JPMorgan Exchange Traded Fund

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

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

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.

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

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

Dear Shareholders,

It is my great privilege to serve you as President of JPMorgan’s Exchange-Traded Funds, a business dedicated to providing advisors and investors with additional choices for constructing stronger portfolios. We are proud to announce that J.P. Morgan Asset Management’s ETF business has reached an important milestone, surpassing $2 billion in assets under management (AUM) in August 2017, just seven months after we reached $1 billion in AUM. Additionally, we’ve expanded our ETF offering with the launch of two active fixed income ETFs, complementing our existing innovative strategic beta and institutional-quality alternative strategies.

“We believe our fixed income strategies can help you build a properly diversified portfolio that moderates interest rate risk and delivers risk-adjusted returns.”

During the six months ending August 31, 2017, global financial markets generally provided positive returns. Despite intermittent geo-political tensions, financial market volatility remained near historic lows and investor demand for both equity and fixed-income assets continued to reflect steady global economic growth. Our market strategists foresee further global economic growth and slowly rising interest rates heading into 2018.

Within this environment, we believe our innovative, active fixed income solutions can help you navigate changing markets in the following ways:

Seek to increase your income potential with high yield. Through a rules-based approach to credit selection, JPMorgan

Disciplined High Yield ETF (JPHY) aims to deliver higher risk-adjusted returns than passive indexing options. JPHY provides diversification within a multi-asset portfolio through low correlation to other asset classes.

Broaden the borders of your bond portfolio with JPMorgan Global Bond Opportunities ETF (JPGB). Launched on April 5, 2017, the Global Bond Opportunities ETF seeks to deliver total returns by providing exposure across more than 15 fixed income sectors and 50 countries.

Leveraging J.P. Morgan’s Global Liquidity platform, JPMorgan Ultra-Short Income ETF (JPST) aims to deliver current income while managing risk. Launched May 17, 2017, JPST seeks an attractive yield while focusing on active credit risk management in an effort to deliver stable returns, even in challenging environments.

We are proud to bring J.P. Morgan’s experience and strong fixed income capabilities to the ETF market place. We are committed to building solutions that address your needs and help you build stronger portfolios. Thank you for your belief in our Firm and our process.

Sincerely,

LOGO

Joanna M. Gallegos

President, J.P. Morgan Exchange-Traded Funds

J.P. Morgan Asset Management

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

INVESTMENT OBJECTIVE***

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

INVESTMENT APPROACH

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

HOW DID THE MARKET PERFORM?

High yield bonds generally outperformed investment grade corporate bonds and U.S. Treasury bonds during the reporting period. Investor demand for high yield bonds was supported by low interest rates and growth in corporate earnings. U.S. companies sold new bonds at a record pace in 2017 — more than $1 trillion combined — in anticipation of U.S. Federal Reserve moves to raise interest rates over the course of the year.

While U.S. financial market volatility remained historically low throughout the reporting period, there was a spike in volatility in early August 2017 amid tension between the U.S. and North Korea.

HOW DID THE FUND PERFORM?

For the six months ended August 31, 2017, the Fund posted positive absolute performance and outperformed both the BofA Merrill Lynch U.S. High Yield Index (the “Benchmark”) and the Bloomberg Barclays US Aggregate Bond Index.

During the reporting period, bonds rated BB generally outperformed other rated debt and bonds rated CCC underperformed. The Fund’s overweight position in bonds rated BB and its lack of holdings in CCC rated bonds contributed to absolute performance and performance relative to the Benchmark. To maintain sufficient liquidity, the Fund did not invest in bond issues of less than $500 million, which made a positive contribution to absolute and relative performance.

The Fund does not invest in bonds issued by privately held companies, which detracted from absolute performance and performance relative to the Benchmark, as bonds issued by publicly traded companies underperformed bonds issued by privately held companies during the reporting period. To maintain sufficient liquidity, the Fund did not invest in bonds of issuers

that had less than $1 billion in bonds outstanding, which detracted from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s managers believe that bonds rated CCC generally have materially higher volatility and default risk than bonds rates BB and B, while providing inadequate incremental return over a market cycle to justify the higher volatility. In addition, the managers believe bonds issued by private companies have had a materially higher probability of default than similarly-rated bonds issued by public companies. Relative to the Benchmark, the Fund’s largest average overweight allocation was in bonds rated BB and its largest average underweight allocation was in bonds rated CCC.


PORTFOLIO COMPOSITION BY SECTOR****
Consumer Discretionary	26.3	%
Energy	13.9
Industrials	10.2
Telecommunication Services	9.7
Materials	9.0
Information Technology	7.5
Financials	7.1
Health Care	6.8
Consumer Staples	3.4
Utilities	3.2
Real Estate	2.3
Short-Term Investment	0.6

The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $51.28 as of August 31, 2017.

Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the Bats BZX Exchange, Inc. The midpoint price was $51.66 as of August 31, 2017.

***

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

****

Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change.

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

Fund commenced operations on September 14, 2016.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Disciplined High Yield ETF, the BofA Merrill Lynch U.S. High Yield Index and the Bloomberg Barclays US Aggregate Bond Index from September 14, 2016 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the BofA Merrill Lynch U.S. High Yield Index and the Bloomberg Barclays US Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The BofA Merrill

Lynch U.S. High Yield Index is an unmanaged index, which measures the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. The Bloomberg Barclays US Aggregate Bond Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

Fund performance reflects the partial waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption or sale of Fund shares.

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

FOR THE PERIOD APRIL 5, 2017 (FUND INCEPTION DATE) THROUGH AUGUST 31, 2017 (Unaudited)

INVESTMENT OBJECTIVE***

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

INVESTMENT APPROACH

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

HOW DID THE MARKET PERFORM?

During the reporting period, emerging market bonds generally outperformed bonds issued by the U.S. and other developed market nations amid investor expectations for global economic growth and rising interest rates. In the U.S., high-yield bonds (also known as “junk bonds”) continued to outperform investment grade corporate debt and U.S. Treasury bonds. While U.S. financial market volatility remained historically low throughout the reporting period, there was a brief spike in early August 2017 amid tension between the U.S. and North Korea.

HOW DID THE FUND PERFORM?

For the period April 5, 2017 to August 31, 2017, the Fund posted a return of 2.46%. The Fund has an absolute return orientation and is not managed relative to a benchmark index. While the Fund is not managed to a benchmark, its return is compared to the Bloomberg Barclays Multiverse Index, which returned 5.25% for the reporting period.

The Fund’s allocations to high yield bonds, investment grade corporate bonds and emerging markets debt were leading contributors to absolute performance. High yield bonds generally benefitted from investor demand for yield growth during the reporting period. The Fund’s allocation to securitized debt also contributed to absolute performance. The Fund’s allocation to government debt securities detracted from absolute performance during the reporting period.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund invested opportunistically across different markets and sectors. The Fund’s managers applied a flexible investment approach and did not manage to a benchmark. This allowed the Fund to shift its allocations based on changing market conditions. The Fund had exposure to a broad range of asset classes during the reporting period,

including high yield and investment grade corporate bonds, agency and non-agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities, emerging markets debt, convertible bonds and foreign government securities. At the end of the reporting period, the Fund’s largest allocations were to U.S. high yield bonds and investment grade corporate bonds and its smallest allocations were to agency mortgage-backed securities and non-agency mortgage-backed/asset-backed securities.


PORTFOLIO COMPOSITION BY COUNTRY****
United States	52.2	%
France	3.6
United Kingdom	3.5
Indonesia	3.4
Australia	3.1
Mexico	2.8
Italy	2.8
Turkey	2.4
Luxembourg	2.4
New Zealand	2.1
Spain	2.0
Brazil	2.0
Portugal	1.8
Netherlands	1.7
Germany	1.6
Canada	1.5
Ireland	1.1
South Africa	1.0
Other (each less than 1%)	9.0

***

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

****

Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change.

