UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-22903
J.P. Morgan Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, New York 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, New York 10017
(Name and Address of Agent for Service)
With copies to:
| Elizabeth A. Davin, Esq. | Jon S. Rand Esq. | |
| JPMorgan Chase & Co. | Dechert LLP | |
| 1111 Polaris Parkway | 1095 Avenue of the Americas | |
| Columbus, OH 43240 | New York, NY 10036 |
Registrant’s telephone number, including area code: (844) 457-6383
Date of fiscal year end: October 31
Date of reporting period: January 31, 2018
ITEM 1. SCHEDULE OF INVESTMENTS.
J.P. Morgan Exchange-Traded Fund Trust
Schedule of Portfolio Investments as of January 31, 2018
(Unaudited)
THE “UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
JPMorgan Distribution Services, Inc.
© JPMorgan Chase & Co., 2018.
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
JPMorgan Diversified Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 16,678,771 | $ | — | $ | — | $ | 16,678,771 | ||||||||
| Chile |
2,786,715 | — | — | 2,786,715 | ||||||||||||
| China |
7,326,734 | 37,331,007 | — | (a) | 44,657,741 | |||||||||||
| Colombia |
797,047 | — | — | 797,047 | ||||||||||||
| Czech Republic |
— | 554,204 | — | 554,204 | ||||||||||||
| Egypt |
— | 241,058 | — | 241,058 | ||||||||||||
| Greece |
— | 634,984 | — | 634,984 | ||||||||||||
| Hong Kong |
— | 1,315,531 | — | 1,315,531 | ||||||||||||
| Hungary |
— | 955,512 | — | 955,512 | ||||||||||||
| India |
— | 13,452,171 | — | 13,452,171 | ||||||||||||
| Indonesia |
— | 8,287,114 | — | 8,287,114 | ||||||||||||
| Malaysia |
— | 10,399,957 | — | 10,399,957 | ||||||||||||
| Mexico |
8,492,467 | — | — | 8,492,467 | ||||||||||||
| Pakistan |
— | 90,610 | — | 90,610 | ||||||||||||
| Philippines |
— | 4,016,265 | — | 4,016,265 | ||||||||||||
| Poland |
— | 3,388,534 | — | 3,388,534 | ||||||||||||
| Russia |
16,113 | 8,764,929 | — | 8,781,042 | ||||||||||||
| Singapore |
— | 22,001 | — | 22,001 | ||||||||||||
| South Africa |
— | 15,728,386 | — | 15,728,386 | ||||||||||||
| Taiwan |
— | 27,967,257 | — | 27,967,257 | ||||||||||||
| Thailand |
619,798 | 12,123,917 | — | 12,743,715 | ||||||||||||
| Turkey |
— | 2,656,552 | — | 2,656,552 | ||||||||||||
| Ukraine |
— | 42,434 | — | 42,434 | ||||||||||||
| United Arab Emirates |
— | 2,852,502 | — | 2,852,502 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
36,717,645 | 150,824,925 | — | 187,542,570 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| China |
— | — | (a) | — | — | (a) | ||||||||||
| India |
— | 3,698 | — | 3,698 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
— | 3,698 | — | 3,698 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investment |
||||||||||||||||
| Investment Company |
1,343,773 | — | — | 1,343,773 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 38,061,418 | $ | 150,828,623 | $ | — | $ | 188,890,041 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Value is Zero. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of $20,886,645 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
| Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| CHF | 21,269 | USD | 21,913 | Goldman Sachs International | 02/05/2018 | 944 | ||||||||||||||
| DKK | 402,938 | USD | 65,101 | TD Bank Financial Group | 02/05/2018 | 2,131 | ||||||||||||||
| EUR | 132,039 | USD | 159,174 | Royal Bank of Canada | 02/05/2018 | 4,792 | ||||||||||||||
| GBP | 34,796 | USD | 47,163 | Royal Bank of Canada | 02/05/2018 | 2,248 | ||||||||||||||
| SEK | 648,136 | USD | 79,436 | Goldman Sachs International | 02/05/2018 | 2,832 | ||||||||||||||
| CHF | 125,813 | USD | 135,367 | Goldman Sachs International | 03/05/2018 | 102 | ||||||||||||||
| GBP | 210,305 | USD | 298,704 | Goldman Sachs International | 03/05/2018 | 217 | ||||||||||||||
| NOK | 258,669 | USD | 33,574 | Royal Bank of Canada | 03/05/2018 | 9 | ||||||||||||||
| USD | 3,464,166 | CHF | 3,212,599 | Goldman Sachs International | 03/05/2018 | 4,988 | ||||||||||||||
| USD | 830,384 | DKK | 4,951,259 | Credit Suisse International | 03/05/2018 | 2,819 | ||||||||||||||
| USD | 361,159 | EUR | 289,381 | Credit Suisse International | 03/05/2018 | 1,217 | ||||||||||||||
| USD | 16,015,544 | EUR | 12,832,351 | Goldman Sachs International | 03/05/2018 | 54,230 | ||||||||||||||
| USD | 7,773,039 | GBP | 5,459,841 | Goldman Sachs International | 03/05/2018 | 12,564 | ||||||||||||||
| USD | 863,839 | NOK | 6,629,958 | Credit Suisse International | 03/05/2018 | 3,057 | ||||||||||||||
| USD | 1,745,105 | SEK | 13,678,675 | Credit Suisse International | 03/05/2018 | 5,911 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation |
98,061 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CHF | 3,196,830 | USD | 3,439,981 | Goldman Sachs International | 02/05/2018 | (4,509 | ) | |||||||||||||
| DKK | 4,951,259 | USD | 828,854 | Credit Suisse International | 02/05/2018 | (2,722 | ) | |||||||||||||
| EUR | 12,832,351 | USD | 15,987,634 | Goldman Sachs International | 02/05/2018 | (52,604 | ) | |||||||||||||
| GBP | 5,459,841 | USD | 7,765,199 | Goldman Sachs International | 02/05/2018 | (12,166 | ) | |||||||||||||
| NOK | 6,629,958 | USD | 863,150 | Credit Suisse International | 02/05/2018 | (3,030 | ) | |||||||||||||
| SEK | 13,231,503 | USD | 1,685,010 | Credit Suisse International | 02/05/2018 | (5,530 | ) | |||||||||||||
| USD | 3,309,712 | CHF | 3,218,099 | Goldman Sachs International | 02/05/2018 | (148,618 | ) | |||||||||||||
| USD | 865,327 | DKK | 5,354,198 | Goldman Sachs International | 02/05/2018 | (28,037 | ) | |||||||||||||
| USD | 15,600,427 | EUR | 12,964,390 | Credit Suisse International | 02/05/2018 | (498,568 | ) | |||||||||||||
| USD | 7,396,388 | GBP | 5,461,364 | Goldman Sachs International | 02/05/2018 | (358,807 | ) | |||||||||||||
| USD | 45,149 | GBP | 33,273 | Royal Bank of Canada | 02/05/2018 | (2,099 | ) | |||||||||||||
| USD | 811,397 | NOK | 6,629,958 | Goldman Sachs International | 02/05/2018 | (48,723 | ) | |||||||||||||
| USD | 1,699,472 | SEK | 13,879,638 | Goldman Sachs International | 02/05/2018 | (62,276 | ) | |||||||||||||
| DKK | 221,678 | USD | 37,073 | Royal Bank of Canada | 03/05/2018 | (22 | ) | |||||||||||||
| EUR | 514,754 | USD | 640,329 | Goldman Sachs International | 03/05/2018 | (60 | ) | |||||||||||||
| GBP | 95,773 | USD | 136,416 | Royal Bank of Canada | 03/05/2018 | (287 | ) | |||||||||||||
| NOK | 75,510 | USD | 9,844 | Goldman Sachs International | 03/05/2018 | (40 | ) | |||||||||||||
| SEK | 535,032 | USD | 68,086 | Goldman Sachs International | 03/05/2018 | (59 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
(1,228,157 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
(1,130,096 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Abbreviations | ||
| CHF |
— Swiss Franc | |
| DKK |
— Danish Krone | |
| ETF |
— Exchange Traded Fund | |
| EUR |
— Euro | |
| GBP |
— British Pound | |
| NOK |
— Norwegian Krone | |
| SEK |
— Swedish Krona | |
| USD |
— United States Dollar | |
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset values or NAV per share as of the report date.
Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2– Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 29,664,130 | $ | — | $ | — | $ | 29,664,130 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 98,061 | $ | — | $ | 98,061 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (1,228,157 | ) | $ | — | $ | (1,228,157 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| (a) | — All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
B. Derivatives — The Fund used derivative instruments including forward foreign currency exchange contracts in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
(1). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Austria |
$ | — | $ | 940,683 | $ |
— |
$ | 940,683 | ||||||||
| Belgium |
— | 1,415,447 | — | 1,415,447 | ||||||||||||
| Denmark |
— | 2,157,550 | — | 2,157,550 | ||||||||||||
| Finland |
— | 3,978,320 | — | 3,978,320 | ||||||||||||
| France |
— | 10,685,870 | — | 10,685,870 | ||||||||||||
| Germany |
— | 11,261,099 | — | 11,261,099 | ||||||||||||
| Ireland |
— | 57,682 | — | 57,682 | ||||||||||||
| Italy |
— | 2,315,711 | — | 2,315,711 | ||||||||||||
| Luxembourg |
— | 221,423 | — | 221,423 | ||||||||||||
| Netherlands |
— | 4,896,825 | — | 4,896,825 | ||||||||||||
| Norway |
— | 2,262,248 | — | 2,262,248 | ||||||||||||
| Portugal |
— | 897,447 | — | 897,447 | ||||||||||||
| South Africa |
— | 310,009 | — | 310,009 | ||||||||||||
| Spain |
36,157 | 6,767,446 | — | 6,803,603 | ||||||||||||
| Sweden |
— | 4,634,537 | — | 4,634,537 | ||||||||||||
| Switzerland |
— | 9,599,699 | — | 9,599,699 | ||||||||||||
| United Kingdom |
— | 18,839,737 | — | 18,839,737 | ||||||||||||
| United States |
— | 204,679 | — | 204,679 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
36,157 | 81,446,412 | — | 81,482,569 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| Spain |
— | 1,789 | — | 1,789 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 36,157 | $ | 81,448,201 | $ | — | $ | 81,484,358 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of $3,052,412 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Percentages indicated are based on net assets.
| * | Non-income producing security. |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 11,532,918 | $ | — | $ | 11,532,918 | ||||||||
| Austria |
— | 496,161 | — | 496,161 | ||||||||||||
| Belgium |
— | 1,268,966 | — | 1,268,966 | ||||||||||||
| Bermuda |
368,452 | — | — | 368,452 | ||||||||||||
| Canada |
5,682,997 | — | — | 5,682,997 | ||||||||||||
| Chile |
— | 11,634 | — | 11,634 | ||||||||||||
| China |
— | 719,643 | — | 719,643 | ||||||||||||
| Denmark |
— | 1,298,323 | — | 1,298,323 | ||||||||||||
| Finland |
— | 1,617,522 | — | 1,617,522 | ||||||||||||
| France |
— | 7,270,396 | — | 7,270,396 | ||||||||||||
| Germany |
— | 5,662,297 | — | 5,662,297 | ||||||||||||
| Hong Kong |
— | 6,877,069 | — | 6,877,069 | ||||||||||||
| Israel |
424,291 | — | — | 424,291 | ||||||||||||
| Italy |
— | 1,610,288 | — | 1,610,288 | ||||||||||||
| Japan |
— | 37,490,965 | — | 37,490,965 | ||||||||||||
| Netherlands |
— | 2,426,219 | — | 2,426,219 | ||||||||||||
| New Zealand |
— | 570,726 | — | 570,726 | ||||||||||||
| Norway |
— | 1,480,228 | — | 1,480,228 | ||||||||||||
| Portugal |
— | 633,071 | — | 633,071 | ||||||||||||
| Singapore |
— | 3,419,142 | — | 3,419,142 | ||||||||||||
| South Africa |
— | 287,347 | — | 287,347 | ||||||||||||
| South Korea |
— | 17,379,261 | — | 17,379,261 | ||||||||||||
| Spain |
6,740 | 2,722,993 | — | 2,729,733 | ||||||||||||
| Sweden |
458,457 | 3,758,673 | — | 4,217,130 | ||||||||||||
| Switzerland |
— | 3,262,665 | — | 3,262,665 | ||||||||||||
| United Kingdom |
— | 4,573,280 | — | 4,573,280 | ||||||||||||
| United States |
43,256,612 | 117,897 | — | 43,374,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
50,197,549 | 116,487,684 | — | 166,685,233 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| South Korea |
— | 6,985 | — | 6,985 | ||||||||||||
| Spain |
— | 351 | — | 351 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
— | 7,336 | — | 7,336 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investment |
||||||||||||||||
| Investment Company |
579,891 | — | — | 579,891 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 50,777,440 | $ | 116,495,020 | $ | — | $ | 167,272,460 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of $2,032,949 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| AUD |
141,746 | USD | 111,446 | Citibank, NA | 02/05/2018 | 2,770 | ||||||||||||
| AUD |
45,179 | USD | 35,422 | Royal Bank of Canada | 02/05/2018 | 982 | ||||||||||||
| CHF |
114,645 | USD | 120,141 | Goldman Sachs International | 02/05/2018 | 3,064 | ||||||||||||
| CHF |
25,229 | USD | 26,914 | Royal Bank of Canada | 02/05/2018 | 199 | ||||||||||||
| DKK |
111,327 | USD | 18,076 | Credit Suisse International | 02/05/2018 | 499 | ||||||||||||
| DKK |
327,482 | USD | 54,575 | Goldman Sachs International | 02/05/2018 | 66 | ||||||||||||
| DKK |
107,510 | USD | 17,892 | Royal Bank of Canada | 02/05/2018 | 46 | ||||||||||||
| EUR |
646,594 | USD | 802,197 | Goldman Sachs International | 02/05/2018 | 734 | ||||||||||||
| EUR |
230,629 | USD | 285,661 | Merrill Lynch International | 02/05/2018 | 731 | ||||||||||||
| EUR |
220,801 | USD | 266,909 | Morgan Stanley | 02/05/2018 | 7,278 | ||||||||||||
| EUR |
181,724 | USD | 218,750 | Royal Bank of Canada | 02/05/2018 | 6,912 | ||||||||||||
| GBP |
237,146 | USD | 333,840 | Merrill Lynch International | 02/05/2018 | 2,910 | ||||||||||||
| GBP |
255,917 | USD | 347,102 | Royal Bank of Canada | 02/05/2018 | 16,304 | ||||||||||||
| JPY |
5,550,746 | USD | 49,356 | Goldman Sachs International | 02/05/2018 | 1,497 | ||||||||||||
| JPY |
43,434,464 | USD | 385,833 | HSBC Bank, NA | 02/05/2018 | 12,092 | ||||||||||||
| JPY |
1,567,475 | USD | 13,967 | Royal Bank of Canada | 02/05/2018 | 393 | ||||||||||||
| KRW |
190,756,656 | USD | 178,111 | Merrill Lynch International ** | 02/05/2018 | 425 | ||||||||||||
| NOK |
665,265 | USD | 84,727 | Goldman Sachs International | 02/05/2018 | 1,579 | ||||||||||||
| NZD |
10,815 | USD | 7,916 | Goldman Sachs International | 02/05/2018 | 53 | ||||||||||||
| NZD |
25,284 | USD | 18,084 | Royal Bank of Canada | 02/05/2018 | 548 | ||||||||||||
| SEK |
1,644,310 | USD | 207,117 | Goldman Sachs International | 02/05/2018 | 1,596 | ||||||||||||
| SEK |
340,831 | USD | 41,992 | Royal Bank of Canada | 02/05/2018 | 1,270 | ||||||||||||
| SGD |
67,095 | USD | 50,564 | Royal Bank of Canada | 02/05/2018 | 586 | ||||||||||||
| USD |
2,659,440 | HKD | 20,774,803 | State Street Corp. | 02/05/2018 | 3,514 | ||||||||||||
| CHF |
19,123 | USD | 20,574 | Royal Bank of Canada | 03/05/2018 | 17 | ||||||||||||
| GBP |
178,362 | USD | 253,336 | Goldman Sachs International | 03/05/2018 | 184 | ||||||||||||
| JPY |
32,588,616 | USD | 298,647 | Merrill Lynch International | 03/05/2018 | 331 | ||||||||||||
| USD |
2,996,233 | AUD | 3,701,178 | Australia & New Zealand Banking Group Ltd. | 03/05/2018 | 14,183 | ||||||||||||
| USD |
703,169 | CHF | 652,083 | State Street Corp. | 03/05/2018 | 1,036 | ||||||||||||
| USD |
464,319 | DKK | 2,768,554 | Credit Suisse International | 03/05/2018 | 1,576 | ||||||||||||
| USD |
647,468 | EUR | 518,789 | Credit Suisse International | 03/05/2018 | 2,182 | ||||||||||||
| USD |
7,136,875 | EUR | 5,718,375 | Goldman Sachs International | 03/05/2018 | 24,166 | ||||||||||||
| USD |
8,523,202 | GBP | 5,986,763 | Goldman Sachs International | 03/05/2018 | 13,774 | ||||||||||||
| USD |
2,215,476 | HKD | 17,315,656 | State Street Corp. | 03/05/2018 | 446 | ||||||||||||
| USD |
10,500,536 | JPY | 1,144,399,301 | State Street Corp. | 03/05/2018 | 1,479 | ||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| USD |
486,199 | NOK | 3,731,573 | Credit Suisse International | 03/05/2018 | 1,721 | ||||||||||||||
| USD |
7,072 | NOK | 54,252 | Goldman Sachs International | 03/05/2018 | 28 | ||||||||||||||
| USD |
222,432 | NZD | 300,607 | Australia & New Zealand Banking Group Ltd. | 03/05/2018 | 978 | ||||||||||||||
| USD |
1,334,724 | SEK | 10,461,984 | Credit Suisse International | 03/05/2018 | 4,521 | ||||||||||||||
| USD |
1,172,020 | SGD | 1,533,398 | State Street Corp. | 03/05/2018 | 2,411 | ||||||||||||||
| USD |
60,112 | KRW | 64,198,780 | Goldman Sachs International ** | 03/06/2018 | 52 | ||||||||||||||
| USD |
4,522,521 | KRW | 4,830,007,149 | Merrill Lynch International ** | 03/06/2018 | 3,895 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation |
139,028 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD |
3,701,178 | USD | 2,996,558 | Australia & New Zealand Banking Group Ltd. | 02/05/2018 | (14,213 | ) | |||||||||||||
| AUD |
435,766 | USD | 351,869 | Goldman Sachs International | 02/05/2018 | (736 | ) | |||||||||||||
| AUD |
140,854 | USD | 114,013 | Merrill Lynch International | 02/05/2018 | (515 | ) | |||||||||||||
| CHF |
652,083 | USD | 701,690 | State Street Corp. | 02/05/2018 | (930 | ) | |||||||||||||
| DKK |
2,768,554 | USD | 463,464 | Credit Suisse International | 02/05/2018 | (1,522 | ) | |||||||||||||
| EUR |
5,718,375 | USD | 7,124,437 | Goldman Sachs International | 02/05/2018 | (23,441 | ) | |||||||||||||
| GBP |
6,635,987 | USD | 9,437,375 | Goldman Sachs International | 02/05/2018 | (14,202 | ) | |||||||||||||
| HKD |
1,991,042 | USD | 254,732 | Goldman Sachs International | 02/05/2018 | (190 | ) | |||||||||||||
| HKD |
807,567 | USD | 103,329 | HSBC Bank, NA | 02/05/2018 | (87 | ) | |||||||||||||
| HKD |
660,538 | USD | 84,557 | Royal Bank of Canada | 02/05/2018 | (111 | ) | |||||||||||||
| HKD |
17,315,656 | USD | 2,213,993 | State Street Corp. | 02/05/2018 | (297 | ) | |||||||||||||
| JPY |
132,208,362 | USD | 1,212,002 | Goldman Sachs International | 02/05/2018 | (773 | ) | |||||||||||||
| JPY |
43,591,047 | USD | 400,243 | Royal Bank of Canada | 02/05/2018 | (883 | ) | |||||||||||||
| JPY |
1,144,399,301 | USD | 10,485,052 | State Street Corp. | 02/05/2018 | (621 | ) | |||||||||||||
| KRW |
743,789,791 | USD | 699,394 | Goldman Sachs International ** | 02/05/2018 | (3,255 | ) | |||||||||||||
| KRW |
4,854,111,933 | USD | 4,543,844 | Merrill Lynch International ** | 02/05/2018 | (705 | ) | |||||||||||||
| NOK |
3,731,573 | USD | 485,811 | Credit Suisse International | 02/05/2018 | (1,705 | ) | |||||||||||||
| NOK |
145,784 | USD | 18,919 | Goldman Sachs International | 02/05/2018 | (6 | ) | |||||||||||||
| NZD |
300,607 | USD | 222,510 | Australia & New Zealand Banking Group Ltd. | 02/05/2018 | (986 | ) | |||||||||||||
| NZD |
32,242 | USD | 23,945 | Goldman Sachs International | 02/05/2018 | (185 | ) | |||||||||||||
| SEK |
9,362,717 | USD | 1,192,326 | Credit Suisse International | 02/05/2018 | (3,913 | ) | |||||||||||||
| SGD |
168,892 | USD | 129,180 | Goldman Sachs International | 02/05/2018 | (424 | ) | |||||||||||||
| SGD |
55,714 | USD | 42,527 | HSBC Bank, NA | 02/05/2018 | (53 | ) | |||||||||||||
| SGD |
1,411,190 | USD | 1,078,035 | State Street Corp. | 02/05/2018 | (2,206 | ) | |||||||||||||
| USD |
3,439,449 | AUD | 4,399,031 | Australia & New Zealand Banking Group Ltd. | 02/05/2018 | (105,215 | ) | |||||||||||||
| USD |
51,344 | AUD | 65,692 | Royal Bank of Canada | 02/05/2018 | (1,589 | ) | |||||||||||||
| USD |
814,700 | CHF | 791,957 | State Street Corp. | 02/05/2018 | (36,377 | ) | |||||||||||||
| USD |
535,738 | DKK | 3,314,873 | Goldman Sachs International | 02/05/2018 | (17,358 | ) | |||||||||||||
| USD |
8,421,043 | EUR | 6,998,122 | Credit Suisse International | 02/05/2018 | (269,125 | ) | |||||||||||||
| USD |
9,599,192 | GBP | 7,087,888 | Goldman Sachs International | 02/05/2018 | (465,685 | ) | |||||||||||||
| USD |
55,854 | GBP | 41,162 | Royal Bank of Canada | 02/05/2018 | (2,597 | ) | |||||||||||||
| USD |
12,189,823 | JPY | 1,370,751,395 | State Street Corp. | 02/05/2018 | (368,337 | ) | |||||||||||||
| USD |
107,950 | KRW | 115,441,324 | Goldman Sachs International ** | 02/05/2018 | (96 | ) | |||||||||||||
| USD |
5,307,777 | KRW | 5,673,217,056 | Merrill Lynch International ** | 02/05/2018 | (1,991 | ) | |||||||||||||
| USD |
555,942 | NOK | 4,542,622 | Goldman Sachs International | 02/05/2018 | (33,384 | ) | |||||||||||||
| USD |
262,254 | NZD | 368,948 | State Street Corp. | 02/05/2018 | (9,631 | ) | |||||||||||||
| USD |
1,389,472 | SEK | 11,347,858 | Goldman Sachs International | 02/05/2018 | (50,916 | ) | |||||||||||||
| USD |
1,274,929 | SGD | 1,702,890 | Merrill Lynch International | 02/05/2018 | (23,280 | ) | |||||||||||||
| AUD |
351,365 | USD | 284,426 | Goldman Sachs International | 03/05/2018 | (1,330 | ) | |||||||||||||
| AUD |
99,819 | USD | 80,437 | Merrill Lynch International | 03/05/2018 | (13 | ) | |||||||||||||
| CHF |
9,836 | USD | 10,608 | Royal Bank of Canada | 03/05/2018 | (17 | ) | |||||||||||||
| EUR |
186,084 | USD | 231,480 | Goldman Sachs International | 03/05/2018 | (22 | ) | |||||||||||||
| HKD |
491,871 | USD | 62,929 | Morgan Stanley | 03/05/2018 | (9 | ) | |||||||||||||
| HKD |
761,526 | USD | 97,436 | State Street Corp. | 03/05/2018 | (21 | ) | |||||||||||||
| JPY |
45,641,613 | USD | 418,733 | Royal Bank of Canada | 03/05/2018 | (3 | ) | |||||||||||||
| SEK |
308,138 | USD | 39,213 | Goldman Sachs International | 03/05/2018 | (34 | ) | |||||||||||||
| SGD |
45,600 | USD | 34,785 | State Street Corp. | 03/05/2018 | (4 | ) | |||||||||||||
| KRW |
145,386,152 | USD | 136,078 | Citibank, NA ** | 03/06/2018 | (65 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
(1,459,058 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
(1,320,030 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| ** | — Non-deliverable forward. | |
| Abbreviations | ||
| AUD | Australian Dollar | |
| CHF | Swiss Franc | |
| DKK | Danish Krone | |
| ETF | Exchange Traded Fund | |
| EUR | Euro | |
| GBP | British Pound | |
| HKD | Hong Kong Dollar | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| USD | United States Dollar | |
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Forward foreign currency exchange contracts are generally valued on the basis of available market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 39,125,646 | $ | — | $ | — | $ | 39,125,646 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 139,028 | $ | — | $ | 139,028 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (1,459,058 | ) | $ | — | $ | (1,459,058 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | — All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
B. Derivatives — The Fund used derivative instruments including forward foreign currency exchange contracts in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
(1). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 95,552,705 | $ | — | $ | 95,552,705 | ||||||||
| Austria |
— | 10,934,581 | — | 10,934,581 | ||||||||||||
| Belgium |
— | 15,056,699 | — | 15,056,699 | ||||||||||||
| Chile |
— | 5,541,164 | — | 5,541,164 | ||||||||||||
| China |
— | 3,644,643 | — | 3,644,643 | ||||||||||||
| Denmark |
— | 16,212,528 | — | 16,212,528 | ||||||||||||
| Finland |
— | 22,908,121 | — | 22,908,121 | ||||||||||||
| France |
— | 71,953,631 | — | 71,953,631 | ||||||||||||
| Germany |
— | 64,316,123 | — | 64,316,123 | ||||||||||||
| Hong Kong |
— | 76,788,876 | — | 76,788,876 | ||||||||||||
| Italy |
— | 18,224,477 | — | 18,224,477 | ||||||||||||
| Japan |
— | 350,794,253 | — | 350,794,253 | ||||||||||||
| Jordan |
— | 3,351,388 | — | 3,351,388 | ||||||||||||
| Luxembourg |
— | 2,386,585 | — | 2,386,585 | ||||||||||||
| Netherlands |
— | 31,546,694 | — | 31,546,694 | ||||||||||||
| New Zealand |
— | 7,969,623 | — | 7,969,623 | ||||||||||||
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Norway |
— | 17,347,542 | — | 17,347,542 | ||||||||||||
| Portugal |
— | 9,194,720 | — | 9,194,720 | ||||||||||||
| Singapore |
— | 40,840,258 | — | 40,840,258 | ||||||||||||
| South Africa |
— | 9,648,341 | — | 9,648,341 | ||||||||||||
| South Korea |
— | 160,888,490 | — | 160,888,490 | ||||||||||||
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Spain |
$ | 98,573 | $ | 34,305,881 | $ | — | 34,404,454 | |||||||||
| Sweden |
— | 46,925,391 | — | 46,925,391 | ||||||||||||
| Switzerland |
— | 31,754,516 | — | 31,754,516 | ||||||||||||
| United Kingdom |
— | 251,774,596 | — | 251,774,596 | ||||||||||||
| United States |
458,344 | 12,486,869 | — | 12,945,213 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
556,917 | 1,412,348,695 | — | 1,412,905,612 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investment |
||||||||||||||||
| Investment Company |
3,219,506 | — | — | 3,219,506 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 3,776,423 | $ | 1,412,348,695 | $ | — | $ | 1,416,125,118 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of $41,427,554 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 469,164,661 | $ | — | $ | — | $ | 469,164,661 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2– Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 85,699,381 | $ | — | $ | — | $ | 85,699,381 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Percentages indicated are based on net assets.
