Table of Contents

Annual Report

J.P. Morgan Exchange-Traded Funds

February 28, 2022

 

     Ticker    Listing Exchange
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF    BBSA    Cboe BZX Exchange, Inc.
JPMorgan Core Plus Bond ETF    JCPB    Cboe BZX Exchange, Inc.
JPMorgan Corporate Bond Research Enhanced ETF    JIGB    NYSE Arca
JPMorgan High Yield Research Enhanced ETF    JPHY    Cboe BZX Exchange, Inc.
JPMorgan Income ETF    JPIE    NYSE Arca
JPMorgan International Bond Opportunities ETF    JPIB    Cboe BZX Exchange, Inc.
JPMorgan Municipal ETF    JMUB    Cboe BZX Exchange, Inc.
JPMorgan Short Duration Core Plus ETF    JSCP    NYSE Arca
JPMorgan U.S. Aggregate Bond ETF    JAGG    NYSE Arca
JPMorgan Ultra-Short Income ETF    JPST    Cboe BZX Exchange, Inc.
JPMorgan Ultra-Short Municipal Income ETF    JMST    Cboe BZX Exchange, Inc.
JPMorgan USD Emerging Markets Sovereign Bond ETF    JPMB    NYSE Arca

 

     LOGO  


Table of Contents

CONTENTS

 

President’s Letter        1  
Market Overview        2  
Fund Commentaries:     

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

       3  

JPMorgan Core Plus Bond ETF

       5  

JPMorgan Corporate Bond Research Enhanced ETF

       7  

JPMorgan High Yield Research Enhanced ETF

       9  

JPMorgan Income ETF

       12  

JPMorgan International Bond Opportunities ETF

       14  

JPMorgan Municipal ETF

       17  

JPMorgan Short Duration Core Plus ETF

       19  

JPMorgan U.S. Aggregate Bond ETF

       21  

JPMorgan Ultra-Short Income ETF

       23  

JPMorgan Ultra-Short Municipal Income ETF

       25  

JPMorgan USD Emerging Markets Sovereign Bond ETF

       27  
Schedules of Portfolio Investments        30  
Financial Statements        491  
Financial Highlights        506  
Notes to Financial Statements        508  
Report of Independent Registered Public Accounting Firm        541  
Trustees        542  
Officers        545  
Schedule of Shareholder Expenses        546  
Board Approval of Initial Management Agreement        547  
Board Approval of Management Agreements        549  
Liquidity Risk Management Program        553  
Tax Letter        554  
Special Shareholder Meeting Results        555  

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.

Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in large creation/redemption units. Brokerage commissions will reduce returns.


Table of Contents

PRESIDENT’S LETTER

April 12, 2022 (Unaudited)

 

Dear Shareholder,

While global financial markets largely generated positive returns during the first half of 2021, accelerating inflation, periodic resurgences in the pandemic and the military conflict in Ukraine weighed on financial markets and led to mixed returns for the twelve-month fiscal period ended February 28, 2022. Overall, equities markets outperformed fixed-income markets and U.S. equities outperformed other developed markets and emerging markets equities during the period.

 

LOGO  

 

“The trajectory of the pandemic, the timing and magnitude of Fed interest rate activity and the duration and scope of the conflict in Ukraine are likely to remain the fundamental drivers of the global economy and financial market performance in the year ahead.”

Brian S. Shlissel

The U.S. Federal Reserve (the “Fed”) continued to hold interest rates at historically low levels throughout the period. However, in the face of rising inflation and better-than-expected job growth, the Fed began to adopt a less accommodative tone in the second half of the period, and in November 2021, the central bank began to taper off monthly asset purchases under its quantitative easing program. While the emergence of the Omicron variant of COVID-19 toward the end of 2021 led to the reimposition of social restrictions — particularly in the U.K. and Europe — and disrupted return-to-office plans in the U.S., economic data indicated that consumer spending and job growth remained strong through the end of 2021 and into 2022.

In the year ahead, economists generally expect the U.S. economy to continue to expand, driven by surging household wealth and hope of progress in managing the pandemic. However, inflationary pressures from rising demand and tight labor markets led the Fed in to raise interest rates in March 2022 —the first rate increase since December 2018. The central bank also signaled its intent to raise rates six more times this year. The conflict in Ukraine and the multilateral sanctions imposed on Russia have helped raise prices for petroleum, natural gas and a range of other commodities. The trajectory of the pandemic, the timing and magnitude of Fed interest rate activity and the duration and scope of the conflict in Ukraine are likely to remain the fundamental drivers of the global economy and financial market performance in the year ahead.

Regardless of the economic environment, our diversified platform of innovative investment solutions is designed to equip investors with the tools to build durable portfolios that can serve to meet their financial goals.

Sincerely,

 

LOGO

Brian S. Shlissel

President — J.P. Morgan Funds

J.P Morgan Asset Management

1-844-4JPM-ETF or jpmorgan.com/etfs for more information

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         1


Table of Contents

J.P. Morgan Exchange-Traded Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

Bond markets underperformed equity markets throughout the period amid low interest rates and accelerating inflationary pressure as the global economy rebounded from 2020. While leading central banks in developed markets largely maintained monetary stimulus programs and historically low interest rates, soaring inflation led select emerging market nations to raise interest rates. Simultaneously, a year-long rally in global equity markets largely drew investors away from low-yielding fixed income assets.

In the first half of the period, high yield bonds (also called “junk bonds”) and emerging markets debt outperformed investment grade corporate bonds as well as U.S. Treasury bonds and other developed market sovereign debt. However, equity markets largely outperformed all bond markets by a wide margin during the first half of the period.

As the global economic rebound accelerated during 2021, pent up demand and the effects of the pandemic led to bottlenecks in global supply chains and fueled rising inflationary pressure. While the U.S. Federal Reserve stated that rising inflation was likely a temporary consequence of the global economic rebound, it said at its July meeting that it could begin tapering off its $120 billion combined monthly asset purchasing programs by the end of 2021. As inflation and job growth surged in the second half of the year the Fed began to reduce monthly asset purchases and signaled in November that it was prepared to raise rates in the months ahead.

The Bank of England responded to rising domestic inflation by outlining its plan to eventually withdraw policy support for the economy and ended up raising policy interest rates twice by the end of February 2022. Amid a relatively sluggish economic rebound in the European Union, the European Central Bank held interest rates at record lows for the period.

Meanwhile, select emerging market nations raised interest rates in response to rising commodities prices and a strengthening U.S. dollar. Investors responded by selling emerging markets debt. Further weighing on emerging markets were China’s ongoing struggle to contain outbreaks of the COVID-19, slower-than-expected economic growth and investor concerns about its domestic real estate sector. Notably, rising global energy prices provided some support for bonds prices in petroleum exporting nations.

The final two months of the period were marked by a further building in inflationary pressure and Russia’s military buildup and subsequent invasion of Ukraine at the end of February 2022. The invasion — and swift imposition of financial and trade sanctions on Russia — led to a spike in global prices for petroleum, natural gas and a range of other commodities. Financial market volatility rose sharply amid investor uncertainty about the duration and scope of fighting in Ukraine.

For the twelve month period ended February 28, 2022, the Bloomberg U.S. Aggregate Index returned -2.64%, the Bloomberg U.S. High Yield Index returned 0.64% and the Bloomberg Multiverse Index returned -5.24%.

 

 
2         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (2.29)%  
Market Price**      (2.44)%  
Bloomberg Short-Term U.S. Aggregate Bond Index (formerly known as Bloomberg Barclays Short-Term U.S. Aggregate Bond Index)      (2.22)%  
Net Assets as of 2/28/2022    $ 34,892,895  
Duration as of 2/28/2022      2.8 Years  
Fund Ticker      BBSA  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders 1-5 Year US Aggregate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Short-Term U.S. Aggregate Bond Index (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index, which includes bonds with remaining effective maturities between one and five years, is a subset of the Bloomberg U.S. Aggregate Index which consists of U.S. dollar denominated investment grade taxable bonds. Using a “passive” investment approach, the Fund attempts to closely correspond to the performance of the Underlying Index as closely as possible and invests at least 80% of its assets in securities included in the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s allocations investment grade bonds detracted from performance amid rising interest rates in the second half of the period. The Fund’s and the Underlying Index’s exposures to corporate bonds, which outperformed other investment grade sectors, helped performance.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the U.S. Treasury and corporate bond sectors and the smallest allocations were to the securitized debt and government-related bond sectors.

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
U.S. Treasury Obligations      56.1
Corporate Bonds      24.5  
Mortgage-Backed Securities      8.6  
Supranational      2.9  
Commercial Mortgage-Backed Securities      2.4  
Foreign Government Securities      1.5  
U.S. Government Agency Securities      1.5  
Others (each less than 1.0%)      0.8  
Short-Term Investments      1.7  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $49.85 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $49.87.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         3


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

            

Net Asset Value

     March 12, 2019          (2.29)%          1.94%  

Market Price

          (2.44)%          1.95%  

LIFE OF FUND PERFORMANCE (3/12/19 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on March 12, 2019.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and the Bloomberg Short-Term U.S. Aggregate Bond Index from March 12, 2019 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Short-Term U.S. Aggregate Bond Index does not reflect the deduction of expenses associated

with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg Short-Term U.S. Aggregate Bond Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
4         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Core Plus Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (1.66)%  
Market Price**      (1.73)%  
Bloomberg U.S. Aggregate Index (formerly known as Bloomberg Barclays U.S. Aggregate Index)      (2.64)%  
Net Assets as of 2/28/2022    $ 276,853,932  
Duration as of 2/28/2022      6.2 Years  
Fund Ticker      JCPB  

 

INVESTMENT OBJECTIVE***

The JPMorgan Core Plus Bond ETF (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high, medium and low-grade debt securities.

INVESTMENT APPROACH

The Fund invests primarily in investment grade bonds, with the flexibility to invest up to 30% in below investment grade bonds (i.e., high yield or junk bonds). Up to 25% of the Fund’s assets may be invested in foreign securities. The adviser allocates the Fund’s assets among a range of sectors based on strategic positioning and other tactical considerations. In buying and selling investments for the Fund, the adviser looks for market sectors and securities that it believes will perform well over time. The adviser selects individual securities after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, currency risk, legal provisions and the structure of the transactions.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Index”).

Relative to the Index, the Fund’s overweight allocations to high yield corporate credit and securitized credit, including asset-backed securities, commercial mortgage-backed securities and non-agency residential mortgage-backed securities, were leading contributors to performance amid robust U.S. economic growth and supportive monetary policies across the globe.