Fund commenced operations on April 5, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Global Bond Opportunities ETF and the Bloomberg Barclays Multiverse Index from April 5, 2017 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays Multiverse Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The Bloomberg Barclays Multiverse Index is an unmanaged index, which measure of the global fixed-income bond market that combines the Bloomberg Barclays Global Aggregate Index and the Bloomberg Barclays Global High Yield Index. The Bloomberg Barclays Global Aggregate Index measures grade debt from twenty-four different local currency markets. The Bloomberg Barclays Global High-Yield Index measures the global high-yield fixed income markets. Investors cannot invest directly in an index.

FOR THE PERIOD MAY 17, 2017 (FUND INCEPTION DATE) THROUGH AUGUST 31, 2017 (Unaudited)

INVESTMENT OBJECTIVE***

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

INVESTMENT APPROACH

The Fund primarily invests mainly in investment-grade, U.S. dollar-denominated fixed, variable and floating-rate debt. The Fund seeks to maintain a duration of one year or less, although under certain market conditions, the Fund’s duration may be longer than one year. The Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies and sectors based on changing market conditions and its view of the best mix of investment opportunities.

HOW DID THE FUND PERFORM?

For the period May 17, 2017 to August 31, 2017, the Fund posted a positive absolute performance. While the Fund is not managed to a benchmark, its return is compared to the BofA Merrill Lynch 3-Month Treasury U.S. Bill Index (the “Index”). While the Fund held no U.S. Treasury securities during the reporting period, the Index holds only U.S. Treasuries. The Fund outperformed the Index during the reporting period.

The Fund’s allocations to investment grade corporate bonds and money market securities were leading contributors to both absolute performance and performance relative to the Index during the reporting period. The Fund’s allocations to collateralized loan obligations, asset backed securities and commercial mortgage-backed securities also contributed to absolute and relative performance.

While the Fund’s overall longer duration relative to the Index was a modest detractor from relative performance, the enhanced yield from longer-dated securities helped absolute performance. Duration measures the price sensitivity of a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates fall or rise, respectively, versus bonds with shorter duration.

HOW WAS THE FUND POSITIONED?

During reporting period, the portfolio management team believed that interest rates would continue to move higher at a

slow pace, allowing the favorable fundamental and technical picture for corporate credit to persist. As such, the portfolio was positioned with an overall average duration of 0.50 years. In descending order, the Fund’s largest allocations were in corporate bonds, money market securities, collateralized loan obligations, asset-backed securities and commercial mortgage-backed securities.


PORTFOLIO COMPOSITION BY SECTOR****
Financials	31.7	%
Asset-Backed Securities	16.1
Health Care	6.1
Consumer Staples	4.6
Energy	4.1
Consumer Discretionary	3.2
Information Technology	2.9
Utilities	2.8
Real Estate	2.7
Telecommunication Services	2.7
Commercial Mortgage-Backed Securities	2.7
Certificates of Deposit	1.4
Industrials	0.7
Short-Term Investments	18.3

***

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

****

Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change.

Fund commenced operations on May 17, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Income ETF and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index from May 17, 2017 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of

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


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — 97.8%
		Consumer Discretionary — 25.9%
		Auto Components — 0.9%
	150,000	American Axle & Manufacturing, Inc., 6.500%, 04/01/27 (a)		147,750
		Goodyear Tire & Rubber Co. (The),
	40,000	4.875%, 03/15/27		40,700
	40,000	5.000%, 05/31/26		41,750
	90,000	5.125%, 11/15/23		94,162

				324,362

		Automobile — 1.4%
	400,000	Fiat Chrysler Automobiles NV (Netherlands), 5.250%, 04/15/23		424,000
	70,000	Tesla, Inc., 5.300%, 08/15/25 (a)		68,906

				492,906

		Diversified Consumer Services — 0.2%
	75,000	Service Corp. International, 5.375%, 05/15/24		79,781

		Diversified Telecommunication Services — 3.7%
		Altice Financing S.A. (Luxembourg),
	200,000	6.625%, 02/15/23 (a)		211,500
	250,000	7.500%, 05/15/26 (a)		273,800
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	10,000	5.125%, 05/01/27 (a)		10,300
	63,000	5.500%, 05/01/26 (a)		65,677
	230,000	5.750%, 02/15/26 (a)		243,154
	100,000	5.875%, 04/01/24 (a)		106,250
	200,000	UPCB Finance IV Ltd. (Cayman Islands), 5.375%, 01/15/25 (a)		207,500
	200,000	Virgin Media Secured Finance plc (United Kingdom), 5.250%,01/15/26 (a)		208,500

				1,326,681

		Equity Real Estate Investment Trusts (REITs) — 0.5%
		MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
	70,000	4.500%, 09/01/26		71,225
	95,000	5.625%, 05/01/24		103,312

				174,537

		HomeBuilders — 0.1%
	25,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. (Canada), 6.125%, 07/01/22 (a)		26,062
	26,000	Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.250%, 04/15/21 (a)		26,606

				52,668


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Hotels, Restaurants & Leisure — 5.5%
		1011778 B.C. ULC/New Red Finance, Inc. (Canada),
	55,000	4.625%, 01/15/22 (a)		56,221
	205,000	6.000%, 04/01/22 (a)		211,765
		Aramark Services, Inc.,
	50,000	4.750%, 06/01/26		52,390
	50,000	5.000%, 04/01/25 (a)		52,765
	50,000	5.125%, 01/15/24		53,125
		Boyd Gaming Corp.,
	26,000	6.375%, 04/01/26		28,242
	65,000	6.875%, 05/15/23		69,875
	50,000	Caesars Entertainment Resort Properties LLC, 8.000%, 10/01/20		51,250
	115,000	ESH Hospitality, Inc., 5.250%, 05/01/25 (a)		118,450
	125,000	Hilton Domestic Operating Co., Inc., 4.250%, 09/01/24		128,162
		Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.,
	35,000	4.625%, 04/01/25		36,571
	35,000	4.875%, 04/01/27		37,013
	200,000	International Game Technology plc (United Kingdom), 6.250%, 02/15/22 (a)		220,500
		KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC,
	30,000	4.750%, 06/01/27 (a)		30,788
	38,000	5.000%, 06/01/24 (a)		39,721
	95,000	5.250%, 06/01/26 (a)		100,106
		MGM Resorts International,
	46,000	6.000%, 03/15/23		50,830
	115,000	6.625%, 12/15/21		129,088
	40,000	7.750%, 03/15/22		46,800
	26,000	NCL Corp. Ltd. (Bermuda), 4.750%, 12/15/21 (a)		26,943
	50,000	Scientific Games International, Inc., 7.000%, 01/01/22 (a)		53,375
		Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
	50,000	4.250%, 05/30/23 (a)		51,125
	70,000	5.250%, 05/15/27 (a)		70,700
	235,000	5.500%, 03/01/25 (a)		244,988

				1,960,793

		Household Durables — 1.1%
	55,000	Brookfield Residential Properties, Inc. (Canada), 6.500%, 12/15/20 (a)		56,513
	50,000	CalAtlantic Group, Inc., 8.375%, 05/15/18		52,063


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Household Durables — continued
		Lennar Corp.,
	20,000	4.125%, 01/15/22		20,600
	100,000	4.500%, 04/30/24		103,500
	27,000	4.750%, 11/15/22		28,215
		PulteGroup, Inc.,
	26,000	4.250%, 03/01/21		27,011
	60,000	5.500%, 03/01/26		64,500
	55,000	Tempur Sealy International, Inc., 5.500%, 06/15/26		56,768

				409,170

		Internet & Direct Marketing Retail — 0.4%
		Netflix, Inc.,
	25,000	4.375%, 11/15/26 (a)		24,375
	26,000	5.500%, 02/15/22		27,950
	70,000	5.875%, 02/15/25		75,775

