5.87%,
3/6/2029 (c) |
755,000 |
749,188 |
Mitsubishi
UFJ Financial Group, Inc. (Japan) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.13%),
3.84%,
4/17/2026 (c) |
258,000 |
249,720 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.75%),
1.54%,
7/20/2027 (c) |
512,000 |
456,442 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.83%),
2.34%,
1/19/2028 (c) |
400,000 |
358,893 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.38%),
5.42%,
2/22/2029 (c) |
500,000 |
497,883 |
Mizuho
Financial Group, Inc. (Japan) |
|
|
(3-MONTH
CME TERM SOFR + 1.24%),
2.84%,
7/16/2025 (c) |
200,000 |
194,098 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.90%),
2.65%,
5/22/2026 (b)
(c) |
470,000 |
442,670 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.65%),
5.78%,
7/6/2029 (c) |
750,000 |
751,217 |
NatWest
Group plc (United Kingdom) |
|
|
4.80%,
4/5/2026 |
500,000 |
486,808 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.85%),
7.47%,
11/10/2026 (c) |
350,000 |
360,353 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.35%),
5.85%,
3/2/2027 (c) |
750,000 |
745,547 |
Nordea
Bank Abp (Finland) 1.50%,
9/30/2026 (a) |
500,000 |
441,327 |
Royal
Bank of Canada (Canada) 5.20%,
8/1/2028 |
620,000 |
615,733 |
Santander
UK Group Holdings plc (United
Kingdom) |
|
|
(SOFR
+ 0.79%), 1.09%, 3/15/2025 (c) |
645,000 |
625,277 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
135
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.25%),
1.53%,
8/21/2026 (c) |
655,000 |
594,532 |
(SOFR
+ 2.60%), 6.53%, 1/10/2029 (c) |
275,000 |
277,166 |
Societe
Generale SA (France) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.05%),
2.23%,
1/21/2026 (a)
(c) |
365,000 |
343,377 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.10%),
1.49%,
12/14/2026 (a)
(c) |
570,000 |
510,768 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.30%),
6.45%,
1/12/2027 (a)
(c) |
805,000 |
808,766 |
Standard
Chartered plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.78%),
0.99%,
1/12/2025 (a)
(c) |
250,000 |
244,787 |
(ICE
LIBOR USD 3 Month + 1.21%), 2.82%,
1/30/2026 (a)
(c) |
200,000 |
190,398 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.65%),
3.97%,
3/30/2026 (a)
(c) |
310,000 |
299,123 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.85%),
6.19%,
7/6/2027 (a)
(c) |
470,000 |
470,982 |
Sumitomo
Mitsui Financial Group, Inc. (Japan) |
|
|
5.88%,
7/13/2026 |
585,000 |
589,610 |
5.52%,
1/13/2028 |
775,000 |
774,705 |
Sumitomo
Mitsui Trust Bank Ltd. (Japan)
0.85%,
3/25/2024 (a) |
200,000 |
194,494 |
Svenska
Handelsbanken AB (Sweden) 5.50%,
6/15/2028 (a) |
750,000 |
738,914 |
Toronto-Dominion
Bank (The) (Canada) |
|
|
5.10%,
1/9/2026 |
575,000 |
570,447 |
5.53%,
7/17/2026 |
620,000 |
621,368 |
Wells
Fargo & Co.