| * | Non-income producing security. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Affiliated company as defined under the Investment Company Act of 1940. |
| (c) | The rate shown was the current yield as of January 31, 2018. |
Abbreviations
| CVR | Contingent Value Rights |
| REIT | Real Estate Investment Trust |
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
$ | 604,397 | $ | — | $ | — | $ | 604,397 | ||||||||
| Air Freight & Logistics |
147,005 | — | — | 147,005 | ||||||||||||
| Airlines |
188,600 | — | — | 188,600 | ||||||||||||
| Auto Components |
1,590,550 | — | — | 1,590,550 | ||||||||||||
| Automobiles |
234,386 | — | — | 234,386 | ||||||||||||
| Banks |
1,866,959 | — | — | 1,866,959 | ||||||||||||
| Beverages |
896,351 | — | — | 896,351 | ||||||||||||
| Biotechnology |
1,548,593 | — | — | 1,548,593 | ||||||||||||
| Building Products |
801,677 | — | — | 801,677 | ||||||||||||
| Capital Markets |
73,219 | — | — | 73,219 | ||||||||||||
| Chemicals |
2,384,000 | — | — | 2,384,000 | ||||||||||||
| Commercial Services & Supplies |
2,496,635 | — | — | 2,496,635 | ||||||||||||
| Communications Equipment |
952,757 | — | — | 952,757 | ||||||||||||
| Construction & Engineering |
395,318 | — | — | 395,318 | ||||||||||||
| Construction Materials |
47,644 | — | — | 47,644 | ||||||||||||
| Consumer Finance |
101,849 | — | — | 101,849 | ||||||||||||
| Containers & Packaging |
90,305 | — | — | 90,305 | ||||||||||||
| Distributors |
435,915 | — | — | 435,915 | ||||||||||||
| Diversified Consumer Services |
572,553 | — | — | 572,553 | ||||||||||||
| Diversified Telecommunication Services |
926,299 | — | — | 926,299 | ||||||||||||
| Electric Utilities |
2,234,690 | — | — | 2,234,690 | ||||||||||||
| Electrical Equipment |
226,287 | — | — | 226,287 | ||||||||||||
| Electronic Equipment, Instruments & Components |
1,224,693 | — | — | 1,224,693 | ||||||||||||
| Energy Equipment & Services |
645,326 | — | — | 645,326 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) |
1,123,016 | — | — | 1,123,016 | ||||||||||||
| Food & Staples Retailing |
409,845 | — | — | 409,845 | ||||||||||||
| Food Products |
2,365,669 | — | — | 2,365,669 | ||||||||||||
| Gas Utilities |
2,155,918 | — | — | 2,155,918 | ||||||||||||
| Health Care Equipment & Supplies |
3,377,266 | — | — | 3,377,266 | ||||||||||||
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Health Care Providers & Services |
$ | 1,049,785 | $ | — | $ | — | $ | 1,049,785 | ||||||||
| Health Care Technology |
393,921 | — | — | 393,921 | ||||||||||||
| Hotels, Restaurants & Leisure |
2,420,595 | — | — | 2,420,595 | ||||||||||||
| Household Durables |
2,807,638 | — | 11,469 | 2,819,107 | ||||||||||||
| Household Products |
532,751 | — | — | 532,751 | ||||||||||||
| Independent Power and Renewable Electricity Producers |
568,270 | — | — | 568,270 | ||||||||||||
| Insurance |
652,798 | — | — | 652,798 | ||||||||||||
| Internet & Direct Marketing Retail |
402,929 | — | — | 402,929 | ||||||||||||
| Internet Software & Services |
842,104 | — | — | 842,104 | ||||||||||||
| IT Services |
1,284,264 | — | — | 1,284,264 | ||||||||||||
| Leisure Products |
383,317 | — | — | 383,317 | ||||||||||||
| Life Sciences Tools & Services |
277,227 | — | — | 277,227 | ||||||||||||
| Machinery |
1,956,783 | — | — | 1,956,783 | ||||||||||||
| Marine |
31,815 | — | — | 31,815 | ||||||||||||
| Media |
919,607 | — | — | 919,607 | ||||||||||||
| Metals & Mining |
1,079,318 | — | — | 1,079,318 | ||||||||||||
| Mortgage Real Estate Investment Trusts (REITs) |
258,629 | — | — | 258,629 | ||||||||||||
| Multiline Retail |
272,686 | — | — | 272,686 | ||||||||||||
| Multi-Utilities |
913,140 | — | — | 913,140 | ||||||||||||
| Oil, Gas & Consumable Fuels |
1,127,356 | — | — | 1,127,356 | ||||||||||||
| Paper & Forest Products |
614,348 | — | — | 614,348 | ||||||||||||
| Personal Products |
511,190 | — | — | 511,190 | ||||||||||||
| Pharmaceuticals |
603,883 | — | — | 603,883 | ||||||||||||
| Professional Services |
544,330 | — | — | 544,330 | ||||||||||||
| Real Estate Management & Development |
24,442 | — | — | 24,442 | ||||||||||||
| Road & Rail |
764,876 | — | — | 764,876 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
1,617,767 | — | — | 1,617,767 | ||||||||||||
| Software |
2,043,935 | — | — | 2,043,935 | ||||||||||||
| Specialty Retail |
1,810,040 | — | — | 1,810,040 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
186,845 | — | — | 186,845 | ||||||||||||
| Textiles, Apparel & Luxury Goods |
1,306,626 | — | — | 1,306,626 | ||||||||||||
| Thrifts & Mortgage Finance |
460,283 | — | — | 460,283 | ||||||||||||
| Tobacco |
544,041 | — | — | 544,041 | ||||||||||||
| Trading Companies & Distributors |
883,770 | — | — | 883,770 | ||||||||||||
| Water Utilities |
880,444 | — | — | 880,444 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
61,089,475 | — | 11,469 | 61,100,944 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| Media |
— | — | 75 | 75 | ||||||||||||
| Short-Term Investment |
||||||||||||||||
| Investment Company |
133,470 | — | — | 133,470 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 61,222,945 | $ | — | $ | 11,544 | $ | 61,234,489 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan U.S Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan U.S Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| * | Non-income producing security. | |||||
| (a) | Affiliated company as defined under the Investment Company Act of 1940. | |||||
| (b) | The rate shown was the current yield as of January 31, 2018. | |||||
| Abbreviations | ||||||
| REIT | Real Estate Investment Trust | |||||
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 27,626,510 | $ | — | $ | — | $ | 27,626,510 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| * | Non-income producing security. | |||
| (a) | Affiliated company as defined under the Investment Company Act of 1940. | |||
| (b) | The rate shown was the current yield as of January 31, 2018. | |||
| (c) | Represents less than 0.05% of net assets. |
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 26,500,741 | $ | — | $ | — | $ | 26,500,741 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 28,462,899 | $ | — | $ | — | $ | 28,462,899 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 27,123,545 | $ | — | $ | — | $ | 27,123,545 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| * | Non-income producing security. | |||
| (a) | Affiliated company as defined under the Investment Company Act of 1940. | |||
| (b) | The rate shown was the current yield as of January 31, 2018. | |||
| Abbreviations | ||||
| REIT | Real Estate Investment Trust | |||
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2– Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 28,451,115 | $ | — | $ | — | $ | 28,451,115 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Futures contracts outstanding as of January 31, 2018:
| Description | Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||
| Long Contracts |
| |||||||||||||||
| CAC 40 10 Euro Index |
22 | 02/2018 | EUR | 1,496,741 | (6,668 | ) | ||||||||||
| Hang Seng Index |
8 | 02/2018 | HKD | 1,675,807 | (2,420 | ) | ||||||||||
| IBEX 35 Index |
2 | 02/2018 | EUR | 259,119 | (1,882 | ) | ||||||||||
| WTI Crude Oil |
10 | 02/2018 | USD | 647,300 | 8,233 | |||||||||||
| Australia 10 Year Bond |
593 | 03/2018 | AUD | 60,968,477 | (1,073,196 | ) | ||||||||||
| Canada 10 Year Bond |
44 | 03/2018 | CAD | 4,730,179 | (138,220 | ) | ||||||||||
| Copper |
9 | 03/2018 | USD | 718,988 | 39,139 | |||||||||||
| Cotton No. 2 |
21 | 03/2018 | USD | 811,440 | 34,787 | |||||||||||
| DAX Index |
3 | 03/2018 | EUR | 1,228,627 | 4,460 | |||||||||||
| Euro STOXX 50 Index |
22 | 03/2018 | EUR | 983,545 | (9,754 | ) | ||||||||||
| Euro-Bund |
17 | 03/2018 | EUR | 3,352,110 | (61,460 | ) | ||||||||||
| Euro-Buxl |
4 | 03/2018 | EUR | 803,233 | (10,655 | ) | ||||||||||
| Euro-Schatz |
109 | 03/2018 | EUR | 15,131,130 | (39,497 | ) | ||||||||||
| Feeder Cattle |
1 | 03/2018 | USD | 72,525 | 397 | |||||||||||
| FTSE 100 Index |
18 | 03/2018 | GBP | 1,908,669 | (11,366 | ) | ||||||||||
| FTSE/MIB Index |
6 | 03/2018 | EUR | 875,882 | (2,235 | ) | ||||||||||
| Japan 10 Year Bond |
12 | 03/2018 | JPY | 16,523,221 | (48,953 | ) | ||||||||||
| LME Aluminum Base Metal |
82 | 03/2018 | USD | 4,538,188 | 41,043 | |||||||||||
| LME Nickel Base Metal |
13 | 03/2018 | USD | 1,059,201 | 61,680 | |||||||||||
| LME Zinc Base Metal |
48 | 03/2018 | USD | 4,259,400 | 162,719 | |||||||||||
| Long Gilt |
3 | 03/2018 | GBP | 520,261 | (10,367 | ) | ||||||||||
| Natural Gas |
15 | 03/2018 | USD | 429,000 | 11,283 | |||||||||||
| S&P 500 E-Mini Index |
25 | 03/2018 | USD | 3,532,250 | 171,254 | |||||||||||
| SPI 200 Index |
22 | 03/2018 | AUD | 2,647,772 | (25,168 | ) | ||||||||||
| TOPIX Index |
12 | 03/2018 | JPY | 2,031,754 | 47,828 | |||||||||||
| U.S. Treasury 10 Year Note |
363 | 03/2018 | USD | 44,138,531 | (989,041 | ) | ||||||||||
| U.S. Treasury Long Bond |
6 | 03/2018 | USD | 886,688 | (28,201 | ) | ||||||||||
| WTI Crude Oil |
32 | 03/2018 | USD | 2,065,920 | 71,885 | |||||||||||
| 100 oz Gold |
7 | 04/2018 | USD | 940,170 | (2,889 | ) | ||||||||||
| Feeder Cattle |
15 | 04/2018 | USD | 1,093,875 | (2,932 | ) | ||||||||||
| Lean Hogs |
14 | 04/2018 | USD | 404,600 | (12,041 | ) | ||||||||||
| Live Cattle |
43 | 04/2018 | USD | 2,114,310 | (18,517 | ) | ||||||||||
| LME Zinc Base Metal |
9 | 04/2018 | USD | 797,400 | 5,823 | |||||||||||
| WTI Crude Oil |
21 | 04/2018 | USD | 1,350,510 | (4,596 | ) | ||||||||||
| Feeder Cattle |
20 | 05/2018 | USD | 1,459,250 | (10,484 | ) | ||||||||||
| Live Cattle |
36 | 06/2018 | USD | 1,657,080 | (1,636 | ) | ||||||||||
|
|
|
|||||||||||||||
| (1,851,647 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
| |||||||||||||||
| Natural Gas |
(20 | ) | 02/2018 | USD | (599,000 | ) | 3,765 | |||||||||
| Sugar No. 11 |
(6 | ) | 02/2018 | USD | (88,906 | ) | (774 | ) | ||||||||
| Australia 3 Year Bond |
(31 | ) | 03/2018 | AUD | (2,772,484 | ) | (4,656 | ) | ||||||||
| Canada 10 Year Bond |
(5 | ) | 03/2018 | CAD | (537,520 | ) | 3,458 | |||||||||
| Cocoa |
(9 | ) | 03/2018 | USD | (179,640 | ) | (9,367 | ) | ||||||||
| Coffee ‘C’ |
(19 | ) | 03/2018 | USD | (868,181 | ) | 86,174 | |||||||||
| Corn |
(72 | ) | 03/2018 | USD | (1,301,400 | ) | (16,737 | ) | ||||||||
| Euro-Bobl |
(3 | ) | 03/2018 | EUR | (485,881 | ) | 3,498 | |||||||||
| Euro-Bund |
(36 | ) | 03/2018 | EUR | (7,098,587 | ) | 185,829 | |||||||||
| Japan 10 Year Bond |
(29 | ) | 03/2018 | JPY | (39,931,117 | ) | 105,819 | |||||||||
| Long Gilt |
(297 | ) | 03/2018 | GBP | (51,505,881 | ) | 965,200 | |||||||||
| S&P 500 E-Mini Index |
(85 | ) | 03/2018 | USD | (12,009,650 | ) | (671,885 | ) | ||||||||
| Silver |
(7 | ) | 03/2018 | USD | (603,435 | ) | (2,129 | ) | ||||||||
| Soybean |
(13 | ) | 03/2018 | USD | (647,237 | ) | (14,326 | ) | ||||||||
| U.S. Treasury 10 Year Note |
(22 | ) | 03/2018 | USD | (2,675,063 | ) | 46,045 | |||||||||
| U.S. Treasury 2 Year Note |
(146 | ) | 03/2018 | USD | (31,129,938 | ) | 121,170 | |||||||||
| U.S. Treasury 5 Year Note |
(55 | ) | 03/2018 | USD | (6,309,531 | ) | 68,213 | |||||||||
| Wheat |
(46 | ) | 03/2018 | USD | (1,039,025 | ) | (36,236 | ) | ||||||||
| Lean Hogs |
(74 | ) | 04/2018 | USD | (2,138,600 | ) | 62,792 | |||||||||
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Description | Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
| Lean Hogs |
(25 | ) | 04/2018 | USD | (722,500 | ) | 1,786 | |||||||||||||
| Sugar No. 11 |
(61 | ) | 04/2018 | USD | (913,438 | ) | 30,661 | |||||||||||||
| Coffee ‘C’ |
(59 | ) | 05/2018 | USD | (2,747,925 | ) | 118,247 | |||||||||||||
| Corn |
(161 | ) | 05/2018 | USD | (2,974,475 | ) | (19,812 | ) | ||||||||||||
| Lean Hogs |
(24 | ) | 05/2018 | USD | (747,120 | ) | (44,955 | ) | ||||||||||||
| Wheat |
(152 | ) | 05/2018 | USD | (3,537,800 | ) | (33,886 | ) | ||||||||||||
| Sugar No. 11 |
(59 | ) | 06/2018 | USD | (903,314 | ) | 19,400 | |||||||||||||
| Corn |
(105 | ) | 07/2018 | USD | (1,980,562 | ) | (18,847 | ) | ||||||||||||
| Wheat |
(59 | ) | 07/2018 | USD | (1,413,050 | ) | (51,599 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| 896,848 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| (954,799 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviations | ||
| AUD |
— Australian Dollar | |
| CAC |
— Continuous Assisted Quotation | |
| CAD |
— Canadian Dollar | |
| DAX |
— Deutscher Aktien Index | |
| EUR |
— Euro | |
| FTSE |
— Financial Times and the London Stock Exchange | |
| GBP |
— British Pound | |
| HKD |
— Hong Kong Dollar | |
| IBEX |
— Madrid Stock Exchange | |
| JPY |
— Japanese Yen | |
| LME |
— London Metal Exchange | |
| MIB |
— Milan, Italian Stock Exchange | |
| TOPIX |
— Tokyo Stock Price Index | |
| USD |
— United States Dollar | |
| WTI |
— West Texas Intermediate | |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
| Currency Purchased | Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| AUD | 1,056,370 | USD | 839,148 | Deutsche Bank AG, New York | 02/09/2018 | 12,033 | ||||||||||||
| AUD | 9,720,327 | USD | 7,651,939 | Australia and New Zealand Banking Group Limited | 02/23/2018 | 179,986 | ||||||||||||
| BRL | 6,670,372 | USD | 2,065,706 | Goldman Sachs International** | 02/23/2018 | 23,222 | ||||||||||||
| BRL | 638,981 | USD | 198,454 | Merrill Lynch International** | 02/23/2018 | 1,653 | ||||||||||||
| GBP | 729,120 | USD | 995,654 | Australia and New Zealand Banking Group Limited | 02/23/2018 | 40,343 | ||||||||||||
| JPY | 730,059,445 | USD | 6,582,614 | Barclays Bank plc | 02/23/2018 | 111,816 | ||||||||||||
| JPY | 48,727,325 | USD | 438,760 | Royal Bank of Canada | 02/23/2018 | 8,055 | ||||||||||||
| MXN | 39,886,867 | USD | 2,073,780 | HSBC Bank plc | 02/23/2018 | 62,397 | ||||||||||||
| NOK | 19,922,407 | USD | 2,505,742 | HSBC Bank plc | 02/23/2018 | 80,119 | ||||||||||||
| TRY | 7,702,828 | USD | 2,026,971 | Barclays Bank plc | 02/23/2018 | 11,493 | ||||||||||||
| TRY | 734,108 | USD | 191,635 | Royal Bank of Canada | 02/23/2018 | 2,638 | ||||||||||||
| USD | 2,050,241 | KRW | 2,179,099,025 | Goldman Sachs International** | 02/23/2018 | 11,925 | ||||||||||||
| USD | 213,847 | KRW | 228,307,334 | Merrill Lynch International** | 02/23/2018 | 290 | ||||||||||||
| USD | 2,230,383 | PHP | 112,612,810 | Goldman Sachs International** | 02/23/2018 | 38,562 | ||||||||||||
| ZAR | 25,456,414 | USD | 2,041,108 | HSBC Bank plc | 02/23/2018 | 101,376 | ||||||||||||
| RUB | 117,732,302 | USD | 2,069,407 | Goldman Sachs International** | 02/26/2018 | 18,959 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation |
704,867 | |||||||||||||||||
|
|
|
|||||||||||||||||
| USD | 826,925 | AUD | 1,056,370 | HSBC Bank plc | 02/09/2018 | (24,255 | ) | |||||||||||
| USD | 917,183 | GBP | 651,113 | Deutsche Bank AG, New York | 02/09/2018 | (7,544 | ) | |||||||||||
| AUD | 550,065 | NZD | 602,369 | Goldman Sachs International | 02/23/2018 | (604 | ) | |||||||||||
| USD | 563,543 | CAD | 705,178 | Barclays Bank plc | 02/23/2018 | (9,904 | ) | |||||||||||
| USD | 544,062 | CHF | 521,238 | Goldman Sachs International | 02/23/2018 | (16,790 | ) | |||||||||||
| USD | 15,656,428 | CHF | 15,163,219 | Merrill Lynch International | 02/23/2018 | (659,216 | ) | |||||||||||
| USD | 4,065,776 | EUR | 3,341,934 | Barclays Bank plc | 02/23/2018 | (88,576 | ) | |||||||||||
| USD | 2,066,365 | HUF | 524,672,985 | HSBC Bank plc | 02/23/2018 | (34,881 | ) | |||||||||||
| USD | 6,723,305 | NZD | 9,269,152 | Australia and New Zealand Banking Group Limited | 02/23/2018 | (105,903 | ) | |||||||||||
| USD | 7,675,319 | SEK | 62,062,608 | Barclays Bank plc | 02/23/2018 | (210,911 | ) | |||||||||||
| USD | 456,310 | SEK | 3,660,319 | Credit Suisse International | 02/23/2018 | (8,803 | ) | |||||||||||
| USD | 2,083,466 | THB | 66,510,289 | Australia and New Zealand Banking Group Limited | 02/23/2018 | (41,031 | ) | |||||||||||
| USD | 2,243,843 | TWD | 66,251,646 | Goldman Sachs International** | 02/23/2018 | (31,817 | ) | |||||||||||
|
|
|
|||||||||||||||||
| Total unrealized depreciation |
(1,240,235 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
| Net unrealized depreciation |
(535,368 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
| ** |
— Non-deliverable forward. | |
| Abbreviations | ||
| AUD |
— Australian Dollar | |
| BRL |
— Brazilian Real | |
| CAD |
— Canadian Dollar | |
| CHF |
— Swiss Franc | |
| EUR |
— Euro | |
| GBP |
— British Pound | |
| HUF |
— Hungary Forint | |
| JPY |
— Japanese Yen | |
| KRW |
— Korean Republic Won | |
| MXN |
— Mexican Peso | |
| NOK |
— Norwegian Krone | |
| NZD |
— New Zealand Dollar | |
| PHP |
— Philippine Peso | |
| RUB |
— Russia Ruble | |
| SEK |
— Swedish Krona | |
| THB |
— Thai Baht | |
| TRY |
— Turkey Lira | |
| TWD |
— Taiwan New Dollar | |
| USD |
— United States Dollar | |
| ZAR |
— South Africa Rand | |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Over the Counter (“OTC”) Total Return Swap contracts outstanding as of January 31, 2018:
| Reference Entity |
Payments Made |
Payments Received |
Frequency of Made/Received |
Counterparty |
Maturity Date |
Notional Amount |
Upfront Payments(Receipts) ($) |
Value and Unrealized Appreciation (Depreciation) ($) | ||||||||||||
| Media Gen, Inc., CVR | Total appreciation/depreciation of the position at maturity | Total appreciation/depreciation of the position at maturity | At Termination | Bank of America | 10/18/2018 | USD 1,329 |
— | 65‡ | ||||||||||||
|
|
|
| ||||||||||||||||||
| — | 65 | |||||||||||||||||||
|
|
|
| ||||||||||||||||||
| ‡ | — | Value determined using significant unobservable inputs. |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | 218,609 | $ | (1,776 | ) | $ | 1,179 | $ | (597 | ) | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Jean Coutu Group PJC, Inc. (The) |
14,915 | 293,935 | (1,218 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Metro, Inc. |
(2,251 | ) | (75,326 | ) | (558 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
12,664 | 218,609 | (1,776 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.55%, which is denominated in GBP based on the local currencies of the positions within the swaps. | 03/29/2019 | $ | 1,048,171 | $ | 29,668 | $ | 4,660 | $ | 34,328 | ||||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Banks |
||||||||||||||||
| Aldermore Group plc* |
30,551 | 135,079 | (85 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Sole Realisation Co. plc*‡ |
153 | 152 | — | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Booker Group plc |
90,905 | 292,476 | (1,894 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Sky plc |
43,718 | 657,513 | 36,460 | 0.0 | (a) | |||||||||||
| UBM plc |
84,236 | 1,086,006 | (1,060 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 127,954 | 1,743,519 | 35,400 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
249,563 | 2,171,226 | 33,421 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Tesco plc |
(77,486 | ) | (230,373 | ) | 310 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Informa plc |
(90,315 | ) | (892,682 | ) | (4,063 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(167,801 | ) | (1,123,055 | ) | (3,753 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
81,762 | 1,048,171 | 29,668 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.25%, which is denominated in USD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | 620,244 | $ | 31,146 | $ | 9,050 | $ | 40,196 | ||||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Banks |
||||||||||||||||
| MainSource Financial Group, Inc. |
3,208 | 126,235 | 3,112 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Time Warner, Inc. |
16,319 | 1,556,017 | 38,839 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
19,527 | 1,682,252 | 41,951 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Banks |
||||||||||||||||
| First Financial Bancorp |
(4,406 | ) | (125,571 | ) | (3,304 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| AT&T, Inc. |
(25,005 | ) | (936,437 | ) | (7,501 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(29,411 | ) | (1,062,008 | ) | (10,805 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(9,884 | ) | 620,244 | 31,146 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month EURIBOR on short positions, which is denominated in EUR based on the local currencies of the positions within the swaps. | 04/30/2019 | $ | (437,458 | ) | $ | 4,115 | $ | (542 | ) | $ | 3,573 | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Construction & Engineering |
||||||||||||||||
| HOCHTIEF AG |
(2,419 | ) | (437,458 | ) | 4,115 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.35%, which is denominated in SEK based on the local currencies of the positions within the swaps. | 07/31/2019 | $ | 68,009 | $ | 902 | $ | (6,010 | ) | $ | (5,108 | ) | ||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Com Hem Holding AB* |
14,972 | 260,303 | 5,162 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Tele2 AB |
(15,376 | ) | (192,294 | ) | (4,260 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(404 | ) | 68,009 | 902 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions respectively, plus or minus a specified spread of 0.35%, which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | 197,358 | $ | (184 | ) | $ | (115 | ) | $ | (299 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Internet Software & Services |
||||||||||||||||
| Aconex Ltd.* |
31,878 | 197,358 | (184 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 10/15/2018 | $ | (2,974,129 | ) | $ | 99,502 | $ | (2,043 | ) | $ | 97,459 | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Banks |
||||||||||||||||
| Laurentian Bank of Canada |
880 | 38,062 | 200 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Toromont Industries Ltd. |
3,209 | 140,126 | (2,086 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
4,089 | 178,188 | (1,886 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Bombardier, Inc.* |
(102,747 | ) | (290,699 | ) | (28,177 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Precision Drilling Corp.* |
(88,090 | ) | (319,416 | ) | 2,369 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Independent Power and Renewable Electricity Producers |
||||||||||||||||
| Northland Power, Inc. |
(18,735 | ) | (348,501 | ) | 7,431 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| First Majestic Silver Corp.* |
(50,645 | ) | (309,634 | ) | 45,081 | 0.0 | (a) | |||||||||
| Franco-Nevada Corp. |
(4,638 | ) | (354,637 | ) | 9,097 | 0.0 | (a) | |||||||||
| Goldcorp, Inc. |
(24,584 | ) | (351,971 | ) | 6,651 | 0.0 | (a) | |||||||||
| MAG Silver Corp.* |
(23,000 | ) | (246,829 | ) | 22,362 | 0.0 | (a) | |||||||||
| Wheaton Precious Metals Corp. |
(16,220 | ) | (350,378 | ) | 7,378 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (119,087 | ) | (1,613,449 | ) | 90,569 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| MEG Energy Corp.* |
(62,834 | ) | (284,030 | ) | 11,924 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| BlackBerry Ltd.* |
(23,356 | ) | (296,222 | ) | 17,272 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(414,849 | ) | (3,152,317 | ) | 101,388 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(410,760 | ) | (2,974,129 | ) | 99,502 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month EURIBOR on short positions respectively, plus or minus a specified spread of 0.35%, which is denominated in EUR based on the local currencies of the positions within the swaps. | 03/29/2019 | $ | (9,618,616 | ) | $ | 111,938 | $ | (22,545 | ) | $ | 89,393 | ||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Rights |
||||||||||||||||
| Construction & Engineering |
||||||||||||||||
| Sacyr SA* |
(109,272 | ) | (7,394 | ) | (7,305 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Common Stocks |
||||||||||||||||
| Beverages |
||||||||||||||||
| Anheuser-Busch InBev SA/NV |
(3,055 | ) | (346,008 | ) | 10,938 | 0.0 | (a) | |||||||||
| Davide Campari-Milano SpA |
(45,332 | ) | (361,076 | ) | (7,756 | ) | 0.0 | (a) | ||||||||
| Remy Cointreau SA |
(2,668 | ) | (351,141 | ) | 12,243 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (51,055 | ) | (1,058,225 | ) | 15,425 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Deutsche Bank AG (Registered) |
(18,237 | ) | (335,573 | ) | 12,478 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| OCI NV* |
(1,375 | ) | (34,907 | ) | 62 | 0.0 | (a) | |||||||||
| Symrise AG |
(4,161 | ) | (348,700 | ) | 7,928 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,536 | ) | (383,607 | ) | 7,990 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Prosegur Cia de Seguridad SA |
(42,021 | ) | (349,349 | ) | 7,940 | 0.0 | (a) | |||||||||
| Societe BIC SA |
(2,950 | ) | (337,818 | ) | 17,315 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (44,971 | ) | (687,167 | ) | 25,255 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Ferrovial SA |
(15,199 | ) | (348,921 | ) | 9,578 | 0.0 | (a) | |||||||||
| Sacyr SA |
(109,272 | ) | (356,638 | ) | (15,466 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (124,471 | ) | (705,559 | ) | (5,888 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Iliad SA |
(1,363 | ) | (352,645 | ) | 1,155 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| Nexans SA |
(5,764 | ) | (349,612 | ) | 8,131 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| Sartorius Stedim Biotech |
(4,432 | ) | (384,078 | ) | (30,040 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| Korian SA |
(10,653 | ) | (343,088 | ) | 33,389 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Accor SA |
(6,215 | ) | (353,727 | ) | (2,778 | ) | 0.0 | (a) | ||||||||