The Fund’s longer duration and yield curve positioning was the leading detractor from relative performance, as the Fund was generally positioned to benefit from yield steepening while the yield curve flattened over the period. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates fall or rise, respectively, versus bonds with shorter duration. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers focused on security selection and relative value, which seeks to take advantage of pricing discrepancies between individual securities or market sectors. They employed macro-economic analysis to determine asset allocations and positioning on the yield curve. The portfolio managers used bottom-up research and top-down macro perspective to construct a diversified portfolio of fixed income securities. As a result of this process, the Fund’s largest sector allocations at the end of the reporting period were to corporate bonds and securitized debt, which includes agency and non-agency residential mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. The Fund’s smallest allocations were to emerging markets debt and U.S. government obligations, including Treasury bonds and agency debentures.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Corporate Bonds      32.1
Asset-Backed Securities      17.1  
Mortgage-Backed Securities      14.8  
U.S. Treasury Obligations      13.5  
Commercial Mortgage-Backed Securities      6.8  
Collateralized Mortgage Obligations      2.9  
Others (each less than 1.0%)      0.0 (a) 
Short-Term Investments      12.8  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $52.23 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $52.37.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
(a)   Amount rounds to less than 0.1%.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         5


Table of Contents

JPMorgan Core Plus Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE         1 YEAR         SINCE
INCEPTION
 

JPMorgan Core Plus Bond ETF

            

Net Asset Value

     January 28, 2019          (1.66)%          4.29

Market Price

          (1.73)%          4.37

LIFE OF FUND PERFORMANCE (1/28/19 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on January 28, 2019.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Core Plus Bond ETF and the Bloomberg U.S. Aggregate Index from January 28, 2019 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged

index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
6         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Corporate Bond Research Enhanced ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (3.67)%  
Market Price**      (3.83)%  
Bloomberg U.S. Corporate Index (formerly known as Bloomberg Barclays U.S. Corporate Bond Index)      (3.40)%  
Net Assets as of 2/28/2022    $ 51,478,693  
Duration as of 2/28/2022      8.3 Years  
Ticker      JIGB  

 

INVESTMENT OBJECTIVE***

The JPMorgan Corporate Bond Research Enhanced ETF (the “Fund”) seeks to provide total return.

INVESTMENT APPROACH

The Fund invests primarily in investment grade bonds and uses fundamental credit research for security selection and sector allocation. The Fund seeks to outperform the Bloomberg U.S. Corporate Index (the “Index”) while maintaining similar risk characteristics.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund underperformed the Index.

Relative to the Index, the Fund’s overweight position in the technology and utilities sectors were leading detractors from performance. The Fund’s security selection in the capital goods sector and its underweight position in the financials sectors were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s portfolio managers sought to invest in companies that they believed were attractive from a fundamental and relative value analysis, while seeking to underweight companies that were unattractive based on

their analysis. From a sector perspective, the Fund remained largely in line with the sector weightings in the Index, with its largest underweight allocation to the other industrial sector and its largest overweight allocations to the consumer non-cyclical and technology sectors.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Corporate Bonds      99.7
Short-Term Investments      0.3  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $51.48 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca, Inc. As of February 28, 2022, the closing price was $51.56.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         7


Table of Contents

JPMorgan Corporate Bond Research Enhanced ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE         1 YEAR         SINCE
INCEPTION
 

JPMorgan Corporate Bond Research Enhanced ETF

            

Net Asset Value

     December 12, 2018          (3.67)%          5.19

Market Price

          (3.83)%          5.23

LIFE OF FUND PERFORMANCE (12/12/18 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on December 12, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Corporate Bond Research Enhanced ETF and the Bloomberg U.S. Corporate Index from December 12, 2018 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Corporate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. Corporate

Index broadly measures the investment grade, fixed-rate, taxable, corporate bond market. It includes USD denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. Securities in the index roll up to the U.S. Credit and U.S. Aggregate Indices.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
8         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan High Yield Research Enhanced ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      0.32%  
Market Price**      0.40%  
Bloomberg US Corporate High Yield – 2% Issuer Capped Index (formerly known as Bloomberg Barclays U.S. Corporate High Yield — 2% Issuer Capped Index)      0.64%  
Net Assets as of 2/28/2022    $ 1,453,558,764  
Duration as of 2/28/2022      4.5 Years  
Fund Ticker      JPHY  

 

INVESTMENT OBJECTIVE***

The JPMorgan High Yield Research Enhanced ETF (the “Fund”) seeks to provide a high level of income. Capital appreciation is a secondary objective.

INVESTMENT APPROACH

The Fund invests in a diversified portfolio of high-yield, high-risk debt securities (also called “junk bonds”). Issuers may be domestic or foreign, but the Fund only invests in U.S. dollar-denominated investments.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund posted a positive absolute performance and underperformed the Bloomberg US Corporate High Yield – 2% Issuer Capped Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s underweight allocation to the independent energy sector and its security selection in

the metals & mining and pharmaceuticals sectors were leading detractors from relative performance. The Fund’s underweight allocations to bonds rated single-B and CCC also detracted from relative performance.

The Fund’s overweight allocation to BB-rated bonds was a leading contributor to relative performance during the period. The Fund’s security selection in the wireless, cable/satellite TV and media/entertainment sectors also contributed to relative performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund positioning was neutral to the Benchmark in terms of industry sectors and duration. Duration measures the price sensitivity of a portfolio of bonds relative to changes in interest rates. The Fund was underweight in securities rated single-B, CCC and lower, and was overweight in securities rated BB.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         9


Table of Contents

JPMorgan High Yield Research Enhanced ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

PORTFOLIO COMPOSITION BY INDUSTRY
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Oil, Gas & Consumable Fuels      12.0
Hotels, Restaurants & Leisure      8.2  
Media      7.5  
Health Care Providers & Services      6.5  
Diversified Telecommunication Services      6.2  
Consumer Finance      4.8  
Equity Real Estate Investment Trusts (REITs)      3.6  
Pharmaceuticals      3.1  
Commercial Services & Supplies      3.0  
Chemicals      2.5  
Aerospace & Defense      2.5  
Food Products      2.3  
Auto Components      2.2  
Electric Utilities      2.1  
Specialty Retail      2.1  
Metals & Mining      2.1  
Containers & Packaging      1.9  
Thrifts & Mortgage Finance      1.8  
Trading Companies & Distributors      1.7  
Capital Markets      1.5  
Software      1.5  
Airlines      1.5  
Entertainment      1.5  
Building Products      1.3  
Wireless Telecommunication Services      1.1  
Food & Staples Retailing      1.0  
Communications Equipment      1.0  
Others (each less than 1.0%)      12.0  
Short-Term Investments      1.5  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $49.61 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $49.65.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
10         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR       5 YEAR       SINCE
INCEPTION
 

JPMorgan High Yield Research Enhanced ETF

             

Net Asset Value

     September 14, 2016          0.32      4.22      4.65

Market Price

          0.40      4.14      4.65

LIFE OF FUND PERFORMANCE (9/14/16 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on September 14, 2016.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan High Yield Research Enhanced ETF, the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index from September 14, 2016 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities

included in the Index, if applicable. The Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         11


Table of Contents

JPMorgan Income ETF

FUND COMMENTARY

FOR THE PERIOD OCTOBER 28, 2021 (INCEPTION DATE) THROUGH FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (1.36)%  
Market Price**      (0.94)%  
Bloomberg U.S. Aggregate Index (formerly known as Bloomberg Barclays U.S. Aggregate Index)      (3.17)%  
Net Assets as of 2/28/2022    $ 137,861,001  
Duration as of 2/28/2022      2.3 Years  
Fund Ticker      JPIE  

 

INVESTMENT OBJECTIVE***

The JPMorgan Income ETF (the “Fund”) seeks to provide income with a secondary objective of capital appreciation.

INVESTMENT APPROACH

The Fund Invests opportunistically in a wide variety of debt securities that have high potential to produce attractive risk-adjusted income and have low correlations to each other in order to manage risk. The Fund utilizes a flexible approach, allowing allocation shifts based on changing market conditions and seeks to deliver dividends every month.

HOW DID THE FUND PERFORM?

For the period from inception on October 28, 2021 to February 28, 2022, the Fund outperformed to the Bloomberg U.S. Aggregate Index (the “Index”).

Relative to the Index, the Fund’s shorter duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. The Fund’s out-of-Index allocation to non-agency mortgage-backed securities also contributed to relative performance.

The Fund’s out-of-Index allocations to high yield debt (also known as “junk bonds”) and emerging market debt detracted from relative performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund invested opportunistically among multiple debt markets and sectors that the portfolio managers believed had a high potential to produce income. The Fund’s managers sought to manage risk through exposure to debt

markets that they believed to have low correlations to each other. During the period, the Fund’s managers increased its allocations to commercial mortgage-backed securities, agency mortgage-backed securities, asset backed securities and high yield bonds. The managers decreased the Fund’s exposure to emerging market debt and non-agency mortgage-backed securities. The Fund’s duration increased to 2.31 years at February 28, 2022 from 1.89 years at October 28, 2021.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Corporate Bonds      37.3
Asset-Backed Securities      18.6  
Commercial Mortgage-Backed Securities      16.4  
Collateralized Mortgage Obligations      7.6  
Foreign Government Securities      3.3  
Mortgage-Backed Securities      2.6  
Exchange-Traded Funds      0.7  
Short-Term Investments      13.5  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $48.88 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca, Inc. As of February 28, 2022, the closing price was $49.09.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
12         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE      CUMULATIVE SINCE
INCEPTION
 

JPMorgan Income ETF

     

Net Asset Value

     October 28, 2021        (1.36 )% 

Market Price

        (0.94 )% 

LIFE OF FUND PERFORMANCE (10/28/21 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on October 28, 2021.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Income ETF and the Bloomberg U.S. Aggregate Index from October 28, 2021 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an

exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         13


Table of Contents

JPMorgan International Bond Opportunities ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      (1.56)%  
Market Price**      (2.10)%  
Bloomberg Multiverse ex-USA (USD Hedged) Index (formerly known as Bloomberg Barclays Multiverse ex-USA (USD Hedged) Index)      (2.05)%  
Bloomberg Multiverse Index (formerly known as Bloomberg Barclays Multiverse Index)      (5.24)%  
Net Assets as of 2/28/2022    $ 323,118,565  
Duration as of 2/28/2022      2.6 Years  
Fund Ticker      JPIB  

 

INVESTMENT OBJECTIVE***

The JPMorgan International Bond Opportunities ETF (the “Fund”) seeks to provide total return.

INVESTMENT APPROACH

The Fund invests across sectors in developed and emerging markets without benchmark constraints. The Fund is flexible and opportunistic and the Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies, sectors, countries or currencies based on changing market conditions and its view of the best mix of investment opportunities.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund posted a negative return of -1.56%. The Fund is managed with an unconstrained orientation and is not managed relative to a benchmark index. While the Fund is not managed to a benchmark, its return is compared to the Bloomberg Multiverse ex-USA (USD Hedged) Index, which returned -2.05% for the period.