|
|
|
(3-MONTH
CME TERM SOFR + 1.01%),
2.16%,
2/11/2026 (c) |
150,000 |
141,820 |
(SOFR
+ 1.56%), 4.54%, 8/15/2026 (c) |
535,000 |
522,414 |
(SOFR
+ 1.51%), 3.53%, 3/24/2028 (c) |
285,000 |
265,170 |
(SOFR
+ 1.98%), 4.81%, 7/25/2028 (c) |
945,000 |
916,627 |
(SOFR
+ 1.74%), 5.57%, 7/25/2029 (c) |
475,000 |
473,033 |
|
|
42,335,789 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Biotechnology
— 0.2% | ||
Amgen,
Inc. 5.15%, 3/2/2028 |
510,000 |
509,467 |
Emergent
BioSolutions, Inc. 3.88%,
8/15/2028 (a) |
39,000 |
18,720 |
|
|
528,187 |
Broadline
Retail — 0.0% ^ | ||
NMG
Holding Co., Inc. 7.13%, 4/1/2026 (a) |
72,000 |
68,430 |
Nordstrom,
Inc. 4.38%, 4/1/2030 |
44,000 |
35,155 |
|
|
103,585 |
Building
Products — 0.2% | ||
Builders
FirstSource, Inc. 4.25%,
2/1/2032 (a) |
64,000 |
54,411 |
Emerald
Debt Merger Sub LLC 6.63%,
12/15/2030 (a) |
55,000 |
54,143 |
Griffon
Corp. 5.75%, 3/1/2028 |
80,000 |
74,561 |
JELD-WEN,
Inc. 4.88%, 12/15/2027 (a) |
44,000 |
39,159 |
PGT
Innovations, Inc. 4.38%, 10/1/2029 (a) |
49,000 |
45,469 |
Standard
Industries, Inc. 4.75%,
1/15/2028 (a) |
64,000 |
58,944 |
Summit
Materials LLC 5.25%, 1/15/2029 (a) |
54,000 |
50,584 |
|
|
377,271 |
Capital
Markets — 4.0% | ||
Bank
of New York Mellon Corp. (The) (SOFR +
1.03%),
4.95%, 4/26/2027 (c) |
380,000 |
374,050 |
Credit
Suisse AG (Switzerland) 7.50%,
2/15/2028 |
270,000 |
288,766 |
Deutsche
Bank AG (Germany) |
|
|
(SOFR
+ 2.16%), 2.22%, 9/18/2024 (c) |
150,000 |
149,765 |
(SOFR
+ 1.87%), 2.13%, 11/24/2026 (c) |
500,000 |
453,634 |
(SOFR
+ 2.52%), 7.15%, 7/13/2027 (c) |
350,000 |
355,235 |
5.37%,
9/9/2027 |
320,000 |
317,318 |
(SOFR
+ 3.18%), 6.72%, 1/18/2029 (c) |
240,000 |
242,990 |
Goldman
Sachs Group, Inc. (The)
|
|
|
(SOFR
+ 0.73%), 1.76%, 1/24/2025 (c) |
500,000 |
490,725 |
(SOFR
+ 0.91%), 1.95%, 10/21/2027 (c) |
423,000 |
376,434 |
(SOFR
+ 1.11%), 2.64%, 2/24/2028 (c) |
390,000 |
352,955 |
(SOFR
+ 1.85%), 3.62%, 3/15/2028 (c) |
720,000 |
673,215 |
Macquarie
Bank Ltd. (Australia) 5.21%,
6/15/2026 (a) |
1,000,000 |
992,355 |
Macquarie
Group Ltd. (Australia) |
|
|
6.21%,
11/22/2024 (a) |
490,000 |
490,047 |
(SOFR
+ 0.91%), 1.63%, 9/23/2027 (a)
(c) |
140,000 |
122,881 |
(SOFR
+ 2.13%), 4.10%, 6/21/2028 (a)
(c) |
380,000 |
356,712 |
Morgan
Stanley
|
|
|
(SOFR
+ 0.72%), 0.98%, 12/10/2026 (c) |
150,000 |
134,571 |
136
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Capital
Markets — continued | ||
(SOFR
+ 0.86%), 1.51%, 7/20/2027 (c) |
335,000 |
297,424 |
(SOFR
+ 1.00%), 2.48%, 1/21/2028 (c) |
400,000 |
360,847 |
(SOFR
+ 2.24%), 6.30%, 10/18/2028 (c) |
985,000 |
1,010,396 |
(SOFR
+ 1.59%), 5.16%, 4/20/2029 (c) |
565,000 |
554,169 |
Nomura
Holdings, Inc. (Japan) 1.85%,
7/16/2025 |
200,000 |
184,811 |
UBS
Group AG (Switzerland) |
|
|
(SOFR
+ 1.56%), 2.59%, 9/11/2025 (a)
(c) |
250,000 |
241,053 |
(SOFR
+ 3.34%), 6.37%, 7/15/2026 (a)
(c) |
405,000 |