				128,100

		Media — 9.9%
		Altice Luxembourg S.A. (Luxembourg),
	200,000	7.625%, 02/15/25 (a)		216,440
	200,000	7.750%, 05/15/22 (a)		212,250
	200,000	Altice US Finance I Corp., 5.500%, 05/15/26 (a)		211,625
		AMC Entertainment Holdings, Inc.,
	25,000	5.750%, 06/15/25		23,750
	70,000	5.875%, 11/15/26		65,712
		AMC Networks, Inc.,
	20,000	4.750%, 12/15/22		20,625
	20,000	4.750%, 08/01/25		20,050
	90,000	5.000%, 04/01/24		92,812
	200,000	Cequel Communications Holdings I LLC/Cequel Capital Corp., 7.750%, 07/15/25 (a)		220,750
	65,000	Cinemark USA, Inc., 4.875%, 06/01/23		64,838
		Clear Channel Worldwide Holdings, Inc.
	180,000	Series B, 6.500%, 11/15/22		184,950
	220,000	Series B, 7.625%, 03/15/20		219,175
		CSC Holdings LLC,
	200,000	10.125%, 01/15/23 (a)		231,690
	167,000	10.875%, 10/15/25 (a)		205,410
		DISH DBS Corp.,
	100,000	5.875%, 07/15/22		107,813
	104,000	5.875%, 11/15/24		112,190
	180,000	6.750%, 06/01/21		198,675


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — continued
	80,000	Nexstar Broadcasting, Inc., 5.625%, 08/01/24 (a)		82,800
	75,000	Quebecor Media, Inc. (Canada), 5.750%, 01/15/23		80,250
	70,000	Regal Entertainment Group, 5.750%, 03/15/22		72,618
	55,000	Sinclair Television Group, Inc., 5.375%, 04/01/21		56,375
		Sirius XM Radio, Inc.,
	36,000	5.375%, 04/15/25 (a)		38,055
	135,000	6.000%, 07/15/24 (a)		145,838
		TEGNA, Inc.,
	40,000	5.125%, 10/15/19		40,600
	40,000	5.125%, 07/15/20		41,012
	25,000	6.375%, 10/15/23		26,531
	180,000	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), 5.500%, 01/15/23 (a)		186,300
		Viacom, Inc.,
	50,000	(USD 3 Month LIBOR+3.895%), 5.875%, 02/28/57 (d)		50,000
	50,000	(USD 3 Month LIBOR+3.899%), 6.250%, 02/28/57 (d)		50,125
		Videotron Ltd. (Canada),
	28,000	5.000%, 07/15/22		29,960
	80,000	5.125%, 04/15/27 (a)		82,400
	150,000	Ziggo Secured Finance BV (Netherlands), 5.500%, 01/15/27 (a)		154,688

				3,546,307

		Multiline Retail — 0.7%
	230,000	Dollar Tree, Inc., 5.750%, 03/01/23		242,650

		Retail Consumer Discretionary — 0.3%
		QVC, Inc.,
	65,000	4.375%, 03/15/23		67,293
	25,000	4.850%, 04/01/24		26,081

				93,374

		Specialty Retail — 0.6%
		L Brands, Inc.,
	38,000	5.625%, 02/15/22		40,137
	90,000	6.625%, 04/01/21		98,100
	70,000	Penske Automotive Group, Inc., 5.500%, 05/15/26		70,700
	26,000	Sally Holdings LLC/Sally Capital, Inc., 5.625%, 12/01/25		26,553

				235,490


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Textiles, Apparel & Luxury Goods — 0.3%
		Hanesbrands, Inc.,
	32,000	4.625%, 05/15/24 (a)		33,280
	80,000	4.875%, 05/15/26 (a)		83,200

				116,480

		Wireless Telecommunication Services — 0.3%
	100,000	Inmarsat Finance plc (United Kingdom), 4.875%, 05/15/22 (a)		101,750

		Total Consumer Discretionary		9,285,049

		Consumer Staples — 3.3%
		Beverages — 0.2%
	70,000	Cott Beverages, Inc., 5.375%, 07/01/22		72,712

		Food & Staples Retailing — 0.9%
	20,000	Cott Holdings, Inc., 5.500%, 04/01/25 (a)		20,975
		Rite Aid Corp.,
	165,000	6.125%, 04/01/23 (a)		162,113
	32,000	9.250%, 03/15/20		33,120
	105,000	Tesco plc (United Kingdom), 6.150%, 11/15/37 (a)		110,131

				326,339

		Food Products — 1.2%
	100,000	B&G Foods, Inc., 5.250%, 04/01/25		102,750
		Lamb Weston Holdings, Inc.,
	16,000	4.625%, 11/01/24 (a)		16,500
	16,000	4.875%, 11/01/26 (a)		16,602
		Post Holdings, Inc.,
	180,000	5.000%, 08/15/26 (a)		180,000
	20,000	5.500%, 03/01/25 (a)		20,800
	20,000	5.750%, 03/01/27 (a)		20,700
	85,000	TreeHouse Foods, Inc., 6.000%, 02/15/24 (a)		89,888

				447,240

		Household Products — 0.7%
		HRG Group, Inc.,
	52,000	7.750%, 01/15/22		54,470
	75,000	7.875%, 07/15/19		76,406
	105,000	Spectrum Brands, Inc., 5.750%, 07/15/25		111,694

				242,570

		Personal Products — 0.3%
	60,000	Avon International Operations, Inc., 7.875%, 08/15/22 (a)		62,633


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Personal Products — continued
		Edgewell Personal Care Co.,
	20,000	4.700%, 05/19/21		21,300
	20,000	4.700%, 05/24/22		21,499

				105,432

		Total Consumer Staples		1,194,293

		Energy — 13.7%
		Energy Equipment & Services — 1.7%
		Diamond Offshore Drilling, Inc.,
	35,000	4.875%, 11/01/43		23,975
	32,000	5.700%, 10/15/39		24,480
		Ensco plc (United Kingdom),
	35,000	4.500%, 10/01/24		25,725
	61,000	5.200%, 03/15/25		45,445
	38,000	5.750%, 10/01/44		24,415
	36,000	8.000%, 01/31/24 (a)		32,400
		Nabors Industries, Inc.,
	116,000	4.625%, 09/15/21		110,128
	76,000	5.000%, 09/15/20		76,000
	62,000	SESI LLC, 7.125%, 12/15/21		62,310
	36,100	Transocean Proteus Ltd. (Cayman Islands), 6.250%, 12/01/24 (a)		37,815
		Transocean, Inc. (Cayman Islands),
	5,000	6.000%, 03/15/18		5,094
	40,000	6.800%, 03/15/38		30,600
	115,000	9.000%, 07/15/23 (a)		122,475

				620,862

		Oil & Gas Services & Equipment — 0.2%
	88,000	Rowan Co., Inc., 4.875%, 06/01/22		79,860

		Oil, Gas & Consumable Fuels — 11.5%
		Andeavor Logistics LP/Tesoro Logistics Finance Corp.,
	40,000	5.250%, 01/15/25		42,400
	70,000	6.250%, 10/15/22		74,200
		Antero Resources Corp.,
	100,000	5.125%, 12/01/22		100,250
	100,000	5.375%, 11/01/21		101,750
	60,000	5.625%, 06/01/23		61,050
		Carrizo Oil & Gas, Inc.,
	55,000	6.250%, 04/15/23		53,350
	55,000	7.500%, 09/15/20		55,756
		Cheniere Corpus Christi Holdings LLC,
	60,000	5.125%, 06/30/27 (a)		62,100
	114,000	5.875%, 03/31/25		122,550
	115,000	7.000%, 06/30/24		130,812