| NH Hotel Group SA |
(35,757 | ) | (271,872 | ) | (2,344 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (41,972 | ) | (625,599 | ) | (5,122 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Zalando SE*(b)(c) |
(4,901 | ) | (287,258 | ) | 779 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| Tieto OYJ |
(10,085 | ) | (350,562 | ) | 655 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
||||||||||||||||
| Amer Sports OYJ* |
(12,710 | ) | (358,822 | ) | (7,357 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Life Sciences Tools & Services |
||||||||||||||||
| MorphoSys AG* |
(3,495 | ) | (344,774 | ) | 27,974 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| Alstom SA |
(7,893 | ) | (346,223 | ) | 13,362 | 0.0 | (a) | |||||||||
| GEA Group AG |
(7,176 | ) | (356,914 | ) | (7,809 | ) | 0.0 | (a) | ||||||||
| KION Group AG |
(3,733 | ) | (343,118 | ) | 9,740 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (18,802 | ) | (1,046,255 | ) | 15,293 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Altice NV* |
(23,577 | ) | (252,845 | ) | 9,222 | 0.0 | (a) | |||||||||
| JCDecaux SA |
(7,880 | ) | (340,908 | ) | 11,004 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (31,457 | ) | (593,753 | ) | 20,226 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| thyssenkrupp AG |
(11,118 | ) | (350,051 | ) | (229 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Professional Services |
||||||||||||||||
| Bureau Veritas SA |
(12,010 | ) | (351,931 | ) | 4,850 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| Europcar Groupe SA(b)(c) |
(24,690 | ) | (343,325 | ) | 324 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
||||||||||||||||
| Getlink SE |
(25,613 | ) | (359,338 | ) | (6,045 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
(463,335 | ) | (9,611,222 | ) | 119,243 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(572,607 | ) | (9,618,616 | ) | 111,938 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.35%, which is denominated in GBP based on the local currencies of the positions within the swaps. | 03/29/2019 | $ | (7,670,016 | ) | $ | 312,903 | $ | (16,941 | ) | $ | 295,962 | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Capital Markets |
||||||||||||||||
| 3i Group plc |
2,539 | 33,573 | (353 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Petrofac Ltd. |
1,945 | 14,655 | (364 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Wm Morrison Supermarkets plc |
8,155 | 25,705 | (785 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Carnival plc |
453 | 31,961 | 173 | 0.0 | (a) | |||||||||||
| William Hill plc |
5,283 | 23,253 | (1,759 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 5,736 | 55,214 | (1,586 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Rio Tinto plc |
694 | 38,630 | (875 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| Centrica plc |
6,876 | 13,029 | (731 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
25,945 | 180,806 | (4,694 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Cobham plc* |
(179,860 | ) | (333,902 | ) | 4,768 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Barclays plc |
(120,641 | ) | (343,092 | ) | 1,135 | 0.0 | (a) | |||||||||
| Standard Chartered plc* |
(30,636 | ) | (356,457 | ) | 999 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (151,277 | ) | (699,549 | ) | 2,134 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Hargreaves Lansdown plc |
(11,901 | ) | (314,041 | ) | 10,265 | 0.0 | (a) | |||||||||
| St James’s Place plc |
(20,166 | ) | (340,469 | ) | 19,041 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (32,067 | ) | (654,510 | ) | 29,306 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Johnson Matthey plc |
(7,790 | ) | (382,878 | ) | (22,643 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Balfour Beatty plc |
(87,390 | ) | (350,670 | ) | 14,417 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Consumer Services |
||||||||||||||||
| Dignity plc |
(26,386 | ) | (306,046 | ) | 188,515 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| Melrose Industries plc |
(109,826 | ) | (352,951 | ) | 6,926 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Compass Group plc |
(16,495 | ) | (347,301 | ) | 7,640 | 0.0 | (a) | |||||||||
| Domino’s Pizza Group plc |
(71,415 | ) | (342,423 | ) | 9,647 | 0.0 | (a) | |||||||||
| GVC Holdings plc |
(27,240 | ) | (358,533 | ) | (238 | ) | 0.0 | (a) | ||||||||
| InterContinental Hotels Group plc |
(5,161 | ) | (345,323 | ) | 8,065 | 0.0 | (a) | |||||||||
| Merlin Entertainments plc |
(72,047 | ) | (336,144 | ) | 19,804 | 0.0 | (a) | |||||||||
| Whitbread plc |
(6,325 | ) | (348,601 | ) | 9,427 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (198,683 | ) | (2,078,325 | ) | 54,345 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
||||||||||||||||
| DCC plc |
(3,385 | ) | (355,787 | ) | 9,514 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Fresnillo plc |
(18,111 | ) | (346,746 | ) | 6,473 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| B&M European Value Retail SA |
(40,207 | ) | (237,322 | ) | (423 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Cairn Energy plc* |
(116,843 | ) | (343,778 | ) | 14,147 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| Sophos Group plc(b)(c) |
(38,385 | ) | (349,582 | ) | 30 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Tobacco |
||||||||||||||||
| British American Tobacco plc |
(5,006 | ) | (342,144 | ) | 11,345 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Bunzl plc |
(12,679 | ) | (370,894 | ) | (9,637 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Water Utilities |
||||||||||||||||
| Pennon Group plc |
(33,822 | ) | (345,738 | ) | 8,380 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(1,061,717 | ) | (7,850,822 | ) | 317,597 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(1,035,772 | ) | (7,670,016 | ) | 312,903 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in USD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | (23,118,866 | ) | $ | (92,413 | ) | $ | (23,906 | ) | $ | (116,319 | ) | ||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Aerovironment, Inc. * |
(5,213 | ) | (267,740 | ) | 7,038 | 0.0 | (a) | |||||||||
| TransDigm Group, Inc. |
(929 | ) | (294,409 | ) | (21,190 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (6,142 | ) | (562,149 | ) | (14,152 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Air Freight & Logistics |
||||||||||||||||
| Hub Group, Inc. * |
(5,716 | ) | (274,654 | ) | 18,291 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Airlines |
||||||||||||||||
| Spirit Airlines, Inc. * |
(7,044 | ) | (296,693 | ) | 20,005 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Signature Bank * |
(1,959 | ) | (301,686 | ) | (1,097 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Building Products |
||||||||||||||||
| Armstrong World Industries, Inc. * |
(4,426 | ) | (277,510 | ) | (2,877 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Charles Schwab Corp. (The) |
(5,293 | ) | (282,329 | ) | 10,533 | 0.0 | (a) | |||||||||
| TD Ameritrade Holding Corp. |
(5,147 | ) | (287,151 | ) | (4,272 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (10,440 | ) | (569,480 | ) | 6,261 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| CF Industries Holdings, Inc. |
(7,013 | ) | (297,632 | ) | (16,551 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Clean Harbors, Inc. * |
(4,642 | ) | (256,888 | ) | (3,342 | ) | 0.0 | (a) | ||||||||
| Covanta Holding Corp. |
(17,372 | ) | (284,032 | ) | 6,949 | 0.0 | (a) | |||||||||
| Healthcare Services Group, Inc. |
(4,330 | ) | (238,929 | ) | (13,553 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (26,344 | ) | (779,849 | ) | (9,946 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Communications Equipment |
||||||||||||||||
| Infinera Corp. * |
(27,781 | ) | (179,743 | ) | 8,890 | 0.0 | (a) | |||||||||
| ViaSat, Inc. * |
(4,466 | ) | (337,719 | ) | 12,605 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (32,247 | ) | (517,462 | ) | 21,495 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
||||||||||||||||
| LendingClub Corp. * |
(40,899 | ) | (149,690 | ) | 20,040 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Containers & Packaging |
||||||||||||||||
| Ball Corp. |
(5,642 | ) | (215,976 | ) | 2,877 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributors |
||||||||||||||||
| Core-Mark Holding Co., Inc. |
(7,216 | ) | (159,401 | ) | 11,113 | 0.0 | (a) | |||||||||
| LKQ Corp. * |
(6,413 | ) | (269,538 | ) | 4,297 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (13,629 | ) | (428,939 | ) | 15,410 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Diversified Consumer Services |
||||||||||||||||
| Chegg, Inc.* |
(17,630 | ) | (305,352 | ) | (21,685 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Weatherford International plc* |
(76,739 | ) | (302,352 | ) | 1,535 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Casey’s General Stores, Inc. |
(2,140 | ) | (259,175 | ) | 5,222 | 0.0 | (a) | |||||||||
| Smart & Final Stores, Inc.* |
(31,004 | ) | (291,438 | ) | (3,100 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (33,144 | ) | (550,613 | ) | 2,122 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| AtriCure, Inc.* |
(12,462 | ) | (203,255 | ) | 15,951 | 0.0 | (a) | |||||||||
| DexCom, Inc.* |
(4,576 | ) | (266,323 | ) | (8,786 | ) | 0.0 | (a) | ||||||||
| Insulet Corp.* |
(3,560 | ) | (272,447 | ) | (12,958 | ) | 0.0 | (a) | ||||||||
| Nevro Corp.* |
(2,876 | ) | (230,828 | ) | (8,225 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (23,474 | ) | (972,853 | ) | (14,018 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Chipotle Mexican Grill, Inc.* |
(889 | ) | (288,712 | ) | 11,353 | 0.0 | (a) | |||||||||
| MGM Resorts International |
(7,526 | ) | (274,323 | ) | (2,860 | ) | 0.0 | (a) | ||||||||
| Red Robin Gourmet Burgers, Inc.* |
(4,022 | ) | (211,758 | ) | (603 | ) | 0.0 | (a) | ||||||||
| Wynn Resorts Ltd. |
(1,467 | ) | (242,921 | ) | 14,509 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (13,904 | ) | (1,017,714 | ) | 22,399 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Universal Electronics, Inc.* |
(4,171 | ) | (192,283 | ) | (2,503 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Groupon, Inc.* |
(44,821 | ) | (237,103 | ) | (8,068 | ) | 0.0 | (a) | ||||||||
| Netflix, Inc.* |
(1,296 | ) | (350,309 | ) | (64,761 | ) | 0.0 | (a) | ||||||||
| Wayfair, Inc.* |
(3,667 | ) | (337,401 | ) | (23,652 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (49,784 | ) | (924,813 | ) | (96,481 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| ANGI Homeservices, Inc.* |
(26,905 | ) | (359,451 | ) | 6,266 | 0.0 | (a) | |||||||||
| Cornerstone OnDemand, Inc.* |
(6,091 | ) | (250,523 | ) | (9,076 | ) | 0.0 | (a) | ||||||||
| Etsy, Inc.* |
(14,721 | ) | (276,166 | ) | 12,366 | 0.0 | (a) | |||||||||
| GTT Communications, Inc.* |
(6,253 | ) | (288,576 | ) | (24,699 | ) | 0.0 | (a) | ||||||||
| Hortonworks, Inc.* |
(12,662 | ) | (252,607 | ) | 6,204 | 0.0 | (a) | |||||||||
| MINDBODY, Inc.* |
(7,015 | ) | (246,577 | ) | (15,082 | ) | 0.0 | (a) | ||||||||
| Nutanix, Inc.* |
(7,292 | ) | (234,073 | ) | 29,824 | 0.0 | (a) | |||||||||
| Pandora Media, Inc.* |
(84,980 | ) | (406,204 | ) | (55,815 | ) | 0.0 | (a) | ||||||||
| SPS Commerce, Inc.* |
(4,111 | ) | (216,239 | ) | (5,591 | ) | 0.0 | (a) | ||||||||
| Wix.com Ltd.* |
(3,608 | ) | (220,268 | ) | (10,824 | ) | 0.0 | (a) | ||||||||
| Zillow Group, Inc.* |
(5,715 | ) | (254,089 | ) | (2,800 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (179,353 | ) | (3,004,773 | ) | (69,227 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| Syntel, Inc.* |
(10,025 | ) | (226,064 | ) | 9,323 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| Flowserve Corp. |
(6,107 | ) | (276,769 | ) | (6,046 | ) | 0.0 | (a) | ||||||||
| Welbilt, Inc.* |
(10,776 | ) | (240,305 | ) | 4,634 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (16,883 | ) | (517,074 | ) | (1,412 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Marine |
||||||||||||||||
| Matson, Inc. |
(9,129 | ) | (312,303 | ) | (32,864 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Liberty Broadband Corp.* |
(2,796 | ) | (267,158 | ) | (8,080 | ) | 0.0 | (a) | ||||||||
| Lions Gate Entertainment Corp.* |
(7,924 | ) | (268,148 | ) | 5,230 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (10,720 | ) | (535,306 | ) | (2,850 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Coeur Mining, Inc.* |
(27,237 | ) | (218,985 | ) | 7,899 | 0.0 | (a) | |||||||||
| Compass Minerals International, Inc. |
(4,773 | ) | (347,952 | ) | 2,915 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (32,010 | ) | (566,937 | ) | 10,814 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| Dominion Energy, Inc. |
(3,031 | ) | (231,690 | ) | (4,698 | ) | 0.0 | (a) | ||||||||
| NiSource, Inc. |
(8,971 | ) | (221,404 | ) | (6,280 | ) | 0.0 | (a) | ||||||||
| Sempra Energy |
(2,228 | ) | (238,441 | ) | (2,228 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (14,230 | ) | (691,535 | ) | (13,206 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Antero Resources Corp.* |
(12,342 | ) | (239,805 | ) | (1,234 | ) | 0.0 | (a) | ||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Oil, Gas & Consumable Fuels — continued |
||||||||||||||||
| Cheniere Energy, Inc. * |
(5,357 | ) | (302,992 | ) | (6,696 | ) | 0.0 | (a) | ||||||||
| Chesapeake Energy Corp. * |
(88,645 | ) | (310,258 | ) | 48,515 | 0.1 | ||||||||||
| Concho Resources, Inc. * |
(1,827 | ) | (287,643 | ) | (1,772 | ) | 0.0 | (a) | ||||||||
| Extraction Oil & Gas, Inc. * |
(15,270 | ) | (215,307 | ) | 4,123 | 0.0 | (a) | |||||||||
| Hess Corp. |
(5,994 | ) | (302,757 | ) | 19,960 | 0.0 | (a) | |||||||||
| Kosmos Energy Ltd. * |
(30,996 | ) | (214,182 | ) | (3,720 | ) | 0.0 | (a) | ||||||||
| Parsley Energy, Inc. * |
(9,858 | ) | (232,649 | ) | 51,459 | 0.1 | ||||||||||
| PDC Energy, Inc. * |
(5,771 | ) | (299,226 | ) | 11,657 | 0.0 | (a) | |||||||||
| SM Energy Co. |
(12,794 | ) | (298,740 | ) | 29,938 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (188,854 | ) | (2,703,559 | ) | 152,230 | 0.2 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Aerie Pharmaceuticals, Inc. * |
(4,335 | ) | (237,775 | ) | 13,222 | 0.0 | (a) | |||||||||
| Dermira, Inc. * |
(8,099 | ) | (230,983 | ) | (4,373 | ) | 0.0 | (a) | ||||||||
| Nektar Therapeutics * |
(5,022 | ) | (419,889 | ) | (67,546 | ) | 0.0 | (a) | ||||||||
| Pacira Pharmaceuticals, Inc. * |
(5,684 | ) | (206,898 | ) | 15,347 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (23,140 | ) | (1,095,545 | ) | (43,350 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| AMERCO |
(652 | ) | (238,032 | ) | 1,584 | 0.0 | (a) | |||||||||
| Werner Enterprises, Inc. |
(7,284 | ) | (296,459 | ) | 1,457 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (7,936 | ) | (534,491 | ) | 3,041 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| Autodesk, Inc. * |
(1,956 | ) | (226,153 | ) | (6,005 | ) | 0.0 | (a) | ||||||||
| FireEye, Inc. * |
(14,577 | ) | (219,821 | ) | 292 | 0.0 | (a) | |||||||||
| HubSpot, Inc. * |
(2,788 | ) | (270,575 | ) | (2,091 | ) | 0.0 | (a) | ||||||||
| PROS Holdings, Inc. * |
(4,744 | ) | (137,766 | ) | (1,992 | ) | 0.0 | (a) | ||||||||
| Snap, Inc. * |
(25,318 | ) | (342,299 | ) | 22,011 | 0.0 | (a) | |||||||||
| Splunk, Inc. * |
(3,051 | ) | (281,821 | ) | (2,868 | ) | 0.0 | (a) | ||||||||
| Workday, Inc. * |
(2,186 | ) | (262,080 | ) | (14,449 | ) | 0.0 | (a) | ||||||||
| Zendesk, Inc. * |
(7,246 | ) | (279,116 | ) | (15,506 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (61,866 | ) | (2,019,631 | ) | (20,608 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| CarMax, Inc. * |
(3,713 | ) | (264,997 | ) | (3,082 | ) | 0.0 | (a) | ||||||||
| L Brands, Inc. |
(5,015 | ) | (251,201 | ) | (5,366 | ) | 0.0 | (a) | ||||||||
| Monro, Inc. |
(4,606 | ) | (260,239 | ) | 11,745 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (13,334 | ) | (776,437 | ) | 3,297 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Technology Hardware, Storage & Peripherals |
||||||||||||||||
| Pure Storage, Inc. * |
(13,589 | ) | (273,682 | ) | (31,662 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| SiteOne Landscape Supply, Inc. * |
(3,569 | ) | (271,815 | ) | (16,988 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Water Utilities |
||||||||||||||||
| American Water Works Co., Inc. |
(2,801 | ) | (232,959 | ) | (2,129 | ) | 0.0 | (a) | ||||||||
| California Water Service Group |
(5,709 | ) | (232,356 | ) | 11,703 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (8,510 | ) | (465,315 | ) | 9,574 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Sprint Corp. * |
(35,028 | ) | (186,699 | ) | 350 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(1,008,523 | ) | (23,118,866 | ) | (92,413 | ) | 0.2 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.50)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 10/19/2018 | $ | (12,996,414 | ) | $ | 160,472 | $ | (24,284 | ) | $ | 136,188 | ||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Auto Components |
||||||||||||||||
| Bridgestone Corp. |
2,700 | 131,776 | (3,556 | ) | 0.0 | (a) | ||||||||||
| Sumitomo Rubber Industries Ltd. |
6,500 | 126,606 | 91 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 9,200 | 258,382 | (3,465 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Building Products |
||||||||||||||||
| Nichias Corp. |
12,000 | 163,512 | (7,855 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Kuraray Co. Ltd. |
6,900 | 129,605 | (3,634 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Chemical Holdings Corp. |
10,900 | 118,879 | (5,193 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Gas Chemical Co., Inc. |
4,100 | 116,218 | (3,792 | ) | 0.0 | (a) | ||||||||||
| Mitsui Chemicals, Inc. |
4,200 | 132,426 | (6,230 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 26,100 | 497,128 | (18,849 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Obayashi Corp. |
13,000 | 156,956 | (7,884 | ) | 0.0 | (a) | ||||||||||
| Taisei Corp. |
2,200 | 112,289 | (2,612 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 15,200 | 269,245 | (10,496 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Nippon Telegraph & Telephone Corp. |
600 | 28,731 | 429 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| BML, Inc. |
4,900 | 132,164 | 1,973 | 0.0 | (a) | |||||||||||
| Miraca Holdings, Inc. |
2,800 | 127,896 | 3,730 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 7,700 | 260,060 | 5,703 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| Mixi, Inc. |
2,800 | 123,637 | (3,859 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
||||||||||||||||
| Bandai Namco Holdings, Inc. |
4,300 | 140,719 | (5,199 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| JXTG Holdings, Inc. |
14,700 | 97,867 | (4,642 | ) | 0.0 | (a) | ||||||||||
| Showa Shell Sekiyu KK |
10,700 | 152,113 | (6,799 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 25,400 | 249,980 | (11,441 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Astellas Pharma, Inc. |
8,800 | 115,731 | 3,669 | 0.0 | (a) | |||||||||||
| Mitsubishi Tanabe Pharma Corp. |
5,800 | 117,956 | (1,935 | ) | 0.0 | (a) | ||||||||||
| Shionogi & Co. Ltd. |
2,700 | 149,446 | (2,330 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 17,300 | 383,133 | (596 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| Ulvac, Inc. |
1,600 | 107,252 | (6,099 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| Kohnan Shoji Co. Ltd. * |
5,500 | 138,565 | 5,110 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Sumitomo Corp. |
8,700 | 150,428 | (4,191 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| NTT DOCOMO, Inc. |
5,200 | 129,207 | (545 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
141,600 | 2,899,979 | (61,353 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Air Freight & Logistics |
||||||||||||||||
| Yamato Holdings Co. Ltd. |
(14,200 | ) | (366,713 | ) | (36,381 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Suruga Bank Ltd. |
(16,500 | ) | (334,524 | ) | 37,552 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Nippon Shokubai Co. Ltd. |
(5,000 | ) | (356,058 | ) | 139 | 0.0 | (a) | |||||||||
| Tokyo Ohka Kogyo Co. Ltd. |
(7,300 | ) | (335,140 | ) | 17,210 | 0.0 | (a) | |||||||||
| Toray Industries, Inc. |
(34,800 | ) | (347,161 | ) | 6,863 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (47,100 | ) | (1,038,359 | ) | 24,212 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| JGC Corp. |
(14,300 | ) | (310,788 | ) | 2,361 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
||||||||||||||||
| Acom Co. Ltd. * |
(77,900 | ) | (340,833 | ) | 71 | 0.0 | (a) | |||||||||
| Aiful Corp. * |
(97,300 | ) | (353,655 | ) | 739 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (175,200 | ) | (694,488 | ) | 810 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Electric Utilities |
||||||||||||||||
| Chugoku Electric Power Co., Inc. (The) |
(32,100 | ) | (355,598 | ) | 4,262 | 0.0 | (a) | |||||||||
| Hokkaido Electric Power Co., Inc. |
(54,600 | ) | (356,130 | ) | 4,549 | 0.0 | (a) | |||||||||
| Hokuriku Electric Power Co. |
(26,900 | ) | (220,131 | ) | 1,136 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (113,600 | ) | (931,859 | ) | 9,947 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
||||||||||||||||
| Alps Electric Co. Ltd. |
(12,000 | ) | (346,771 | ) | 14,623 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Aeon Co. Ltd. |
(20,800 | ) | (355,102 | ) | 1,375 | 0.0 | (a) | |||||||||
| FamilyMart UNY Holdings Co. Ltd. |
(5,300 | ) | (356,450 | ) | (1,050 | ) | 0.0 | (a) | ||||||||
| Sugi Holdings Co. Ltd. |
(6,500 | ) | (346,593 | ) | (9,947 | ) | 0.0 | (a) | ||||||||
| Tsuruha Holdings, Inc. |
(2,600 | ) | (363,114 | ) | (4,930 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (35,200 | ) | (1,421,259 | ) | (14,552 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| Kameda Seika Co. Ltd. * |
(7,200 | ) | (349,176 | ) | 8,799 | 0.0 | (a) | |||||||||
| Nissin Foods Holdings Co. Ltd. |
(4,300 | ) | (319,044 | ) | 1,363 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (11,500 | ) | (668,220 | ) | 10,162 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| Sysmex Corp. |
(4,300 | ) | (338,486 | ) | 15,949 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Create Restaurants Holdings, Inc. * |
(32,100 | ) | (355,915 | ) | (7,102 | ) | 0.0 | (a) | ||||||||
| HIS Co. Ltd. |
(5,100 | ) | (184,750 | ) | 1,787 | 0.0 | (a) | |||||||||
| Kyoritsu Maintenance Co. Ltd. |
(3,300 | ) | (136,127 | ) | 5,505 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (40,500 | ) | (676,792 | ) | 190 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Pioneer Corp. * |
(160,300 | ) | (342,024 | ) | 7,869 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
||||||||||||||||
| Keihan Holdings Co. Ltd. |
(10,200 | ) | (323,357 | ) | 4,209 | 0.0 | (a) | |||||||||
| Toshiba Corp. * |
(36,000 | ) | (103,018 | ) | 8,746 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (46,200 | ) | (426,375 | ) | 12,955 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Rakuten, Inc. |
(37,900 | ) | (342,990 | ) | (9,010 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| GMO internet, Inc. |
(11,300 | ) | (207,027 | ) | (8,920 | ) | 0.0 | (a) | ||||||||
| Yahoo Japan Corp. * |
(73,900 | ) | (356,447 | ) | 2,515 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (85,200 | ) | (563,474 | ) | (6,405 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
||||||||||||||||
| Sankyo Co. Ltd. |
(11,300 | ) | (367,143 | ) | (9,411 | ) | 0.0 | (a) | ||||||||
| Shimano, Inc. |
(2,500 | ) | (358,346 | ) | 11,372 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (13,800 | ) | (725,489 | ) | 1,961 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| FANUC Corp. |
(1,200 | ) | (325,702 | ) | 24,817 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Marine |
||||||||||||||||
| Kawasaki Kisen Kaisha Ltd. * |
(13,300 | ) | (353,718 | ) | 5,708 | 0.0 | (a) | |||||||||
| Mitsui OSK Lines Ltd. |
(9,900 | ) | (356,639 | ) | 4,345 | 0.0 | (a) | |||||||||
| Nippon Yusen KK * |
(13,700 | ) | (344,409 | ) | 17,697 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (36,900 | ) | (1,054,766 | ) | 27,750 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| Don Quijote Holdings Co. Ltd. |
(5,300 | ) | (293,652 | ) | 6,476 | 0.0 | (a) | |||||||||
| Isetan Mitsukoshi Holdings Ltd. |
(27,800 | ) | (333,974 | ) | 5,436 | 0.0 | (a) | |||||||||
| Marui Group Co. Ltd. |
(19,200 | ) | (350,944 | ) | 7,397 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (52,300 | ) | (978,570 | ) | 19,309 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Chugai Pharmaceutical Co. Ltd. |
(6,700 | ) | (354,110 | ) | 2,159 | 0.0 | (a) | |||||||||
| Nichi-iko Pharmaceutical Co. Ltd. |
(5,900 | ) | (92,294 | ) | 395 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (12,600 | ) | (446,404 | ) | 2,554 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
||||||||||||||||
| Mitsubishi Estate Co. Ltd. |
(18,600 | ) | (357,767 | ) | (1,092 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| Keio Corp. |
(7,000 | ) | (333,313 | ) | 2,866 | 0.0 | (a) | |||||||||
| Kintetsu Group Holdings Co. Ltd. |
(8,800 | ) | (348,427 | ) | 10,615 | 0.0 | (a) | |||||||||
| Odakyu Electric Railway Co. Ltd. |
(14,800 | ) | (326,897 | ) | 9,631 | 0.0 | (a) | |||||||||
| Tokyu Corp. |
(21,100 | ) | (353,918 | ) | 5,401 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (51,700 | ) | (1,362,555 | ) | 28,513 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| Renesas Electronics Corp. * |