406,685 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.55%),
5.71%,
1/12/2027 (a)
(c) |
297,000 |
295,798 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 2.05%),
4.70%,
8/5/2027 (a)
(c) |
410,000 |
397,466 |
(SOFR
+ 3.70%), 6.44%, 8/11/2028 (a)
(c) |
370,000 |
376,764 |
|
|
10,297,066 |
Chemicals
— 0.2% | ||
Avient
Corp. 5.75%, 5/15/2025 (a) |
44,000 |
43,415 |
Braskem
Netherlands Finance BV (Brazil)
4.50%,
1/31/2030 (d) |
200,000 |
167,560 |
Chemours
Co. (The)
|
|
|
5.38%,
5/15/2027 |
26,000 |
24,475 |
5.75%,
11/15/2028 (a) |
54,000 |
48,509 |
Element
Solutions, Inc. 3.88%, 9/1/2028 (a) |
62,000 |
54,505 |
NOVA
Chemicals Corp. (Canada) 4.25%,
5/15/2029 (a) |
67,000 |
54,421 |
Scotts
Miracle-Gro Co. (The) 4.50%,
10/15/2029 |
108,000 |
90,323 |
Trinseo
Materials Operating SCA 5.38%,
9/1/2025 (a) |
49,000 |
45,648 |
WR
Grace Holdings LLC 4.88%, 6/15/2027 (a) |
64,000 |
59,689 |
|
|
588,545 |
Commercial
Services & Supplies — 0.3% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
67,000 |
57,239 |
Allied
Universal Holdco LLC 6.63%,
7/15/2026 (a) |
31,000 |
29,486 |
APi
Group DE, Inc. 4.13%, 7/15/2029 (a) |
50,000 |
43,001 |
Aramark
Services, Inc. 5.00%, 2/1/2028 (a) |
59,000 |
55,042 |
Brink's
Co. (The) 4.63%, 10/15/2027 (a) |
31,000 |
28,826 |
Garda
World Security Corp. (Canada) 4.63%,
2/15/2027 (a) |
85,000 |
78,634 |
GFL
Environmental, Inc. (Canada) |
|
|
4.00%,
8/1/2028 (a) |
40,000 |
35,709 |
4.75%,
6/15/2029 (a) |
71,000 |
64,320 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Commercial
Services & Supplies — continued | ||
Madison
IAQ LLC 4.13%, 6/30/2028 (a) |
126,000 |
111,476 |
Prime
Security Services Borrower LLC 5.75%,
4/15/2026 (a) |
130,000 |
127,575 |
|
|
631,308 |
Communications
Equipment — 0.1% | ||
CommScope,
Inc.
|
|
|
6.00%,
3/1/2026 (a) |
85,000 |
77,245 |
4.75%,
9/1/2029 (a) |
95,000 |
70,598 |
|
|
147,843 |
Construction
& Engineering — 0.1% | ||
Dycom
Industries, Inc. 4.50%, 4/15/2029 (a) |
44,000 |
39,287 |
Global
Infrastructure Solutions, Inc. 5.63%,
6/1/2029 (a) |
54,000 |
45,349 |
Pike
Corp. 5.50%, 9/1/2028 (a) |
35,000 |
31,497 |
Weekley
Homes LLC 4.88%, 9/15/2028 (a) |
59,000 |
52,067 |
|
|
168,200 |
Consumer
Finance — 1.5% | ||
AerCap
Ireland Capital DAC (Ireland) |
|
|
4.88%,
1/16/2024 |
450,000 |
447,746 |
2.88%,
8/14/2024 |
200,000 |
193,911 |
5.75%,
6/6/2028 |
500,000 |
495,634 |
Avolon
Holdings Funding Ltd. (Ireland) |
|
|
5.25%,
5/15/2024 (a) |
450,000 |
444,252 |
5.50%,
1/15/2026 (a) |
125,000 |
121,694 |
Capital
One Financial Corp.
|
|
|
(SOFR
+ 0.69%), 1.34%, 12/6/2024 (c) |
270,000 |
266,126 |
(SOFR
+ 2.06%), 4.93%, 5/10/2028 (c) |
400,000 |
384,786 |
(SOFR
+ 2.08%), 5.47%, 2/1/2029 (c) |
345,000 |
334,674 |
Ford
Motor Credit Co. LLC 4.27%, 1/9/2027 |
425,000 |
392,950 |
General
Motors Financial Co., Inc. 5.00%,
4/9/2027 |
380,000 |
370,334 |
Navient
Corp. 7.25%, 9/25/2023 |
19,000 |
19,000 |
OneMain
Finance Corp.