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Oil, Gas & Consumable Fuels — continued
	134,000	Chesapeake Energy Corp., 8.000%, 12/15/22 (a)		138,522
		Concho Resources, Inc.,
	25,000	5.500%, 10/01/22		25,750
	140,000	5.500%, 04/01/23		144,200
		CONSOL Energy, Inc.,
	170,000	5.875%, 04/15/22		170,000
	20,000	8.000%, 04/01/23		21,100
		Continental Resources, Inc.,
	46,000	3.800%, 06/01/24		42,780
	100,000	4.500%, 04/15/23		98,500
	169,000	5.000%, 09/15/22		169,845
		Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.,
	40,000	5.750%, 04/01/25		40,500
	59,000	6.250%, 04/01/23		60,917
		DCP Midstream Operating LP,
	10,000	3.875%, 03/15/23		9,738
	35,000	5.350%, 03/15/20 (a)		36,837
	20,000	(USD 3 Month LIBOR+3.850%), 5.850%, 05/21/43 (a) (d)		18,550
		Energy Transfer Equity LP,
	35,000	5.500%, 06/01/27		37,275
	100,000	5.875%, 01/15/24		107,750
	105,000	7.500%, 10/15/20		118,519
	65,000	Genesis Energy LP/Genesis Energy Finance Corp., 6.750%, 08/01/22		65,813
		Gulfport Energy Corp.,
	35,000	6.000%, 10/15/24 (a)		34,300
	20,000	6.375%, 05/15/25 (a)		19,675
		MEG Energy Corp. (Canada),
	20,000	6.500%, 01/15/25 (a)		18,575
	20,000	7.000%, 03/31/24 (a)		15,900
		Murphy Oil Corp.,
	10,000	4.000%, 06/01/22		9,800
	40,000	4.700%, 12/01/22		39,348
	40,000	6.875%, 08/15/24		42,250
		Newfield Exploration Co.,
	70,000	5.375%, 01/01/26		73,150
	90,000	5.625%, 07/01/24		95,733
	26,000	5.750%, 01/30/22		27,430
	100,000	Oasis Petroleum, Inc., 6.875%, 03/15/22		97,500
	35,000	Parsley Energy LLC/Parsley Finance Corp., 5.375%, 01/15/25 (a)		35,175


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	80,000	Peabody Energy Corp., 6.375%, 03/31/25 (a)		81,600
		QEP Resources, Inc.,
	45,000	5.250%, 05/01/23		42,750
	55,000	6.875%, 03/01/21		57,063
		Range Resources Corp.,
	65,000	4.875%, 05/15/25		62,237
	30,000	5.000%, 08/15/22 (a)		29,550
	40,000	5.000%, 03/15/23 (a)		39,304
	80,000	Rice Energy, Inc., 6.250%, 05/01/22		83,200
	26,000	RSP Permian, Inc., 6.625%, 10/01/22		26,975
	60,000	Seven Generations Energy Ltd. (Canada), 8.250%, 05/15/20 (a)		62,400
		SM Energy Co.,
	70,000	5.625%, 06/01/25		63,350
	30,000	6.125%, 11/15/22		28,350
	70,000	6.750%, 09/15/26		65,975
		Southwestern Energy Co.,
	66,000	4.100%, 03/15/22		60,885
	24,000	5.800%, 01/23/20		24,720
	90,000	6.700%, 01/23/25		87,750
		Sunoco LP/Sunoco Finance Corp.,
	70,000	6.250%, 04/15/21		72,800
	28,000	6.375%, 04/01/23		29,505
		Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
	65,000	4.125%, 11/15/19		65,731
	20,000	4.250%, 11/15/23		19,850
	35,000	6.750%, 03/15/24		37,888
		Ultra Resources, Inc.,
	20,000	6.875%, 04/15/22 (a)		19,675
	44,000	7.125%, 04/15/25 (a)		42,900
		Whiting Petroleum Corp.,
	85,000	5.000%, 03/15/19		84,150
	32,000	5.750%, 03/15/21		30,080
		Williams Co., Inc. (The),
	30,000	3.700%, 01/15/23		29,775
	115,000	4.550%, 06/24/24		117,588
		WPX Energy, Inc.,
	100,000	6.000%, 01/15/22		103,125
	30,000	8.250%, 08/01/23		32,925

				4,121,751


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Refining & Marketing — 0.2%
	60,000	PBF Holding Co. LLC/PBF Finance Corp., 7.250%, 06/15/25 (a)		59,400

		Utilities — 0.1%
	40,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/23 (a)		38,500

		Total Energy		4,920,373

		Financials — 7.0%
		Banks — 3.4%
	66,000	CIT Group, Inc., 5.000%, 08/15/22		71,438
	240,000	Dresdner Funding Trust I, 8.151%, 06/30/31 (a)		306,177
	200,000	Intesa Sanpaolo SpA MTN (Italy), 5.017%, 06/26/24 (a)		204,698
	180,000	Lloyds Bank plc, (USD 3 Month LIBOR+11.756%) (United Kingdom), 12.000%, 12/16/49 (a)(d)(f)		243,900
		Royal Bank of Scotland Group plc (United Kingdom),
	100,000	5.125%, 05/28/24		105,483
	55,000	6.000%, 12/19/23		60,948
	205,000	6.125%, 12/15/22		225,757

				1,218,401

		Capital Markets — 0.4%
		MSCI, Inc.,
	20,000	4.750%, 08/01/26 (a)		20,750
	70,000	5.250%, 11/15/24 (a)		74,550
	46,000	5.750%, 08/15/25 (a)		50,020

				145,320

		Consumer Finance — 2.5%
	200,000	Ally Financial, Inc., 4.125%, 03/30/20		205,750
		Navient Corp. MTN,
	100,000	5.500%, 01/25/23		101,000
	54,000	8.000%, 03/25/20		59,603
	195,000	8.450%, 06/15/18		204,506
		OneMain Financial Holdings LLC,
	26,000	6.750%, 12/15/19 (a)		27,137
	70,000	7.250%, 12/15/21 (a)		73,413
		Springleaf Finance Corp.,
	26,000	5.250%, 12/15/19		26,975
	40,000	6.125%, 05/15/22		41,900
	31,000	7.750%, 10/01/21		34,875
	90,000	8.250%, 12/15/20		101,250

				876,409


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Financial Services — 0.2%
	65,000	Leucadia National Corp., 5.500%, 10/18/23		69,941

		Financial Services — 0.4%
	125,000	Goldman Sachs Capital I, 6.345%, 02/15/34		157,663

		Thrifts & Mortgage Finance — 0.1%
	40,000	Nationstar Mortgage LLC/Nationstar Capital Corp., 6.500%, 07/01/21		40,814

		Total Financials		2,508,548

		Health Care — 6.7%
		Health Care Equipment & Supplies — 0.5%
	90,000	Hologic, Inc., 5.250%, 07/15/22 (a)		94,752
		Mallinckrodt International Finance S.A./Mallinckrodt CB LLC (Luxembourg),
	26,000	5.625%, 10/15/23 (a)		24,895
	80,000	5.750%, 08/01/22 (a)		78,800

				198,447

		Health Care Providers & Services — 5.0%
	55,000	Acadia Healthcare Co., Inc., 5.625%, 02/15/23		57,337
		Centene Corp.,
	44,000	4.750%, 01/15/25		45,430
	125,000	5.625%, 02/15/21		130,000
		DaVita, Inc.,
	54,000	5.000%, 05/01/25		54,745
	160,000	5.125%, 07/15/24		163,300
		Envision Healthcare Corp.,
	46,000	5.125%, 07/01/22 (a)		47,783
	100,000	5.625%, 07/15/22		104,000
		HCA, Inc.,
	50,000	5.000%, 03/15/24		53,125
	136,000	5.375%, 02/01/25		143,480
	45,000	5.500%, 06/15/47		46,519
	275,000	6.500%, 02/15/20		299,469
	110,000	HealthSouth Corp., 5.750%, 11/01/24		113,300
	100,000	LifePoint Health, Inc., 5.500%, 12/01/21		103,800
	40,000	Molina Healthcare, Inc., 5.375%, 11/15/22		41,700
		Tenet Healthcare Corp.,
	40,000	4.625%, 07/15/24 (a)		39,992
	80,000	5.125%, 05/01/25 (a)		80,496
	165,000	6.000%, 10/01/20		175,674


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Health Care Providers & Services — continued
	75,000	WellCare Health Plans, Inc., 5.250%, 04/01/25		78,563

				1,778,713

		Pharmaceuticals — 1.2%
	200,000	Endo DAC/Endo Finance LLC/Endo Finco, Inc., 6.000%, 07/15/23 (a)		167,034
	20,000	Endo Finance LLC/Endo Finco, Inc., 5.375%, 01/15/23 (a)		16,750
		Valeant Pharmaceuticals International, Inc. (Canada),
	60,000	6.500%, 03/15/22 (a)		62,925
	182,000	7.000%, 03/15/24 (a)		193,147