(29,600 | ) | (348,813 | ) | 11,541 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Software |
||||||||||||||||
| LINE Corp. * |
(7,800 | ) | (348,673 | ) | 8,925 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| IDOM, Inc. * |
(14,800 | ) | (103,508 | ) | (2,689 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Technology Hardware, Storage & Peripherals |
||||||||||||||||
| Ricoh Co. Ltd. |
(36,300 | ) | (357,805 | ) | (4,850 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| MonotaRO Co. Ltd. |
(10,300 | ) | (325,775 | ) | 27,937 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
||||||||||||||||
| Mitsubishi Logistics Corp. |
(13,600 | ) | (357,444 | ) | 6,867 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(1,113,500 | ) | (15,896,393 | ) | 221,825 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(971,900 | ) | (12,996,414 | ) | 160,472 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, plus or minus a specified spread (rates range from (1.50)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | (1,687,738 | ) | $ | (25,034 | ) | $ | (435 | ) | $ | (25,469 | ) | ||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Metals & Mining |
||||||||||||||||
| Fortescue Metals Group Ltd. |
22,105 | 87,784 | (3,761 | ) | 0.0 | (a) | ||||||||||
| Rio Tinto Ltd. |
2,561 | 157,676 | (4,999 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
24,666 | 245,460 | (8,760 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Brambles Ltd. |
(44,825 | ) | (356,479 | ) | (4,293 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Containers & Packaging |
||||||||||||||||
| Pact Group Holdings Ltd. |
(80,244 | ) | (342,603 | ) | 10,228 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| Healthscope Ltd. |
(228,434 | ) | (355,380 | ) | 8,484 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Domino’s Pizza Enterprises Ltd. |
(3,517 | ) | (135,617 | ) | (6,114 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| NEXTDC Ltd. * |
(80,538 | ) | (369,027 | ) | (10,905 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Iluka Resources Ltd. |
(46,094 | ) | (374,092 | ) | (13,674 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(483,652 | ) | (1,933,198 | ) | (16,274 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(458,986 | ) | (1,687,738 | ) | (25,034 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.25%, which is denominated in CHF based on the local currencies of the positions within the swaps. | 03/29/2019 | $ | (1,004,097 | ) | $ | 41,562 | $ | 321 | $ | 41,883 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Electrical Equipment |
||||||||||||||||
| ABB Ltd. (Registered) |
926 | 25,810 | (870 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Machinery |
||||||||||||||||
| Burckhardt Compression Holding AG |
(847 | ) | (314,840 | ) | 21,006 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| ams AG * |
(3,988 | ) | (368,512 | ) | 12,702 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| Dufry AG (Registered) * |
(2,234 | ) | (346,555 | ) | 8,724 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(7,069 | ) | (1,029,907 | ) | 42,432 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(6,143 | ) | (1,004,097 | ) | 41,562 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.2)% to 0.40%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 15,308,686 | $ | (286,813 | ) | $ | 17,024 | $ | (269,789 | ) | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Auto Components |
||||||||||||||||
| Bridgestone Corp. |
5,800 | 283,075 | (7,872 | ) | 0.0 | (a) | ||||||||||
| NHK Spring Co. Ltd. |
37,800 | 421,303 | (4,552 | ) | 0.0 | (a) | ||||||||||
| Sumitomo Rubber Industries Ltd. |
15,100 | 294,116 | (1,889 | ) | 0.0 | (a) | ||||||||||
| TS Tech Co. Ltd. |
9,600 | 411,424 | (13,994 | ) | 0.0 | (a) | ||||||||||
| Unipres Corp. |
15,300 | 407,705 | (14,548 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 83,600 | 1,817,623 | (42,855 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Building Products |
||||||||||||||||
| Asahi Glass Co. Ltd. |
9,300 | 409,530 | (15,456 | ) | 0.0 | (a) | ||||||||||
| Nichias Corp. |
18,000 | 245,269 | (11,886 | ) | 0.0 | (a) | ||||||||||
| Nichiha Corp. |
9,600 | 386,761 | (34,087 | ) | (0.1 | ) | ||||||||||
| Takasago Thermal Engineering Co. Ltd. |
22,300 | 422,213 | (5,471 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 59,200 | 1,463,773 | (66,900 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Kuraray Co. Ltd. |
15,300 | 287,385 | (8,191 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Chemical Holdings Corp. |
27,400 | 298,833 | (11,361 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Gas Chemical Co., Inc. |
10,300 | 291,962 | (10,528 | ) | 0.0 | (a) | ||||||||||
| Mitsui Chemicals, Inc. |
9,100 | 286,922 | (11,286 | ) | 0.0 | (a) | ||||||||||
| Sumitomo Bakelite Co. Ltd. |
48,000 | 412,321 | (15,690 | ) | 0.0 | (a) | ||||||||||
| Tosoh Corp. |
18,600 | 428,214 | 9,349 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 128,700 | 2,005,637 | (47,707 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Kinden Corp. |
24,800 | 415,063 | (7,185 | ) | 0.0 | (a) | ||||||||||
| Nishimatsu Construction Co. Ltd. * |
14,800 | 420,758 | (1,621 | ) | 0.0 | (a) | ||||||||||
| Obayashi Corp. |
20,400 | 246,300 | (13,559 | ) | 0.0 | (a) | ||||||||||
| Okumura Corp. * |
9,800 | 423,947 | (197 | ) | 0.0 | (a) | ||||||||||
| Taisei Corp. |
5,800 | 296,035 | (9,775 | ) | 0.0 | (a) | ||||||||||
| Toda Corp. * |
52,000 | 409,697 | (11,329 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 127,600 | 2,211,800 | (43,666 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Nippon Telegraph & Telephone Corp. |
8,300 | 397,443 | 2,927 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
||||||||||||||||
| Azbil Corp. |
8,900 | 414,809 | (10,450 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Modec, Inc. |
15,500 | 430,645 | 4,560 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Matsumotokiyoshi Holdings Co. Ltd. |
10,200 | 419,086 | (1,064 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| Nichirei Corp. |
15,500 | 416,090 | (21,049 | ) | 0.0 | (a) | ||||||||||
| Prima Meat Packers Ltd. * |
58,000 | 396,915 | (25,607 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 73,500 | 813,005 | (46,656 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| Hoya Corp. |
8,200 | 421,177 | (10,276 | ) | 0.0 | (a) | ||||||||||
| Nikkiso Co. Ltd. |
31,700 | 376,008 | 5,005 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 39,900 | 797,185 | (5,271 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| BML, Inc. |
9,100 | 245,447 | 3,664 | 0.0 | (a) | |||||||||||
| Miraca Holdings, Inc. |
6,700 | 306,037 | 6,451 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 15,800 | 551,484 | 10,115 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Starts Corp., Inc. |
13,400 | 374,017 | 5,032 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Internet Software & Services |
||||||||||||||||
| Mixi, Inc. |
6,500 | 287,015 | (10,362 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| NEC Networks & System Integration Corp. * |
15,800 | 423,379 | (5,928 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
||||||||||||||||
| Bandai Namco Holdings, Inc. |
8,300 | 271,621 | (9,649 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Nippon Denko Co. Ltd. |
79,900 | 375,769 | 10,382 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| JXTG Holdings, Inc. |
39,300 | 261,644 | (12,409 | ) | 0.0 | (a) | ||||||||||
| Showa Shell Sekiyu KK |
15,400 | 218,928 | (9,785 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 54,700 | 480,572 | (22,194 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Astellas Pharma, Inc. |
24,600 | 323,520 | 9,621 | 0.0 | (a) | |||||||||||
| KYORIN Holdings, Inc. |
22,500 | 425,542 | (3,304 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Tanabe Pharma Corp. |
14,700 | 298,959 | (6,646 | ) | 0.0 | (a) | ||||||||||
| Shionogi & Co. Ltd. |
4,800 | 265,683 | (5,439 | ) | 0.0 | (a) | ||||||||||
| Tsumura & Co. |
12,500 | 421,324 | (1,821 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 79,100 | 1,735,028 | (7,589 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| Sankyu, Inc. |
9,600 | 448,081 | 19,376 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| Ulvac, Inc. |
4,200 | 281,538 | (20,111 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| Kohnan Shoji Co. Ltd. * |
10,300 | 259,495 | 9,570 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Technology Hardware, Storage & Peripherals |
||||||||||||||||
| Brother Industries Ltd. |
15,700 | 403,316 | (20,885 | ) | 0.0 | (a) | ||||||||||
| Maxell Holdings Ltd. |
18,200 | 420,474 | (8,166 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 33,900 | 823,790 | (29,051 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Sumitomo Corp. |
12,800 | 221,320 | (6,166 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| NTT DOCOMO, Inc. |
12,000 | 298,169 | (1,558 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
911,700 | 17,602,284 | (315,215 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Air Freight & Logistics |
||||||||||||||||
| Yamato Holdings Co. Ltd. |
(1,000 | ) | (25,825 | ) | (2,640 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
||||||||||||||||
| Acom Co. Ltd. * |
(3,800 | ) | (16,626 | ) | (21 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electric Utilities |
||||||||||||||||
| Hokuriku Electric Power Co. |
(16,900 | ) | (138,298 | ) | 882 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Sugi Holdings Co. Ltd. |
(400 | ) | (21,329 | ) | (657 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| Nissin Foods Holdings Co. Ltd. |
(500 | ) | (37,098 | ) | 95 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Colowide Co. Ltd. * |
(17,500 | ) | (351,979 | ) | 15,532 | 0.0 | (a) | |||||||||
| HIS Co. Ltd. |
(4,700 | ) | (170,260 | ) | 1,544 | 0.0 | (a) | |||||||||
| Kyoritsu Maintenance Co. Ltd. |
(4,100 | ) | (169,127 | ) | 6,840 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (26,300 | ) | (691,366 | ) | 23,916 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
||||||||||||||||
| Keihan Holdings Co. Ltd. |
(800 | ) | (25,361 | ) | 223 | 0.0 | (a) | |||||||||
| Toshiba Corp. * |
(80,000 | ) | (228,930 | ) | 2,159 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (80,800 | ) | (254,291 | ) | 2,382 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Rakuten, Inc. |
(2,600 | ) | (23,530 | ) | (747 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| GMO internet, Inc. |
(7,700 | ) | (141,072 | ) | (928 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| Digital Garage, Inc. * |
(10,300 | ) | (343,563 | ) | 8,837 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| Don Quijote Holdings Co. Ltd. |
(500 | ) | (27,703 | ) | 611 | 0.0 | (a) | |||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Multiline Retail — continued |
||||||||||||||||
| Isetan Mitsukoshi Holdings Ltd. |
(1,300 | ) | (15,617 | ) | 222 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1,800 | ) | (43,320 | ) | 833 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Nichi-iko Pharmaceutical Co. Ltd. |
(16,900 | ) | (264,369 | ) | (2,661 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| Keio Corp. |
(400 | ) | (19,046 | ) | 121 | 0.0 | (a) | |||||||||
| Odakyu Electric Railway Co. Ltd. |
(1,000 | ) | (22,088 | ) | 641 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1,400 | ) | (41,134 | ) | 762 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| IDOM, Inc.* |
(36,000 | ) | (251,777 | ) | (1,651 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(206,400 | ) | (2,293,598 | ) | 28,402 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
705,300 | 15,308,686 | (286,813 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBSW on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 1,579,192 | $ | 41,501 | $ | (1,230 | ) | $ | 40,271 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Metcash Ltd. |
151,852 | 391,615 | (1,093 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Nine Entertainment Co. Holdings Ltd. |
321,814 | 435,466 | 33,578 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Fortescue Metals Group Ltd. |
66,421 | 263,772 | (11,300 | ) | 0.0 | (a) | ||||||||||
| Rio Tinto Ltd. |
4,151 | 255,570 | (7,516 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 70,572 | 519,342 | (18,816 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Whitehaven Coal Ltd. |
119,489 | 474,041 | 40,049 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
663,727 | 1,820,464 | 53,718 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Domino’s Pizza Enterprises Ltd. |
(6,257 | ) | (241,272 | ) | (12,217 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps | 657,470 | 1,579,192 | 41,501 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 7,974,232 | $ | (64,907 | ) | $ | 16,271 | $ | (48,636 | ) | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Auto Components |
||||||||||||||||
| Linamar Corp. |
7,164 | 423,025 | (3,445 | ) | 0.0 | (a) | ||||||||||
| Magna International, Inc. |
5,967 | 340,847 | (17,535 | ) | 0.0 | (a) | ||||||||||
| Martinrea International, Inc. |
33,484 | 391,736 | (32,523 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 46,615 | 1,155,608 | (53,503 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Bank of Nova Scotia (The) |
6,361 | 422,619 | (455 | ) | 0.0 | (a) | ||||||||||
| Laurentian Bank of Canada |
8,890 | 384,511 | 451 | 0.0 | (a) | |||||||||||
| National Bank of Canada |
7,986 | 414,493 | (4,457 | ) | 0.0 | (a) | ||||||||||
| Royal Bank of Canada |
4,839 | 414,344 | (6,813 | ) | 0.0 | (a) | ||||||||||
| Toronto-Dominion Bank (The) |
7,008 | 426,292 | 5,047 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 35,084 | 2,062,259 | (6,227 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Transcontinental, Inc. |
20,590 | 416,320 | (4,207 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Enerflex Ltd. |
35,350 | 420,464 | (9,742 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| Maple Leaf Foods, Inc. |
14,796 | 419,220 | (5,888 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| CGI Group, Inc. * |
7,833 | 448,328 | 17,803 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Cogeco Communications, Inc. |
6,726 | 416,684 | (6,944 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Enerplus Corp. |
35,338 | 401,359 | 13,581 | 0.0 | (a) | |||||||||||
| Parex Resources, Inc. * |
27,785 | 414,968 | (15,576 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 63,123 | 816,327 | (1,995 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Paper & Forest Products |
||||||||||||||||
| Canfor Corp. * |
18,605 | 436,386 | 8,071 | 0.0 | (a) | |||||||||||
| West Fraser Timber Co. Ltd. |
6,107 | 427,291 | 8,158 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 24,712 | 863,677 | 16,229 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Thrifts & Mortgage Finance |
||||||||||||||||
| Genworth MI Canada, Inc. |
12,193 | 418,725 | 3,153 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Finning International, Inc. |
15,424 | 424,724 | (996 | ) | 0.0 | (a) | ||||||||||
| Toromont Industries Ltd. |
6,391 | 279,074 | (3,789 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 21,815 | 703,798 | (4,785 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
288,837 | 8,141,410 | (56,106 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Bombardier, Inc. * |
(37,825 | ) | (107,017 | ) | (10,442 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| MEG Energy Corp. * |
(13,309 | ) | (60,161 | ) | 1,641 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(51,134 | ) | (167,178 | ) | (8,801 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps | 237,703 | 7,974,232 | (64,907 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and Federal Funds floating rate on short positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 10,852,463 | $ | (523,663 | ) | $ | 3,984 | $ | (519,679 | ) | ||||||||||
|
|
|
|||||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Airlines |
||||||||||||||||
| International Consolidated Airlines Group SA |
46,303 | 420,727 | (6,404 | ) | 0.0 | (a) | ||||||||||
| Wizz Air Holdings plc *(b)(c) |
8,592 | 422,287 | (20,702 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 54,895 | 843,014 | (27,106 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| 3i Group plc |
30,136 | 398,489 | (1,976 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Synthomer plc |
61,769 | 415,711 | (13,670 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Kier Group plc |
23,913 | 357,524 | 4,525 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Inmarsat plc |
58,756 | 387,280 | (34,301 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
||||||||||||||||
| Electrocomponents plc |
48,669 | 423,454 | (4,133 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Petrofac Ltd. |
53,012 | 399,440 | (9,917 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) |
||||||||||||||||
| UNITE Group plc (The) |
38,037 | 430,434 | 3,310 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Wm Morrison Supermarkets plc |
123,199 | 388,332 | (12,215 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Carnival plc |
5,715 | 403,220 | 2,969 | 0.0 | (a) | |||||||||||
| William Hill plc |
82,685 | 363,941 | (27,523 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 88,400 | 767,161 | (24,554 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Barratt Developments plc |
49,895 | 414,469 | (18,678 | ) | 0.0 | (a) | ||||||||||
| Bellway plc |
8,742 | 412,114 | (21,838 | ) | 0.0 | (a) | ||||||||||
| Berkeley Group Holdings plc |
6,193 | 348,703 | (16,151 | ) | 0.0 | (a) | ||||||||||
| Crest Nicholson Holdings plc |
58,064 | 416,745 | (15,611 | ) | 0.0 | (a) | ||||||||||
| Persimmon plc |
11,447 | 406,651 | (19,720 | ) | 0.0 | (a) | ||||||||||
| Redrow plc |
40,370 | 343,343 | (20,067 | ) | 0.0 | (a) | ||||||||||
| Taylor Wimpey plc |
154,431 | 417,926 | (13,423 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 329,142 | 2,759,951 | (125,488 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
||||||||||||||||
| esure Group plc |
123,286 | 419,414 | (9,313 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Centamin plc |
167,073 | 386,566 | 6,054 | 0.0 | (a) | |||||||||||
| Rio Tinto plc |
6,834 | 380,401 | (8,208 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 173,907 | 766,967 | (2,154 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| Marks & Spencer Group plc |
97,907 | 418,679 | (7,587 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| Centrica plc |
208,170 | 394,438 | (21,266 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Paper & Forest Products |
||||||||||||||||
| Mondi plc |
13,591 | 362,243 | (12,023 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Professional Services |
||||||||||||||||
| Capita plc |
82,101 | 212,506 | (224,520 | ) | (0.2 | ) | ||||||||||
| Hays plc |
149,485 | 429,143 | 2,396 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 231,586 | 641,649 | (222,124 | ) | (0.2 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Vodafone Group plc |
132,423 | 422,143 | (3,611 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
1,890,798 | 10,996,323 | (523,603 | ) | (0.3 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Cobham plc * |
(12,065 | ) | (22,398 | ) | 255 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| B&M European Value Retail SA |
(20,578 | ) | (121,462 | ) | (315 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(32,643 | ) | (143,860 | ) | (60 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
1,858,155 | 10,852,463 | (523,663 | ) | (0.3 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | (11,487,596 | ) | $ | 69,606 | $ | (1,454 | ) | $ | 68,152 | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Aerovironment, Inc. * |
(527 | ) | (27,067 | ) | 711 | 0.0 | (a) | |||||||||
| TransDigm Group, Inc. |
(259 | ) | (82,080 | ) | (4,683 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (786 | ) | (109,147 | ) | (3,972 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Air Freight & Logistics |
||||||||||||||||
| Hub Group, Inc. * |
(1,137 | ) | (54,633 | ) | 3,703 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Pinnacle Financial Partners, Inc. |
(5,507 | ) | (348,593 | ) | 5,518 | 0.0 | (a) | |||||||||
| Signature Bank * |
(245 | ) | (37,730 | ) | 704 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,752 | ) | (386,323 | ) | 6,222 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Building Products |
||||||||||||||||
| Armstrong World Industries, Inc. * |
(1,334 | ) | (83,642 | ) | (1,195 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Charles Schwab Corp. (The) |
(1,094 | ) | (58,354 | ) | 2,103 | 0.0 | (a) | |||||||||
| TD Ameritrade Holding Corp. |
(1,195 | ) | (66,669 | ) | 761 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (2,289 | ) | (125,023 | ) | 2,864 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| CF Industries Holdings, Inc. |
(1,668 | ) | (70,790 | ) | (1,968 | ) | 0.0 | (a) | ||||||||
| Valvoline, Inc. |
(14,167 | ) | (349,217 | ) | 2,903 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (15,835 | ) | (420,007 | ) | 935 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Clean Harbors, Inc. * |
(1,759 | ) | (97,343 | ) | 3,408 | 0.0 | (a) | |||||||||
| Covanta Holding Corp. |
(3,421 | ) | (55,933 | ) | 1,827 | 0.0 | (a) | |||||||||
| Healthcare Services Group, Inc. |
(2,384 | ) | (131,549 | ) | (6,336 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (7,564 | ) | (284,825 | ) | (1,101 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Communications Equipment |
||||||||||||||||
| Infinera Corp. * |
(24,588 | ) | (159,084 | ) | 7,218 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
||||||||||||||||
| LendingClub Corp. * |
(46,862 | ) | (171,515 | ) | 21,151 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Containers & Packaging |
||||||||||||||||
| Ball Corp. |
(3,643 | ) | (139,454 | ) | 187 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributors |
||||||||||||||||
| Core-Mark Holding Co., Inc. |
(7,753 | ) | (171,264 | ) | 10,635 | 0.0 | (a) | |||||||||
| LKQ Corp. * |
(1,848 | ) | (77,671 | ) | 1,860 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (9,601 | ) | (248,935 | ) | 12,495 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Diversified Consumer Services |
||||||||||||||||
| Chegg, Inc. * |
(3,355 | ) | (58,109 | ) | (2,288 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electric Utilities |
||||||||||||||||
| Westar Energy, Inc. |
(6,882 | ) | (355,524 | ) | (3,188 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Casey’s General Stores, Inc. |
(741 | ) | (89,743 | ) | 2,004 | 0.0 | (a) | |||||||||
| PriceSmart, Inc. |
(4,135 | ) | (352,302 | ) | (5,091 | ) | 0.0 | (a) | ||||||||
| Smart & Final Stores, Inc. * |
(2,101 | ) | (19,749 | ) | (210 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (6,977 | ) | (461,794 | ) | (3,297 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| AtriCure, Inc. * |
(6,958 | ) | (113,485 | ) | 10,252 | 0.0 | (a) | |||||||||
| DexCom, Inc. * |
(1,792 | ) | (104,294 | ) | (5,123 | ) | 0.0 | (a) | ||||||||
| Insulet Corp. * |
(1,075 | ) | (82,270 | ) | (291 | ) | 0.0 | (a) | ||||||||
| Nevro Corp. * |
(1,565 | ) | (125,607 | ) | (1,091 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (11,390 | ) | (425,656 | ) | 3,747 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Chipotle Mexican Grill, Inc. * |
(171 | ) | (55,534 | ) | 762 | 0.0 | (a) | |||||||||
| MGM Resorts International |
(2,014 | ) | (73,410 | ) | 1,513 | 0.0 | (a) | |||||||||
| Red Robin Gourmet Burgers, Inc. * |
(2,656 | ) | (139,838 | ) | 49 | 0.0 | (a) | |||||||||
| Wynn Resorts Ltd. |
(369 | ) | (61,103 | ) | 8,985 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,210 | ) | (329,885 | ) | 11,309 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Universal Electronics, Inc. * |
(3,373 | ) | (155,495 | ) | 1,166 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
||||||||||||||||
| RLI Corp. |
(5,915 | ) | (380,098 | ) | (30,211 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Groupon, Inc. * |
(19,457 | ) | (102,928 | ) | 4,619 | 0.0 | (a) | |||||||||
| Netflix, Inc. * |
(263 | ) | (71,089 | ) | (5,058 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (19,720 | ) | (174,017 | ) | (439 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| Box, Inc. * |
(15,406 | ) | (342,629 | ) | 13,830 | 0.0 | (a) | |||||||||
| Cornerstone OnDemand, Inc. * |
(2,447 | ) | (100,645 | ) | 173 | 0.0 | (a) | |||||||||
| Etsy, Inc. * |
(2,805 | ) | (52,622 | ) | 3,654 | 0.0 | (a) | |||||||||
| GTT Communications, Inc. * |
(1,846 | ) | (85,193 | ) | (3,559 | ) | 0.0 | (a) | ||||||||
| Hortonworks, Inc. * |
(4,730 | ) | (94,363 | ) | 893 | 0.0 | (a) | |||||||||
| MINDBODY, Inc. * |
(2,884 | ) | (101,373 | ) | (1,717 | ) | 0.0 | (a) | ||||||||
| Nutanix, Inc. * |
(2,638 | ) | (84,680 | ) | 14,000 | 0.0 | (a) | |||||||||
| SPS Commerce, Inc. * |
(2,691 | ) | (141,547 | ) | (2,295 | ) | 0.0 | (a) | ||||||||
| Wix.com Ltd. * |
(2,382 | ) | (145,421 | ) | (3,134 | ) | 0.0 | (a) | ||||||||
| Zillow Group, Inc. * |
(2,531 | ) | (112,528 | ) | (3,007 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (40,360 | ) | (1,261,001 | ) | 18,838 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| Syntel, Inc. * |
(4,843 | ) | (109,210 | ) | 5,136 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
||||||||||||||||
| Mattel, Inc. |
(21,760 | ) | (344,678 | ) | 15,273 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| Flowserve Corp. |
(1,941 | ) | (87,966 | ) | (3,415 | ) | 0.0 | (a) | ||||||||