|
|
|
7.13%,
3/15/2026 |
67,000 |
65,911 |
6.63%,
1/15/2028 |
23,000 |
21,505 |
5.38%,
11/15/2029 |
23,000 |
19,867 |
Park
Aerospace Holdings Ltd. (Ireland) 5.50%,
2/15/2024 (a) |
150,000 |
148,999 |
|
|
3,727,389 |
Consumer
Staples Distribution & Retail — 0.1% | ||
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
216,000 |
203,996 |
3.50%,
3/15/2029 (a) |
59,000 |
51,036 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
137
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Consumer
Staples Distribution & Retail — continued | ||
Performance
Food Group, Inc. 5.50%,
10/15/2027 (a) |
22,000 |
21,184 |
Rite
Aid Corp. 8.00%, 11/15/2026 (a) |
85,000 |
53,975 |
|
|
330,191 |
Containers
& Packaging — 0.3% | ||
Ardagh
Packaging Finance plc 4.13%,
8/15/2026 (a) |
200,000 |
187,063 |
Graphic
Packaging International LLC 1.51%,
4/15/2026 (a) |
70,000 |
62,779 |
LABL,
Inc. 6.75%, 7/15/2026 (a) |
100,000 |
97,743 |
Mauser
Packaging Solutions Holding
Co. 7.88%,
8/15/2026 (a) |
113,000 |
111,276 |
Owens-Brockway
Glass Container, Inc. 6.63%,
5/13/2027 (a) |
62,000 |
61,286 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027 (a) |
49,000 |
44,072 |
Trivium
Packaging Finance BV (Netherlands)
5.50%,
8/15/2026 (a)
(e) |
200,000 |
188,632 |
|
|
752,851 |
Diversified
Consumer Services — 0.0% ^ | ||
Service
Corp. International 5.13%, 6/1/2029 |
41,000 |
38,591 |
Diversified
Telecommunication Services — 0.5% | ||
Altice
France SA (France) 5.13%,
7/15/2029 (a) |
200,000 |
141,385 |
CCO
Holdings LLC
|
|
|
5.00%,
2/1/2028 (a) |
137,000 |
126,245 |
4.75%,
3/1/2030 (a) |
257,000 |
220,967 |
4.50%,
8/15/2030 (a) |
285,000 |
239,741 |
4.75%,
2/1/2032 (a) |
13,000 |
10,757 |
Frontier
Communications Holdings LLC 5.88%,
10/15/2027 (a) |
77,000 |
70,132 |
Intelsat
Jackson Holdings SA (Luxembourg)
6.50%,
3/15/2030 (a) |
62,000 |
56,849 |
Lumen
Technologies, Inc.
|
|
|
5.13%,
12/15/2026 (a) |
41,000 |
21,239 |
4.00%,
2/15/2027 (a) |
216,000 |
136,127 |
NBN
Co. Ltd. (Australia) 1.45%, 5/5/2026 (a) |
200,000 |
180,212 |
Telecom
Italia Capital SA (Italy) 6.38%,
11/15/2033 |
31,000 |
27,242 |
|
|
1,230,896 |
Electric
Utilities — 1.7% | ||
Enel
Finance America LLC (Italy) 7.10%,
10/14/2027 (a) |
200,000 |
208,843 |
Enel
Finance International NV (Italy) 4.63%,
6/15/2027 (a) |
445,000 |
429,361 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electric
Utilities — continued | ||
Eskom
Holdings SOC Ltd. (South Africa) 7.13%,
2/11/2025 (d) |
200,000 |
197,064 |
Exelon
Corp. 5.15%, 3/15/2028 |
305,000 |
302,796 |
Fells
Point Funding Trust 3.05%,
1/31/2027 (a) |
535,000 |
489,229 |
ITC
Holdings Corp. 3.65%, 6/15/2024 |
745,000 |
731,513 |
Metropolitan
Edison Co. 5.20%, 4/1/2028 (a) |
240,000 |
237,007 |
NextEra
Energy Capital Holdings, Inc.