Relative to the Bloomberg Multiverse ex-USA (USD Hedged) Index, the Fund’s shorter overall duration was the leading contributor to performance as interest rates rose during the

period. Generally, bonds with shorter duration will experience smaller price decrease when interest rates rise, compared with bonds of longer duration.

In terms of absolute performance, the Fund’s allocation to government interest rates, obtained through investments in government bonds and interest rate futures, contributed to absolute performance. The Fund’s allocations to investment grade credit, corporate high yield debt (also known as “junk bonds”) and emerging markets debt detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund’s portfolio managers increased the Fund’s net exposure to high yield corporate bonds to 30% from 23%. The portfolio managers trimmed the Fund’s net exposure to investment grade credit to 23% from 27% and also trimmed its exposure to securitized credit, while adding exposure across emerging market debt.

The portfolio managers reduced the Fund’s overall duration, mainly through increased short exposure to developed market interest rates. The portfolio managers reduced the Fund’s duration to 2.63 years as of February 28, 2022 from 3.44 years as of February 28, 2021.

 

 
14         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Corporate Bonds      56.9
Foreign Government Securities      35.3  
Commercial Mortgage-Backed Securities      1.9  
Asset-Backed Securities      1.5  
Others (each less than 1.0%)      1.3  
Short-Term Investments      3.1  

 

PORTFOLIO COMPOSITION BY COUNTRY
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
United States      11.4
France      8.5  
United Kingdom      8.3  
Canada      8.0  
Italy      7.0  
Germany      7.0  
China      5.5  
Spain      5.3  
Brazil      5.0  
Australia      3.8  
Mexico      3.1  
Netherlands      2.7  
Portugal      2.1  
Luxembourg      2.0  
Indonesia      1.9  
Switzerland      1.8  
South Africa      1.6  
Ireland      1.1  
Belgium      1.1  
Sweden      1.0  
Others (each less than 1.0%)      8.7  
Short-Term Investments      3.1  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $48.96 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $48.98.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         15


Table of Contents

JPMorgan International Bond Opportunities ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan International Bond Opportunities ETF

            

Net Asset Value

     April 5, 2017          (1.56)%          3.36

Market Price

          (2.10)%          3.37

LIFE OF FUND PERFORMANCE (4/5/17 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on April 5, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan International Bond Opportunities ETF and the Bloomberg Multiverse ex-USA (USD Hedged) Index from April 5, 2017 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Multiverse ex-USA (USD Hedged) Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the respective Index, if applicable.

The Bloomberg Multiverse Index ex-USA (USD Hedged) Index is a measure of the global fixed income bond market that combines the Barclays Global Aggregate Index, which measures investment-grade debt from 24 different local currency markets, and the Barclays Global High Yield Index, which measures the global high yield fixed income markets. It excludes U.S. securities and is hedged to the U.S. dollar. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
16         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Municipal ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      (0.63)%  
Market Price**      (0.55)%  
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly known as Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index)      (1.12)%  
Net Assets as of 2/28/2022    $ 100,642,548  
Duration as of 2/28/2022      5.1 Years  
Fund Ticker      JMUB  

 

INVESTMENT OBJECTIVE***

The JPMorgan Municipal ETF (the “Fund”) seeks to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.

INVESTMENT APPROACH

The Fund invests primarily in a portfolio of municipal securities, the income from which is exempt from federal income tax. The Fund seeks to maintain an average dollar weighted maturity between three and twelve years.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund outperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Index”).

Relative to the Index, the Fund’s underweight allocations to bonds rated AA and higher, its overweight allocations to bonds rated single-A and its out-of-Index allocations to below-investment-grade bonds were leading contributors to performance. The Fund’s overweight allocation to the education, hospitals and retirement care sectors also contributed to relative performance.

The Fund’s underweight allocations in the transportation and state general obligation bonds sector, and its overweight allocation to industrial development revenue/pollution control revenue bonds were leading detractors from performance

relative to the Benchmark. The Fund’s longer duration relative to the Benchmark also detracted from relative performance as interest rates rose during the period. Generally, bonds with longer duration will experience a greater decrease in price compared with shorter duration bonds when interest rates rise.

HOW WAS THE FUND POSITIONED?

At the end of the period, the Fund was overweight in bonds rated single-A and BBB. The Fund’s duration was 5.1 years compared with 4.2 years for the Index.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Municipal Bonds      89.6
Short-Term Investments      10.4  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $52.97 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $53.01.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         17


Table of Contents

JPMorgan Municipal ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan Municipal ETF

            

Net Asset Value

     October 29, 2018          (0.63)%          4.33

Market Price

          (0.55)%          4.35

LIFE OF FUND PERFORMANCE (10/29/18 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on October 29, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Municipal ETF and the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index from October 29, 2018 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses associated with an exchange-traded

fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
18         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Short Duration Core Plus ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (1.63)%  
Market Price**      (1.61)%  
Bloomberg 1-5 Year Government/Credit Index      (2.20)%  
Net Assets as of 2/28/2022    $ 192,461,679  
Duration as of 2/28/2022      2.3 Years  
Fund Ticker      JSCP  

 

INVESTMENT OBJECTIVE***

The JPMorgan Short Duration Core Plus Bond ETF (the “Fund”) seeks total return, consistent with preservation of capital.

INVESTMENT APPROACH

The Fund invests primarily in investment grade bonds, with the flexibility to invest up to 30% of its net assets in below investment grade securities (also known as high yield debt or “junk bonds”) and up to 25% of its net assets in foreign securities. The Fund’s adviser seeks to maintain a duration of three years or less. Duration is a measure of the price sensitivity of a debt security or a portfolio of debt securities relative to changes in interest rates. The adviser uses both a top down and bottom up research process as well as a combination of fundamental and quantitative inputs to allocate the Fund’s assets among a range of sectors. In buying and selling investments for the Fund, the adviser looks for market sectors and individual securities that it believes will perform well over time. The adviser selects individual securities after performing a risk/reward analysis to address the Fund’s dual objective of seeking total return and preservation of capital. Such analysis includes an evaluation of interest rate risk, credit risk, duration, liquidity, currency risk, legal provisions and the structure of the transaction.

HOW DID THE FUND PERFORM?

For the period from inception on March 1, 2021 to February 28, 2022, the Fund outperformed the Bloomberg 1-5 Year Government/Credit Index (the “Index”).

Relative to the Index, the Fund’s out-of-Index allocations to high yield bonds and its shorter duration were the leading contributors to performance. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise.

The Fund’s out-of-Index allocations to emerging market debt and agency mortgage-backed securities were leading detractors to performance.

HOW WAS THE FUND POSITIONED?

The Fund’s adviser focused on security selection and relative value, which seeks to take advantage of pricing discrepancies

between individual securities or market sectors. The adviser used bottom-up research to construct, in their view, a portfolio of undervalued fixed income securities. The managers employ a macro-economic analysis to determine asset allocation and positioning on the yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

Relative to the Index, the Fund had underweight positions in U.S. Treasury bonds and investment grade corporates, and out-of-Index allocations to mortgage-backed securities, asset-backed securities, high yield bonds, and emerging market debt.

 

PORTFOLIO COMPOSITION

AS OF FEBRUARY 28, 2022

   PERCENT OF
TOTAL
INVESTMENTS
 
Corporate Bonds      34.9
U.S. Treasury Obligations      19.9  
Asset-Backed Securities      15.4  
Mortgage-Backed Securities      8.9  
Commercial Mortgage-Backed Securities      5.7  
Collateralized Mortgage Obligations      2.6  
Foreign Government Securities      1.0  
Municipal Bonds      0.0 (a) 
Short-Term Investments      11.6  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $48.60 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca, Inc. As of February 28, 2022, the closing price was $48.61.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
(a)   Amount rounds to less than 0.1%.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         19


Table of Contents

JPMorgan Short Duration Core Plus ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR  

JPMorgan Short Duration Core Plus ETF

       
Net Asset Value      March 1, 2021          (1.63)%  
Market Price           (1.61)%  

LIFE OF FUND PERFORMANCE (3/1/21 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on March 1, 2021.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Short Duration Core Plus ETF and the Bloomberg 1-5 Year Government/Credit Index from March 1, 2021 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-5 Year Government/Credit Index does not reflect the deduction of expenses associated with an exchange-traded fund and

has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg 1-5 Year Government/Credit Index includes the Government and Credit portions of the Barclays Aggregate for securities of 1-5 year maturities. The Government portion includes treasuries and agencies. The Credit portion includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. Investors cannot invest directly in an index.

Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
20         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan U.S. Aggregate Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (2.74)%  
Market Price**      (2.69)%  
Bloomberg U.S. Aggregate Index (formerly known as Bloomberg Barclays U.S. Aggregate Index)      (2.64)%  
Net Assets as of 2/28/2022    $ 1,024,267,076  
Duration as of 2/28/2022      6.5 Years  
Fund Ticker      JAGG  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Aggregate Bond ETF (the “Fund”) seeks to provide long-term total return.

INVESTMENT APPROACH

The Fund invests in a diversified portfolio of fixed income securities, including corporate bonds, U.S. Treasury obligations and other U.S. government and agency securities, and asset-backed, mortgage-related and mortgage-backed securities. With respect to corporate sub-sectors, the adviser applies a systematic multi-factor screening process that seeks exposure to those debt issuers with attractive value, quality and momentum characteristics.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund underperformed the Bloomberg U.S. Aggregate Index (the “Index”).

Relative to the Index, the Fund’s allocation to the quality factor within corporate bonds was a leading detractor from performance, while the Fund’s value and momentum factors within corporate bonds contributed to performance.

HOW WAS THE FUND POSITIONED?

During the period, the Fund applied a systematic multi-factor screening process to the corporate sub-sectors of the Index that sought exposure to corporate debt issuers that the Fund’s portfolio managers believed had attractive value, quality and momentum characteristics. Among the Fund’s largest

allocations at the end of the period were government bonds, corporate credit and mortgage-backed securities while its smallest allocations were to agency debt and supranational debt.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
U.S. Treasury Obligations      38.7
Mortgage-Backed Securities      27.2  
Corporate Bonds      24.6  
Commercial Mortgage-Backed Securities      1.9  
Foreign Government Securities      1.6  
U.S. Government Agency Securities      1.4  
Supranational      1.4  
Others (each less than 1.0%)      0.9  
Short-Term Investments      2.3  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $52.13 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca, Inc. As of February 28, 2022, the closing price was $52.14.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         21


Table of Contents

JPMorgan U.S. Aggregate Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan U.S. Aggregate Bond ETF

            

Net Asset Value

     December 12, 2018          (2.74)%          3.47%  

Market Price

          (2.69)%          3.47%  

LIFE OF FUND PERFORMANCE (12/12/18 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on December 12, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Aggregate Bond ETF and the Bloomberg U.S. Aggregate Index from December 12, 2018 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
22         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Ultra-Short Income ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (0.12)%  
Market Price**      (0.12)%  
ICE BofAML 3-Month US Treasury Bill Index      0.04%  
Net Assets as of 2/28/2022    $ 18,686,174,480  
Duration as of 2/28/2022      0.3 Years  
Fund Ticker      JPST  

 

INVESTMENT OBJECTIVE***

The JPMorgan Ultra-Short Income ETF (the “Fund”) seeks to provide current income while seeking to maintain a low volatility of principal.