| Welbilt, Inc. * |
(4,741 | ) | (105,724 | ) | 2,416 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (6,682 | ) | (193,690 | ) | (999 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Marine |
||||||||||||||||
| Matson, Inc. |
(2,290 | ) | (78,341 | ) | (7,398 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Liberty Broadband Corp. * |
(945 | ) | (90,295 | ) | (1,126 | ) | 0.0 | (a) | ||||||||
| Lions Gate Entertainment Corp. * |
(2,240 | ) | (75,802 | ) | 1,813 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (3,185 | ) | (166,097 | ) | 687 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Coeur Mining, Inc. * |
(14,559 | ) | (117,054 | ) | 2,757 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| Dominion Energy, Inc. |
(1,639 | ) | (125,285 | ) | (1,048 | ) | 0.0 | (a) | ||||||||
| NiSource, Inc. |
(5,653 | ) | (139,516 | ) | (3,065 | ) | 0.0 | (a) | ||||||||
| Sempra Energy |
(1,094 | ) | (117,080 | ) | (414 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (8,386 | ) | (381,881 | ) | (4,527 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Antero Resources Corp. * |
(6,107 | ) | (118,659 | ) | 3,715 | 0.0 | (a) | |||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Oil, Gas & Consumable Fuels — continued |
||||||||||||||||
| Concho Resources, Inc. * |
(378 | ) | (59,512 | ) | 1,128 | 0.0 | (a) | |||||||||
| Extraction Oil & Gas, Inc. * |
(7,883 | ) | (111,150 | ) | 7,852 | 0.0 | (a) | |||||||||
| Kosmos Energy Ltd. * |
(19,422 | ) | (134,206 | ) | 2,713 | 0.0 | (a) | |||||||||
| Oasis Petroleum, Inc. * |
(38,211 | ) | (330,907 | ) | 18,658 | 0.0 | (a) | |||||||||
| Parsley Energy, Inc. * |
(2,283 | ) | (53,879 | ) | 12,348 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (74,284 | ) | (808,313 | ) | 46,414 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Aerie Pharmaceuticals, Inc. * |
(1,444 | ) | (79,203 | ) | 8,705 | 0.0 | (a) | |||||||||
| Dermira, Inc. * |
(4,123 | ) | (117,588 | ) | (1,595 | ) | 0.0 | (a) | ||||||||
| Medicines Co. (The) * |
(12,991 | ) | (430,392 | ) | (83,283 | ) | (0.1 | ) | ||||||||
| Pacira Pharmaceuticals, Inc. * |
(3,237 | ) | (117,827 | ) | 8,858 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (21,795 | ) | (745,010 | ) | (67,315 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
||||||||||||||||
| AMERCO |
(286 | ) | (104,413 | ) | 3,338 | 0.0 | (a) | |||||||||
| Hertz Global Holdings, Inc. * |
(14,341 | ) | (328,839 | ) | 16,733 | 0.0 | (a) | |||||||||
| Werner Enterprises, Inc. |
(1,171 | ) | (47,660 | ) | 1,256 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (15,798 | ) | (480,912 | ) | 21,327 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| MACOM Technology Solutions Holdings, Inc. * |
(10,684 | ) | (332,272 | ) | 18,116 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| Autodesk, Inc. * |
(1,056 | ) | (122,095 | ) | 2,804 | 0.0 | (a) | |||||||||
| FireEye, Inc. * |
(9,258 | ) | (139,611 | ) | 1,326 | 0.0 | (a) | |||||||||
| HubSpot, Inc. * |
(702 | ) | (68,129 | ) | 1,096 | 0.0 | (a) | |||||||||
| PROS Holdings, Inc. * |
(7,421 | ) | (215,506 | ) | (2,058 | ) | 0.0 | (a) | ||||||||
| Splunk, Inc. * |
(835 | ) | (77,129 | ) | (146 | ) | 0.0 | (a) | ||||||||
| Workday, Inc. * |
(888 | ) | (106,462 | ) | (2,514 | ) | 0.0 | (a) | ||||||||
| Zendesk, Inc. * |
(2,151 | ) | (82,857 | ) | (772 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (22,311 | ) | (811,789 | ) | (264 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
||||||||||||||||
| Advance Auto Parts, Inc. |
(2,826 | ) | (330,614 | ) | (4,126 | ) | 0.0 | (a) | ||||||||
| CarMax, Inc. * |
(1,244 | ) | (88,784 | ) | (827 | ) | 0.0 | (a) | ||||||||
| L Brands, Inc. |
(1,785 | ) | (89,411 | ) | 5,306 | 0.0 | (a) | |||||||||
| Monro, Inc. |
(626 | ) | (35,369 | ) | 1,596 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (6,481 | ) | (544,178 | ) | 1,949 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Technology Hardware, Storage & Peripherals |
||||||||||||||||
| Pure Storage, Inc. * |
(6,104 | ) | (122,935 | ) | (10,498 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| SiteOne Landscape Supply, Inc. * |
(1,191 | ) | (90,707 | ) | (4,425 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Water Utilities |
||||||||||||||||
| American Water Works Co., Inc. |
(1,415 | ) | (117,686 | ) | 1,688 | 0.0 | (a) | |||||||||
| California Water Service Group |
(2,280 | ) | (92,796 | ) | 9,234 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (3,695 | ) | (210,482 | ) | 10,922 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Sprint Corp. * |
(31,122 | ) | (165,880 | ) | (1,693 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(477,743 | ) | (11,487,596 | ) | 69,606 | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 20,632,441 | $ | (433,847 | ) | $ | (56,483 | ) | $ | (490,330 | ) | |||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Airlines |
||||||||||||||||
| Deutsche Lufthansa AG (Registered) |
11,819 | 422,208 | (10,785 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Auto Components |
||||||||||||||||
| Faurecia |
4,663 | 418,412 | (10,097 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Automobiles |
||||||||||||||||
| Peugeot SA |
18,049 | 405,404 | (8,503 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Covestro AG(b)(c) |
3,135 | 360,996 | (2,719 | ) | 0.0 | (a) | ||||||||||
| Lenzing AG |
2,728 | 346,824 | (16,650 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 5,863 | 707,820 | (19,369 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Eiffage SA |
3,543 | 429,536 | 4,759 | 0.0 | (a) | |||||||||||
| Koninklijke Volkerwessels NV |
14,332 | 424,918 | 2,223 | 0.0 | (a) | |||||||||||
| Maire Tecnimont SpA |
76,932 | 400,921 | (20,370 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 94,807 | 1,255,375 | (13,388 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Deutsche Telekom AG (Registered) |
23,137 | 405,824 | (11,425 | ) | 0.0 | (a) | ||||||||||
| DNA OYJ |
22,573 | 423,465 | 38 | 0.0 | (a) | |||||||||||
| Telefonica Deutschland Holding AG |
83,524 | 422,203 | 1,385 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 129,234 | 1,251,492 | (10,002 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electric Utilities |
||||||||||||||||
| EDP - Energias de Portugal SA |
118,726 | 417,007 | (6,578 | ) | 0.0 | (a) | ||||||||||
| Endesa SA |
18,422 | 413,527 | (13,123 | ) | 0.0 | (a) | ||||||||||
| Enel SpA |
65,169 | 414,305 | (17,459 | ) | 0.0 | (a) | ||||||||||
| Iberdrola SA |
51,334 | 417,848 | (6,735 | ) | 0.0 | (a) | ||||||||||
| Verbund AG |
13,414 | 372,031 | (11,082 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 267,065 | 2,034,718 | (54,977 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| Philips Lighting NV(b)(c) |
10,817 | 425,324 | (3,422 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| SBM Offshore NV |
21,858 | 408,236 | (20,754 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Distribuidora Internacional de Alimentacion SA |
67,106 | 358,554 | (5,203 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| ForFarmers NV |
33,253 | 417,807 | (6,697 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| Koninklijke Philips NV |
10,298 | 419,744 | (1,411 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
||||||||||||||||
| Allianz SE (Registered) |
1,673 | 423,146 | (566 | ) | 0.0 | (a) | ||||||||||
| ASR Nederland NV |
9,494 | 414,705 | (2,000 | ) | 0.0 | (a) | ||||||||||
| SCOR SE |
9,395 | 420,502 | (6,742 | ) | 0.0 | (a) | ||||||||||
| Talanx AG |
9,273 | 410,557 | (2,170 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 29,835 | 1,668,910 | (11,478 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| Sopra Steria Group |
2,067 | 419,488 | (7,375 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| Cargotec OYJ |
6,774 | 394,935 | (22,970 | ) | 0.0 | (a) | ||||||||||
| Fincantieri SpA * |
212,610 | 380,175 | (5,122 | ) | 0.0 | (a) | ||||||||||
| Pfeiffer Vacuum Technology AG |
1,575 | 312,284 | (2,509 | ) | 0.0 | (a) | ||||||||||
| Valmet OYJ |
16,715 | 375,045 | 992 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 237,674 | 1,462,439 | (29,609 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Eutelsat Communications SA |
17,960 | 395,297 | (30,426 | ) | 0.0 | (a) | ||||||||||
| IPSOS |
10,285 | 392,872 | (31,678 | ) | (0.1 | ) | ||||||||||
| Metropole Television SA |
15,710 | 427,434 | 3,297 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 43,955 | 1,215,603 | (58,807 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| A2A SpA |
213,381 | 410,072 | (7,852 | ) | 0.0 | (a) | ||||||||||
| Engie SA |
23,745 | 412,310 | (13,712 | ) | 0.0 | (a) | ||||||||||
| Iren SpA |
126,892 | 410,592 | (10,881 | ) | 0.0 | (a) | ||||||||||
| REN - Redes Energeticas Nacionais SGPS SA |
133,925 | 418,014 | (8,038 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 497,943 | 1,650,988 | (40,483 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Enagas SA |
14,607 | 397,914 | (31,152 | ) | 0.0 | (a) | ||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Eni SpA |
22,966 | 413,439 | (12,759 | ) | 0.0 | (a) | ||||||||||
| Gaztransport Et Technigaz SA |
5,998 | 415,160 | 22,334 | 0.0 | (a) | |||||||||||
| Neste OYJ |
5,319 | 368,124 | (14,376 | ) | 0.0 | (a) | ||||||||||
| OMV AG |
6,158 | 396,491 | (30,648 | ) | 0.0 | (a) | ||||||||||
| Repsol SA |
21,620 | 406,909 | (16,976 | ) | 0.0 | (a) | ||||||||||
| TOTAL SA |
7,162 | 415,252 | (8,842 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 83,830 | 2,813,289 | (92,419 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Paper & Forest Products |
||||||||||||||||
| Ence Energia y Celulosa SA |
62,795 | 403,459 | (23,705 | ) | 0.0 | (a) | ||||||||||
| UPM-Kymmene OYJ |
12,445 | 419,627 | 1,101 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 75,240 | 823,086 | (22,604 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Bayer AG (Registered) |
3,246 | 425,347 | 4,582 | 0.0 | (a) | |||||||||||
| Merck KGaA |
3,815 | 417,586 | (9,684 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 7,061 | 842,933 | (5,102 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
||||||||||||||||
| CA Immobilien Anlagen AG |
13,583 | 417,215 | (3,600 | ) | 0.0 | (a) | ||||||||||
| TAG Immobilien AG |
20,999 | 415,089 | (7,174 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 34,582 | 832,304 | (10,774 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| BE Semiconductor Industries NV |
4,245 | 408,526 | (18,966 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Textiles, Apparel & Luxury Goods |
||||||||||||||||
| Moncler SpA |
11,414 | 376,151 | (4,758 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Thrifts & Mortgage Finance |
||||||||||||||||
| Deutsche Pfandbriefbank AG(b)(c) |
20,883 | 385,994 | 3,943 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
1,723,561 | 21,424,805 | (463,040 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Chemicals |
||||||||||||||||
| OCI NV * |
(12,276 | ) | (311,652 | ) | 2,501 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| NH Hotel Group SA |
(11,089 | ) | (84,313 | ) | 460 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Altice NV * |
(5,259 | ) | (56,399 | ) | 2,057 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Eramet * |
(2,409 | ) | (340,000 | ) | 24,175 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(31,033 | ) | (792,364 | ) | 29,193 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
1,692,528 | 20,632,441 | (433,847 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in CHF based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 3,389,097 | $ | (48,196 | ) | $ | 471 | $ | (47,725 | ) | ||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Sunrise Communications Group AG *(b)(c) |
4,520 | 424,987 | (7,869 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| ABB Ltd. (Registered) |
14,106 | 393,173 | (13,682 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
||||||||||||||||
| Baloise Holding AG (Registered) |
2,550 | 417,186 | (19,014 | ) | 0.0 | (a) | ||||||||||
| Swiss Life Holding AG (Registered) * |
1,122 | 421,308 | (11,339 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 3,672 | 838,494 | (30,353 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| Novartis AG (Registered) |
4,845 | 437,296 | 4,848 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
||||||||||||||||
| Allreal Holding AG (Registered) * |
2,452 | 426,515 | (6,401 | ) | 0.0 | (a) | ||||||||||
| Mobimo Holding AG (Registered) * |
1,546 | 432,492 | 2,716 | 0.0 | (a) | |||||||||||
| Swiss Prime Site AG (Registered) * |
4,505 | 436,140 | 2,545 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 8,503 | 1,295,147 | (1,140 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
35,646 | 3,389,097 | (48,196 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 2,330,638 | $ | 116,351 | $ | 21,332 | $ | 137,683 | ||||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Banks |
||||||||||||||||
| Aldermore Group plc * |
51,816 | 229,100 | (144 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Sole Realisation Co. plc *‡ |
698 | 694 | — | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Sky plc |
139,685 | 2,100,844 | 116,495 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
192,199 | 2,330,638 | 116,351 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month CIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.20%), which is denominated in DKK based on the local currencies of the positions within the swaps. | 09/25/2020 | $ | 994,019 | $ | 4,234 | $ | 44 | $ | 4,278 | ||||||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| IT Services |
||||||||||||||||
| Nets A/S *(b)(c) |
36,113 | 994,019 | 4,234 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 9,487,442 | $ | 97,955 | $ | 641 | $ | 98,596 | ||||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Zodiac Aerospace * |
25,080 | 779,386 | 8 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Beverages |
||||||||||||||||
| Refresco Group NV(b)(c) |
8,704 | 214,940 | 424 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Biotechnology |
||||||||||||||||
| Ablynx NV* |
4,759 | 259,449 | (564 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
||||||||||||||||
| Yoox Net-A-Porter Group SpA * |
48,293 | 2,268,315 | 10,130 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
||||||||||||||||
| Pfeiffer Vacuum Technology AG |
524 | 103,896 | (278 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
||||||||||||||||
| STADA Arzneimittel AG |
2,810 | 304,987 | (2,879 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
||||||||||||||||
| BUWOG AG * |
15,532 | 557,301 | 2,309 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| Gemalto NV |
37,656 | 2,326,837 | 7,068 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Textiles, Apparel & Luxury Goods |
||||||||||||||||
| Kering |
973 | 492,869 | (494 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
||||||||||||||||
| Abertis Infraestructuras SA |
89,836 | 2,179,462 | 82,231 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
234,167 | 9,487,442 | 97,955 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBSW on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 354,954 | $ | (144 | ) | $ | (209 | ) | $ | (353 | ) | |||||||
|
|
|
|||||||||||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Mantra Group Ltd. |
108,476 | 340,903 | 886 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Westgold Resources Ltd. * |
12,939 | 14,051 | (1,030 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
121,415 | 354,954 | (144 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 2,673,779 | $ | (238,297 | ) | $ | (5,492 | ) | $ | (243,789 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Construction & Engineering |
||||||||||||||||
| Chicago Bridge & Iron Co. NV |
77,424 | 1,615,839 | 154,848 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Consumer Services |
||||||||||||||||
| Capella Education Co. |
3,871 | 307,938 | (968 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| Aetna, Inc. |
8,279 | 1,546,683 | 11,011 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Pinnacle Entertainment, Inc. * |
26,447 | 853,974 | (16,133 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| CalAtlantic Group, Inc. |
41,884 | 2,350,949 | (293,607 | ) | (0.2 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Independent Power and Renewable Electricity Producers |
||||||||||||||||
| Dynegy, Inc. * |
98,848 | 1,237,577 | 44,482 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| SCANA Corp. |
46,680 | 1,897,075 | (85,424 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| Cavium, Inc. * |
28,763 | 2,553,579 | (33,653 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
332,196 | 12,363,614 | (219,444 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Diversified Consumer Services |
||||||||||||||||
| Strayer Education, Inc. |
(3,353 | ) | (310,085 | ) | (1,006 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| McDermott International, Inc. * |
(189,493 | ) | (1,663,749 | ) | (185,703 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| CVS Health Corp. |
(9,713 | ) | (764,316 | ) | 6,411 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Penn National Gaming, Inc. * |
(10,996 | ) | (350,882 | ) | 3,849 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
||||||||||||||||
| Lennar Corp. |
(28,403 | ) | (1,779,732 | ) | 223,816 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Independent Power and Renewable Electricity Producers |
||||||||||||||||
| Vistra Energy Corp. * |
(63,804 | ) | (1,244,178 | ) | (45,301 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
||||||||||||||||
| Dominion Energy, Inc. |
(27,885 | ) | (2,131,529 | ) | (43,222 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
||||||||||||||||
| Marvell Technology Group Ltd. |
(61,953 | ) | (1,445,364 | ) | 22,303 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(395,600 | ) | (9,689,835 | ) | (18,853 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(63,404 | ) | 2,673,779 | (238,297 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY | DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET
UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 4) |
||||||||||||||
| UBS |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month CDOR on long positions respectively, plus or minus a specified spread (rates range from (0.1)% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 12/09/2019 | $ | 450,484 | $ | 442 | $ | (193 | ) | $ | 249 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||||
| Long Positions |
|
|||||||||||||||||
| Common Stocks |
|
|||||||||||||||||
| Construction & Engineering |
|
|||||||||||||||||
| Aecon Group, Inc. |
27,830 | 450,484 | 442 | 0.0 | (a) | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Summary of total OTC swap contracts outstanding as of January 31, 2018:
| Net Upfront Payments (Receipts) ($) |
Value($) | |||||||
| Assets |
| |||||||
| OTC Total return basket swaps outstanding |
1,088,211 | |||||||
| OTC Total return swap contracts outstanding |
– | 65 | ||||||
|
|
|
|
|
|||||
| Total OTC swap contracts outstanding |
– | 1,088,276 | ||||||
|
|
|
|
|
|||||
| Liabilities |
||||||||
|
|
|
|
|
|||||
| Total OTC Total return basket swaps outstanding |
– | (1,768,093 | ) | |||||
|
|
|
|
|
|||||
JPMorgan Diversified Alternatives ETF
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
Diversified Alternatives Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on August 17, 2015 and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectus. The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Swaps and Forward Foreign Currency Contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Diversified Alternatives ETF
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following table represents each valuation input as presented on the CSOI:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Aerospace & Defense |
2,975,777 | — | — | 2,975,777 | ||||||||||||
| Auto Components |
2,065,538 | — | — | 2,065,538 | ||||||||||||
| Automobiles |
279,906 | — | — | 279,906 | ||||||||||||
| Banks |
1,114,527 | — | — | 1,114,527 | ||||||||||||
| Beverages |
700,893 | — | — | 700,893 | ||||||||||||
| Biotechnology |
6,190,096 | — | — | 6,190,096 | ||||||||||||
| Capital Markets |
1,490,978 | — | — | 1,490,978 | ||||||||||||
| Chemicals |
4,488,520 | — | — | 4,488,520 | ||||||||||||
| Commercial Services & Supplies |
1,207,890 | — | — | 1,207,890 | ||||||||||||
| Communications Equipment |
1,161,323 | — | — | 1,161,323 | ||||||||||||
| Construction & Engineering |
416,135 | — | — | 416,135 | ||||||||||||
| Consumer Finance |
306,375 | — | — | 306,375 | ||||||||||||
| Containers & Packaging |
629,646 | — | — | 629,646 | ||||||||||||
| Diversified Telecommunication Services |
484,903 | — | — | 484,903 | ||||||||||||
| Electric Utilities |
1,136,006 | — | — | 1,136,006 | ||||||||||||
| Electrical Equipment |
1,815,376 | — | — | 1,815,376 | ||||||||||||
| Electronic Equipment, Instruments & Components |
3,048,501 | — | — | 3,048,501 | ||||||||||||
| Energy Equipment & Services |
1,194,010 | — | — | 1,194,010 | ||||||||||||
| Food & Staples Retailing |
720,340 | — | — | 720,340 | ||||||||||||
| Food Products |
5,169,641 | — | — | 5,169,641 | ||||||||||||
| Gas Utilities |
1,261,009 | — | — | 1,261,009 | ||||||||||||
| Health Care Equipment & Supplies |
1,623,615 | — | — | 1,623,615 | ||||||||||||
| Health Care Providers & Services |
4,163,430 | — | — | 4,163,430 | ||||||||||||
| Health Care Technology |
75,186 | — | — | 75,186 | ||||||||||||
| Hotels, Restaurants & Leisure |
5,129,173 | — | — | 5,129,173 | ||||||||||||
| Household Durables |
1,237,866 | — | — | 1,237,866 | ||||||||||||
| Household Products |
805,589 | — | — | 805,589 | ||||||||||||
| Independent Power and Renewable Electricity Producers |
2,947,712 | — | — | 2,947,712 | ||||||||||||
| Industrial Conglomerates |
399,175 | — | — | 399,175 | ||||||||||||
| Insurance |
6,412,009 | — | — | 6,412,009 | ||||||||||||
| Internet Software & Services |
887,230 | — | — | 887,230 | ||||||||||||
| IT Services |
6,968,560 | — | — | 6,968,560 | ||||||||||||
| Life Sciences Tools & Services |
1,259,252 | — | — | 1,259,252 | ||||||||||||
| Machinery |
3,842,985 | 565,493 | — | 4,408,478 | ||||||||||||
| Media |
6,337,548 | — | — | 6,337,548 | ||||||||||||
| Metals & Mining |
98,365 | — | — | 98,365 | ||||||||||||
| Multiline Retail |
1,133,475 | — | — | 1,133,475 | ||||||||||||
| Multi-Utilities |
1,291,011 | — | — | 1,291,011 | ||||||||||||
| Oil, Gas & Consumable Fuels |
1,666,412 | — | — | 1,666,412 | ||||||||||||
| Paper & Forest Products |
2,423,025 | — | — | 2,423,025 | ||||||||||||
| Personal Products |
687,047 | — | — | 687,047 | ||||||||||||
| Pharmaceuticals |
4,739,954 | 190,264 | — | 4,930,218 | ||||||||||||
| Professional Services |
1,091,525 | — | — | 1,091,525 | ||||||||||||
| Real Estate Management & Development |
82,242 | — | — | 82,242 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
7,940,148 | — | — | 7,940,148 | ||||||||||||
| Software |
5,131,098 | — | — | 5,131,098 | ||||||||||||
| Specialty Retail |
4,711,010 | — | — | 4,711,010 | ||||||||||||
JPMorgan Diversified Alternatives ETF
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Technology Hardware, Storage & Peripherals |
$ | 807,209 | $ | — | $ | — | $ | 807,209 | ||||||||
| Textiles, Apparel & Luxury Goods |
1,581,807 | — | — | 1,581,807 | ||||||||||||
| Trading Companies & Distributors |
983,399 | — | — | 983,399 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
114,314,447 | 755,757 | — | 115,070,204 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
|
|||||||||||||||
| Investment Company |
50,610,484 | — | — | 50,610,484 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 164,924,931 | $ | 755,757 | $ | — | $ | 165,680,688 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 704,867 | $ | — | $ | 704,867 | ||||||||
| Futures Contracts |
2,430,300 | 52,288 | — | 2,482,588 | ||||||||||||
| Swaps |
$ | — | $ | 1,122,297 | $ | 65 | $ | 1,122,362 | ||||||||
| Total Appreciation in Other Financial Instruments |
$ | 2,430,300 | $ | 1,879,452 | $ | 65 | $ | 4,309,817 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (1,240,235 | ) | $ | — | $ | (1,240,235 | ) | ||||||
| Futures Contracts |
(3,377,894 | ) | (59,493 | ) | — | (3,437,387 | ) | |||||||||
| Swaps |
$ | — | $ | (1,715,274 | ) | $ | — | $ | (1,715,274 | ) | ||||||
| Total Depreciation in Other Financial Instruments |
$ | (3,377,894 | ) | $ | (3,015,002 | ) | $ | — | $ | (6,392,896 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no significant transfers between level 1 and level 2 during the period ended January 31, 2018.
B. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts, and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes C(1) — C(4) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments,
JPMorgan Diversified Alternatives ETF
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Total Return Swaps — The Fund used total return swaps to gain long and/or short exposure to an underlying index. To the extent the total return of the index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. These arrangements involve the periodic exchange of cash flows based on the total return of the underlying index and interest rate obligations.
(4). Total Return Basket Swaps
The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.
Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly or annual periodic reset.
The total return basket swap contracts are subject to master netting arrangements. The fund may be required to post or receive collateral for total return basket swap swaps.