|
|
|
5.75%,
9/1/2025 |
445,000 |
446,054 |
4.90%,
2/28/2028 |
600,000 |
589,612 |
NRG
Energy, Inc.
|
|
|
3.38%,
2/15/2029 (a) |
46,000 |
37,916 |
5.25%,
6/15/2029 (a) |
67,000 |
60,307 |
Pennsylvania
Electric Co. 5.15%,
3/30/2026 (a) |
225,000 |
221,354 |
PG&E
Corp. 5.00%, 7/1/2028 (b) |
60,000 |
55,194 |
Vistra
Operations Co. LLC
|
|
|
3.55%,
7/15/2024 (a) |
350,000 |
340,566 |
5.00%,
7/31/2027 (a) |
90,000 |
84,646 |
4.38%,
5/1/2029 (a) |
27,000 |
23,806 |
|
|
4,455,268 |
Electrical
Equipment — 0.0% ^ | ||
Vertiv
Group Corp. 4.13%, 11/15/2028 (a) |
44,000 |
39,502 |
Electronic
Equipment, Instruments & Components — 0.0% ^ | ||
Coherent
Corp. 5.00%, 12/15/2029 (a) |
41,000 |
36,416 |
Energy
Equipment & Services — 0.1% | ||
Guara
Norte SARL (Brazil) 5.20%,
6/15/2034 (a) |
176,852 |
154,745 |
Nabors
Industries, Inc. 7.38%, 5/15/2027 (a) |
40,000 |
39,036 |
Precision
Drilling Corp. (Canada) 7.13%,
1/15/2026 (a) |
54,000 |
53,528 |
Transocean,
Inc. 8.75%, 2/15/2030 (a) |
33,250 |
34,015 |
|
|
281,324 |
Entertainment
— 0.5% | ||
Cinemark
USA, Inc.
|
|
|
5.88%,
3/15/2026 (a) |
31,000 |
29,760 |
5.25%,
7/15/2028 (a)
(b) |
28,000 |
24,871 |
Live
Nation Entertainment, Inc. 4.75%,
10/15/2027 (a) |
85,000 |
79,186 |
Take-Two
Interactive Software, Inc. 5.00%,
3/28/2026 |
103,000 |
101,894 |
Warnermedia
Holdings, Inc. 3.76%,
3/15/2027 |
975,000 |
914,470 |
|
|
1,150,181 |
138
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2023
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Financial
Services — 1.1% | ||
Block,
Inc.
|
|
|
2.75%,
6/1/2026 |
15,000 |
13,640 |
3.50%,
6/1/2031 |
38,000 |
31,159 |
Element
Fleet Management Corp. (Canada) |
|
|
1.60%,
4/6/2024 (a) |
145,000 |
141,093 |
3.85%,
6/15/2025 (a) |
200,000 |
191,078 |
Fondo
MIVIVIENDA SA (Peru) 4.63%,
4/12/2027 (a) |
200,000 |
191,324 |
Global
Payments, Inc.
|
|
|
1.20%,
3/1/2026 |
415,000 |
371,219 |
4.95%,
8/15/2027 |
335,000 |
326,466 |
National
Rural Utilities Cooperative Finance
Corp. 5.05%,
9/15/2028 |
615,000 |
613,698 |
Nationstar
Mortgage Holdings, Inc. 6.00%,
1/15/2027 (a) |
72,000 |
68,580 |
Nationwide
Building Society (United Kingdom)
(SOFR
+ 1.29%), 2.97%, 2/16/2028 (a)
(c) |
850,000 |
768,081 |
Rocket
Mortgage LLC
|
|
|
2.88%,
10/15/2026 (a) |
17,000 |
15,109 |
3.63%,
3/1/2029 (a) |
44,000 |
37,450 |
4.00%,
10/15/2033 (a) |
5,000 |
3,953 |
|
|
2,772,850 |
Food
Products — 0.3% | ||
Post
Holdings, Inc.