INVESTMENT APPROACH

The Fund primarily invests in investment grade, U.S. dollar-denominated short-term fixed, variable and floating-rate debt. The Fund seeks to maintain a duration of one year or less, although under certain market conditions, the Fund’s duration may be longer than one year. Duration measures the price sensitivity of a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger decrease or increase in price as interest rates rise or fall, respectively, versus bonds with shorter duration. The Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies and sectors based on changing market conditions and its view of the best mix of investment opportunities.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund underperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Index”).

Relative to the Index, The Fund’s longer duration and its out-of-Index allocation to investment grade corporate bonds were the largest detractors to performance over the period, as interest rates rose and corporate credit generally underperformed U.S. Treasury securities in the second half of the period. Generally, bonds with longer duration will experience a larger decline in price relative to shorter duration bonds when interest rates rise.

The Fund’s out-of-Index exposure to collateralized loan obligations and money market securities were leading contributors to performance relative to the Index.

HOW WAS THE FUND POSITIONED?

During the period, the Fund’s portfolio managers maintained a long duration position as the U.S. Federal Reserve (the “Fed”) maintained its ultra-accommodative monetary policy. However, interest rates began to move higher starting in September 2021, as the Fed’s transitory narrative regarding inflation was

called into question given a faster-than-expected recovery in labor markets coupled with a slow recovery in supply chains. The portfolio managers reduced the duration of the portfolio dramatically in the second half of the period amid rising interest rates.

In descending order, the Fund’s largest allocations at the end of the period were in corporate bonds, money market securities, collateralized loan obligations, asset-backed securities, mortgage-backed securities and non-corporate credit.

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Financials      38.0
Asset-Backed Securities      11.4  
Utilities      3.6  
Health Care      3.5  
Consumer Discretionary      2.5  
Consumer Staples      2.1  
Commercial Mortgage-Backed Securities      1.9  
Industrials      1.4  
Information Technology      1.1  
Energy      1.0  
Others (each less than 1.0%)      1.3  
Short-Term Investments      32.2  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $50.35 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $50.37.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         23


Table of Contents

JPMorgan Ultra-Short Income ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan Ultra-Short Income ETF

            

Net Asset Value

     May 17, 2017          (0.12)%          1.82%  

Market Price

          (0.12)%          1.83%  

LIFE OF FUND PERFORMANCE (5/17/17 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on May 17, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Income ETF and the ICE BofAML 3-Month US Treasury Bill Index from May 17, 2017 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The ICE BofAML 3-Month US

Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. The index is rebalanced monthly and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
24         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan Ultra-Short Municipal Income ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      (0.19)%  
Market Price**      (0.29)%  
Bloomberg 1 Year Municipal Bond Index (formerly known as Bloomberg Barclays 1-Year Municipal Bond Index)      (0.61)%  
Net Assets as of 2/28/2022    $ 3,116,619,866  
Duration as of 2/28/2022      0.7 Years  
Fund Ticker      JMST  

 

INVESTMENT OBJECTIVE***

The JPMorgan Ultra-Short Municipal Income ETF (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

INVESTMENT APPROACH

The Fund invests primarily in investment grade fixed, variable and floating rate municipal securities or the unrated equivalent, the income from which is exempt from federal income tax. The Fund invests in a portfolio of municipal securities with an average weighted maturity of two years or less.

HOW DID THE FUND PERFORM?

For the twelve months ended February 28, 2022, the Fund outperformed the Bloomberg 1 Year Municipal Bond Index (the “Index”).

Relative to the Index, the Fund’s shorter duration and its underweight allocation to bonds rated AA and higher were leading contributors to performance. Generally, bonds of shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. The Fund’s underweight allocation in the pre-refunded bonds sector and its overweight allocations to the hospital and housing sectors also contributed to relative performance. The Fund’s out-of-Index allocation to variable rate demand notes, which were used to manage the Fund’s liquidity, also helped relative performance.

The Fund’s underweight allocations to bonds rated BBB was a leading detractor from relative performance. The Fund’s overweight allocation to the leasing sector also detracted from relative performance.

HOW WAS THE FUND POSITIONED?

At the end of the period, the Fund’s duration was 0.7 years compared with 1.3 years for the Index.

 

PORTFOLIO COMPOSITION
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Municipal Bonds      90.8
Short-Term Investments      9.2  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $50.76 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2022, the closing price was $50.75.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         25


Table of Contents

JPMorgan Ultra-Short Municipal Income ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan Ultra-Short Municipal Income ETF

            

Net Asset Value

     October 16, 2018          (0.19)%          1.39%  

Market Price

          (0.29)%          1.38%  

LIFE OF FUND PERFORMANCE (10/16/18 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on October 16, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Municipal Income ETF and the Bloomberg 1-Year Municipal Bond Index from October 16, 2018 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-Year Municipal Bond Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg 1 Year Municipal Bond Index is an unmanaged index that includes bonds with a

minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, and have maturities of 1 to 2 years. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the mutual fund expenses, including sales charges if applicable. An individual cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption on gains resulting from or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
26         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

JPMorgan USD Emerging Markets Sovereign Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      (7.98)%  
Market Price**      (6.78)%  
JPMorgan Emerging Markets Risk-Aware Bond Index      (7.61)%  
Net Assets as of 2/28/2022    $ 69,475,995  
Duration as of 2/28/2022      7.6 Years  
Fund Ticker      JPMB  

 

INVESTMENT OBJECTIVE***

The JPMorgan USD Emerging Markets Sovereign Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets. The Underlying Index utilizes a rules-based, proprietary methodology that filters for liquidity and for country risk and allocates risk based on credit rating. The Underlying Index methodology includes monthly rebalancing within countries and semi-annual rebalancing across countries. The Fund also employs optimization techniques that seek to minimize tracking error to the Underlying Index.

For the twelve months ended February 28, 2022, the Fund performed in line with the Underlying Index. The majority of

the Fund’s deviation against the Underlying Index was due to operating expenses, fees and tax management of the Fund’s portfolio.

During the period, the Fund’s and the Underlying Index’s allocations to high yield bonds (also known as “junk bonds”) were leading contributors to performance amid increased investor demand for higher bond yields. The Fund’s and the Underlying Index’s risk filters screened out exposures to Ecuador and Angola, which detracted from performance amid investor expectations that both nations might benefit from potential interventions by the International Monetary Fund.

HOW WAS THE FUND POSITIONED?

The Fund invested at least 80% of its assets in securities included in the Underlying Index. During the reporting period, the Fund’s and Underlying Index’s largest allocations were to Turkey and Brazil and their smallest allocations were to Ethiopia and Tunisia.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         27


Table of Contents

JPMorgan USD Emerging Markets Sovereign Bond ETF

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)

 

PORTFOLIO COMPOSITION BY COUNTRY
AS OF FEBRUARY 28, 2022
   PERCENT OF
TOTAL
INVESTMENTS
 
Turkey      7.9
Brazil      6.8  
Oman      6.1  
Colombia      5.8  
Dominican Republic      5.6  
South Africa      5.6  
Bahrain      5.1  
Mexico      3.8  
Indonesia      3.4  
Saudi Arabia      3.2  
Qatar      3.0  
United Arab Emirates      2.9  
China      2.6  
Nigeria      2.5  
Philippines      2.3  
Peru      2.1  
Chile      2.1  
Panama      1.9  
Kenya      1.8  
Malaysia      1.8  
Jamaica      1.7  
Pakistan      1.7  
Azerbaijan      1.5  
Ukraine      1.5  
Uruguay      1.5  
Kazakhstan      1.3  
Costa Rica      1.3  
Jordan      1.2  
Egypt      1.2  
Hungary      1.1  
Morocco      1.1  
Paraguay      1.0  
Others (each less than 1.0%)      6.2  
Short-Term Investments      1.4  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $43.43 as of February 28, 2022.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca, Inc. As of February 28, 2022, the closing price was $44.06.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
28         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 (Unaudited)

 
     INCEPTION DATE        1 YEAR        SINCE
INCEPTION
 

JPMorgan USD Emerging Markets Sovereign Bond ETF

            
Net Asset Value      January 29, 2018          (7.98)%          1.04%  
Market Price           (6.78)%          1.38%  

LIFE OF FUND PERFORMANCE (1/29/18 TO 2/28/22)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on January 29, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan USD Emerging Markets Sovereign Bond ETF and the JPMorgan Emerging Markets Risk-Aware Bond Index from January 29, 2018 to February 28, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JPMorgan Emerging Markets Risk-Aware Bond Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The JPMorgan Emerging Markets Risk-Aware Bond Index (the “index”) is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets selected using a rules-based methodology and is owned by J.P. Morgan Investment Inc., the Fund’s adviser (the “Adviser”). The Index is maintained and calculated by J.P. Morgan Securities LLC (“JPMS” or the “Index Provider”), which selects securities in accordance with the methodology from among the components of the J.P. Morgan Emerging Market Bond Index Global Diversified, which was developed and is maintained by the Index Provider. The Index Provider and the Adviser are both wholly-owned subsidiaries of JPMorgan Chase & Co., a publicly-held financial services holding company. The Index

starts with the J.P. Morgan Emerging Market Bond Index Global Diversified and applies a proprietary methodology that filters for liquidity and for country risk and allocates risk based on credit rating. Historically, the J.P. Morgan Emerging Markets Bond Index Global Diversified has included bonds issued by the countries of Angola, Argentina, Armenia, Azerbaijan, Belize, Bolivia, Brazil, Cameroon, Chile, China, Colombia, Costa Rica, Cote D’Ivoire, Croatia, Dominican Republic, Ecuador, Egypt, El Salvador, Ethiopia, Gabon, Georgia, Ghana, Guatemala, Honduras, Hungary, India, Indonesia, Iraq, Jamaica, Jordan, Kazakhstan, Kenya, Latvia, Lebanon, Lithuania, Malaysia, Mexico, Mongolia, Morocco, Mozambique, Namibia, Nigeria, Oman, Pakistan, Panama, Paraguay, Peru, Philippines, Poland, Romania, Russian Federation, Senegal, Serbia, Slovakia, South Africa, Sri Lanka, Suriname, Trinidad and Tobago, Tunisia, Turkey, Ukraine, Uruguay, Venezuela, Vietnam, Zambia; however, this universe of countries may change in accordance with the Index Provider’s determination of eligible emerging market countries and there is no assurance that a particular country will be represented in the Underlying Index at any given time. Investors cannot invest directly in an index.

Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         29


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 28, 2022

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

U.S. Treasury Obligations — 56.7%

 

U.S. Treasury Bonds 7.50%, 11/15/2024

    996,000        1,151,936  

U.S. Treasury Notes

 

  

1.63%, 12/15/2022

    739,000        743,070  

2.00%, 2/15/2023

    400,000        403,531  

1.50%, 2/28/2023

    705,000        707,837  

1.50%, 3/31/2023

    24,000        24,092  

0.25%, 6/15/2023

    1,240,000        1,224,452  

0.13%, 6/30/2023

    261,000        257,105  

0.13%, 8/15/2023

    566,000        556,294  

2.75%, 2/15/2024

    252,000        258,270  

2.13%, 2/29/2024

    1,000        1,013  

2.38%, 2/29/2024

    2,415,000        2,457,829  

2.13%, 3/31/2024

    70,000        70,902  

0.38%, 4/15/2024

    361,000        352,398  

2.00%, 4/30/2024

    480,000        484,913  

2.25%, 4/30/2024

    15,000        15,234  

2.00%, 5/31/2024

    335,000        338,455  

1.75%, 6/30/2024

    282,000        283,344  

1.75%, 7/31/2024

    717,000        720,249  

0.38%, 9/15/2024

    354,000        343,269  

1.50%, 10/31/2024

    258,000        257,254  

0.50%, 3/31/2025

    1,303,000        1,257,904  

0.38%, 4/30/2025

    46,000        44,167  

0.25%, 5/31/2025

    1,796,000        1,714,899  

0.25%, 6/30/2025

    340,000        324,116  

0.25%, 9/30/2025

    90,000        85,437  

0.38%, 11/30/2025

    2,440,000        2,320,859  

0.38%, 12/31/2025

    26,000        24,708  

2.63%, 12/31/2025

    5,000        5,168  

0.75%, 5/31/2026

    797,000        764,560  

0.63%, 7/31/2026

    709,000        675,267  

0.75%, 8/31/2026

    464,000        444,063  

0.88%, 9/30/2026

    140,000        134,619  

1.63%, 9/30/2026

    51,000        50,721  

1.13%, 10/31/2026

    247,000        240,072  

1.63%, 10/31/2026

    125,000        124,316  

1.25%, 11/30/2026

    139,000        135,905  

1.25%, 12/31/2026

    303,000        296,088  

1.50%, 1/31/2027

    488,000        482,434  
    

 

 

 

Total U.S. Treasury Obligations
(Cost $20,070,209)

 

     19,776,750  
  

 

 

 

Corporate Bonds — 24.8%

 

Aerospace & Defense — 0.4%

 

Boeing Co. (The)

    

1.17%, 2/4/2023

    12,000        11,922  
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Aerospace & Defense — continued

 

1.95%, 2/1/2024

    4,000        3,985  

4.88%, 5/1/2025

    5,000        5,317  

2.60%, 10/30/2025

    8,000        7,953  

2.75%, 2/1/2026

    32,000        32,011  

General Dynamics Corp.

    

2.25%, 11/15/2022

    2,000        2,011  

1.88%, 8/15/2023

    10,000        10,038  

2.38%, 11/15/2024

    7,000        7,068  

1.15%, 6/1/2026

    11,000        10,535  

Leidos, Inc. 3.63%, 5/15/2025

    4,000        4,125  

Lockheed Martin Corp. 3.10%, 1/15/2023

    5,000        5,067  

Precision Castparts Corp.
3.25%, 6/15/2025

    16,000        16,584  

Raytheon Technologies Corp.
3.20%, 3/15/2024

    16,000        16,389  
    

 

 

 
       133,005  
    

 

 

 

Air Freight & Logistics — 0.1%

 

FedEx Corp. 3.25%, 4/1/2026

    13,000        13,523  

United Parcel Service, Inc.
2.20%, 9/1/2024

    10,000        10,090  
    

 

 

 
       23,613  
    

 

 

 

Airlines — 0.0% (a)

 

Southwest Airlines Co. 5.25%, 5/4/2025

    2,000        2,157  
    

 

 

 

Banks — 6.4%

 

Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023

    200,000        197,068  

Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b)

    200,000        188,578  

Bank of America Corp.

    

(ICE LIBOR USD 3 Month + 0.64%),
2.01%, 2/13/2026 (b)

    35,000        34,421  

3.50%, 4/19/2026

    60,000        62,223  

(SOFR + 1.15%), 1.32%, 6/19/2026 (b)

    154,000        147,235  

(SOFR + 0.96%), 1.73%, 7/22/2027 (b)

    39,000        37,256  

Bank of Montreal (Canada)

    

1.25%, 9/15/2026

    4,000        3,794  

(SOFR + 0.60%), 0.95%, 1/22/2027 (b)

    9,000        8,494  

(USD Swap Semi 5 Year + 1.28%),
4.34%, 10/5/2028 (b)

    12,000        12,363  

Bank of Nova Scotia (The) (Canada)
2.20%, 2/3/2025

    12,000        11,961  

Barclays plc (United Kingdom)
3.65%, 3/16/2025

    40,000        41,055  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Banks — continued

 

Canadian Imperial Bank of Commerce (Canada) 2.25%, 1/28/2025

    20,000        19,975  

Citigroup, Inc.

    

(ICE LIBOR USD 3 Month + 1.02%),
4.04%, 6/1/2024 (b)

    24,000        24,617  

3.70%, 1/12/2026

    6,000        6,268  

(SOFR + 0.77%), 1.12%, 1/28/2027 (b)

    63,000        59,351  

(SOFR + 0.77%), 1.46%, 6/9/2027 (b)

    50,000        47,360  

Comerica, Inc. 3.70%, 7/31/2023

    15,000        15,345  

Fifth Third Bancorp 4.30%, 1/16/2024

    12,000        12,464  

First Citizens BancShares, Inc. (TSFR3M + 2.47%), 3.38%, 3/15/2030 (b)

    20,000        19,880  

First Horizon Corp. 3.55%, 5/26/2023

    24,000        24,384  

HSBC Holdings plc (United Kingdom) (SOFR + 1.40%), 2.63%, 11/7/2025 (b)

    30,000        29,962  

Huntington Bancshares, Inc.

    

2.63%, 8/6/2024

    17,000        17,129  

4.00%, 5/15/2025

    8,000        8,362  

Korea Development Bank (The) (South Korea) 0.40%, 6/19/2024

    200,000        194,076  

Kreditanstalt fuer Wiederaufbau (Germany)

    

2.00%, 10/4/2022

    25,000        25,169  

0.25%, 3/8/2024

    22,000        21,452  

2.50%, 11/20/2024

    13,000        13,298  

0.38%, 7/18/2025

    28,000        26,740  

0.63%, 1/22/2026

    26,000        24,836  

Landwirtschaftliche Rentenbank (Germany)

    

3.13%, 11/14/2023

    39,000        40,101  

Series 40, 0.50%, 5/27/2025

    39,000        37,460  

0.88%, 3/30/2026

    118,000        113,439  

1.75%, 7/27/2026

    1,000        998  

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.41%, 3/7/2024

    10,000        10,252  

Oesterreichische Kontrollbank AG (Austria) 3.13%, 11/7/2023

    9,000        9,252  

PNC Financial Services Group, Inc. (The)

    

2.85%, 11/9/2022 (c)

    12,000        12,133  

3.50%, 1/23/2024

    76,000        78,214  

2.20%, 11/1/2024

    18,000        18,061  

Regions Financial Corp. 2.25%, 5/18/2025

    65,000        65,097  

Royal Bank of Canada (Canada)
1.95%, 1/17/2023

    11,000        11,053  

Santander Holdings USA, Inc.
3.40%, 1/18/2023

    26,000        26,365  

Santander UK plc (United Kingdom)
4.00%, 3/13/2024

    29,000        30,068  
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Banks — continued

    

Sumitomo Mitsui Financial Group, Inc. (Japan) 3.01%, 10/19/2026

    95,000        96,457  

Toronto-Dominion Bank (The) (Canada)

    

0.75%, 9/11/2025

    5,000        4,726  

1.25%, 9/10/2026

    10,000        9,485  

Truist Bank 3.00%, 2/2/2023

    14,000        14,170  

Truist Financial Corp.

    

3.75%, 12/6/2023

    12,000        12,382  

3.70%, 6/5/2025

    6,000        6,270  

1.20%, 8/5/2025

    8,000        7,713  

(SOFR + 0.61%), 1.27%, 3/2/2027 (b)

    29,000        27,704  

US Bancorp Series V, 2.38%, 7/22/2026

    91,000        91,627  

Valley National Bancorp (SOFR + 2.36%), 3.00%, 6/15/2031 (b)

    36,000        35,383  

Wells Fargo & Co.

    

3.30%, 9/9/2024

    17,000        17,437  

(SOFR + 0.51%), 0.80%, 5/19/2025 (b)

    10,000        9,683  

3.55%, 9/29/2025

    13,000        13,475  

(ICE LIBOR USD 3 Month + 0.75%),
2.16%, 2/11/2026 (b)

    50,000        49,407  

3.00%, 4/22/2026

    8,000        8,109  

(SOFR + 2.00%), 2.19%, 4/30/2026 (b)

    25,000        24,681  

3.00%, 10/23/2026

    2,000        2,028  

(ICE LIBOR USD 3 Month + 1.17%),
3.20%, 6/17/2027 (b)

    5,000        5,082  
    

 

 

 
       2,223,428  
    

 

 

 

Beverages — 0.2%

 

Coca-Cola Co. (The) 1.75%, 9/6/2024

    15,000        15,006  

Keurig Dr Pepper, Inc.

    

3.13%, 12/15/2023

    14,000        14,284  

3.40%, 11/15/2025

    2,000        2,062  

PepsiCo, Inc.

    

3.60%, 3/1/2024

    20,000        20,673  

2.85%, 2/24/2026

    10,000        10,308  

2.38%, 10/6/2026

    2,000        2,028  
    

 

 

 
       64,361  
    

 

 

 

Biotechnology — 0.4%

 

AbbVie, Inc.

    

3.75%, 11/14/2023

    4,000        4,125  

3.85%, 6/15/2024

    17,000        17,583  

2.60%, 11/21/2024

    10,000        10,091  

3.80%, 3/15/2025

    42,000        43,623  

3.60%, 5/14/2025

    15,000        15,501  

Amgen, Inc.

    

3.63%, 5/22/2024

    15,000        15,499  

1.90%, 2/21/2025

    8,000        7,952  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         31


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 28, 2022 (continued)

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Biotechnology — continued

    

Baxalta, Inc. 4.00%, 6/23/2025

    4,000        4,181  

Gilead Sciences, Inc.

