JPMorgan Diversified Return Europe Currency Hedged ETF Schedule of Portfolio Investments as of July 31, (Unaudited)

Transcription

1 Schedule of Portfolio Investments as of July 31, 2017 (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. JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. JPMorgan Distribution Services, Inc. J.P. Morgan Chase & Co., 2017.

2 AS OF JULY 31, 2017 (Unaudited) SHARES SECURITY DESCRIPTION VALUE($) Investment Company 100.3% Exchange Traded Fund 100.3% 492,086 JPMorgan Diversified Return Europe Equity ETF (a) 28,757,506 Total Exchange Traded Fund (Cost $25,506,508) 28,757,506 Total Investments 100.3% (Cost $25,506,508) 28,757,506 Liabilities in Excess of Other Assets (0.3)% (85,521) NET ASSETS 100.0% $28,671,985 Percentages indicated are based on net assets. Forward Foreign Currency Exchange Contracts CONTRACTS TO BUY CURRENCY COUNTERPARTY DATE VALUE VALUE AT JULY 31, 2017 NET UNREALIZED APPRECIATION (DEPRECIATION) 3,173,248 CHF Goldman Sachs 08/03/2017 3,288,851 3,282,385 (6,466) 68,225 CHF Goldman Sachs 09/05/ ,728 70, ,427,681 DKK Citigroup 08/03/ , ,132 3, ,916 DKK National Australia Bank Limited 09/05/ ,282 18, ,371 EUR ANZ 08/03/ , ,631 4, ,622 EUR BNP Paribas 08/03/ , ,137 2,433 12,827,892 EUR Citigroup 08/03/ ,123,463 15,188,274 64, ,430 EUR Royal Bank of Canada 09/05/ , , ,646 GBP BNP Paribas 08/03/ ,985 32, ,621,686 GBP Citigroup 08/03/2017 7,411,137 7,418,078 6,941 30,179 GBP National Australia Capital Markets 08/03/ ,980 39, ,924 GBP Royal Bank of Canada 09/05/ , , ,191 GBP Citigroup 09/05/ ,456 79, ,213,642 NOK National Australia Bank Limited 08/03/ , ,312 3, ,342 NOK Royal Bank of Canada 09/05/ ,651 17, ,184,844 SEK Citigroup 08/03/2017 1,754,110 1,757,228 3, ,882 SEK Royal Bank of Canada 09/05/ ,604 41, ,220,000 30,304,678 84,678

3 AS OF JULY 31, 2017 (Unaudited) (continued) CONTRACTS TO SELL CURRENCY COUNTERPARTY DATE VALUE VALUE AT JULY 31, 2017 NET UNREALIZED APPRECIATION (DEPRECIATION) 3,173,248 CHF Goldman Sachs 08/03/2017 3,319,122 3,282,385 36,737 3,228,525 CHF Goldman Sachs 09/05/2017 3,353,023 3,347,011 6, ,251 DKK Royal Bank of Canada 08/03/ ,526 43,026 (1,500) 74,864 DKK Citigroup 08/03/ ,469 11,919 (450) 5,082,565 DKK Goldman Sachs 08/03/ , ,187 (28,311) 12,687 DKK Royal Bank of Canada 09/05/2017 2,015 2,024 (9) 5,427,681 DKK Citigroup 09/05/ , ,857 (3,477) 618,655 EUR Royal Bank of Canada 08/03/ , ,491 (25,668) 12,398,229 EUR Goldman Sachs 08/03/ ,163,396 14,679,553 (516,157) 12,881,521 EUR Citigroup 09/05/ ,212,635 15,280,575 (67,940) 218,454 GBP Royal Bank of Canada 08/03/ , ,261 (4,143) 68,966 GBP Citigroup 08/03/ ,396 91,004 (1,608) 5,389,091 GBP Goldman Sachs 08/03/2017 7,006,519 7,111,158 (104,639) 5,621,686 GBP Citigroup 09/05/2017 7,419,140 7,426,898 (7,758) 107,518 NOK Royal Bank of Canada 08/03/ ,877 13,675 (798) 240,376 NOK BNP Paribas 08/03/ ,690 30,573 (1,883) 5,865,748 NOK Goldman Sachs 08/03/ , ,063 (45,395) 6,213,642 NOK National Australia Bank Limited 09/05/ , ,928 (3,535) 408,876 NOK Goldman Sachs 09/05/ ,811 52,045 (234) 666,384 SEK Royal Bank of Canada 08/03/ ,007 82,552 (3,545) 13,518,460 SEK Goldman Sachs 08/03/2017 1,605,308 1,674,676 (69,368) 14,184,844 SEK Citigroup 09/05/2017 1,757,320 1,760,745 (3,425) 58,275,512 59,122,606 (847,094) Notes to Schedule of Portfolio Investments: CHF DKK ETF EUR GBP NOK SEK (a) Swiss Franc Danish Krone Exchange Traded Fund Euro British Pound Norwegian Krone Swedish Krona Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. As of July 31, 2017, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows: Aggregate gross unrealized appreciation $ 3,250,998 Aggregate gross unrealized depreciation Net unrealized appreciation/depreciation $ 3,250,998 Federal income tax cost of investments $25,506,508

4 AS OF JULY 31, 2017 (Unaudited) (continued) A. Valuation of Investments The valuation of the 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. J.P. Morgan Investment Management Inc. (the Administrator ) has established the J.P. Morgan Investment 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 value ( NAV ) of the Fund is calculated on a valuation date. Certain foreign equity instruments, including investments with equity reference obligations, are valued by applying an international fair value factor provided by an approved pricing vendors or third party broker-dealers (collectively referred to as Pricing Services ). The factors seek to adjust the local closing price for movements of local markets postclosing, but prior to the time the NAV is calculated. 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.

5 AS OF JULY 31, 2017 (Unaudited) (concluded) 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 $ 28,757,506 $ $ $28,757,506 Appreciation in Other Financial Instruments Forward Foreign Currency Exchange Contracts $ $ 133,893 $ $ 133,893 Depreciation in Other Financial Instruments Forward Foreign Currency Exchange Contracts $ $ 896,309 $ $ 896,309 There were no transfers between level 1 and level 2 during the period ended July 31, B. Derivatives Certain Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements ( ISDA agreements ). Certain Funds 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 Funds in the event the Funds 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 Funds to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterparty s credit rating below a specified level). Such rights for both the counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and 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. (1). Forward Foreign Currency Exchange Contracts The Europe Currency Hedged ETF may be exposed to foreign currency risks associated with portfolio investments and therefore used forward foreign currency exchange contracts to hedge or manage these exposures. 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 U.S. Dollar without the delivery of foreign currency. The values of the forward foreign currency exchange 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 owed or due across transactions). As of July 31, 2017, the Fund did not receive or post collateral for forward foreign currency exchange contracts.