JPMorgan Event Driven ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Event Driven ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| * | Non-income producing security. | |||
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |||
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |||
| (c) | Affiliated company as defined under the Investment Company Act of 1940. | |||
| (d) | The rate shown was the current yield as of January 31, 2018. |
Futures contracts outstanding as of January 31, 2018:
| Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
| Short Contracts |
| |||||||||||||||||||
| S&P 500 E-Mini Index |
(58 | ) | 03/2018 | USD | (8,194,820 | ) | (459,086 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| (459,086 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviations | ||
| USD |
United States Dollar | |
| Forward foreign currency exchange contracts outstanding as of January 31, 2018:
|
| |||||||||||||||||||
| Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| USD | 388,204 | DKK | 2,358,852 | Citibank NA | 02/23/2018 | (5,815 | ) | |||||||||||||
| USD | 389,508 | EUR | 317,828 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (5,583 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
(11,398 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviations | ||
| DKK | Danish Krone | |
| EUR | Euro | |
| USD | United States Dollar | |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited)
Over the Counter (“OTC”) Total Return Basket Swaps Outstanding at January 31, 2018
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.25%, which is denominated in USD based on the local currencies of the positions within the swaps. | 12/31/2018 | $ | 7,556,344 | $ | 47,023 | $ | (3,756 | ) | $ | 43,267 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE ($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Automobiles |
|
|||||||||||||||
| General Motors Co. |
3,600 | 152,676 | (2,124 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
|
|||||||||||||||
| BancorpSouth Bank |
5,000 | 167,750 | — | 0.0 | ||||||||||||
| CIT Group, Inc. |
3,000 | 152,070 | (1,530 | ) | 0.0 | (a) | ||||||||||
| Customers Bancorp, Inc. * |
2,000 | 61,300 | 4,420 | 0.0 | (a) | |||||||||||
| Fifth Third Bancorp |
5,100 | 168,810 | 7,752 | 0.0 | (a) | |||||||||||
| MainSource Financial Group, Inc. |
9,319 | 366,703 | 12,394 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 24,419 | 916,633 | 23,036 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Beverages |
|
|||||||||||||||
| Boston Beer Co., Inc. (The) * |
800 | 151,880 | (3,120 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
|
|||||||||||||||
| Evercore, Inc. |
1,700 | 170,935 | 12,155 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
|
|||||||||||||||
| Platform Speciality * |
15,200 | 177,992 | 7,904 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
|
|||||||||||||||
| Chicago Bridge & Iron Co. NV |
13,187 | 275,213 | 33,627 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
|
|||||||||||||||
| Navient Corp. |
11,700 | 166,725 | 6,669 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Containers & Packaging |
|
|||||||||||||||
| Sealed Air Corp. |
3,200 | 151,520 | (4,192 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Consumer Services |
|
|||||||||||||||
| Capella Education Co. |
4,409 | 350,736 | 1,763 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
|
|||||||||||||||
| Corning, Inc. |
4,700 | 146,734 | (9,917 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
|
|||||||||||||||
| Tidewater, Inc. * |
2,000 | 55,900 | (1,000 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
|
|||||||||||||||
| Walgreens Boots Alliance, Inc. |
2,200 | 165,572 | 2,596 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
|
|||||||||||||||
| Natus Medical, Inc. * |
4,200 | 130,410 | 10,290 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
|
|||||||||||||||
| Aetna, Inc. |
2,069 | 386,531 | 6,910 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
|
|||||||||||||||
| Bloomin’ Brands, Inc. |
7,000 | 154,210 | 1,400 | 0.0 | (a) | |||||||||||
| Brinker International, Inc. |
4,000 | 145,360 | (3,000 | ) | 0.0 | (a) | ||||||||||
| Churchill Downs, Inc. |
700 | 181,300 | 4,130 | 0.0 | (a) | |||||||||||
| Domino’s Pizza, Inc. |
800 | 173,480 | 13,408 | 0.0 | (a) | |||||||||||
| La Quinta Holdings, Inc. * |
8,500 | 169,405 | 13,685 | 0.1 | ||||||||||||
| Pinnacle Entertainment, Inc. * |
4,501 | 145,337 | 45 | 0.0 | (a) | |||||||||||
| Six Flags Entertainment Corp. |
2,400 | 162,144 | 4,368 | 0.0 | (a) | |||||||||||
| Wyndham Worldwide Corp. |
1,300 | 161,369 | 14,846 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 29,201 | 1,292,605 | 48,882 | 0.2 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
|
|||||||||||||||
| CalAtlantic Group, Inc. |
6,765 | 379,719 | (33,216 | ) | (0.1 | ) | ||||||||||
| PulteGroup, Inc. |
4,600 | 146,418 | (8,464 | ) | 0.0 | (a) | ||||||||||
| TRI Pointe Group, Inc. * |
8,900 | 145,159 | (23,763 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 20,265 | 671,296 | (65,443 | ) | (0.2 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Independent Power and Renewable Electricity Producers |
|
|||||||||||||||
| Dynegy, Inc. * |
30,813 | 385,779 | 23,418 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
|
|||||||||||||||
| Honeywell International, Inc. |
1,000 | 159,670 | 2,580 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
|
|||||||||||||||
| DXC Technology Co. |
1,600 | 159,280 | (2,688 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
|
|||||||||||||||
| Allison Transmission Holdings, Inc. |
3,700 | 163,688 | (1,258 | ) | 0.0 | (a) | ||||||||||
| Dover Corp. |
1,500 | 159,315 | 5,265 | 0.0 | (a) | |||||||||||
| Pentair plc |
2,200 | 157,300 | (4,202 | ) | 0.0 | (a) | ||||||||||
| Terex Corp. |
3,200 | 150,464 | (1,792 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 10,600 | 630,767 | (1,987 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
|
|||||||||||||||
| AMC Networks, Inc. * |
3,000 | 154,770 | (2,430 | ) | 0.0 | (a) | ||||||||||
| Time Warner, Inc. |
4,124 | 393,223 | 13,444 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 7,124 | 547,993 | 11,014 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
|
|||||||||||||||
| Big Lots, Inc. |
2,800 | 170,184 | 11,676 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
|
|||||||||||||||
| SCANA Corp. |
7,885 | 320,446 | (28,544 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
|
|||||||||||||||
| Marathon Petroleum Corp. |
2,400 | 166,248 | (576 | ) | 0.0 | (a) | ||||||||||
| Stone Energy Corp. * |
2,100 | 75,894 | 6,552 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 4,500 | 242,142 | 5,976 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Professional Services |
|
|||||||||||||||
| FTI Consulting, Inc. * |
3,400 | 147,798 | 1,836 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| Cavium, Inc. * |
4,508 | 400,220 | 3,381 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
|
|||||||||||||||
| Dick’s Sporting Goods, Inc. |
5,000 | 157,300 | 3,300 | 0.0 | (a) | |||||||||||
| Foot Locker, Inc. |
3,500 | 172,025 | 10,045 | 0.0 | (a) | |||||||||||
| Murphy USA, Inc. * |
1,900 | 162,089 | (1,216 | ) | 0.0 | (a) | ||||||||||
| O’Reilly Automotive, Inc. * |
600 | 158,814 | 3,744 | 0.0 | (a) | |||||||||||
| Sally Beauty Holdings, Inc. * |
9,000 | 149,490 | (10,080 | ) | 0.0 | (a) | ||||||||||
| Signet Jewelers Ltd. |
2,900 | 153,410 | 609 | 0.0 | (a) | |||||||||||
| Urban Outfitters, Inc. * |
4,600 | 156,906 | 5,382 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 27,500 | 1,110,034 | 11,784 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Textiles, Apparel & Luxury Goods |
|
|||||||||||||||
| Crocs, Inc. * |
14,200 | 191,842 | 852 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
|
|||||||||||||||
| AerCap Holdings NV * |
2,900 | 156,890 | 2,030 | 0.0 | (a) | |||||||||||
| HD Supply Holdings, Inc. * |
3,900 | 151,671 | 1,521 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 6,800 | 308,561 | 3,551 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
265,580 | 10,138,074 | 110,885 | 0.2 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Banks |
|
|||||||||||||||
| First Financial Bancorp |
(12,801 | ) | (364,828 | ) | (12,161 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Consumer Services |
|
|||||||||||||||
| Strayer Education, Inc. |
(3,818 | ) | (353,089 | ) | (4,238 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| AT&T, Inc. |
(5,867 | ) | (219,719 | ) | (4,870 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
|
|||||||||||||||
| McDermott International, Inc. * |
(32,274 | ) | (283,366 | ) | (40,665 | ) | (0.2 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
|
|||||||||||||||
| Penn National Gaming, Inc. * |
(1,871 | ) | (59,704 | ) | (1,703 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
|
|||||||||||||||
| Lennar Corp. |
(4,588 | ) | (287,484 | ) | 25,693 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Independent Power and Renewable Electricity Producers |
|
|||||||||||||||
| Vistra Energy Corp. * |
(19,889 | ) | (387,836 | ) | (22,872 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Multi-Utilities |
|
|||||||||||||||
| Dominion Energy, Inc. |
(5,222 | ) | (399,170 | ) | (1,201 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| Marvell Technology Group Ltd. |
(9,710 | ) | (226,534 | ) | (1,845 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(96,040 | ) | (2,581,730 | ) | (63,862 | ) | (0.2 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
169,540 | 7,556,344 | 47,023 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.25% to 0.55%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 05/31/2019 to 06/28/2019 |
$ | 2,166,788 | $ | 14,955 | $ | (67 | ) | $ | 14,888 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Beverages |
|
|||||||||||||||
| Refresco Group NV (b)(c) |
16,004 | 395,210 | 1,375 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Biotechnology |
|
|||||||||||||||
| Ablynx NV * |
690 | 37,617 | (82 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
|
|||||||||||||||
| Yoox Net-A-Porter Group SpA * |
7,058 | 331,513 | 1,481 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
|
|||||||||||||||
| STADA Arzneimittel AG |
3,903 | 423,617 | (6,002 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
|
|||||||||||||||
| BUWOG AG * |
2,644 | 94,869 | 333 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
|
|||||||||||||||
| Gemalto NV |
6,410 | 396,086 | 1,489 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Textiles, Apparel & Luxury Goods |
|
|||||||||||||||
| Kering |
318 | 161,082 | (161 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
|
|||||||||||||||
| Abertis Infraestructuras SA |
16,847 | 408,716 | 16,258 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
53,874 | 2,248,710 | 14,691 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Construction & Engineering |
|
|||||||||||||||
| HOCHTIEF AG |
(453 | ) | (81,922 | ) | 264 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
53,421 | 2,166,788 | 14,955 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BA on long positions, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 12/31/2018 | $ | 427,706 | $ | (430 | ) | $ | (505 | ) | $ | (935 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Construction & Engineering |
||||||||||||||||
| Aecon Group, Inc. |
24,668 | 399,301 | (991 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Sandstorm Gold Ltd. * |
5,400 | 28,405 | 561 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
30,068 | 427,706 | (430 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions, plus or minus a specified spread of 0.35%, which is denominated in AUD based on the local currencies of the positions within the swaps. | 01/01/2019 | $ | 135,325 | $ | 8 | $ | (158 | ) | $ | (150 | ) | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Mantra Group Ltd. |
32,125 | 100,958 | 3 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| Aconex Ltd. * |
5,551 | 34,367 | 5 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
37,676 | 135,325 | 8 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.25% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swaps. | 07/31/2019 | $ | 167,993 | $ | 945 | $ | (17 | ) | $ | 928 | |||||||||
|
|
|
|||||||||||||||||||
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| Com Hem Holding AB * |
2,344 | 40,753 | 491 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
|
|||||||||||||||
| Atlas Copco AB |
3,355 | 157,342 | 1,044 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
5,699 | 198,095 | 1,535 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Tele2 AB |
(2,407 | ) | (30,102 | ) | (590 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
3,292 | 167,993 | 945 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE (1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.35% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 05/31/2019 | $ | 561,261 | $ | 9,177 | $ | 2,707 | $ | 11,884 | ||||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($) (1) |
UNREALIZED APPRECIATION (DEPRECIATION)($) (2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Booker Group plc |
126,935 | 408,398 | (10,782 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Sky plc |
29,679 | 446,368 | 17,217 | 0.1 | ||||||||||||
| UBM plc |
12,274 | 158,242 | (154 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 41,953 | 604,610 | 17,063 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
168,888 | 1,013,008 | 6,281 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Food & Staples Retailing |
||||||||||||||||
| Tesco plc |
(108,198 | ) | (321,682 | ) | 3,488 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Informa plc |
(13,159 | ) | (130,065 | ) | (592 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(121,357 | ) | (451,747 | ) | 2,896 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
47,531 | 561,261 | 9,177 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Non-income producing security. |
| (a) | Amounts rounds to less than 0.05%. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (1) | Notional value represents market value as of January 31, 2018 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. |
| (2) | Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following reference rates, and their values as of period-end, are used for security descriptions:
| Value | ||||||
| BA |
Banker’s Acceptance Rate | 1.58 | % | |||
| BBR |
Bank Base Rate | 1.68 | % | |||
| EURIBOR |
Euro Interbank Offered Rate | (0.37 | )% | |||
| GBP LIBOR |
British Pound Sterling LIBOR | 0.50 | % | |||
| LIBOR |
London Interbank Offered Rate | 1.58 | % | |||
| STIBOR |
Stockholm Interbank Offered Rates | (0.50 | )% | |||
Summary of total OTC swap contracts outstanding as of January 31, 2018:
| Net Upfront Payments (Receipts) ($) |
Value ($) | |||||||
| Assets |
||||||||
|
|
|
|
|
|||||
| Total OTC Total return basket swaps outstanding |
— | 70,967 | ||||||
|
|
|
|
|
|||||
| Liabilities |
||||||||
|
|
|
|
|
|||||
| Total OTC Total return basket swaps outstanding |
— | (1,085 | ) | |||||
|
|
|
|
|
|||||
JPMorgan Event Driven ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
A. Valuation of Investments —The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund is calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2– Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
$ | 399,682 | $ | 398,519 | $ | — | $ | 798,201 | ||||||||
| Banks |
151,000 | — | — | 151,000 | ||||||||||||
| Biotechnology |
1,104,890 | — | — | 1,104,890 | ||||||||||||
| Chemicals |
405,472 | — | — | 405,472 | ||||||||||||
| Diversified Telecommunication Services |
376,680 | — | — | 376,680 | ||||||||||||
| Electrical Equipment |
191,595 | — | — | 191,595 | ||||||||||||
| Food Products |
317,123 | — | — | 317,123 | ||||||||||||
| Gas Utilities |
375,284 | — | — | 375,284 | ||||||||||||
| Health Care Equipment & Supplies |
359,206 | — | — | 359,206 | ||||||||||||
| Health Care Providers & Services |
467,896 | — | — | 467,896 | ||||||||||||
| Health Care Technology |
150,372 | — | — | 150,372 | ||||||||||||
| Hotels, Restaurants & Leisure |
533,522 | — | — | 533,522 | ||||||||||||
| Independent Power and Renewable Electricity Producers |
396,279 | — | — | 396,279 | ||||||||||||
| Insurance |
610,319 | — | — | 610,319 | ||||||||||||
| Internet Software & Services |
154,077 | — | — | 154,077 | ||||||||||||
| IT Services |
707,815 | 396,528 | — | 1,104,343 | ||||||||||||
| Media |
801,328 | — | — | 801,328 | ||||||||||||
JPMorgan Event Driven ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Multi-Utilities |
$ | 363,549 | $ | — | $ | — | $ | 363,549 | ||||||||
| Oil, Gas & Consumable Fuels |
141,021 | — | — | 141,021 | ||||||||||||
| Paper & Forest Products |
292,292 | — | — | 292,292 | ||||||||||||
| Personal Products |
182,578 | — | — | 182,578 | ||||||||||||
| Pharmaceuticals |
506,161 | — | — | 506,161 | ||||||||||||
| Real Estate Management & Development |
159,915 | — | — | 159,915 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
505,580 | — | — | 505,580 | ||||||||||||
| Software |
440,095 | — | — | 440,095 | ||||||||||||
| Specialty Retail |
93,235 | — | — | 93,235 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
10,186,966 | 795,047 | — | 10,982,013 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
|
|||||||||||||||
| Investment Companies |
14,497,062 | — | — | 14,497,062 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 24,684,028 | $ | 795,047 | $ | — | $ | 25,479,075 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
|
|||||||||||||||
| Swaps |
$ | — | $ | 72,108 | $ | — | $ | 72,108 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (11,398 | ) | $ | — | $ | (11,398 | ) | ||||||
| Futures Contracts |
(459,086 | ) | — | — | (459,086 | ) | ||||||||||
| Swaps |
— | (430 | ) | — | (430 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | (459,086 | ) | $ | (11,828 | ) | $ | — | $ | (470,914 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
B. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gains to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Fund.
Notes (1) — (3) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used index futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash
JPMorgan Event Driven ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Total Return Basket Swaps — The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.
Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly or annual periodic reset.
The total return basket swap contracts are subject to master netting arrangements. The fund may be required to post or receive collateral for total return basket swap swaps.
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENT
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENT
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Futures contracts outstanding as of January 31, 2018: | ||||||||||||||||||||
| Description |
Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
| Long Contracts |
| |||||||||||||||||||
| CAC 40 10 Euro Index |
9 | 02/2018 | EUR | 612,303 | (4,692 | ) | ||||||||||||||
| Hang Seng Index |
3 | 02/2018 | HKD | 628,427 | 102 | |||||||||||||||
| IBEX 35 Index |
1 | 02/2018 | EUR | 129,560 | (1,831 | ) | ||||||||||||||
| DAX Index |
1 | 03/2018 | EUR | 409,542 | (10,798 | ) | ||||||||||||||
| EURO STOXX 50 Index |
10 | 03/2018 | EUR | 447,066 | (6,964 | ) | ||||||||||||||
| FTSE 100 Index |
8 | 03/2018 | GBP | 848,298 | (19,005 | ) | ||||||||||||||
| FTSE/MIB Index |
3 | 03/2018 | EUR | 437,941 | (5,094 | ) | ||||||||||||||
| S&P 500 E-Mini Index |
10 | 03/2018 | USD | 1,412,900 | (11,495 | ) | ||||||||||||||
| SPI 200 Index |
9 | 03/2018 | AUD | 1,083,180 | (3,695 | ) | ||||||||||||||
| TOPIX Index |
5 | 03/2018 | JPY | 846,564 | (25,537 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (89,009 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Forward foreign currency exchange contracts outstanding as of January 31, 2018: | ||||||||||||||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| USD |
73,451 | EUR | 59,047 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | 50 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation |
50 | |||||||||||||||||
|
|
|
|||||||||||||||||
| EUR |
59,047 | USD | 73,551 | Credit Suisse International | 02/23/2018 | (150 | ) | |||||||||||
|
|
|
|||||||||||||||||
| Total unrealized depreciation |
(150 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
| Net unrealized depreciation |
(100 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Over the Counter (“OTC”) Total Return Basket Swaps Outstanding at January 31, 2018
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.35% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 02/28/2019 to 07/31/2019 |
$ | 511,543 | $ | (58,777 | ) | $ | (2,270 | ) | $ | (61,047 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Airlines |
|
|||||||||||||||
| International Consolidated Airlines Group SA |
12,072 | 109,691 | (2,464 | ) | 0.0 | (a) | ||||||||||
| Wizz Air Holdings plc *(b)(c) |
2,352 | 115,598 | (7,110 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 14,424 | 225,289 | (9,574 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
|
|||||||||||||||
| 3i Group plc |
9,138 | 120,832 | 564 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
|
|||||||||||||||
| Synthomer plc |
17,144 | 115,381 | (1,485 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
|
|||||||||||||||
| Kier Group plc |
8,261 | 123,510 | 11,091 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| Inmarsat plc |
15,509 | 102,225 | (9,775 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
|
|||||||||||||||
| Electrocomponents plc |
12,865 | 111,934 | (1,363 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
|
|||||||||||||||
| Petrofac Ltd. |
13,920 | 104,886 | (6,704 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) |
|
|||||||||||||||
| UNITE Group plc (The) |
10,190 | 115,312 | 213 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
|
|||||||||||||||
| Wm Morrison Supermarkets plc |
34,714 | 109,421 | (2,652 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
|
|||||||||||||||
| Carnival plc |
1,720 | 121,354 | 2,046 | 0.0 | (a) | |||||||||||
| William Hill plc |
26,135 | 115,034 | 1,820 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 27,855 | 236,388 | 3,866 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
|
|||||||||||||||
| Barratt Developments plc |
13,132 | 109,085 | (5,258 | ) | 0.0 | (a) | ||||||||||
| Bellway plc |
2,361 | 111,302 | (5,826 | ) | 0.0 | (a) | ||||||||||
| Berkeley Group Holdings plc |
1,924 | 108,333 | (4,859 | ) | 0.0 | (a) | ||||||||||
| Crest Nicholson Holdings plc |
15,153 | 108,758 | (4,031 | ) | 0.0 | (a) | ||||||||||
| Persimmon plc |
2,888 | 102,595 | (6,373 | ) | 0.0 | (a) | ||||||||||
| Redrow plc |
13,093 | 111,355 | (6,998 | ) | 0.0 | (a) | ||||||||||
| Taylor Wimpey plc |
41,771 | 113,042 | (5,088 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 90,322 | 764,470 | (38,433 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
|
|||||||||||||||
| esure Group plc |
32,869 | 111,819 | (845 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
|
|||||||||||||||
| Centamin plc |
49,762 | 115,137 | (676 | ) | 0.0 | (a) | ||||||||||
| Rio Tinto plc |
2,013 | 112,050 | (572 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 51,775 | 227,187 | (1,248 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
|
|||||||||||||||
| Marks & Spencer Group plc |
25,831 | 110,461 | (1,752 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
|
|||||||||||||||
| Centrica plc |
61,311 | 116,171 | (3,574 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Paper & Forest Products |
||||||||||||||||
| Mondi plc |
4,121 | 109,838 | (2,158 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Professional Services |
||||||||||||||||
| Capita plc |
21,971 | 56,869 | (55,345 | ) | (0.2 | ) | ||||||||||
| Hays plc |
39,842 | 114,379 | 1,103 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 61,813 | 171,248 | (54,242 | ) | (0.2 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
||||||||||||||||
| Vodafone Group plc |
34,881 | 111,195 | (1,282 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
526,943 | 3,087,567 | (119,353 | ) | (0.2 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Cobham plc * |
(61,935 | ) | (114,979 | ) | 650 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Barclays plc |
(38,331 | ) | (109,010 | ) | 5,085 | 0.0 | (a) | |||||||||
| Standard Chartered plc * |
(9,582 | ) | (111,489 | ) | 2,158 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (47,913 | ) | (220,499 | ) | 7,243 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Capital Markets |
||||||||||||||||
| Hargreaves Lansdown plc |
(4,212 | ) | (111,145 | ) | 2,099 | 0.0 | (a) | |||||||||
| St James’s Place plc |
(6,428 | ) | (108,526 | ) | 4,517 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (10,640 | ) | (219,671 | ) | 6,616 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Johnson Matthey plc |
(2,513 | ) | (123,514 | ) | (8,892 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Balfour Beatty plc |
(27,499 | ) | (110,345 | ) | 3,959 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Consumer Services |
||||||||||||||||
| Dignity plc |
(7,950 | ) | (92,210 | ) | 18,941 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| Melrose Industries plc |
(34,175 | ) | (109,829 | ) | 4,808 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
||||||||||||||||
| Compass Group plc |
(5,194 | ) | (109,359 | ) | 3,126 | 0.0 | (a) | |||||||||
| Domino’s Pizza Group plc |
(24,924 | ) | (119,506 | ) | 3,624 | 0.0 | (a) | |||||||||
| GVC Holdings plc |
(8,560 | ) | (112,667 | ) | 2,866 | 0.0 | (a) | |||||||||
| InterContinental Hotels Group plc |
(1,628 | ) | (108,930 | ) | 3,193 | 0.0 | (a) | |||||||||
| Merlin Entertainments plc |
(23,962 | ) | (111,798 | ) | 5,077 | 0.0 | (a) | |||||||||
| Whitbread plc |
(2,008 | ) | (110,671 | ) | 1,028 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (66,276 | ) | (672,931 | ) | 18,914 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
||||||||||||||||
| DCC plc |
(1,065 | ) | (111,939 | ) | 2,299 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Fresnillo plc |
(5,829 | ) | (111,600 | ) | 2,494 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
||||||||||||||||
| B&M European Value Retail SA |
(21,031 | ) | (124,135 | ) | (492 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Cairn Energy plc * |
(40,966 | ) | (120,531 | ) | 1,924 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
||||||||||||||||
| Sophos Group plc (b)(c) |
(12,142 | ) | (110,580 | ) | 280 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Tobacco |
||||||||||||||||
| British American Tobacco plc |
(1,587 | ) | (108,466 | ) | 4,425 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Bunzl plc |
(3,913 | ) | (114,466 | ) | (5,864 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Water Utilities |
||||||||||||||||
| Pennon Group plc |
(10,793 | ) | (110,329 | ) | 3,271 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(356,227 | ) | (2,576,024 | ) | 60,576 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
170,716 | 511,543 | (58,777 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in USD based on the local currencies of the positions within the swaps. | 02/25/2019 | $ | (11,184,028 | ) | $ | 220,302 | $ | 2,146 | $ | 222,448 | |||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
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| Aerospace & Defense |
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| Aerovironment, Inc. * |
(2,115 | ) | (108,626 | ) | 4,005 | 0.0 | (a) | |||||||||
| TransDigm Group, Inc. |
(406 | ) | (128,665 | ) | (5,115 | ) | 0.0 | (a) | ||||||||
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| (2,521 | ) | (237,291 | ) | (1,110 | ) | 0.0 | (a) | |||||||||
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| Air Freight & Logistics |
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| Hub Group, Inc. * |
(2,192 | ) | (105,326 | ) | 6,454 | 0.0 | (a) | |||||||||
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| Airlines |
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| Spirit Airlines, Inc. * |
(2,591 | ) | (109,133 | ) | (1,336 | ) | 0.0 | (a) | ||||||||
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| Banks |
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| Pinnacle Financial Partners, Inc. |
(1,926 | ) | (121,916 | ) | 2,619 | 0.0 | (a) | |||||||||
| Signature Bank * |
(709 | ) | (109,186 | ) | 1,144 | 0.0 | (a) | |||||||||
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| (2,635 | ) | (231,102 | ) | 3,763 | 0.0 | (a) | ||||||||||
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| Building Products |
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| Armstrong World Industries, Inc. * |
(1,815 | ) | (113,801 | ) | 1,329 | 0.0 | (a) | |||||||||
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| Capital Markets |
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| Charles Schwab Corp. (The) |
(2,025 | ) | (108,014 | ) | 4,239 | 0.0 | (a) | |||||||||
| TD Ameritrade Holding Corp. |
(2,009 | ) | (112,082 | ) | 601 | 0.0 | (a) | |||||||||
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| (4,034 | ) | (220,096 | ) | 4,840 | 0.0 | (a) | ||||||||||
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| Chemicals |
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| CF Industries Holdings, Inc. |
(2,749 | ) | (116,668 | ) | (2,030 | ) | 0.0 | (a) | ||||||||
| Valvoline, Inc. |
(4,930 | ) | (121,525 | ) | 1,181 | 0.0 | (a) | |||||||||
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| (7,679 | ) | (238,193 | ) | (849 | ) | 0.0 | (a) | |||||||||
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| Commercial Services & Supplies |
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| Clean Harbors, Inc. * |
(2,192 | ) | (121,305 | ) | 2,677 | 0.0 | (a) | |||||||||
| Covanta Holding Corp. |
(6,603 | ) | (107,959 | ) | 1,948 | 0.0 | (a) | |||||||||
| Healthcare Services Group, Inc. |
(2,174 | ) | (119,961 | ) | (3,617 | ) | 0.0 | (a) | ||||||||
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| (10,969 | ) | (349,225 | ) | 1,008 | 0.0 | (a) | ||||||||||
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| Communications Equipment |