    

2.50%, 9/1/2023

    10,000        10,110  

3.65%, 3/1/2026

    13,000        13,564  
    

 

 

 
       142,229  
    

 

 

 

Building Products — 0.0% (a)

 

Carrier Global Corp. 2.24%, 2/15/2025

    9,000        8,989  

Lennox International, Inc. 1.35%, 8/1/2025

    2,000        1,925  
    

 

 

 
       10,914  
    

 

 

 

Capital Markets — 2.8%

 

Ameriprise Financial, Inc.
3.70%, 10/15/2024

    8,000        8,334  

Bain Capital Specialty Finance, Inc.
2.55%, 10/13/2026

    24,000        22,480  

Bank of New York Mellon Corp. (The)

    

1.60%, 4/24/2025

    10,000        9,845  

0.75%, 1/28/2026

    51,000        48,377  

1.05%, 10/15/2026

    9,000        8,559  

Blackstone Secured Lending Fund
2.75%, 9/16/2026

    5,000        4,798  

Charles Schwab Corp. (The)
0.90%, 3/11/2026

    90,000        85,315  

Deutsche Bank AG (Germany)
3.70%, 5/30/2024

    26,000        26,688  

Franklin Resources, Inc. 2.85%, 3/30/2025

    2,000        2,039  

Goldman Sachs Group, Inc. (The)

    

3.20%, 2/23/2023

    25,000        25,310  

3.63%, 2/20/2024

    13,000        13,358  

3.85%, 7/8/2024

    15,000        15,496  

3.50%, 4/1/2025

    50,000        51,407  

3.75%, 5/22/2025

    15,000        15,520  

(ICE LIBOR USD 3 Month + 1.20%),
3.27%, 9/29/2025 (b)

    20,000        20,358  

3.75%, 2/25/2026

    5,000        5,207  

(SOFR + 0.82%), 1.54%, 9/10/2027 (b)

    8,000        7,539  

(SOFR + 0.91%),
1.95%, 10/21/2027 (b)

    29,000        27,802  

(SOFR + 1.11%), 2.64%, 2/24/2028 (b)

    13,000        12,847  

Golub Capital BDC, Inc.

    

2.50%, 8/24/2026

    4,000        3,786  

2.05%, 2/15/2027

    33,000        30,193  

Janus Henderson US Holdings, Inc.
4.88%, 8/1/2025

    5,000        5,333  

Jefferies Group LLC 4.85%, 1/15/2027

    5,000        5,448  

Moody’s Corp. 4.88%, 2/15/2024

    7,000        7,341  

Morgan Stanley

    

3.13%, 1/23/2023

    31,000        31,399  
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Capital Markets — continued

    

3.70%, 10/23/2024

    29,000        29,999  

(SOFR + 0.51%), 0.79%, 1/22/2025 (b)

    3,000        2,915  

Series I, (SOFR + 0.75%),
0.86%, 10/21/2025 (b)

    207,000        198,668  

4.35%, 9/8/2026

    4,000        4,248  

(SOFR + 0.88%), 1.59%, 5/4/2027 (b)

    24,000        22,865  

(SOFR + 0.86%), 1.51%, 7/20/2027 (b)

    20,000        18,960  

State Street Corp.

    

3.10%, 5/15/2023

    19,000        19,335  

3.70%, 11/20/2023

    56,000        57,863  

(ICE LIBOR USD 3 Month + 0.77%),
3.78%, 12/3/2024 (b)

    10,000        10,319  

3.55%, 8/18/2025

    24,000        25,055  

(SOFR + 0.94%), 2.35%, 11/1/2025 (b)

    48,000        48,290  

(SOFR + 0.73%), 2.20%, 2/7/2028 (b)

    29,000        28,629  

Stifel Financial Corp. 4.25%, 7/18/2024

    2,000        2,083  
    

 

 

 
       964,008  
    

 

 

 

Chemicals — 0.3%

 

Air Products and Chemicals, Inc.
1.50%, 10/15/2025

    21,000        20,540  

Celanese US Holdings LLC 1.40%, 8/5/2026

    11,000        10,346  

International Flavors & Fragrances, Inc. 3.20%, 5/1/2023

    35,000        35,417  

LYB International Finance III LLC
1.25%, 10/1/2025

    7,000        6,689  

Mosaic Co. (The) 4.25%, 11/15/2023

    2,000        2,068  

Nutrien Ltd. (Canada) 3.00%, 4/1/2025

    6,000        6,101  

PPG Industries, Inc. 1.20%, 3/15/2026

    8,000        7,637  
    

 

 

 
       88,798  
    

 

 

 

Commercial Services & Supplies — 0.1%

 

Waste Management, Inc.
0.75%, 11/15/2025

    23,000        21,736  
    

 

 

 

Communications Equipment — 0.0% (a)

 

Cisco Systems, Inc. 2.20%, 9/20/2023

    4,000        4,041  
    

 

 

 

Consumer Finance — 1.9%

 

AerCap Ireland Capital DAC (Ireland)
3.15%, 2/15/2024

    150,000        151,529  

Ally Financial, Inc. 3.88%, 5/21/2024

    87,000        89,764  

American Express Co. 2.65%, 12/2/2022

    112,000        113,149  

American Honda Finance Corp.

    

3.63%, 10/10/2023

    16,000        16,471  

1.20%, 7/8/2025

    15,000        14,500  

1.00%, 9/10/2025

    10,000        9,578  

Capital One Financial Corp.
3.30%, 10/30/2024

    51,000        52,225  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Consumer Finance — continued

    

Caterpillar Financial Services Corp.

    

3.30%, 6/9/2024

    12,000        12,376  

0.60%, 9/13/2024

    1,000        967  

3.25%, 12/1/2024

    6,000        6,199  

0.80%, 11/13/2025

    12,000        11,435  

1.15%, 9/14/2026

    1,000        955  

Discover Financial Services
3.85%, 11/21/2022

    25,000        25,454  

General Motors Financial Co., Inc.
5.10%, 1/17/2024

    47,000        49,321  

John Deere Capital Corp.

    

2.70%, 1/6/2023

    23,000        23,294  

0.70%, 7/5/2023

    7,000        6,921  

0.40%, 10/10/2023

    1,000        982  

2.65%, 6/24/2024

    15,000        15,247  

1.25%, 1/10/2025

    2,000        1,961  

1.70%, 1/11/2027

    47,000        45,949  

PACCAR Financial Corp.

    

1.10%, 5/11/2026

    1,000        960  

2.00%, 2/4/2027

    1,000        991  

Synchrony Financial 3.70%, 8/4/2026

    12,000        12,227  

Toyota Motor Credit Corp.

    

0.80%, 10/16/2025

    5,000        4,754  

0.80%, 1/9/2026

    8,000        7,593  
    

 

 

 
       674,802  
    

 

 

 

Containers & Packaging — 0.0% (a)

 

Berry Global, Inc. 1.57%, 1/15/2026

    2,000        1,905  

WRKCo, Inc. 4.65%, 3/15/2026

    3,000        3,237  
    

 

 

 
       5,142  
    

 

 

 

Diversified Consumer Services — 0.0% (a)

 

Yale University Series 2020,
0.87%, 4/15/2025

    1,000        969  
    

 

 

 

Diversified Financial Services — 0.2%

 

Berkshire Hathaway, Inc.
3.13%, 3/15/2026

    19,000        19,729  

National Rural Utilities Cooperative Finance Corp.

    

1.00%, 6/15/2026

    35,000        33,084  

(ICE LIBOR USD 3 Month + 2.91%),
4.75%, 4/30/2043 (b)

    3,000        2,948  

(ICE LIBOR USD 3 Month + 3.63%),
5.25%, 4/20/2046 (b)

    4,000        4,134  

Private Export Funding Corp. Series II, 2.05%, 11/15/2022

    5,000        5,035  

Shell International Finance BV (Netherlands) 2.00%, 11/7/2024

    1,000        1,003  
    

 

 

 
       65,933  
    

 

 

 
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Diversified Telecommunication Services — 0.1%

 

AT&T, Inc.

    

3.40%, 5/15/2025

    20,000        20,683  

4.13%, 2/17/2026

    5,000        5,331  

Verizon Communications, Inc.

    

0.75%, 3/22/2024

    11,000        10,767  

0.85%, 11/20/2025

    7,000        6,653  
    

 

 

 
       43,434  
    

 

 

 

Electric Utilities — 0.8%

 

American Electric Power Co., Inc.

    

Series N, 1.00%, 11/1/2025

    2,000        1,897  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (b)

    5,000        4,699  

Avangrid, Inc. 3.20%, 4/15/2025

    8,000        8,183  

Duke Energy Corp.

    

0.90%, 9/15/2025

    22,000        20,883  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (b)

    2,000        1,831  

Entergy Louisiana LLC 0.62%, 11/17/2023

    10,000        9,811  

Eversource Energy

    

Series Q, 0.80%, 8/15/2025

    20,000        18,888  

Series U, 1.40%, 8/15/2026

    9,000        8,568  

Georgia Power Co.
Series A, 2.20%, 9/15/2024

    16,000        15,960  

Iberdrola International BV (Spain)
5.81%, 3/15/2025

    2,000        2,209  

ITC Holdings Corp. 3.25%, 6/30/2026

    10,000        10,267  

Oncor Electric Delivery Co. LLC
0.55%, 10/1/2025

    101,000        94,835  

Pacific Gas and Electric Co.

    

3.40%, 8/15/2024

    6,000        6,052  

3.45%, 7/1/2025

    15,000        15,101  

3.15%, 1/1/2026

    4,000        3,984  

2.95%, 3/1/2026

    6,000        5,887  

Public Service Electric and Gas Co. 0.95%, 3/15/2026

    49,000        46,783  

Southern Co. (The) Series 21-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.75%, 9/15/2051 (b)

    4,000        3,717  
    

 

 

 
       279,555  
    

 

 

 

Electronic Equipment, Instruments & Components — 0.7%

 

TD SYNNEX Corp. 1.25%, 8/9/2024 (d)

    206,000        199,887  

Vontier Corp. 1.80%, 4/1/2026

    67,000        62,583  
    

 

 

 
       262,470  
    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         33


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 28, 2022 (continued)

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Energy Equipment & Services — 0.1%

 

Schlumberger Investment SA
3.65%, 12/1/2023

    37,000        38,008  
    

 

 

 

Entertainment — 0.3%

 

TWDC Enterprises 18 Corp. 1.85%, 7/30/2026

    69,000        67,773  

Walt Disney Co. (The)
1.75%, 8/30/2024

    14,000        13,941  

1.75%, 1/13/2026

    10,000        9,815  
    

 

 

 
       91,529  
    

 

 

 

Equity Real Estate Investment Trusts (REITs) — 0.7%

 