				439,856

		Total Health Care		2,417,016

		Industrials — 10.0%
		Aerospace & Defense — 2.8%
		Arconic, Inc.,
	76,000	5.125%, 10/01/24		80,560
	115,000	5.400%, 04/15/21		123,337
	40,000	6.150%, 08/15/20		43,770
		Bombardier, Inc. (Canada),
	20,000	6.125%, 01/15/23 (a)		20,519
	155,000	7.500%, 03/15/25 (a)		164,978
	72,000	8.750%, 12/01/21 (a)		81,787
		Huntington Ingalls Industries, Inc.,
	25,000	5.000%, 12/15/21 (a)		25,750
	55,000	5.000%, 11/15/25 (a)		59,537
	110,000	KLX, Inc., 5.875%, 12/01/22 (a)		115,363
	100,000	Meccanica Holdings USA, Inc., 6.250%, 01/15/40 (a)		112,500
		TransDigm, Inc.,
	62,000	6.000%, 07/15/22		64,170
	20,000	6.375%, 06/15/26		20,575
	110,000	6.500%, 07/15/24		114,263

				1,027,109

		Air Freight & Logistics — 0.4%
	145,000	XPO Logistics, Inc., 6.500%, 06/15/22 (a)		152,250

		Airlines — 0.2%
	65,000	American Airlines Group, Inc., 5.500%, 10/01/19 (a)		67,762


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Auto Components — 0.8%
		Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
	125,000	5.875%, 02/01/22		128,556
	155,000	6.000%, 08/01/20		159,650

				288,206

		Commercial Services & Supplies — 0.4%
	50,000	Clean Harbors, Inc., 5.125%, 06/01/21		50,875
		Herc Rentals, Inc.,
	50,000	7.500%, 06/01/22 (a)		54,750
	50,000	7.750%, 06/01/24 (a)		54,750

				160,375

		Construction & Engineering — 0.5%
		AECOM,
	64,000	5.125%, 03/15/27 (a)		65,120
	28,000	5.750%, 10/15/22		29,263
	70,000	5.875%, 10/15/24		76,563

				170,946

		Electrical Equipment — 0.8%
	56,000	Sensata Technologies BV (Netherlands), 5.000%, 10/01/25 (a)		58,660
	200,000	Sensata Technologies UK Financing Co. plc (United Kingdom), 6.250%, 02/15/26 (a)		218,500

				277,160

		Machinery — 0.8%
	60,000	Allison Transmission, Inc., 5.000%, 10/01/24 (a)		61,800
		CNH Industrial Capital LLC,
	55,000	4.375%, 11/06/20		57,337
	20,000	4.375%, 04/05/22		20,900
	120,000	Vertiv Group Corp., 9.250%, 10/15/24 (a)		133,500

				273,537

		Media — 0.6%
	210,000	Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (a)		217,350

		Road & Rail — 0.2%
	60,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.500%, 04/01/23		60,507

		Trading Companies & Distributors — 1.7%
	91,000	Aircastle Ltd. (Bermuda), 5.500%, 02/15/22		99,190


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Trading Companies & Distributors — continued
		HD Supply, Inc.,
	115,000	5.250%, 12/15/21 (a)		120,750
	36,000	5.750%, 04/15/24 (a)		38,610
		United Rentals North America, Inc.,
	136,000	4.625%, 07/15/23		141,994
	120,000	5.500%, 05/15/27		127,200
	70,000	5.875%, 09/15/26		76,195

				603,939

		Trucking & Leasing — 0.8%
		Park Aerospace Holdings Ltd. (Cayman Islands),
	183,000	5.250%, 08/15/22 (a)		190,320
	100,000	5.500%, 02/15/24 (a)		104,000

				294,320

		Total Industrials		3,593,461

		Information Technology — 7.4%
		Communications Equipment — 0.7%
		CommScope Technologies LLC,
	30,000	5.000%, 03/15/27 (a)		29,897
	135,000	6.000%, 06/15/25 (a)		143,437
	25,000	CommScope, Inc., 5.500%, 06/15/24 (a)		26,062
		Nokia OYJ (Finland),
	30,000	3.375%, 06/12/22		30,300
	30,000	4.375%, 06/12/27		30,816

				260,512

		Electronic Equipment, Instruments & Components — 0.2%
		CDW LLC/CDW Finance Corp.,
	30,000	5.000%, 09/01/23		31,237
	30,000	5.000%, 09/01/25		31,275
	27,000	Zebra Technologies Corp., 7.250%, 10/15/22		28,620

				91,132

		Health Care Technology — 0.6%
	200,000	Quintiles IMS, Inc., 5.000%, 10/15/26 (a)		209,500

		Internet Software & Services — 0.3%
		VeriSign, Inc.,
	65,000	4.625%, 05/01/23		66,869
	30,000	4.750%, 07/15/27 (a)		30,522

				97,391


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		IT Services — 1.6%
		First Data Corp.,
	55,000	5.000%, 01/15/24 (a)		57,200
	160,000	5.750%, 01/15/24 (a)		168,248
	310,000	7.000%, 12/01/23 (a)		334,025

				559,473

		Semiconductors & Semiconductor Equipment — 0.8%
		Micron Technology, Inc.,
	36,000	5.250%, 08/01/23 (a)		37,485
	28,000	5.500%, 02/01/25		29,574
	200,000	NXP BV/NXP Funding LLC (Netherlands), 4.125%, 06/01/21 (a)		209,200

				276,259

		Software — 0.7%
		CDK Global, Inc.,
	30,000	4.500%, 10/15/24		32,049
	30,000	4.875%, 06/01/27 (a)		30,450
	30,000	Nuance Communications, Inc., 5.625%, 12/15/26 (a)		31,312
		Open Text Corp. (Canada),
	70,000	5.625%, 01/15/23 (a)		73,762
	30,000	5.875%, 06/01/26 (a)		32,513
	50,000	Sabre GLBL, Inc., 5.250%, 11/15/23 (a)		51,250

				251,336

		Technology Hardware, Storage & Peripherals — 1.9%
		EMC Corp.,
	92,000	1.875%, 06/01/18		91,668
	25,000	2.650%, 06/01/20		24,660
	80,000	3.375%, 06/01/23		77,239
		NCR Corp.,
	25,000	5.000%, 07/15/22		25,500
	60,000	6.375%, 12/15/23		64,170
	330,000	Western Digital Corp., 10.500%, 04/01/24		391,462

				674,699

		Wireless Telecommunication — 0.6%
		Hughes Satellite Systems Corp.,
	90,000	6.500%, 06/15/19		96,413
	80,000	6.625%, 08/01/26		87,300
	32,000	7.625%, 06/15/21		36,440

				220,153

		Total Information Technology		2,640,455


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Materials — 8.9%
		Chemicals — 2.3%
	100,000	Ashland LLC, 4.750%, 08/15/22		104,375
		Blue Cube Spinco, Inc.,
	65,000	9.750%, 10/15/23		78,812
	25,000	10.000%, 10/15/25		30,813
		CF Industries, Inc.,
	36,000	5.375%, 03/15/44		32,760
	38,000	7.125%, 05/01/20		41,895
		Chemours Co. (The),
	150,000	5.375%, 05/15/27		156,375
	120,000	6.625%, 05/15/23		127,350
	26,000	7.000%, 05/15/25		28,665
	60,000	Huntsman International LLC, 4.875%, 11/15/20		62,925
	100,000	Platform Specialty Products Corp., 6.500%, 02/01/22 (a)		103,750
	60,000	WR Grace & Co.-Conn, 5.125%, 10/01/21 (a)		65,250

				832,970

		Containers & Packaging — 1.0%
		Ball Corp.,
	20,000	4.000%, 11/15/23		20,300
	90,000	5.250%, 07/01/25		98,100
	60,000	Berry Plastics Corp., 5.125%, 07/15/23		62,700
	90,000	Crown Americas LLC/Crown Americas Capital Corp IV, 4.500%, 01/15/23		94,275
	60,000	Owens-Brockway Glass Container, Inc., 5.875%, 08/15/23 (a)		65,850