|
|
|
5.63%,
1/15/2028 (a) |
63,000 |
60,410 |
4.63%,
4/15/2030 (a) |
31,000 |
27,465 |
Viterra
Finance BV (Netherlands) |
|
|
2.00%,
4/21/2026 (a) |
200,000 |
180,587 |
4.90%,
4/21/2027 (a) |
570,000 |
551,491 |
|
|
819,953 |
Gas
Utilities — 0.0% ^ | ||
AmeriGas
Partners LP 5.88%, 8/20/2026 |
49,000 |
46,486 |
Superior
Plus LP (Canada) 4.50%,
3/15/2029 (a) |
35,000 |
30,800 |
|
|
77,286 |
Ground
Transportation — 0.1% | ||
Avis
Budget Car Rental LLC
|
|
|
5.75%,
7/15/2027 (a)
(b) |
64,000 |
61,106 |
4.75%,
4/1/2028 (a) |
31,000 |
28,193 |
First
Student Bidco, Inc. 4.00%,
7/31/2029 (a) |
59,000 |
50,150 |
Hertz
Corp. (The) 4.63%, 12/1/2026 (a) |
108,000 |
97,782 |
Uber
Technologies, Inc. 7.50%, 9/15/2027 (a) |
40,000 |
40,842 |
XPO
Escrow Sub LLC 7.50%, 11/15/2027 (a) |
50,000 |
50,838 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Ground
Transportation — continued | ||
XPO,
Inc.
|
|
|
6.25%,
6/1/2028 (a) |
20,000 |
19,598 |
7.13%,
6/1/2031 (a) |
20,000 |
20,106 |
|
|
368,615 |
Health
Care Equipment & Supplies — 0.1% | ||
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
90,000 |
78,568 |
5.25%,
10/1/2029 (a) |
90,000 |
79,922 |
|
|
158,490 |
Health
Care Providers & Services — 0.5% | ||
Acadia
Healthcare Co., Inc. 5.50%,
7/1/2028 (a) |
41,000 |
38,841 |
AdaptHealth
LLC 4.63%, 8/1/2029 (a) |
54,000 |
44,123 |
Community
Health Systems, Inc.
|
|
|
8.00%,
3/15/2026 (a) |
98,000 |
95,663 |
5.63%,
3/15/2027 (a) |
23,000 |
20,239 |
6.00%,
1/15/2029 (a) |
67,000 |
56,113 |
4.75%,
2/15/2031 (a) |
77,000 |
57,365 |
DaVita,
Inc. 4.63%, 6/1/2030 (a) |
103,000 |
88,349 |
Encompass
Health Corp. 4.75%, 2/1/2030 |
81,000 |
73,778 |
HCA,
Inc. 5.20%, 6/1/2028 |
520,000 |
512,403 |
Owens
& Minor, Inc. 4.50%, 3/31/2029 (a) |
45,000 |
38,138 |
Tenet
Healthcare Corp.
|
|
|
5.13%,
11/1/2027 |
59,000 |
56,099 |
4.25%,
6/1/2029 |
198,000 |
176,776 |
|
|
1,257,887 |
Hotel
& Resort REITs — 0.0% ^ | ||
RHP
Hotel Properties LP 4.75%, 10/15/2027 |
67,000 |
62,292 |
Hotels,
Restaurants & Leisure — 0.6% | ||
1011778
BC ULC (Canada) 3.88%,
1/15/2028 (a) |
46,000 |
41,839 |
Boyd
Gaming Corp. 4.75%, 12/1/2027 |
59,000 |
55,236 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
85,000 |
76,713 |
Caesars
Entertainment, Inc. 6.25%,
7/1/2025 (a) |
95,000 |
94,263 |
Carnival
Corp. 9.88%, 8/1/2027 (a) |
162,000 |
171,237 |
Cedar
Fair LP 5.25%, 7/15/2029 (b) |
85,000 |
76,515 |
Gohl
Capital Ltd. (Malaysia) 4.25%,
1/24/2027 (d) |
200,000 |
185,476 |
Hilton
Domestic Operating Co., Inc. 4.88%,
1/15/2030 |
72,000 |
67,170 |
Marriott
Ownership Resorts, Inc. 4.50%,
6/15/2029 (a) |
49,000 |
41,406 |
MGM
Resorts International 5.50%, 4/15/2027 |
78,000 |
74,522 |
August
31, 2023
|
J.P.
Morgan Exchange-Traded Funds
|
139
|