American Campus Communities Operating Partnership LP 3.30%, 7/15/2026

    4,000        4,116  

American Tower Corp.
2.95%, 1/15/2025

    2,000        2,022  

1.45%, 9/15/2026

    12,000        11,366  

AvalonBay Communities, Inc.
4.20%, 12/15/2023

    6,000        6,209  

3.50%, 11/15/2024

    11,000        11,343  

3.45%, 6/1/2025

    5,000        5,157  

3.50%, 11/15/2025

    2,000        2,079  

Boston Properties LP
3.13%, 9/1/2023

    6,000        6,096  

3.65%, 2/1/2026

    10,000        10,358  

Brixmor Operating Partnership LP
3.65%, 6/15/2024

    9,000        9,270  

Crown Castle International Corp.
1.35%, 7/15/2025

    27,000        25,906  

CyrusOne LP 2.90%, 11/15/2024

    2,000        2,037  

ERP Operating LP 2.85%, 11/1/2026

    1,000        1,024  

Essex Portfolio LP 3.50%, 4/1/2025

    8,000        8,248  

Healthpeak Properties, Inc. 1.35%, 2/1/2027

    2,000        1,893  

Mid-America Apartments LP
1.10%, 9/15/2026

    9,000        8,447  

Office Properties Income Trust
4.50%, 2/1/2025

    46,000        47,159  

Realty Income Corp. 3.88%, 4/15/2025

    20,000        20,881  

Simon Property Group LP 3.50%, 9/1/2025

    48,000        49,589  

Welltower, Inc. 4.00%, 6/1/2025

    12,000        12,560  
    

 

 

 
       245,760  
    

 

 

 

Food & Staples Retailing — 0.1%

 

Kroger Co. (The)
3.50%, 2/1/2026

    2,000        2,082  

2.65%, 10/15/2026

    8,000        8,075  

Walmart, Inc.
2.55%, 4/11/2023

    5,000        5,058  

1.05%, 9/17/2026

    27,000        25,936  
    

 

 

 
       41,151  
    

 

 

 
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Food Products — 0.1%

 

Bunge Ltd. Finance Corp. 1.63%, 8/17/2025

    17,000        16,502  

Kellogg Co. 3.25%, 4/1/2026

    8,000        8,213  

Tyson Foods, Inc. 3.90%, 9/28/2023

    9,000        9,254  
    

 

 

 
       33,969  
    

 

 

 

Gas Utilities — 0.1%

 

Eastern Energy Gas Holdings LLC
3.55%, 11/1/2023

    17,000        17,383  

National Fuel Gas Co. 5.50%, 1/15/2026

    20,000        21,685  

Southern California Gas Co.
Series TT, 2.60%, 6/15/2026

    10,000        10,103  
    

 

 

 
       49,171  
    

 

 

 

Health Care Equipment & Supplies — 0.1%

 

Medtronic, Inc. 3.50%, 3/15/2025

    7,000        7,301  

Stryker Corp.

    

0.60%, 12/1/2023

    4,000        3,914  

1.15%, 6/15/2025

    10,000        9,636  

Zimmer Biomet Holdings, Inc. 3.05%, 1/15/2026

    11,000        11,171  
    

 

 

 
       32,022  
    

 

 

 

Health Care Providers & Services — 1.0%

 

AmerisourceBergen Corp. 0.74%, 3/15/2023

    137,000        135,834  

Anthem, Inc.

    

3.50%, 8/15/2024

    13,000        13,374  

3.35%, 12/1/2024

    15,000        15,441  

1.50%, 3/15/2026

    13,000        12,575  

Cigna Corp.

    

0.61%, 3/15/2024

    100,000        97,542  

1.25%, 3/15/2026

    2,000        1,913  

CommonSpirit Health 2.76%, 10/1/2024

    5,000        5,043  

CVS Health Corp. 3.88%, 7/20/2025

    25,000        26,133  

HCA, Inc. 5.25%, 4/15/2025

    9,000        9,665  

Humana, Inc. 1.35%, 2/3/2027

    12,000        11,304  

UnitedHealth Group, Inc.

    

2.75%, 2/15/2023

    21,000        21,203  

1.25%, 1/15/2026

    10,000        9,662  
    

 

 

 
       359,689  
    

 

 

 

Hotels, Restaurants & Leisure — 0.7%

 

Marriott International, Inc.
Series Z, 4.15%, 12/1/2023

    2,000        2,065  

McDonald’s Corp.
3.35%, 4/1/2023

    8,000        8,149  

3.25%, 6/10/2024

    8,000        8,244  

Sands China Ltd. (Macau) 5.12%, 8/8/2025 (c)

    200,000        201,395  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Hotels, Restaurants & Leisure — continued

 

Starbucks Corp. 3.10%, 3/1/2023

    11,000        11,170  
    

 

 

 
       231,023  
    

 

 

 

Household Durables — 0.1%

 

DR Horton, Inc. 2.50%, 10/15/2024

    19,000        19,086  
    

 

 

 

Household Products — 0.2%

 

Kimberly-Clark Corp. 3.05%, 8/15/2025

    16,000        16,503  

Procter & Gamble Co. (The)

    

0.55%, 10/29/2025

    44,000        41,845  

1.90%, 2/1/2027

    26,000        25,947  
    

 

 

 
       84,295  
    

 

 

 

Industrial Conglomerates — 0.2%

 

3M Co.

    

1.75%, 2/14/2023

    15,000        15,063  

2.25%, 3/15/2023

    6,000        6,053  

Honeywell International, Inc.

    

3.35%, 12/1/2023

    12,000        12,328  

2.30%, 8/15/2024

    15,000        15,152  

Roper Technologies, Inc.

    

3.65%, 9/15/2023

    10,000        10,253  

1.00%, 9/15/2025

    4,000        3,805  
    

 

 

 
       62,654  
    

 

 

 

Insurance — 0.4%

 

Aflac, Inc.

    

3.25%, 3/17/2025

    4,000        4,138  

1.13%, 3/15/2026

    30,000        28,664  

Allied World Assurance Co. Holdings Ltd. 4.35%, 10/29/2025

    9,000        9,422  

Allstate Corp. (The) 0.75%, 12/15/2025

    30,000        28,225  

Aon Corp. 2.20%, 11/15/2022

    25,000        25,156  

Aspen Insurance Holdings Ltd. (Bermuda) 4.65%, 11/15/2023

    2,000        2,077  

Kemper Corp. 4.35%, 2/15/2025

    6,000        6,299  

Old Republic International Corp. 3.88%, 8/26/2026

    6,000        6,264  

Prudential Financial, Inc. 1.50%, 3/10/2026

    18,000        17,616  

(ICE LIBOR USD 3 Month + 3.03%), 5.38%, 5/15/2045 (b)

    8,000        8,145  
    

 

 

 
       136,006  
    

 

 

 

Interactive Media & Services — 0.0% (a)

 

Alphabet, Inc.

    

3.38%, 2/25/2024

    6,000        6,212  

0.45%, 8/15/2025

    9,000        8,584  
    

 

 

 
       14,796  
    

 

 

 
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Internet & Direct Marketing Retail — 0.2%

 

Amazon.com, Inc.

    

2.80%, 8/22/2024

    7,000        7,160  

0.80%, 6/3/2025

    10,000        9,648  

1.00%, 5/12/2026

    37,000        35,613  

eBay, Inc. 1.90%, 3/11/2025

    2,000        1,976  
    

 

 

 
       54,397  
    

 

 

 

IT Services — 0.1%

 

CGI, Inc. (Canada) 1.45%, 9/14/2026 (d)

    3,000        2,854  

Fidelity National Information Services, Inc.

    

0.60%, 3/1/2024

    8,000        7,769  

Kyndryl Holdings, Inc. 2.05%, 10/15/2026 (d)

    7,000        6,604  

Mastercard, Inc. 3.38%, 4/1/2024

    7,000        7,239  

PayPal Holdings, Inc. 2.40%, 10/1/2024

    16,000        16,139  
    

 

 

 
       40,605  
    

 

 

 

Leisure Products — 0.0% (a)

 

Hasbro, Inc.

    

3.00%, 11/19/2024

    5,000        5,069  

3.55%, 11/19/2026

    3,000        3,099  
    

 

 

 
       8,168  
    

 

 

 

Machinery — 0.3%

 

CNH Industrial Capital LLC

    

1.88%, 1/15/2026

    13,000        12,667  

1.45%, 7/15/2026

    3,000        2,849  

Cummins, Inc. 0.75%, 9/1/2025

    92,000        87,604  
    

 

 

 
       103,120  
    

 

 

 

Media — 0.5%

 

Charter Communications Operating LLC 4.91%, 7/23/2025

    10,000        10,609  

Comcast Corp.

    

3.38%, 8/15/2025

    20,000        20,697  

3.95%, 10/15/2025

    13,000        13,723  

2.35%, 1/15/2027

    8,000        7,982  

Fox Corp. 3.05%, 4/7/2025

    14,000        14,280  

Omnicom Group, Inc. 3.65%, 11/1/2024

    9,000        9,300  

Paramount Global 4.00%, 1/15/2026

    16,000        16,699  

TCI Communications, Inc. 7.88%, 2/15/2026

    1,000        1,204  

WPP Finance 2010 (United Kingdom)
3.75%, 9/19/2024

    66,000        68,350  
    

 

 

 
       162,844  
    

 

 

 

Metals & Mining — 0.0% (a)

 

ArcelorMittal SA (Luxembourg) 4.55%, 3/11/2026

    2,000        2,100  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         35


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 28, 2022 (continued)

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Metals & Mining — continued

 

BHP Billiton Finance USA Ltd. (Australia) 6.42%, 3/1/2026

    1,000        1,157  
    

 

 

 
       3,257  
    

 

 

 

Multiline Retail — 0.0% (a)

 

Target Corp. 2.25%, 4/15/2025

    15,000        15,101  
    

 

 

 

Multi-Utilities — 0.2%

 

Delmarva Power & Light Co. 3.50%, 11/15/2023

    17,000        17,427  

Dominion Energy, Inc. 3.07%, 8/15/2024 (c)

    24,000        24,454  

(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (b)

    4,000        4,087  

DTE Energy Co. 2.85%, 10/1/2026

    3,000        3,030  

NiSource, Inc. 0.95%, 8/15/2025

    10,000        9,456  
    

 

 

 
       58,454  
    

 

 

 

Oil, Gas & Consumable Fuels — 1.5%

 

BP Capital Markets America, Inc.

    

2.75%, 5/10/2023

    75,000        75,904  

3.79%, 2/6/2024

    1,000        1,032  

3.41%, 2/11/2026

    12,000        12,431  

BP Capital Markets plc (United Kingdom) 3.99%, 9/26/2023

    3,000        3,097  

Canadian Natural Resources Ltd. (Canada)

    

3.90%, 2/1/2025

    16,000        16,636  

2.05%, 7/15/2025

    3,000        2,955  

Cheniere Corpus Christi Holdings LLC
5.88%, 3/31/2025

    10,000        10,802  

Chevron Corp. 1.14%, 5/11/2023

    6,000        5,978  

Chevron USA, Inc. 0.69%, 8/12/2025

    3,000        2,865  

ConocoPhillips Co. 3.35%, 11/15/2024

    2,000        2,062  

Energy Transfer LP
4.25%, 4/1/2024

    11,000        11,368  

2.90%, 5/15/2025

    13,000        13,075  

4.75%, 1/15/2026

    7,000        7,436  

Enterprise Products Operating LLC 3.75%, 2/15/2025

    45,000        46,810  

EOG Resources, Inc. 2.63%, 3/15/2023

    9,000        9,072  

Equinor ASA (Norway) 1.75%, 1/22/2026

    57,000        55,929  

Exxon Mobil Corp.