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| Infinera Corp. * |
(16,704 | ) | (108,075 | ) | 2,648 | 0.0 | (a) | |||||||||
| ViaSat, Inc. * |
(1,400 | ) | (105,868 | ) | 3,504 | 0.0 | (a) | |||||||||
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| (18,104 | ) | (213,943 | ) | 6,152 | 0.0 | (a) | ||||||||||
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| Consumer Finance |
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| LendingClub Corp. * |
(28,264 | ) | (103,446 | ) | 12,727 | 0.0 | (a) | |||||||||
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| Containers & Packaging |
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| Ball Corp. |
(2,854 | ) | (109,251 | ) | 1,528 | 0.0 | (a) | |||||||||
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| Distributors |
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| Core-Mark Holding Co., Inc. |
(4,718 | ) | (104,221 | ) | 6,351 | 0.0 | (a) | |||||||||
| LKQ Corp. * |
(2,620 | ) | (110,119 | ) | 2,590 | 0.0 | (a) | |||||||||
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| (7,338 | ) | (214,340 | ) | 8,941 | 0.0 | (a) | ||||||||||
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| Diversified Consumer Services |
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| Chegg, Inc. * |
(6,738 | ) | (116,702 | ) | (3,650 | ) | 0.0 | (a) | ||||||||
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| Electric Utilities |
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| Westar Energy, Inc. |
(2,110 | ) | (109,003 | ) | (813 | ) | 0.0 | (a) | ||||||||
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| Energy Equipment & Services |
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| Weatherford International plc * |
(26,044 | ) | (102,613 | ) | 9,324 | 0.0 | (a) | |||||||||
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| Food & Staples Retailing |
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| Casey’s General Stores, Inc. |
(919 | ) | (111,300 | ) | 3,347 | 0.0 | (a) | |||||||||
| PriceSmart, Inc. |
(1,398 | ) | (119,110 | ) | 514 | 0.0 | (a) | |||||||||
| Smart & Final Stores, Inc. * |
(11,754 | ) | (110,488 | ) | 347 | 0.0 | (a) | |||||||||
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| (14,071 | ) | (340,898 | ) | 4,208 | 0.0 | (a) | ||||||||||
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JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
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| Common Stocks — continued |
|
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| Health Care Equipment & Supplies |
|
|||||||||||||||
| AtriCure, Inc. * |
(6,090 | ) | (99,328 | ) | 8,393 | 0.0 | (a) | |||||||||
| DexCom, Inc. * |
(2,037 | ) | (118,553 | ) | (1,405 | ) | 0.0 | (a) | ||||||||
| Insulet Corp. * |
(1,594 | ) | (121,989 | ) | (71 | ) | 0.0 | (a) | ||||||||
| Nevro Corp. * |
(1,432 | ) | (114,932 | ) | 209 | 0.0 | (a) | |||||||||
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| (11,153 | ) | (454,802 | ) | 7,126 | 0.0 | (a) | ||||||||||
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| Hotels, Restaurants & Leisure |
|
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| Chipotle Mexican Grill, Inc. * |
(340 | ) | (110,418 | ) | 1,704 | 0.0 | (a) | |||||||||
| MGM Resorts International |
(3,024 | ) | (110,225 | ) | 3,387 | 0.0 | (a) | |||||||||
| Red Robin Gourmet Burgers, Inc. * |
(2,124 | ) | (111,829 | ) | (162 | ) | 0.0 | (a) | ||||||||
| Wynn Resorts Ltd. |
(575 | ) | (95,214 | ) | 19,008 | 0.1 | ||||||||||
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| (6,063 | ) | (427,686 | ) | 23,937 | 0.1 | |||||||||||
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| Household Durables |
|
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| Universal Electronics, Inc. * |
(2,289 | ) | (105,523 | ) | 1,708 | 0.0 | (a) | |||||||||
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| Insurance |
|
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| RLI Corp. |
(1,951 | ) | (125,371 | ) | (9,882 | ) | 0.0 | (a) | ||||||||
|
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| Internet & Direct Marketing Retail |
|
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| Groupon, Inc. * |
(19,627 | ) | (103,827 | ) | 3,533 | 0.0 | (a) | |||||||||
| Netflix, Inc. * |
(493 | ) | (133,258 | ) | (6,958 | ) | 0.0 | (a) | ||||||||
| Wayfair, Inc. * |
(1,238 | ) | (113,908 | ) | (1,656 | ) | 0.0 | (a) | ||||||||
|
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|||||||||
| (21,358 | ) | (350,993 | ) | (5,081 | ) | 0.0 | (a) | |||||||||
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| Internet Software & Services |
|
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| ANGI Homeservices, Inc. * |
(8,434 | ) | (112,678 | ) | 1,191 | 0.0 | (a) | |||||||||
| Box, Inc. * |
(4,943 | ) | (109,932 | ) | 2,080 | 0.0 | (a) | |||||||||
| Cornerstone OnDemand, Inc. * |
(2,974 | ) | (122,321 | ) | 2,232 | 0.0 | (a) | |||||||||
| Etsy, Inc. * |
(5,604 | ) | (105,131 | ) | 2,979 | 0.0 | (a) | |||||||||
| GTT Communications, Inc. * |
(2,604 | ) | (120,175 | ) | (4,519 | ) | 0.0 | (a) | ||||||||
| Hortonworks, Inc. * |
(5,576 | ) | (111,241 | ) | 960 | 0.0 | (a) | |||||||||
| MINDBODY, Inc. * |
(3,426 | ) | (120,424 | ) | (2,943 | ) | 0.0 | (a) | ||||||||
| Nutanix, Inc.* |
(3,126 | ) | (100,345 | ) | 14,175 | 0.1 | ||||||||||
| Pandora Media, Inc. * |
(27,179 | ) | (129,916 | ) | (15,231 | ) | (0.1 | ) | ||||||||
| SPS Commerce, Inc. * |
(2,355 | ) | (123,873 | ) | (2,499 | ) | 0.0 | (a) | ||||||||
| Wix.com Ltd. * |
(1,880 | ) | (114,774 | ) | 768 | 0.0 | (a) | |||||||||
| Zillow Group, Inc. * |
(2,615 | ) | (116,263 | ) | (1,653 | ) | 0.0 | (a) | ||||||||
|
|
|
|
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|
|
|
|||||||||
| (70,716 | ) | (1,387,073 | ) | (2,460 | ) | 0.0 | (a) | |||||||||
|
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| IT Services |
|
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| Syntel, Inc. * |
(4,894 | ) | (110,360 | ) | 4,764 | 0.0 | (a) | |||||||||
|
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| Leisure Products |
|
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| Mattel, Inc. |
(6,976 | ) | (110,500 | ) | 10,724 | 0.0 | (a) | |||||||||
|
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| Machinery |
|
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| Flowserve Corp. |
(2,565 | ) | (116,246 | ) | (283 | ) | 0.0 | (a) | ||||||||
| Welbilt, Inc. * |
(4,932 | ) | (109,984 | ) | 2,828 | 0.0 | (a) | |||||||||
|
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| (7,497 | ) | (226,230 | ) | 2,545 | 0.0 | (a) | ||||||||||
|
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| Marine |
|
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| Matson, Inc. |
(3,626 | ) | (124,045 | ) | (10,922 | ) | 0.0 | (a) | ||||||||
|
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| Media |
|
|||||||||||||||
| Liberty Broadband Corp. * |
(1,221 | ) | (116,667 | ) | (607 | ) | 0.0 | (a) | ||||||||
| Lions Gate Entertainment Corp. * |
(3,185 | ) | (107,780 | ) | 2,804 | 0.0 | (a) | |||||||||
|
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| (4,406 | ) | (224,447 | ) | 2,197 | 0.0 | (a) | ||||||||||
|
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| Metals & Mining |
|
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| Coeur Mining, Inc. * |
(13,237 | ) | (106,426 | ) | 8,354 | 0.0 | (a) | |||||||||
| Compass Minerals International, Inc. |
(1,522 | ) | (110,954 | ) | 2,796 | 0.0 | (a) | |||||||||
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| (14,759 | ) | (217,380 | ) | 11,150 | 0.0 | (a) | ||||||||||
|
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| Multi-Utilities |
|
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| Dominion Energy, Inc. |
(1,425 | ) | (108,927 | ) | (1,204 | ) | 0.0 | (a) | ||||||||
| NiSource, Inc. |
(4,687 | ) | (115,675 | ) | (2,744 | ) | 0.0 | (a) | ||||||||
| Sempra Energy |
(973 | ) | (104,130 | ) | (1,223 | ) | 0.0 | (a) | ||||||||
|
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| (7,085 | ) | (328,732 | ) | (5,171 | ) | 0.0 | (a) | |||||||||
|
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| Oil, Gas & Consumable Fuels |
|
|||||||||||||||
| Antero Resources Corp. * |
(5,973 | ) | (116,055 | ) | 4,079 | 0.0 | (a) | |||||||||
| Cheniere Energy, Inc. * |
(2,027 | ) | (114,647 | ) | 2,601 | 0.0 | (a) | |||||||||
| Chesapeake Energy Corp. * |
(28,275 | ) | (98,963 | ) | 17,245 | 0.1 | ||||||||||
| Concho Resources, Inc. * |
(700 | ) | (110,208 | ) | 2,088 | 0.0 | (a) | |||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Oil, Gas & Consumable Fuels — continued |
|
|||||||||||||||
| Extraction Oil & Gas, Inc. * |
(7,317 | ) | (103,170 | ) | 7,908 | 0.0 | (a) | |||||||||
| Hess Corp. |
(2,099 | ) | (106,021 | ) | 6,978 | 0.0 | (a) | |||||||||
| Kosmos Energy Ltd. * |
(16,059 | ) | (110,968 | ) | 11,241 | 0.0 | (a) | |||||||||
| Oasis Petroleum, Inc. * |
(12,268 | ) | (106,241 | ) | 6,976 | 0.0 | (a) | |||||||||
| Parsley Energy, Inc. * |
(4,038 | ) | (95,297 | ) | 23,875 | 0.1 | ||||||||||
| PDC Energy, Inc. * |
(2,192 | ) | (113,655 | ) | 8,040 | 0.0 | (a) | |||||||||
| SM Energy Co. |
(4,237 | ) | (98,934 | ) | 12,090 | 0.0 | (a) | |||||||||
|
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| (85,185 | ) | (1,174,159 | ) | 103,121 | 0.2 | |||||||||||
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| Pharmaceuticals |
|
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| Aerie Pharmaceuticals, Inc. * |
(1,701 | ) | (93,300 | ) | 2,646 | 0.0 | (a) | |||||||||
| Dermira, Inc. * |
(4,218 | ) | (120,297 | ) | 1,121 | 0.0 | (a) | |||||||||
| Medicines Co. (The) * |
(3,523 | ) | (116,717 | ) | (2,457 | ) | 0.0 | (a) | ||||||||
| Nektar Therapeutics * |
(1,462 | ) | (122,238 | ) | (9,693 | ) | 0.0 | (a) | ||||||||
| Pacira Pharmaceuticals, Inc. * |
(2,624 | ) | (95,514 | ) | 5,527 | 0.0 | (a) | |||||||||
|
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| (13,528 | ) | (548,066 | ) | (2,856 | ) | 0.0 | (a) | |||||||||
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| Road & Rail |
|
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| AMERCO |
(298 | ) | (108,794 | ) | 4,358 | 0.0 | (a) | |||||||||
| Hertz Global Holdings, Inc. * |
(4,621 | ) | (105,960 | ) | 3,336 | 0.0 | (a) | |||||||||
| Werner Enterprises, Inc. |
(2,685 | ) | (109,280 | ) | 3,353 | 0.0 | (a) | |||||||||
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| (7,604 | ) | (324,034 | ) | 11,047 | 0.0 | (a) | ||||||||||
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| Semiconductors & Semiconductor Equipment |
|
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| MACOM Technology Solutions Holdings, Inc. * |
(3,419 | ) | (106,331 | ) | 1,984 | 0.0 | (a) | |||||||||
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| Software |
|
|||||||||||||||
| Autodesk, Inc. * |
(894 | ) | (103,364 | ) | 1,743 | 0.0 | (a) | |||||||||
| FireEye, Inc. * |
(7,983 | ) | (120,384 | ) | 2,045 | 0.0 | (a) | |||||||||
| HubSpot, Inc. * |
(1,112 | ) | (107,920 | ) | 1,487 | 0.0 | (a) | |||||||||
| PROS Holdings, Inc. * |
(3,885 | ) | (112,820 | ) | (65 | ) | 0.0 | (a) | ||||||||
| Snap, Inc. * |
(7,922 | ) | (107,105 | ) | 7,477 | 0.0 | (a) | |||||||||
| Splunk, Inc. * |
(1,228 | ) | (113,430 | ) | 87 | 0.0 | (a) | |||||||||
| Workday, Inc. * |
(1,015 | ) | (121,688 | ) | (4,245 | ) | 0.0 | (a) | ||||||||
| Zendesk, Inc. * |
(3,289 | ) | (126,692 | ) | (1,016 | ) | 0.0 | (a) | ||||||||
|
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|
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| (27,328 | ) | (913,403 | ) | 7,513 | 0.0 | (a) | ||||||||||
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|||||||||
| Specialty Retail |
|
|||||||||||||||
| Advance Auto Parts, Inc. |
(951 | ) | (111,258 | ) | 2,762 | 0.0 | (a) | |||||||||
| CarMax, Inc. * |
(1,574 | ) | (112,336 | ) | (910 | ) | 0.0 | (a) | ||||||||
| L Brands, Inc. |
(2,320 | ) | (116,209 | ) | 6,729 | 0.0 | (a) | |||||||||
| Monro, Inc. |
(1,818 | ) | (102,717 | ) | 10,127 | 0.0 | (a) | |||||||||
|
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|
|||||||||
| (6,663 | ) | (442,520 | ) | 18,708 | 0.0 | (a) | ||||||||||
|
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|||||||||
| Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
| Pure Storage, Inc. * |
(6,323 | ) | (127,345 | ) | (9,863 | ) | 0.0 | (a) | ||||||||
|
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|||||||||
| Trading Companies & Distributors |
|
|||||||||||||||
| SiteOne Landscape Supply, Inc. * |
(1,502 | ) | (114,392 | ) | (3,839 | ) | 0.0 | (a) | ||||||||
|
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|||||||||
| Water Utilities |
|
|||||||||||||||
| American Water Works Co., Inc. |
(1,272 | ) | (105,792 | ) | 866 | 0.0 | (a) | |||||||||
| California Water Service Group |
(2,654 | ) | (108,018 | ) | 11,664 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (3,926 | ) | (213,810 | ) | 12,530 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
|
|||||||||||||||
| Sprint Corp. * |
(21,100 | ) | (112,463 | ) | (1,194 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(479,310 | ) | (11,184,028 | ) | 220,302 | 0.3 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 02/25/2019 | $ | 1,256,331 | $ | (4,067 | ) | $ | (1,186 | ) | $ | (5,253 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Auto Components |
||||||||||||||||
| Linamar Corp. |
1,843 | 108,827 | (2,846 | ) | 0.0 | (a) | ||||||||||
| Magna International, Inc. |
2,079 | 118,757 | (5,306 | ) | 0.0 | (a) | ||||||||||
| Martinrea International, Inc. |
9,340 | 109,270 | (8,920 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 13,262 | 336,854 | (17,072 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
||||||||||||||||
| Bank of Nova Scotia (The) |
1,703 | 113,146 | (55 | ) | 0.0 | (a) | ||||||||||
| Laurentian Bank of Canada |
2,423 | 104,800 | (534 | ) | 0.0 | (a) | ||||||||||
| National Bank of Canada |
2,212 | 114,808 | (1,961 | ) | 0.0 | (a) | ||||||||||
| Royal Bank of Canada |
1,393 | 119,277 | (786 | ) | 0.0 | (a) | ||||||||||
| Toronto-Dominion Bank (The) |
1,935 | 117,705 | 1,277 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 9,666 | 569,736 | (2,059 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Transcontinental, Inc. |
4,898 | 99,035 | (2,322 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| Enerflex Ltd. |
8,597 | 102,255 | (4,714 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| Maple Leaf Foods, Inc. |
4,279 | 121,238 | (1,788 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
||||||||||||||||
| CGI Group, Inc. * |
2,128 | 121,798 | 2,668 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
||||||||||||||||
| Cogeco Communications, Inc. |
1,681 | 104,140 | (3,440 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Parex Resources, Inc. * |
7,307 | 109,130 | (5,309 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Paper & Forest Products |
||||||||||||||||
| Canfor Corp. * |
4,928 | 115,588 | 1,237 | 0.0 | (a) | |||||||||||
| West Fraser Timber Co. Ltd. |
1,731 | 121,114 | 95 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 6,659 | 236,702 | 1,332 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Thrifts & Mortgage Finance |
||||||||||||||||
| Genworth MI Canada, Inc. |
3,301 | 113,361 | (3,099 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
||||||||||||||||
| Finning International, Inc. |
4,112 | 113,230 | 521 | 0.0 | (a) | |||||||||||
| Toromont Industries Ltd. |
2,531 | 110,520 | (1,108 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 6,643 | 223,750 | (587 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
68,421 | 2,137,999 | (36,390 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Bombardier, Inc. * |
(46,394 | ) | (131,261 | ) | (13,133 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Independent Power and Renewable Electricity Producers |
||||||||||||||||
| Northland Power, Inc. |
(5,950 | ) | (110,680 | ) | 2,967 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| First Majestic Silver Corp. * |
(16,045 | ) | (98,096 | ) | 17,296 | 0.1 | (a) | |||||||||
| Franco-Nevada Corp. |
(1,431 | ) | (109,419 | ) | 2,739 | 0.0 | (a) | |||||||||
| Goldcorp, Inc. |
(7,786 | ) | (111,473 | ) | 5,739 | 0.0 | (a) | |||||||||
| Wheaton Precious Metals Corp. |
(5,170 | ) | (111,680 | ) | 4,583 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (30,432 | ) | (430,668 | ) | 30,357 | 0.1 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| MEG Energy Corp. * |
(22,529 | ) | (101,838 | ) | 6,615 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
||||||||||||||||
| Common Stocks — continued |
||||||||||||||||
| Software |
||||||||||||||||
| BlackBerry Ltd. * |
(8,454 | ) | (107,221 | ) | 5,517 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(113,759 | ) | (881,668 | ) | 32,323 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(45,338 | ) | 1,256,331 | (4,067 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.25 % to 0.55%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 02/28/2019 to 07/31/2019 |
$ | 2,676,090 | $ | (100,895 | ) | $ | (778 | ) | $ | (101,673 | ) | |||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Airlines |
||||||||||||||||
| Deutsche Lufthansa AG (Registered) |
3,096 | 110,598 | (3,015 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Auto Components |
||||||||||||||||
| Faurecia |
1,237 | 110,996 | (2,495 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Automobiles |
||||||||||||||||
| Peugeot SA |
4,560 | 102,424 | (3,477 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
||||||||||||||||
| Covestro AG (b)(c) |
973 | 112,041 | (1,016 | ) | 0.0 | (a) | ||||||||||
| Lenzing AG |
836 | 106,285 | (6,791 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 1,809 | 218,326 | (7,807 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
||||||||||||||||
| Eiffage SA |
936 | 113,476 | 1,118 | 0.0 | (a) | |||||||||||
| Koninklijke Volkerwessels NV |
3,762 | 111,537 | (332 | ) | 0.0 | (a) | ||||||||||
| Maire Tecnimont SpA |
20,516 | 106,916 | (5,853 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 25,214 | 331,929 | (5,067 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
||||||||||||||||
| Deutsche Telekom AG (Registered) |
6,292 | 110,362 | (5,017 | ) | 0.0 | (a) | ||||||||||
| DNA OYJ |
6,432 | 120,663 | 854 | 0.0 | (a) | |||||||||||
| Telefonica Deutschland Holding AG |
22,296 | 112,703 | (936 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 35,020 | 343,728 | (5,099 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electric Utilities |
||||||||||||||||
| EDP - Energias de Portugal SA |
33,071 | 116,157 | (2,261 | ) | 0.0 | (a) | ||||||||||
| Endesa SA |
5,021 | 112,709 | (4,198 | ) | 0.0 | (a) | ||||||||||
| Enel SpA |
18,367 | 116,766 | (1,953 | ) | 0.0 | (a) | ||||||||||
| Iberdrola SA |
14,314 | 116,513 | (3,463 | ) | 0.0 | (a) | ||||||||||
| Verbund AG |
3,902 | 108,220 | (4,809 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 74,675 | 570,365 | (16,684 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
||||||||||||||||
| Philips Lighting NV (b)(c) |
2,847 | 111,944 | (347 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
||||||||||||||||
| SBM Offshore NV |
5,740 | 107,204 | (5,948 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
||||||||||||||||
| Distribuidora Internacional de Alimentacion SA |
19,745 | 105,499 | (6,722 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
||||||||||||||||
| ForFarmers NV |
8,959 | 112,565 | (3,522 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
||||||||||||||||
| Koninklijke Philips NV |
2,722 | 110,948 | (2,188 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Insurance |
|
|||||||||||||||
| Allianz SE (Registered) |
478 | 120,899 | (1,761 | ) | 0.0 | (a) | ||||||||||
| ASR Nederland NV |
2,735 | 119,467 | (1,925 | ) | 0.0 | (a) | ||||||||||
| SCOR SE |
2,749 | 123,040 | (1,639 | ) | 0.0 | (a) | ||||||||||
| Talanx AG |
2,468 | 109,269 | (4,136 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 8,430 | 472,675 | (9,461 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
|
|||||||||||||||
| Sopra Steria Group |
545 | 110,605 | (1,500 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
|
|||||||||||||||
| Cargotec OYJ |
1,987 | 115,845 | (2,635 | ) | 0.0 | (a) | ||||||||||
| Fincantieri SpA * |
62,706 | 112,127 | 1,439 | 0.0 | (a) | |||||||||||
| Pfeiffer Vacuum Technology AG |
603 | 119,560 | (515 | ) | 0.0 | (a) | ||||||||||
| Valmet OYJ |
4,942 | 110,887 | (381 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 70,238 | 458,419 | (2,092 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
|
|||||||||||||||
| Eutelsat Communications SA |
4,780 | 105,207 | (9,678 | ) | 0.0 | (a) | ||||||||||
| IPSOS |
2,965 | 113,259 | (6,257 | ) | 0.0 | (a) | ||||||||||
| Metropole Television SA |
4,125 | 112,232 | (474 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 11,870 | 330,698 | (16,409 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Utilities |
|
|||||||||||||||
| A2A SpA |
56,615 | 108,802 | (4,427 | ) | 0.0 | (a) | ||||||||||
| Engie SA |
6,710 | 116,513 | (1,681 | ) | 0.0 | (a) | ||||||||||
| Iren SpA |
33,626 | 108,806 | (3,173 | ) | 0.0 | (a) | ||||||||||
| REN - Redes Energeticas Nacionais SGPS SA |
36,683 | 114,497 | (2,050 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 133,634 | 448,618 | (11,331 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
|
|||||||||||||||
| Enagas SA |
3,956 | 107,767 | (7,232 | ) | 0.0 | (a) | ||||||||||
| Eni SpA |
6,555 | 118,005 | (3,332 | ) | 0.0 | (a) | ||||||||||
| Gaztransport Et Technigaz SA |
1,701 | 117,737 | 3,850 | 0.0 | (a) | |||||||||||
| Neste OYJ |
1,554 | 107,551 | (2,427 | ) | 0.0 | (a) | ||||||||||
| OMV AG |
1,647 | 106,044 | (6,910 | ) | 0.0 | (a) | ||||||||||
| Repsol SA |
6,027 | 113,434 | (4,822 | ) | 0.0 | (a) | ||||||||||
| TOTAL SA |
1,990 | 115,380 | (2,249 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 23,430 | 785,918 | (23,122 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Paper & Forest Products |
|
|||||||||||||||
| Ence Energia y Celulosa SA |
16,885 | 108,486 | (5,206 | ) | 0.0 | (a) | ||||||||||
| UPM-Kymmene OYJ |
3,364 | 113,429 | 534 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 20,249 | 221,915 | (4,672 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
|
|||||||||||||||
| Bayer AG (Registered) |
813 | 106,533 | (2,837 | ) | 0.0 | (a) | ||||||||||
| Merck KGaA |
1,051 | 115,041 | (3,731 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 1,864 | 221,574 | (6,568 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
|
|||||||||||||||
| CA Immobilien Anlagen AG |
3,821 | 117,366 | (3,699 | ) | 0.0 | (a) | ||||||||||
| TAG Immobilien AG |
5,537 | 109,450 | (3,751 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 9,358 | 226,816 | (7,450 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| BE Semiconductor Industries NV |
1,131 | 108,844 | (1,456 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Textiles, Apparel & Luxury Goods |
|
|||||||||||||||
| Moncler SpA |
3,388 | 111,652 | (3,369 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Thrifts & Mortgage Finance |
|
|||||||||||||||
| Deutsche Pfandbriefbank AG (b)(c) |
6,025 | 111,364 | (3,171 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
475,786 | 5,945,624 | (152,972 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Beverages |
|
|||||||||||||||
| Anheuser-Busch InBev SA/NV |
(975 | ) | (110,428 | ) | 1,704 | 0.0 | (a) | |||||||||
| Davide Campari-Milano SpA |
(14,705 | ) | (117,127 | ) | (1,683 | ) | 0.0 | (a) | ||||||||
| Remy Cointreau SA |
(851 | ) | (112,002 | ) | (128 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (16,531 | ) | (339,557 | ) | (107 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Capital Markets |
|
|||||||||||||||
| Deutsche Bank AG (Registered) |
(5,776 | ) | (106,282 | ) | 9,170 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
|
|||||||||||||||
| OCI NV * |
(4,361 | ) | (110,713 | ) | 1,228 | 0.0 | (a) | |||||||||
| Symrise AG |
(1,451 | ) | (121,597 | ) | 1,281 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (5,812 | ) | (232,310 | ) | 2,509 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Commercial Services & Supplies |
|
|||||||||||||||
| Prosegur Cia de Seguridad SA |
(14,534 | ) | (120,831 | ) | 2,522 | 0.0 | (a) | |||||||||
| Societe BIC SA |
(949 | ) | (108,674 | ) | 3,825 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (15,483 | ) | (229,505 | ) | 6,347 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
|
|||||||||||||||
| Ferrovial SA |
(4,819 | ) | (110,629 | ) | 2,449 | 0.0 | (a) | |||||||||
| Sacyr SA |
(36,556 | ) | (119,310 | ) | (3,663 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (41,375 | ) | (229,939 | ) | (1,214 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| Iliad SA |
(462 | ) | (119,532 | ) | 3,053 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
|
|||||||||||||||
| Nexans SA |
(1,822 | ) | (110,512 | ) | 2,487 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
|
|||||||||||||||
| Sartorius Stedim Biotech |
(1,413 | ) | (122,451 | ) | (7,371 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
|
|||||||||||||||
| Korian SA |
(3,398 | ) | (109,435 | ) | 2,423 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
|
|||||||||||||||
| Accor SA |
(1,967 | ) | (111,952 | ) | (884 | ) | 0.0 | (a) | ||||||||
| NH Hotel Group SA |
(14,860 | ) | (112,985 | ) | 144 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (16,827 | ) | (224,937 | ) | (740 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
|
|||||||||||||||
| Zalando SE *(b)(c) |
(1,887 | ) | (110,601 | ) | 1,548 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
|
|||||||||||||||
| Tieto OYJ |
(3,283 | ) | (114,119 | ) | 151 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
|
|||||||||||||||
| Amer Sports OYJ * |
(3,980 | ) | (112,361 | ) | 3,060 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
|
|||||||||||||||
| Alstom SA |
(2,510 | ) | (110,100 | ) | 3,705 | 0.0 | (a) | |||||||||
| GEA Group AG |
(2,563 | ) | (127,476 | ) | 2,257 | 0.0 | (a) | |||||||||
| KION Group AG |
(1,198 | ) | (110,114 | ) | 3,290 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (6,271 | ) | (347,690 | ) | 9,252 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
|
|||||||||||||||
| Altice NV * |
(9,730 | ) | (104,347 | ) | 9,158 | 0.0 | (a) | |||||||||
| JCDecaux SA |
(2,501 | ) | (108,199 | ) | 3,486 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (12,231 | ) | (212,546 | ) | 12,644 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
|
|||||||||||||||
| Eramet * |
(763 | ) | (107,688 | ) | 2,941 | 0.0 | (a) | |||||||||
| thyssenkrupp AG |
(3,522 | ) | (110,890 | ) | 3,138 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (4,285 | ) | (218,578 | ) | 6,079 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Professional Services |
|
|||||||||||||||
| Bureau Veritas SA |
(3,808 | ) | (111,586 | ) | 1,439 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
|
|||||||||||||||
| Europcar Groupe SA (b)(c) |
(7,391 | ) | (102,775 | ) | 2,581 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
|
|||||||||||||||
| Getlink SE |
(8,184 | ) | (114,818 | ) | (1,234 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(160,219 | ) | (3,269,534 | ) | 52,077 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
315,567 | 2,676,090 | (100,895 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions, which is denominated in JPY based on the local currencies of the positions within the swaps. | 02/25/2019 | $ | (301,897 | ) | $ | (24,982 | ) | $ | (18 | ) | $ | (25,000 | ) | ||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Auto Components |
|
|||||||||||||||
| Bridgestone Corp. |
2,200 | 107,373 | (2,513 | ) | 0.0 | (a) | ||||||||||
| NHK Spring Co. Ltd. |
9,500 | 105,883 | (2,184 | ) | 0.0 | (a) | ||||||||||
| Sumitomo Rubber Industries Ltd. |
5,800 | 112,972 | (2,537 | ) | 0.0 | (a) | ||||||||||
| TS Tech Co. Ltd. |
2,500 | 107,142 | (5,730 | ) | 0.0 | (a) | ||||||||||
| Unipres Corp. |
4,000 | 106,589 | (6,240 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 24,000 | 539,959 | (19,204 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Building Products |
|
|||||||||||||||
| Asahi Glass Co. Ltd. |
2,700 | 118,896 | (4,068 | ) | 0.0 | (a) | ||||||||||
| Nichias Corp. |
9,000 | 122,634 | (5,397 | ) | 0.0 | (a) | ||||||||||
| Nichiha Corp. |
2,500 | 100,719 | (11,129 | ) | (0.1 | ) | ||||||||||
| Takasago Thermal Engineering Co. Ltd. |
6,300 | 119,280 | (3,905 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 20,500 | 461,529 | (24,499 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
|
|||||||||||||||
| Kuraray Co. Ltd. |
5,500 | 103,308 | (3,071 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Chemical Holdings Corp. |
10,100 | 110,154 | (2,519 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Gas Chemical Co., Inc. |
3,800 | 107,714 | (4,031 | ) | 0.0 | (a) | ||||||||||
| Mitsui Chemicals, Inc. |
3,500 | 110,355 | (3,172 | ) | 0.0 | (a) | ||||||||||
| Sumitomo Bakelite Co. Ltd. |
13,000 | 111,670 | (6,602 | ) | 0.0 | (a) | ||||||||||
| Tosoh Corp. |
5,000 | 115,111 | 672 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 40,900 | 658,312 | (18,723 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
|
|||||||||||||||
| Kinden Corp. |
6,700 | 112,134 | (3,978 | ) | 0.0 | (a) | ||||||||||
| Nishimatsu Construction Co. Ltd. * |
3,600 | 102,346 | (1,953 | ) | 0.0 | (a) | ||||||||||
| Obayashi Corp. |
8,100 | 97,796 | (5,747 | ) | 0.0 | (a) | ||||||||||
| Okumura Corp. * |
2,800 | 121,128 | (3,166 | ) | 0.0 | (a) | ||||||||||
| Taisei Corp. |
1,900 | 96,977 | (3,998 | ) | 0.0 | (a) | ||||||||||
| Toda Corp. * |
13,000 | 102,424 | (4,057 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 36,100 | 632,805 | (22,899 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| Nippon Telegraph & Telephone Corp. |
2,200 | 105,346 | (2 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
|
|||||||||||||||
| Azbil Corp. |
2,500 | 116,519 | (4,527 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Energy Equipment & Services |
|
|||||||||||||||
| Modec, Inc. |
4,000 | 111,134 | 403 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
|
|||||||||||||||
| Matsumotokiyoshi Holdings Co. Ltd. |