				341,225

		Electrical Equipment — 0.9%
		Novelis Corp.,
	213,000	5.875%, 09/30/26 (a)		222,053
	105,000	6.250%, 08/15/24 (a)		110,906

				332,959

		Metals & Mining — 4.7%
	200,000	Alcoa Nederland Holding BV (Netherlands), 6.750%, 09/30/24 (a)		219,500
		Allegheny Technologies, Inc.,
	25,000	5.950%, 01/15/21		25,437
	25,000	7.875%, 08/15/23		26,875
	200,000	Anglo American Capital plc (United Kingdom), 4.750%, 04/10/27 (a)		210,000


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Metals & Mining — continued
		ArcelorMittal (Luxembourg),
	56,000	6.750%, 03/01/41		64,837
	25,000	7.250%, 02/25/22		28,125
	135,000	7.500%, 10/15/39		159,637
	200,000	Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc. (Ireland), 6.000%, 02/15/25 (a)		212,250
		FMG Resources August 2006 Pty Ltd. (Australia),
	30,000	4.750%, 05/15/22 (a)		30,975
	100,000	5.125%, 05/15/24 (a)		103,750
		Freeport-McMoRan, Inc.,
	30,000	3.550%, 03/01/22		29,494
	175,000	3.875%, 03/15/23		173,250
	68,000	5.450%, 03/15/43		63,410
	25,000	Hudbay Minerals, Inc. (Canada), 7.625%, 01/15/25 (a)		27,563
	20,000	Kinross Corp. (Canada), 5.125%, 09/01/21		21,252
	60,000	Steel Dynamics, Inc., 5.125%, 10/01/21		61,572
		Teck Resources Ltd. (Canada),
	26,000	4.750%, 01/15/22		27,269
	90,000	6.250%, 07/15/41		99,000
	90,000	United States Steel Corp., 8.375%, 07/01/21 (a)		99,450

				1,683,646

		Total Materials		3,190,800

		Real Estate — 2.3%
		Equity Real Estate Investment Trusts (REITs) — 1.9%
	100,000	Equinix, Inc., 5.875%, 01/15/26		109,750
		Iron Mountain, Inc.,
	75,000	5.750%, 08/15/24		76,504
	90,000	6.000%, 10/01/20 (a)		93,150
	25,000	6.000%, 08/15/23		26,531
	30,000	Lamar Media Corp., 5.875%, 02/01/22		30,825
	25,000	MPT Operating Partnership LP/MPT Finance Corp., 5.250%, 08/01/26		25,938
		SBA Communications Corp.,
	26,000	4.875%, 07/15/22		26,910
	100,000	4.875%, 09/01/24		103,250


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Equity Real Estate Investment Trusts (REITs) — continued
		Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC,
	80,000	6.000%, 04/15/23 (a)		80,200
	100,000	8.250%, 10/15/23		97,710

				670,768

		Hotels, Restaurants & Leisure — 0.4%
	136,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 04/15/26		147,560

		Total Real Estate		818,328

		Telecommunication Services — 9.5%
		Diversified Telecommunication Services — 6.1%
		CenturyLink, Inc.,
	125,000	5.800%, 03/15/22		124,219
	46,000	6.450%, 06/15/21		48,127
	135,000	Embarq Corp., 7.995%, 06/01/36		137,025
		Frontier Communications Corp.,
	64,000	10.500%, 09/15/22		57,600
	268,000	11.000%, 09/15/25		233,830
		Level 3 Financing, Inc.,
	90,000	5.375%, 08/15/22		92,592
	32,000	5.375%, 01/15/24		32,710
		SFR Group S.A. (France),
	200,000	6.000%, 05/15/22 (a)		210,000
	475,000	7.375%, 05/01/26 (a)		513,009
	36,000	Telecom Italia Capital S.A. (Luxembourg), 7.721%, 06/04/38		46,253
	200,000	Telecom Italia SpA (Italy), 5.303%, 05/30/24 (a)		216,500
	30,000	Telefonaktiebolaget LM Ericsson (Sweden), 4.125%, 05/15/22		30,477
	255,000	Wind Acquisition Finance S.A. (Luxembourg), 7.375%, 04/23/21 (a)		265,129
		Zayo Group LLC/Zayo Capital, Inc.,
	130,000	6.000%, 04/01/23		137,599
	32,000	6.375%, 05/15/25		34,390

				2,179,460

		Wireless Telecommunication Services — 3.4%
	200,000	Millicom International Cellular S.A. (Luxembourg), 6.625%, 10/15/21 (a)		206,750


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Wireless Telecommunication Services — continued
	225,000	SoftBank Group Corp. (Japan), 4.500%, 04/15/20 (a)		232,594
	10,000	Sprint Capital Corp., 6.875%, 11/15/28		11,000
	41,000	Sprint Communications, Inc., 9.000%, 11/15/18 (a)		44,280
		Sprint Corp.,
	10,000	7.125%, 06/15/24		10,987
	390,000	7.875%, 09/15/23		445,626
		T-Mobile USA, Inc.,
	10,000	6.375%, 03/01/25		10,769
	180,000	6.500%, 01/15/26		199,350
	64,000	6.625%, 04/01/23		67,440

				1,228,796

		Total Telecommunication Services		3,408,256

		Utilities — 3.1%
		Electric Utilities — 1.0%
	110,000	Emera, Inc., (USD 3 Month LIBOR+5.440%) (Canada), 6.750%, 06/15/76 (d)		125,509
	200,000	Enel SpA, (GBP 5 year swap rate+5.880%) (Italy), 8.750%, 09/24/73 (a)(d)		241,750

				367,259

		Gas Utilities — 0.4%
		AmeriGas Partners LP/AmeriGas Finance Corp.,
	46,000	5.500%, 05/20/25		46,575
	40,000	5.625%, 05/20/24		41,500
	40,000	5.875%, 08/20/26		40,800
	15,000	Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.500%, 06/01/24		14,775

				143,650

		Independent Power and Renewable Electricity Producers — 1.7%
	85,000	AES Corp., 7.375%, 07/01/21		96,262
		Calpine Corp.,
	46,000	5.375%, 01/15/23		43,758
	140,000	5.750%, 01/15/25		128,800
	28,000	DPL, Inc., 7.250%, 10/15/21		30,450


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Independent Power and Renewable Electricity Producers — continued
		NRG Energy, Inc.,
	185,000	6.625%, 01/15/27		194,250
	106,000	7.250%, 05/15/26		113,950

				607,470

		Total Utilities		1,118,379

		Total Corporate Bonds (Cost $34,552,293)		35,094,958


SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 0.6%
		Investment Company — 0.6%
	227,857	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.870% (b) (c) (Cost $227,857)		227,857

		Total Investments — 98.4% (Cost $34,780,150)		35,322,815
		Other Assets in Excess of Liabilities — 1.6%		574,227

		NET ASSETS — 100.0%	$	35,897,042

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 2.0%
		United States — 2.0%
	47,000	American Credit Acceptance Receivables Trust, Series 2016-4, Class D, 4.110%, 04/12/23 (a)		48,055
	58,000	AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.180%, 07/18/23		58,249
	203,048	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 5.093%, 11/25/34		207,248
	149,754	Credit-Based Asset Servicing & Securitization LLC, Series 2004-CB5, Class M1, (USD 1 month LIBOR+0.915%), 2.147%, 01/25/34 (d)		145,757
	144,623	CWABS, Inc. Asset-Backed Certificates, Series 2003-5, Class AF5, SUB, 5.256%, 02/25/34 (h)		147,446
	350,000	Exeter Automobile Receivables Trust, Series 2016-3A, Class D, 6.400%, 07/17/23 (a)		362,874
	100,000	Exeter Automobile Receivables Trust, Series 2015-2A, Class D, 5.790%, 05/16/22 (a)		101,453
	293,000	Opportunity Funding LLC, Series 2017-1A, 3.970%, 06/08/23		291,616
	100,000	Renew, Series 2017-1A, Class B, 5.750%, 09/20/52 (a)		101,832
	150,000	Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, (USD 1 month LIBOR+0.720%), 0.957%, 09/25/35 (d)		148,238
	101,359	Structured Asset Investment Loan Trust, Series 2004-8, Class M3, (USD 1 month LIBOR+0.975%), 2.207%, 09/25/34 (d)		96,943
	428,312	VOLT LX LLC, Series 2017-NPL7, Class A1, SUB, 3.250%, 04/25/59 (a)		430,740