    

2.73%, 3/1/2023

    20,000        20,238  

3.18%, 3/15/2024

    25,000        25,691  

3.04%, 3/1/2026

    9,000        9,315  

Kinder Morgan Energy Partners LP 4.15%, 2/1/2024

    19,000        19,610  

Marathon Petroleum Corp. 4.70%, 5/1/2025

    6,000        6,377  

MPLX LP 4.88%, 12/1/2024

    23,000        24,372  

ONEOK, Inc. 2.20%, 9/15/2025

    30,000        29,607  
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Oil, Gas & Consumable Fuels — continued

 

Ovintiv Exploration, Inc. 5.38%, 1/1/2026

    5,000        5,405  

Petroleos Mexicanos (Mexico) 6.84%, 1/23/2030 (e)

    1        1  

Phillips 66 1.30%, 2/15/2026

    10,000        9,542  

Pioneer Natural Resources Co.
1.13%, 1/15/2026

    15,000        14,274  

Sabine Pass Liquefaction LLC
5.63%, 3/1/2025

    23,000        24,832  

Spectra Energy Partners LP
4.75%, 3/15/2024

    4,000        4,184  

TotalEnergies Capital International SA (France) 2.43%, 1/10/2025

    3,000        3,025  

Williams Cos., Inc. (The) 4.50%, 11/15/2023

    34,000        35,253  

3.90%, 1/15/2025

    3,000        3,115  
    

 

 

 
       512,293  
    

 

 

 

Paper & Forest Products — 0.1%

 

Fibria Overseas Finance Ltd. (Brazil)
4.00%, 1/14/2025

    9,000        9,246  

5.50%, 1/17/2027

    6,000        6,452  

Georgia-Pacific LLC 8.00%, 1/15/2024

    17,000        18,907  
    

 

 

 
       34,605  
    

 

 

 

Personal Products — 0.0% (a)

 

Estee Lauder Cos., Inc. (The)
2.00%, 12/1/2024

    15,000        15,066  
    

 

 

 

Pharmaceuticals — 0.7%

 

AstraZeneca plc (United Kingdom)
3.38%, 11/16/2025

    3,000        3,125  

Bristol-Myers Squibb Co.
3.25%, 11/1/2023

    15,000        15,405  

2.90%, 7/26/2024

    9,000        9,215  

3.88%, 8/15/2025

    8,000        8,438  

0.75%, 11/13/2025

    11,000        10,438  

Eli Lilly & Co. 2.75%, 6/1/2025

    15,000        15,310  

GlaxoSmithKline Capital plc (United Kingdom) 3.00%, 6/1/2024

    4,000        4,090  

Johnson & Johnson
3.38%, 12/5/2023

    26,000        26,917  

0.55%, 9/1/2025

    75,000        71,413  

Merck & Co., Inc. 2.75%, 2/10/2025

    27,000        27,621  

Mylan, Inc. 4.20%, 11/29/2023

    13,000        13,369  

Novartis Capital Corp. (Switzerland)
1.75%, 2/14/2025

    2,000        1,988  

Pfizer, Inc.

    

3.40%, 5/15/2024

    15,000        15,536  

2.75%, 6/3/2026

    5,000        5,139  
    

 

 

 
       228,004  
    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36         J.P. MORGAN EXCHANGE-TRADED FUNDS   FEBRUARY 28, 2022


Table of Contents

 

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Corporate Bonds — continued

    

Road & Rail  — 0.3%

 

BNSF Funding Trust I (ICE LIBOR USD 3 Month + 2.35%), 6.61%, 12/15/2055 (b)

    1,000        1,078  

Burlington Northern Santa Fe LLC
3.00%, 4/1/2025

    29,000        29,664  

3.65%, 9/1/2025

    8,000        8,362  

JB Hunt Transport Services, Inc.
3.88%, 3/1/2026

    5,000        5,270  

Norfolk Southern Corp. 3.85%, 1/15/2024

    2,000        2,063  

Ryder System, Inc.
3.75%, 6/9/2023

    37,000        37,818  

4.63%, 6/1/2025

    8,000        8,511  

Union Pacific Corp. 2.15%, 2/5/2027

    4,000        3,958  
    

 

 

 
       96,724  
    

 

 

 

Semiconductors & Semiconductor Equipment — 0.7%

 

Broadcom, Inc. 3.63%, 10/15/2024

    10,000        10,294  

Intel Corp.
2.70%, 12/15/2022

    7,000        7,085  

3.40%, 3/25/2025

    2,000        2,072  

NXP BV (China) 4.88%, 3/1/2024 (d)

    2,000        2,098  

QUALCOMM, Inc. 2.60%, 1/30/2023

    31,000        31,348  

Texas Instruments, Inc. 1.38%, 3/12/2025

    6,000        5,899  

TSMC Arizona Corp. (Taiwan)
1.75%, 10/25/2026

    200,000        193,817  
    

 

 

 
       252,613  
    

 

 

 

Software — 0.4%

 

Adobe, Inc. 1.90%, 2/1/2025

    7,000        7,002  

Microsoft Corp. 2.70%, 2/12/2025

    15,000        15,389  

Oracle Corp.
2.40%, 9/15/2023

    107,000        107,773  

1.65%, 3/25/2026

    14,000        13,409  
    

 

 

 
       143,573  
    

 

 

 

Specialty Retail — 0.1%

 

Home Depot, Inc. (The)
2.70%, 4/1/2023

    2,000        2,022  

3.35%, 9/15/2025

    5,000        5,197  

Lowe’s Cos., Inc.
3.13%, 9/15/2024

    30,000        30,709  

3.38%, 9/15/2025

    6,000        6,222  
    

 

 

 
       44,150  
    

 

 

 

Technology Hardware, Storage & Peripherals — 0.4%

 

Apple, Inc.

    

2.40%, 5/3/2023

    7,000        7,086  

0.75%, 5/11/2023

    13,000        12,915  

3.45%, 5/6/2024

    10,000        10,361  

2.75%, 1/13/2025

    10,000        10,245  

2.50%, 2/9/2025

    2,000        2,036  
INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  
    

Technology Hardware, Storage & Peripherals — continued

 

Dell International LLC

    

4.00%, 7/15/2024

    15,000        15,565  

5.85%, 7/15/2025

    14,000        15,387  

Hewlett Packard Enterprise Co.

    

1.45%, 4/1/2024

    16,000        15,752  

1.75%, 4/1/2026

    14,000        13,516  

HP, Inc.

    

2.20%, 6/17/2025

    38,000        37,759  

1.45%, 6/17/2026

    2,000        1,897  
    

 

 

 
       142,519  
    

 

 

 

Textiles, Apparel & Luxury Goods — 0.1%

 

NIKE, Inc. 2.40%, 3/27/2025

    20,000        20,287  
    

 

 

 

Tobacco — 0.1%

 

Altria Group, Inc. 2.63%, 9/16/2026

    2,000        1,997  

BAT Capital Corp. (United Kingdom)

    

2.79%, 9/6/2024

    19,000        19,120  

3.22%, 9/6/2026

    2,000        2,002  

Philip Morris International, Inc.

    

2.63%, 3/6/2023

    9,000        9,098  

1.50%, 5/1/2025

    3,000        2,927  

Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025

    11,000        11,517  
    

 

 

 
       46,661  
    

 

 

 

Trading Companies & Distributors — 0.6%

 

Air Lease Corp.
1.88%, 8/15/2026

    2,000        1,901  

BOC Aviation Ltd. (Singapore)
3.00%, 5/23/2022 (e)

    200,000        200,281  
    

 

 

 
       202,182  
    

 

 

 

Water Utilities — 0.0% (a)

 

American Water Capital Corp. 3.40%, 3/1/2025

    2,000        2,060  
    

 

 

 

Wireless Telecommunication Services — 0.0% (a)

 

Vodafone Group plc (United Kingdom) 4.13%, 5/30/2025

    7,000        7,361  
    

 

 

 

Total Corporate Bonds
(Cost $8,865,746)

 

     8,643,798  
  

 

 

 

Mortgage-Backed Securities — 8.7%

 

FHLMC Gold Pools, 15 Year

    

Pool # J14776, 3.00%, 3/1/2026

    8,227        8,454  

Pool # G18452, 2.50%, 12/1/2027

    22,318        22,653  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
FEBRUARY 28, 2022   J.P. MORGAN EXCHANGE-TRADED FUNDS         37


Table of Contents

JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 28, 2022 (continued)

 

INVESTMENTS   PRINCIPAL
AMOUNT ($)
     VALUE ($)  

Mortgage-Backed Securities — continued

    

Pool # G18511, 2.50%, 5/1/2029

    2,129        2,161  

Pool # G18549, 2.50%, 4/1/2030

    19,970        20,271  

Pool # G15520, 3.00%, 7/1/2030

    9,910        10,217  

Pool # G18568, 2.50%, 9/1/2030

    9,576        9,720  

Pool # J33012, 3.00%, 10/1/2030

    25,184        26,016  

Pool # G18600, 2.50%, 5/1/2031

    7,004        7,110  

Pool # G16028, 3.00%, 8/1/2031

    5,759        5,948  

Pool # J35495, 2.50%, 10/1/2031

    14,094        14,327  

Pool # G18626, 2.50%, 1/1/2032

    31,579        32,056  

Pool # G18632, 3.00%, 2/1/2032

    7,319        7,559  

Pool # J37147, 3.00%, 6/1/2032

    8,367        8,628  

Pool # G16207, 3.50%, 7/1/2032

    7,801        8,188  

Pool # G18715, 3.00%, 12/1/2033

    5,134        5,300  

FHLMC UMBS, 15 Year

    

Pool # ZS8617, 2.50%, 8/1/2031

    15,437        15,635  

Pool # ZS7938, 2.50%, 1/1/2033

    2,157        2,193  

Pool # ZS7988, 3.50%, 2/1/2033

    10,909        11,416  

Pool # ZK9341, 3.00%, 3/1/2033

    2,769        2,857  

Pool # ZT0716, 3.00%, 10/1/2033

    2,756        2,843  

Pool # SB0194, 2.50%, 12/1/2033

    5,819        5,902  

Pool # SB0109, 2.50%, 11/1/2034

    25,272        25,666  

Pool # SB8021, 3.00%, 12/1/2034

    5,004