2,700 | 110,935 | (3,928 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
|
|||||||||||||||
| Nichirei Corp. |
4,000 | 107,378 | (5,450 | ) | 0.0 | (a) | ||||||||||
| Prima Meat Packers Ltd. * |
15,000 | 102,650 | (7,448 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 19,000 | 210,028 | (12,898 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
|
|||||||||||||||
| Hoya Corp. |
2,100 | 107,862 | (2,160 | ) | 0.0 | (a) | ||||||||||
| Nikkiso Co. Ltd. |
9,300 | 110,311 | (4,623 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 11,400 | 218,173 | (6,783 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
|
|||||||||||||||
| BML, Inc. |
4,200 | 113,283 | (762 | ) | 0.0 | (a) | ||||||||||
| Miraca Holdings, Inc. |
2,400 | 109,625 | 627 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 6,600 | 222,908 | (135 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Internet Software & Services |
|
|||||||||||||||
| Mixi, Inc. |
2,500 | 110,390 | (4,483 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
|
|||||||||||||||
| NEC Networks & System Integration Corp. * |
4,000 | 107,185 | (2,778 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
|
|||||||||||||||
| Bandai Namco Holdings, Inc. |
3,300 | 107,994 | (2,080 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
|
|||||||||||||||
| Nippon Denko Co. Ltd. |
24,000 | 112,872 | (431 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
|
|||||||||||||||
| JXTG Holdings, Inc. |
16,200 | 107,853 | (4,982 | ) | 0.0 | (a) | ||||||||||
| Showa Shell Sekiyu KK |
7,600 | 108,043 | (4,812 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 23,800 | 215,896 | (9,794 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
|
|||||||||||||||
| Astellas Pharma, Inc. |
8,500 | 111,785 | 2,281 | 0.0 | (a) | |||||||||||
| KYORIN Holdings, Inc. |
5,900 | 111,586 | (1,921 | ) | 0.0 | (a) | ||||||||||
| Mitsubishi Tanabe Pharma Corp. |
5,300 | 107,788 | (2,457 | ) | 0.0 | (a) | ||||||||||
| Shionogi & Co. Ltd. |
1,900 | 105,166 | (3,454 | ) | 0.0 | (a) | ||||||||||
| Tsumura & Co. |
3,300 | 111,230 | (3,000 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 24,900 | 547,555 | (8,551 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
|
|||||||||||||||
| Sankyu, Inc. |
2,700 | 126,023 | 5,468 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| Ulvac, Inc. |
1,500 | 100,549 | (8,891 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
|
|||||||||||||||
| Kohnan Shoji Co. Ltd. * |
4,500 | 113,372 | 897 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
| Brother Industries Ltd. |
4,500 | 115,600 | (7,027 | ) | 0.0 | (a) | ||||||||||
| Maxell Holdings Ltd. |
5,000 | 115,515 | (504 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 9,500 | 231,115 | (7,531 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
|
|||||||||||||||
| Sumitomo Corp. |
6,300 | 108,931 | (2,777 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Wireless Telecommunication Services |
|
|||||||||||||||
| NTT DOCOMO, Inc. |
4,500 | 111,813 | (1,124 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
281,400 | 5,381,343 | (155,270 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Air Freight & Logistics |
|
|||||||||||||||
| Yamato Holdings Co. Ltd. |
(4,800 | ) | (123,959 | ) | (9,629 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Banks |
|
|||||||||||||||
| Suruga Bank Ltd. |
(5,500 | ) | (111,508 | ) | 3,883 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Chemicals |
|
|||||||||||||||
| Nippon Shokubai Co. Ltd. |
(1,600 | ) | (113,938 | ) | 390 | 0.0 | (a) | |||||||||
| Tokyo Ohka Kogyo Co. Ltd. |
(2,300 | ) | (105,592 | ) | 4,510 | 0.0 | (a) | |||||||||
| Toray Industries, Inc. |
(11,000 | ) | (109,735 | ) | 3,529 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (14,900 | ) | (329,265 | ) | 8,429 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Construction & Engineering |
|
|||||||||||||||
| JGC Corp. |
(5,200 | ) | (113,014 | ) | 1,302 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Consumer Finance |
|
|||||||||||||||
| Acom Co. Ltd. * |
(25,800 | ) | (112,882 | ) | 736 | 0.0 | (a) | |||||||||
| Aiful Corp. * |
(30,500 | ) | (110,858 | ) | 2,790 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (56,300 | ) | (223,740 | ) | 3,526 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electric Utilities |
|
|||||||||||||||
| Chugoku Electric Power Co., Inc. (The) |
(10,100 | ) | (111,886 | ) | 1,319 | 0.0 | (a) | |||||||||
| Hokkaido Electric Power Co., Inc. |
(17,100 | ) | (111,535 | ) | 798 | 0.0 | (a) | |||||||||
| Hokuriku Electric Power Co. |
(12,800 | ) | (104,746 | ) | 1,162 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (40,000 | ) | (328,167 | ) | 3,279 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electronic Equipment, Instruments & Components |
|
|||||||||||||||
| Alps Electric Co. Ltd. |
(3,500 | ) | (101,142 | ) | 3,986 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food & Staples Retailing |
|
|||||||||||||||
| Aeon Co. Ltd. |
(6,500 | ) | (110,969 | ) | 1,828 | 0.0 | (a) | |||||||||
| FamilyMart UNY Holdings Co. Ltd. |
(1,700 | ) | (114,333 | ) | 1,021 | 0.0 | (a) | |||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Food & Staples Retailing — continued |
|
|||||||||||||||
| Sugi Holdings Co. Ltd. |
(2,200 | ) | (117,309 | ) | (804 | ) | 0.0 | (a) | ||||||||
| Tsuruha Holdings, Inc. |
(800 | ) | (111,728 | ) | 675 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (11,200 | ) | (454,339 | ) | 2,720 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Food Products |
|
|||||||||||||||
| Kameda Seika Co. Ltd. * |
(2,200 | ) | (106,693 | ) | 4,216 | 0.0 | (a) | |||||||||
| Nissin Foods Holdings Co. Ltd. |
(1,500 | ) | (111,294 | ) | 1,336 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (3,700 | ) | (217,987 | ) | 5,552 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Equipment & Supplies |
|
|||||||||||||||
| Sysmex Corp. |
(1,400 | ) | (110,205 | ) | 6,342 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Hotels, Restaurants & Leisure |
|
|||||||||||||||
| Colowide Co. Ltd. * |
(5,500 | ) | (110,622 | ) | 2,581 | 0.0 | (a) | |||||||||
| Create Restaurants Holdings, Inc. * |
(10,300 | ) | (114,203 | ) | 1,842 | 0.0 | (a) | |||||||||
| HIS Co. Ltd. |
(3,200 | ) | (115,922 | ) | 2,437 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (19,000 | ) | (340,747 | ) | 6,860 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Household Durables |
|
|||||||||||||||
| Pioneer Corp. * |
(49,600 | ) | (105,829 | ) | 8,636 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Industrial Conglomerates |
|
|||||||||||||||
| Keihan Holdings Co. Ltd. |
(3,700 | ) | (117,296 | ) | 2,744 | 0.0 | (a) | |||||||||
| Toshiba Corp. * |
(38,000 | ) | (108,742 | ) | 9,230 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (41,700 | ) | (226,038 | ) | 11,974 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet & Direct Marketing Retail |
|
|||||||||||||||
| Rakuten, Inc. |
(12,800 | ) | (115,838 | ) | (1,495 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
|
|||||||||||||||
| GMO internet, Inc. |
(6,200 | ) | (113,590 | ) | 665 | 0.0 | (a) | |||||||||
| Yahoo Japan Corp. * |
(23,100 | ) | (111,420 | ) | 1,546 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (29,300 | ) | (225,010 | ) | 2,211 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| IT Services |
|
|||||||||||||||
| Digital Garage, Inc. * |
(3,100 | ) | (103,403 | ) | 8,715 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Leisure Products |
|
|||||||||||||||
| Sankyo Co. Ltd. |
(3,600 | ) | (116,966 | ) | (3,213 | ) | 0.0 | (a) | ||||||||
| Shimano, Inc. |
(800 | ) | (114,671 | ) | 1,963 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (4,400 | ) | (231,637 | ) | (1,250 | ) | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Machinery |
|
|||||||||||||||
| FANUC Corp. |
(400 | ) | (108,567 | ) | 6,446 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Marine |
|
|||||||||||||||
| Kawasaki Kisen Kaisha Ltd. * |
(4,200 | ) | (111,700 | ) | 1,874 | 0.0 | (a) | |||||||||
| Mitsui OSK Lines Ltd. |
(3,100 | ) | (111,675 | ) | 1,167 | 0.0 | (a) | |||||||||
| Nippon Yusen KK * |
(4,300 | ) | (108,099 | ) | 5,905 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (11,600 | ) | (331,474 | ) | 8,946 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multiline Retail |
|
|||||||||||||||
| Don Quijote Holdings Co. Ltd. |
(2,000 | ) | (110,812 | ) | 4,762 | 0.0 | (a) | |||||||||
| Isetan Mitsukoshi Holdings Ltd. |
(9,200 | ) | (110,524 | ) | 2,137 | 0.0 | (a) | |||||||||
| Marui Group Co. Ltd. |
(6,000 | ) | (109,670 | ) | 3,111 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (17,200 | ) | (331,006 | ) | 10,010 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
|
|||||||||||||||
| Chugai Pharmaceutical Co. Ltd. |
(2,200 | ) | (116,275 | ) | 2,006 | 0.0 | (a) | |||||||||
| Nichi-iko Pharmaceutical Co. Ltd. |
(7,200 | ) | (112,630 | ) | 1,022 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (9,400 | ) | (228,905 | ) | 3,028 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
|
|||||||||||||||
| Mitsubishi Estate Co. Ltd. |
(5,900 | ) | (113,485 | ) | 3,880 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Road & Rail |
|
|||||||||||||||
| Keio Corp. |
(2,300 | ) | (109,517 | ) | 1,542 | 0.0 | (a) | |||||||||
| Kintetsu Group Holdings Co. Ltd. |
(2,900 | ) | (114,822 | ) | 4,053 | 0.0 | (a) | |||||||||
| Odakyu Electric Railway Co. Ltd. |
(5,000 | ) | (110,438 | ) | 3,686 | 0.0 | (a) | |||||||||
| Tokyu Corp. |
(6,700 | ) | (112,381 | ) | 1,274 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (16,900 | ) | (447,158 | ) | 10,555 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| Renesas Electronics Corp. * |
(9,300 | ) | (109,593 | ) | 3,589 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Software |
|
|||||||||||||||
| LINE Corp. * |
(2,600 | ) | (116,224 | ) | 3,493 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
|
|||||||||||||||
| IDOM, Inc. * |
(15,500 | ) | (108,404 | ) | 2,915 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions — continued |
|
|||||||||||||||
| Common Stocks — continued |
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
| Ricoh Co. Ltd. |
(11,400 | ) | (112,369 | ) | 1,221 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Trading Companies & Distributors |
|
|||||||||||||||
| MonotaRO Co. Ltd. |
(3,200 | ) | (101,212 | ) | 9,769 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Transportation Infrastructure |
|
|||||||||||||||
| Mitsubishi Logistics Corp. |
(4,300 | ) | (113,015 | ) | 1,395 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(414,100 | ) | (5,683,240 | ) | 130,288 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
(132,700 | ) | (301,897 | ) | (24,982 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.35% to 0.55%), which is denominated in CHF based on the local currencies of the positions within the swaps. | 07/31/2019 | $ | 615,079 | $ | (21,650 | ) | $ | (228 | ) | $ | (21,878 | ) | |||||||
|
|
|
|||||||||||||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Diversified Telecommunication Services |
|
|||||||||||||||
| Sunrise Communications Group AG *(b)(c) |
1,211 | 113,863 | (404 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Electrical Equipment |
|
|||||||||||||||
| ABB Ltd. (Registered) |
4,301 | 119,881 | (5,455 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Insurance |
|
|||||||||||||||
| Baloise Holding AG (Registered) |
715 | 116,976 | (4,403 | ) | 0.0 | (a) | ||||||||||
| Swiss Life Holding AG (Registered) * |
324 | 121,661 | (3,684 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 1,039 | 238,637 | (8,087 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Pharmaceuticals |
|
|||||||||||||||
| Novartis AG (Registered) |
1,353 | 122,118 | (3,006 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Real Estate Management & Development |
|
|||||||||||||||
| Allreal Holding AG (Registered) * |
657 | 114,282 | (2,160 | ) | 0.0 | (a) | ||||||||||
| Mobimo Holding AG (Registered) * |
433 | 121,131 | (1,812 | ) | 0.0 | (a) | ||||||||||
| Swiss Prime Site AG (Registered) * |
1,301 | 125,953 | (94 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 2,391 | 361,366 | (4,066 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
10,295 | 955,865 | (21,018 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Machinery |
|
|||||||||||||||
| Burckhardt Compression Holding AG |
(294 | ) | (109,283 | ) | 4,966 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
| ams AG * |
(1,216 | ) | (112,365 | ) | (11,940 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Specialty Retail |
|
|||||||||||||||
| Dufry AG (Registered) * |
(768 | ) | (119,138 | ) | 6,342 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(2,278 | ) | (340,786 | ) | (632 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
8,017 | 615,079 | (21,650 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 3) |
||||||||||||||
| Bank of America |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.35)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 02/25/2019 | $ | (1,441 | ) | $ | 247 | $ | (82 | ) | $ | 165 | ||||||||
|
|
|
|||||||||||||||||||
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Food & Staples Retailing |
|
|||||||||||||||
| Metcash Ltd. |
44,481 | 114,713 | 1,559 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Media |
|
|||||||||||||||
| Nine Entertainment Co. Holdings Ltd. |
92,903 | 125,713 | 17 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
|
|||||||||||||||
| Fortescue Metals Group Ltd. |
29,887 | 118,688 | (1,764 | ) | 0.0 | (a) | ||||||||||
| Rio Tinto Ltd. |
1,779 | 109,530 | (2,117 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 31,666 | 228,218 | (3,881 | ) | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Oil, Gas & Consumable Fuels |
|
|||||||||||||||
| Whitehaven Coal Ltd. |
30,363 | 120,457 | 8,512 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long Positions of Total Return Basket Swaps |
199,413 | 589,101 | 6,207 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION)($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
| Short Positions |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Commercial Services & Supplies |
||||||||||||||||
| Brambles Ltd. |
(14,363 | ) | (114,224 | ) | (656 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Containers & Packaging |
||||||||||||||||
| Pact Group Holdings Ltd. |
(29,003 | ) | (123,829 | ) | (1,073 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Health Care Providers & Services |
||||||||||||||||
| Healthscope Ltd. |
(78,170 | ) | (121,611 | ) | 1,035 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Internet Software & Services |
||||||||||||||||
| NEXTDC Ltd. * |
(24,712 | ) | (113,231 | ) | 86 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Metals & Mining |
||||||||||||||||
| Iluka Resources Ltd. |
(14,496 | ) | (117,647 | ) | (5,352 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short Positions of Total Return Basket Swaps |
(160,744 | ) | (590,542 | ) | (5,960 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total of Long and Short Positions of Total Return Basket Swaps |
38,669 | (1,441 | ) | 247 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Non-income producing security. |
| (a) | Amounts rounds to less than 0.05%. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. |
| (1) | Notional value represents market value as of January 31, 2018 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. |
| (2) | Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. |
The following reference rates, and their values as of period-end, are used for security descriptions:
| Value | ||||||
| BA |
Banker’s Acceptance Rate | 1.58 | % | |||
| BBR |
Bank Base Rate | 1.68 | % | |||
| CHF LIBOR |
Swiss Franc LIBOR | (0.80 | )% | |||
| EURIBOR |
Euro Interbank Offered Rate | (0.37 | )% | |||
| GBP LIBOR |
British Pound Sterling LIBOR | 0.50 | % | |||
| JPY LIBOR |
Japanese Yen LIBOR | (0.04 | )% | |||
| LIBOR |
London Interbank Offered Rate | 1.58 | % | |||
Summary of total OTC swap contracts outstanding as of January 31, 2018:
| Net Upfront Payments (Receipts) ($) |
Value ($) | |||||||
| Assets |
||||||||
|
|
|
|
|
|||||
| Total OTC Total return basket swaps outstanding |
— | 222,613 | ||||||
|
|
|
|
|
|||||
| Liabilities |
||||||||
|
|
|
|
|
|||||
| Total OTC Total return basket swaps outstanding |
— | (214,851 | ) | |||||
|
|
|
|
|
|||||
JPMorgan Long/Short ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund is calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 24,175,050 | $ | — | $ | — | $ | 24,175,050 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 50 | $ | — | $ | 50 | ||||||||
| Futures Contracts |
— | 102 | — | 102 | ||||||||||||
| Swaps |
— | 220,549 | — | 220,549 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | — | $ | 220,701 | $ | — | $ | 220,701 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (150 | ) | $ | — | $ | (150 | ) | ||||||
| Futures Contracts |
(11,495 | ) | (77,616 | ) | — | (89,111 | ) | |||||||||
| Swaps |
— | (210,371 | ) | — | (210,371 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | (11,495 | ) | $ | (288,137 | ) | $ | — | $ | (299,632 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
JPMorgan Long/Short ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
B. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gains to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes (1) — (3) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used index futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Total Return Basket Swaps — The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.
Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each
JPMorgan Long/Short ETF
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly or annual periodic reset.
The total return basket swap contracts are subject to master netting arrangements. The fund may be required to post or receive collateral for total return basket swap swaps.
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Futures contracts outstanding as of January 31, 2018:
| Description |
Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
| Long Contracts |
||||||||||||||||||
| CAC 40 10 Euro Index |
19 | 02/2018 | EUR | 1,292,640 | (4,508 | ) | ||||||||||||
| Hang Seng Index |
7 | 02/2018 | HKD | 1,466,331 | 235 | |||||||||||||
| IBEX 35 Index |
2 | 02/2018 | EUR | 259,119 | (1,882 | ) | ||||||||||||
| WTI Crude Oil |
9 | 02/2018 | USD | 582,570 | 7,376 | |||||||||||||
| Australia 10 Year Bond |
269 | 03/2018 | AUD | 27,656,864 | (516,898 | ) | ||||||||||||
| Canada 10 Year Bond |
10 | 03/2018 | CAD | 1,075,041 | (32,654 | ) | ||||||||||||
| Copper |
8 | 03/2018 | USD | 639,100 | 40,391 | |||||||||||||
| Cotton No. 2 |
19 | 03/2018 | USD | 734,160 | 6,203 | |||||||||||||
| DAX Index |
3 | 03/2018 | EUR | 1,228,627 | 4,460 | |||||||||||||
| EURO STOXX 50 Index |
19 | 03/2018 | EUR | 849,425 | (8,152 | ) | ||||||||||||
| Euro-Bund |
16 | 03/2018 | EUR | 3,154,928 | (63,880 | ) | ||||||||||||
| Euro-Buxl |
4 | 03/2018 | EUR | 803,233 | (10,992 | ) | ||||||||||||
| Euro-Schatz |
101 | 03/2018 | EUR | 14,020,588 | (47,329 | ) | ||||||||||||
| Feeder Cattle |
1 | 03/2018 | USD | 72,525 | 385 | |||||||||||||
| FTSE 100 Index |
16 | 03/2018 | GBP | 1,696,595 | (8,738 | ) | ||||||||||||
| FTSE/MIB Index |
5 | 03/2018 | EUR | 729,902 | 888 | |||||||||||||
| Japan 10 Year Bond |
11 | 03/2018 | JPY | 15,146,286 | (46,396 | ) | ||||||||||||
| LME Aluminum Base Metal |
36 | 03/2018 | USD | 1,992,375 | 62,026 | |||||||||||||
| LME Nickel Base Metal |
9 | 03/2018 | USD | 733,293 | 76,929 | |||||||||||||
| LME Zinc Base Metal |
23 | 03/2018 | USD | 2,040,963 | 140,793 | |||||||||||||
| Long Gilt |
3 | 03/2018 | GBP | 520,261 | (10,367 | ) | ||||||||||||
| Natural Gas |
5 | 03/2018 | USD | 143,000 | 4,417 | |||||||||||||
| S&P 500 E-Mini Index |
22 | 03/2018 | USD | 3,108,380 | 165,116 | |||||||||||||
| SPI 200 Index |
19 | 03/2018 | AUD | 2,286,713 | (18,885 | ) | ||||||||||||
| TOPIX Index |
11 | 03/2018 | JPY | 1,862,442 | 64,662 | |||||||||||||
| U.S. Treasury 10 Year Note |
155 | 03/2018 | USD | 18,847,031 | (467,763 | ) | ||||||||||||
| U.S. Treasury Long Bond |
5 | 03/2018 | USD | 738,906 | (30,605 | ) | ||||||||||||
| WTI Crude Oil |
10 | 03/2018 | USD | 645,600 | 26,563 | |||||||||||||
| 100 oz Gold |
6 | 04/2018 | USD | 805,860 | (2,476 | ) | ||||||||||||
| Feeder Cattle |
5 | 04/2018 | USD | 364,625 | (977 | ) | ||||||||||||
| Lean Hogs |
12 | 04/2018 | USD | 346,800 | (10,325 | ) | ||||||||||||
| Live Cattle |
23 | 04/2018 | USD | 1,130,910 | (9,358 | ) | ||||||||||||
| LME Zinc Base Metal |
3 | 04/2018 | USD | 265,800 | 1,941 | |||||||||||||
| WTI Crude Oil |
7 | 04/2018 | USD | 450,170 | (1,529 | ) | ||||||||||||
| Feeder Cattle |
6 | 05/2018 | USD | 437,775 | (3,068 | ) | ||||||||||||
| Live Cattle |
11 | 06/2018 | USD | 506,330 | (282 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| (694,679 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| Short Contracts |
||||||||||||||||||
| Natural Gas |
(16 | ) | 02/2018 | USD | (479,200 | ) | 1,797 | |||||||||||
| Sugar No. 11 |
(5 | ) | 02/2018 | USD | (74,088 | ) | (575 | ) | ||||||||||
| Australia 3 Year Bond |
(26 | ) | 03/2018 | AUD | (2,325,309 | ) | (3,905 | ) | ||||||||||
| Canada 10 Year Bond |
(4 | ) | 03/2018 | CAD | (430,016 | ) | 2,688 | |||||||||||
| Cocoa |
(8 | ) | 03/2018 | USD | (159,680 | ) | (8,804 | ) | ||||||||||
| Coffee ‘C’ |
(17 | ) | 03/2018 | USD | (776,794 | ) | 26,518 | |||||||||||
| Corn |
(63 | ) | 03/2018 | USD | (1,138,725 | ) | (27,323 | ) | ||||||||||
| Euro-Bobl |
(2 | ) | 03/2018 | EUR | (323,920 | ) | 2,329 | |||||||||||
| Euro-Bund |
(11 | ) | 03/2018 | EUR | (2,169,013 | ) | 62,491 | |||||||||||
| Japan 10 Year Bond |
(13 | ) | 03/2018 | JPY | (17,900,156 | ) | 61,694 | |||||||||||
| LME Aluminum Base Metal |
(3 | ) | 03/2018 | USD | (166,031 | ) | (12,740 | ) | ||||||||||
| LME Nickel Base Metal |
(1 | ) | 03/2018 | USD | (81,477 | ) | (5,484 | ) | ||||||||||
| LME Zinc Base Metal |
(3 | ) | 03/2018 | USD | (266,213 | ) | (19,140 | ) | ||||||||||
| Long Gilt |
(125 | ) | 03/2018 | GBP | (21,677,559 | ) | 427,018 | |||||||||||
| Silver |
(6 | ) | 03/2018 | USD | (517,230 | ) | (8,446 | ) | ||||||||||
| Soybean |
(11 | ) | 03/2018 | USD | (547,663 | ) | (13,332 | ) | ||||||||||
| U.S. Treasury 10 Year Note |
(19 | ) | 03/2018 | USD | (2,310,281 | ) | 47,021 | |||||||||||
| U.S. Treasury 2 Year Note |
(127 | ) | 03/2018 | USD | (27,078,781 | ) | 109,130 | |||||||||||
| U.S. Treasury 5 Year Note |
(47 | ) | 03/2018 | USD | (5,391,781 | ) | 55,573 | |||||||||||
| Wheat |
(40 | ) | 03/2018 | USD | (903,500 | ) | (46,468 | ) | ||||||||||
| Lean Hogs |
(31 | ) | 04/2018 | USD | (895,900 | ) | 18,149 | |||||||||||
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
| Description |
Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
| Sugar No. 11 |
(19 | ) | 04/2018 | USD | (284,514 | ) | 10,269 | |||||||||||||
| Coffee ‘C’ |
(18 | ) | 05/2018 | USD | (838,350 | ) | 33,771 | |||||||||||||
| Corn |
(50 | ) | 05/2018 | USD | (923,750 | ) | (11,210 | ) | ||||||||||||
| Lean Hogs |
(7 | ) | 05/2018 | USD | (217,910 | ) | 5,599 | |||||||||||||
| Wheat |
(47 | ) | 05/2018 | USD | (1,093,925 | ) | (32,439 | ) | ||||||||||||
| Sugar No. 11 |
(18 | ) | 06/2018 | USD | (275,587 | ) | 5,714 | |||||||||||||
| Corn |
(33 | ) | 07/2018 | USD | (622,463 | ) | (6,447 | ) | ||||||||||||
| Wheat |
(18 | ) | 07/2018 | USD | (431,100 | ) | (17,116 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| 656,332 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| (38,347 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
|
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| AUD |
3,855,830 | USD | 3,075,568 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | 31,176 | ||||||||||||
| AUD |
294,268 | USD | 235,458 | Goldman Sachs International | 02/23/2018 | 1,641 | ||||||||||||
| BRL |
2,377,557 | USD | 738,074 | Goldman Sachs International ** | 02/23/2018 | 6,494 | ||||||||||||
| CHF |
135,446 | USD | 140,751 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | 4,989 | ||||||||||||
| CHF |
99,085 | USD | 105,748 | Citibank, NA | 02/23/2018 | 868 | ||||||||||||
| CHF |
112,317 | USD | 120,330 | State Street Corp. | 02/23/2018 | 523 | ||||||||||||
| JPY |
326,900,424 | USD | 2,943,233 | State Street Corp. | 02/23/2018 | 54,348 | ||||||||||||
| MXN |
14,438,241 | USD | 767,929 | Citibank, NA | 02/23/2018 | 5,324 | ||||||||||||
| NOK |
6,157,166 | USD | 784,656 | Citibank, NA | 02/23/2018 | 14,523 | ||||||||||||
| TRY |
2,857,644 | USD | 745,357 | TD Bank Financial Group | 02/23/2018 | 10,885 | ||||||||||||
| USD |
738,144 | KRW | 788,389,832 | Goldman Sachs International ** | 02/23/2018 | 689 | ||||||||||||
| USD |
726,128 | PHP | 36,877,850 | Merrill Lynch International ** | 02/23/2018 | 8,362 | ||||||||||||
| ZAR |
9,279,792 | USD | 754,026 | Goldman Sachs International | 02/23/2018 | 26,988 | ||||||||||||
| RUB |
43,438,604 | USD | 762,860 | Goldman Sachs International ** | 02/26/2018 | 7,666 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation |
|
174,476 | ||||||||||||||||
|
|
|
|||||||||||||||||
| AUD |
186,123 | GBP | 107,134 | Goldman Sachs International | 02/23/2018 | (2,261 | ) | |||||||||||
| EUR |
80,201 | USD | 99,901 | Credit Suisse International | 02/23/2018 | (203 | ) | |||||||||||
| SEK |
669,641 | JPY | 9,292,093 | Goldman Sachs International | 02/23/2018 | (115 | ) | |||||||||||
| USD |
1,991,049 | AUD | 2,496,172 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (20,183 | ) | |||||||||||
| USD |
195,956 | CAD | 243,739 | Citibank, NA | 02/23/2018 | (2,251 | ) | |||||||||||
| USD |
6,445,543 | CHF | 6,173,676 | Credit Suisse International | 02/23/2018 | (197,341 | ) | |||||||||||
| USD |
137,927 | CHF | 128,489 | Societe Generale | 02/23/2018 | (327 | ) | |||||||||||
| USD |
3,088,184 | EUR | 2,521,612 | Citibank, NA | 02/23/2018 | (46,427 | ) | |||||||||||
| USD |
597,522 | GBP | 430,753 | Goldman Sachs International | 02/23/2018 | (14,528 | ) | |||||||||||
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
|
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| USD | 236,061 | GBP | 167,509 | State Street Corp. | 02/23/2018 | (1,950 | ) | |||||||||||||
| USD | 769,827 | HUF | 193,735,963 | Merrill Lynch International | 02/23/2018 | (6,060 | ) | |||||||||||||
| USD | 137,221 | JPY | 15,240,875 | State Street Corp. | 02/23/2018 | (2,534 | ) | |||||||||||||
| USD | 1,435,718 | NZD | 1,968,996 | State Street Corp. | 02/23/2018 | (14,974 | ) | |||||||||||||
| USD | 3,076,775 | SEK | 24,673,777 | TD Bank Financial Group | 02/23/2018 | (58,496 | ) | |||||||||||||
| USD | 745,608 | THB | 23,797,483 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (14,541 | ) | |||||||||||||
| USD | 741,758 | TWD | 21,872,971 | Merrill Lynch International ** | 02/23/2018 | (9,551 | ) | |||||||||||||
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| Total unrealized depreciation |
(391,742 | ) | ||||||||||||||||||
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| Net unrealized depreciation |
(217,266 | ) | ||||||||||||||||||
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Managed Futures Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on August 17, 2017 and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectus. The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.
Futures are generally valued on the basis of available market quotations.
Forward foreign currency exchange contracts are generally valued on the basis of available market quotations from approved Pricing Services.
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| • | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the CSOI:
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 37,193,861 | $ | — | $ | — | $ | 37,193,861 | ||||||||
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| Appreciation in Other Financial Instruments |
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| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 174,476 | $ | — | $ | 174,476 | ||||||||
| Futures Contracts |
1,401,901 | 70,245 | — | 1,472,146 | ||||||||||||
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| Total Appreciation in Other Financial Instruments |
$ | 1,401,901 | $ | 244,721 | $ | — | $ | 1,646,622 | ||||||||
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| Depreciation in Other Financial Instruments |
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| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (391,742 | ) | $ | — | $ | (391,742 | ) | ||||||
| Futures Contracts |
(1,468,328 | ) | (42,165 | ) | — | (1,510,493 | ) | |||||||||
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| Total Depreciation in Other Financial Instruments |
$ | (1,468,328 | ) | $ | (433,907 | ) | $ | — | $ | (1,902,235 | ) | |||||
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| (a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the CSOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Level 2 consists of Foreign Futures that is held as initial margin for futures contracts. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no transfers among any levels during the period ended January 31, 2018.
B. Derivatives — The Fund used derivative instruments including futures and forward foreign currency exchange contracts in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gains to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes (1) & (2) below describe the various derivatives used by the Fund.
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(1). Futures Contracts — The Fund used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
ITEM 2. CONTROLS AND PROCEDURES.
| (a) | The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal controls over financial reporting. |
ITEM 3. EXHIBITS.
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Exchange-Traded Fund Trust
| By: | /s/ Joanna M. Gallegos | |
| Joanna M. Gallegos | ||
| President and Principal Executive Officer | ||
| March 28, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Joanna M. Gallegos | |
| Joanna M. Gallegos | ||
| President and Principal Executive Officer | ||
| March 28, 2018 | ||
| /s/ Lauren A. Paino | ||
| Lauren A. Paino | ||
| Treasurer and Principal Financial Officer | ||
| March 28, 2018 | ||