		Total Asset-Backed Securities (Cost $2,127,603)		2,140,451

	Commercial Mortgage-Backed Securities — 7.6%
		United States — 7.6%
	100,000	Banc of America Commercial Mortgage, Series 2007-3, Class C, 5.883%, 06/10/49 (e) (f)		100,957
	100,000	Banc of America Commercial Mortgage, Series 2006-1, Class E, 5.967%, 09/10/45 (a) (e) (f)		102,046
	150,000	Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class AJ, 5.933%, 06/11/50 (e)		150,188


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
	90,000	CD Commercial Mortgage Trust, Series 2014-CD4, Class D, 3.300%, 04/10/27		74,290
	77,668	Chase Mortgage Finance, Series 2007-A1, Class 1A5, 3.476%, 02/25/37 (e)		78,217
	430,000	Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D, 3.225%, 09/15/48		352,957
	150,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class C, 4.780%, 05/10/24		156,127
	350,000	Citigroup Commercial Mortgage Trust, Series 2016-P5, 4.324%, 10/10/26 (h)		356,474
	364,662	COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class AJ, 5.891%, 05/15/46 (e)		371,045
	150,000	Commercial Mortgage Trust, Series 2015-CR24, Class D, 3.463%, 08/10/48 (e)		119,062
	141,909	Countrywide Alternative Loan Trust, Series 05-6CB, Class 1A6, 5.500%, 04/25/35		143,935
	100,000	CSAIL Commercial Mortgage Trust, Series 2017-C8, Class C, 4.320%, 06/15/50 (h)		105,290
	514,815	Fannie Mae REMICS, Series 2016-77, IO, 4.766%, 10/25/46		112,906
	1,522,632	Fannie Mae REMICS, Series 2016-57, Class SA, IO, (USD 1 month LIBOR+6.000%), 4.768%, 08/25/46 (d)		335,019
	866,866	Fannie Mae REMICS STRIPS, Series 2010-57, Class ID, IO, 4.000%, 06/25/25		61,782
	594,354	Fannie Mae REMICS STRIPS, Series 409, Class 35, IO, 4.000%, 04/25/27		60,913
		Fannie Mae REMICS STRIPS, IO,
	661,160	4.766%, 11/25/46		145,256
	217,200	4.866%, 09/25/42		47,132
	418,366	4.916%, 12/25/42		93,893
	693,022	Fannie Mae REMICS STRIPS, Series 2013-100, Class ZM, IO, 4.000%, 06/25/40		67,810
	3,425,960	Fannie Mae REMICS STRIPS, Series 2012-146, IO, 3.000%, 01/25/28		318,701
	299,864	Fannie Mae REMICS STRIPS, Series 2012-124, Class UI, IO, 4.000%, 11/25/42		54,539
		Freddie Mac Multifamily Structured Pass Through Certificates, IO
	1,915,000	1.496%, 04/25/43		180,947
	1,010,000	1.553%, 10/25/43		104,078
	3,025,000	1.750%, 01/25/43		297,640


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
		United States — continued
	2,640,000	Freddie Mac Multifamily Structured Pass Through Certificates, Series K036, Class X3, 2.110%, 12/25/41 (e)		298,408
	750,000	Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K052, Class X3, IO, 1.612%, 01/25/44 (e)		83,057
	1,395,000	Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K051, Class X3, IO, 1.614%, 10/25/43 (e)		151,652
	3,470,000	Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K041, Class X3, IO, 1.642%, 11/25/42 (e)		347,409
	10,025,000	Freddie Mac STRIPS, IO, 1.438%, 02/25/43		578,338
	884,853	Freddie Mac STRIPS, Series 2016-77, IO, 4.923%, 06/15/47		198,131
	429,413	Government National Mortgage Association, Series 2016-122, Class BI, IO, 4.000%, 09/20/46		89,943
	57,348	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class AM, 5.948%, 06/15/49 (e)		58,716
	85,000	JPMorgan Commercial Mortgage, Series 2004-CBX, Class C, 5.066%, 01/12/37		88,236
	95,263	LB Commercial Conduit Mortgage Trust, Series 2007-C3, Class AJ, 5.908%, 07/15/44 (e)		95,726
	142,880	MLCC Mortgage Investors, Series 04-C, Class A1, 1.794%, 07/25/29		136,357
	150,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D, 4.893%, 04/15/24 (a) (e)		140,483
	450,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, 3.250%, 12/15/47 (h)		363,436
	98,781	Morgan Stanley Capital I Trust, Series HQ7, Class E, 5.142%, 11/14/42 (e)		99,960
	415,000	Morgan Stanley Capital I Trust, Series 2006-HQ6, 5.461%, 03/12/44 (h)		411,552
	394,024	Morgan Stanley Capital, Inc., Series 2004-NC8, 3.859%, 09/25/34		388,988
	250,000	Murray Hill Market Trust, Series 16-LCI, Class B, 6.150%, 11/25/22		255,408
	37,543	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A, 3.409%, 07/25/34 (e)		37,464
	168,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class C, 5.935%, 04/15/47 (e)		170,453


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
	200,000	Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class D, 4.103%, 05/15/48 (e) (h)		177,834

		Total Commercial Mortgage-Backed Securities (Cost $8,128,763)		8,162,755

	Corporate Bonds — 62.2%
		Argentina — 0.6%
	130,000	Pampa Energia S.A., 7.375%, 07/21/23 (a)		140,530
		YPF S.A.,
	120,000	6.950%, 07/21/27 (a)		127,770
	340,000	8.500%, 03/23/21 (j)		385,560

				653,860

		Australia — 0.4%
	200,000	Australia & New Zealand Banking Group Ltd., (USD 5 year swap mid price+5.168%), 6.750%, 12/29/49 (a) (d) (f)		223,586
	GBP 100,000	BHP Billiton Finance Ltd., (GBP 5 year swap rate+4.817%), 6.608%, 10/22/77 (d) (j)		150,180

				373,766

		Belgium — 0.3%
	155,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46		176,613
	EUR 100,000	Solvay Finance S.A., (EUR 5 year swap rate+3.700%), 5.425%, 11/29/49 (d) (f) (j)		136,585

				313,198

		Bermuda — 0.2%
	200,000	Tengizchevroil Finance Co., International Ltd., 4.000%, 08/15/26 (j)		199,364

		Brazil — 0.9%
	187,000	JBS USA LUX S.A., 7.250%, 06/01/21 (a)		191,133
		Petrobras Global Finance BV,
	143,000	7.250%, 03/17/44		147,647
	20,000	7.375%, 01/17/27		22,065
	200,000	Suzano Austria GmbH, 5.750%, 07/14/26 (j)		217,000
	200,000	VM Holding S.A., 5.375%, 05/04/27 (j)		210,200
	200,000	Votorantim Cimentos S.A., 7.250%, 04/05/41 (j)		210,250

				998,295


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Canada — 1.4%
	100,000	1011778 BC ULC/New Red Finance, Inc., 6.000%, 04/01/22 (a)		103,300
	300,000	Canadian Pacific Railway Co., 3.700%, 02/01/26		315,464
	135,000	Cenovus Energy, Inc., 6.750%, 11/15/39		145,887
	14,000	Cott Holdings, Inc., 5.500%, 04/01/25 (a)		14,682
	170,000	Emera US Finance LP, 3.550%, 06/15/26		173,208
	100,000	Encana Corp., 6.500%, 08/15/34		114,214
	14,000	Kronos Acquisition Holdings, Inc., 9.000%, 08/15/23 (a)		13,864
		MEG Energy Corp.,
	110,000	6.375%, 01/30/23 (a)		87,862
	74,000	6.500%, 01/15/25 (a)		68,728
	376,000	Quebecor Media, Inc., 5.750%, 01/15/23		402,320
	104,000	Teck Resources Ltd., 6.125%, 10/01/35		114,660

				1,554,189

		Cayman Islands — 0.0%
	52,000	Shelf Drilling Holdings Ltd., 9.500%, 11/02/20 (a)		50,440

		France — 3.6%
	EUR 200,000	BPCE S.A. MTN, (EUR 5 year swap rate+2.370%), 2.750%, 11/30/27 (d) (j)		256,120
	EUR 100,000	Casino Guichard Perrachon S.A. MTN, (EUR 5 year swap rate+3.819%), 4.870%, 01/31/49 (d) (f) (j)		120,197
	EUR 200,000	Credit Agricole S.A., (EUR 5 year swap rate+5.120%), 6.500%, 12/31/49 (d) (f) (j)		263,922
	EUR 200,000	Europcar Groupe S.A., 5.750%, 06/15/22 (j)		251,463
	EUR 100,000	Faurecia, 3.625%, 06/15/23 (j)		125,531
	EUR 200,000	Fnac Darty S.A., 3.250%, 09/30/23 (j)		250,251
	EUR 100,000	Horizon Holdings I SAS, 7.250%, 08/01/23 (j)		127,378
	EUR 250,000	Loxam SAS, 3.500%, 05/03/23 (j)		311,146
		NEW Areva Holding S.A. MTN,
	EUR 200,000	3.125%, 03/20/23 (j)		244,949
	EUR 50,000	4.375%, 11/06/19		63,807
	EUR 100,000	NewCo Sab MidCo SASU, 5.375%, 04/15/25 (j)		124,225
	EUR 150,000	Novafives SAS, 4.500%, 06/30/21 (j)		181,280
	EUR 250,000	Peugeot S.A. MTN, 2.375%, 04/14/23 (j)		315,469
	EUR 200,000	Rexel S.A. MTN, 2.625%, 06/15/24 (j)		241,679
	EUR 150,000	SFR Group S.A., 5.625%, 05/15/24 (j)		192,853
	200,000	Societe Generale S.A., (USD 5 year swap mid price+5.873%), 8.000%, 12/30/49 (a) (d) (f)		230,000


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		France — continued
	EUR 200,000	SPIE S.A., 3.125%, 03/22/24 (j)		247,732
		TOTAL S.A. MTN,
	EUR 125,000	(EUR 5 year swap rate+1.861%), 2.250%, 12/29/49 (d) (f) (j)		152,154
	EUR 100,000	(EUR 5 year swap rate+3.783%), 3.875%, 12/29/49 (d) (f) (j)		128,828

				3,828,984

		Gabon — 0.2%
	200,000	Gabonese Republic, 6.375%, 12/12/24 (j)		197,000

		Germany — 1.5%
	EUR 100,000	Commerzbank AG MTN, 7.750%, 03/16/21		145,998
	300,000	Deutsche Bank AG, 4.250%, 10/14/21		316,635
	EUR 100,000	HP Pelzer Holding GmbH, 4.125%, 04/01/24 (j)		122,170
	EUR 300,000	IHO Verwaltungs GmbH, 3.250% Cash/4.000% PIK, 09/15/2023 (i) (j)		369,115
	EUR 100,000	Kirk Beauty One GmbH, 8.750%, 07/15/23 (j)		129,574
	EUR 150,000	Unitymedia GmbH, 3.750%, 01/15/27 (j)		180,324
	EUR 100,000	Unitymedia Hessen GmbH & Co., KG/Unitymedia NRW GmbH, 4.000%, 01/15/25 (j)		125,890
	EUR 200,000	WEPA Hygieneprodukte GmbH, 3.750%, 05/15/24 (j)		247,317

				1,637,023

		Guatemala — 0.2%
	200,000	Comcel Trust via Comunicaciones Celulares S.A., 6.875%, 02/06/24 (j)		212,900

		Ireland — 1.1%
	EUR 100,000	Allied Irish Banks plc MTN, (EUR 5 year swap rate+3.950%), 4.125%, 11/26/25 (d) (j)		127,527
		Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc.,
	EUR 100,000	4.125%, 05/15/23 (j)		126,721
	EUR 175,000	6.750%, 05/15/24 (j)		233,328
	EUR 100,000	Bank of Ireland MTN, (EUR 5 year swap rate+3.550%), 4.250%, 06/11/24 (d) (j)		125,720
	EUR 200,000	eircom Finance DAC, 4.500%, 05/31/22 (j)		248,505
	EUR 250,000	Smurfit Kappa Acquisitions Co., 2.375%, 02/01/24 (j)		308,171

				1,169,972

		Israel — 0.1%
	EUR 100,000	Teva Pharmaceutical Finance Netherlands II BV, 1.125%, 10/15/24 (j)		109,978


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Italy — 2.3%
	GBP 25,000	Autostrade per l’Italia SpA MTN, 6.250%, 06/09/22		39,306
	GBP 50,000	Enel Finance International NV MTN, 5.625%, 08/14/24 (j)		80,065
	200,000	Enel Finance International NV, 2.875%, 05/25/22 (a)		201,774
		Enel SpA,
	EUR 200,000	(EUR 5 year swap rate+3.648%), 5.000%, 01/15/75 (d) (j)		257,590
	GBP 100,000	(GBP 5 year swap rate+5.662%), 7.750%, 09/10/75 (d) (j)		147,737
	275,000	Intesa Sanpaolo SpA, 3.875%, 07/14/27 (a)		275,655
	EUR 200,000	Leonardo SpA MTN, 4.875%, 03/24/25		289,283
	EUR 100,000	N&W Global Vending SpA, 7.000%, 10/15/23 (j)		125,176
	EUR 100,000	Snaitech SpA, 6.375%, 11/07/21 (j)		127,747
		Telecom Italia SpA MTN,
	EUR 125,000	3.625%, 01/19/24 (j)		166,553
	EUR 225,000	3.625%, 05/25/26 (j)		298,062
		Wind Acquisition Finance S.A.,
	EUR 200,000	7.000%, 04/23/21 (j)		247,728
	200,000	7.375%, 04/23/21 (a)		207,944

				2,464,620

		Japan — 0.3%
	EUR 275,000	SoftBank Group Corp., 4.000%, 07/30/22 (j)		356,837

		Kuwait — 0.2%
	200,000	Kuwait Projects Co. SPC Ltd., 5.000%, 03/15/23 (j)		213,000

		Luxembourg — 2.3%
		Altice Luxembourg S.A.,
	EUR 100,000	6.250%, 02/15/25 (j)		129,277
	200,000	7.750%, 05/15/22 (a)		212,250
	EUR 225,000	ArcelorMittal MTN, 3.125%, 01/14/22 (j)		291,173
	97,000	ArcelorMittal, 7.250%, 02/25/22		109,125
	EUR 100,000	Auris Luxembourg II S.A., 8.000%, 01/15/23 (j)		126,771
	EUR 150,000	Galapagos S.A., 5.375%, 06/15/21 (j)		181,053
	EUR 100,000	INEOS Group Holdings S.A., 5.375%, 08/01/24 (j)		127,182
		Intelsat Jackson Holdings S.A.,
	14,000	7.250%, 10/15/20		13,326
	60,000	7.500%, 04/01/21		56,268
	75,000	8.000%, 02/15/24 (a)		80,741
	EUR 100,000	Matterhorn Telecom S.A., 3.875%, 05/01/22 (j)		122,711


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Luxembourg — continued
	200,000	Minerva Luxembourg S.A., 6.500%, 09/20/26 (j)		200,490
	EUR 250,000	SES S.A., (EUR 5 year swap rate+4.664%), 4.625%, 12/31/49 (d) (f) (j)		319,342
	EUR 200,000	SIG Combibloc Holdings SCA, 7.750%, 02/15/23 (j)		251,775
	EUR 200,000	Telenet Finance VI Luxembourg SCA, 4.875%, 07/15/27 (j)		261,870

				2,483,354

		Mexico — 0.8%
	200,000	Banco Mercantil del Norte S.A., (U.S. Treasury yield curve rate T-Note+Constant maturity 5 year+5.035%), 6.875%, 10/06/65 (a) (d) (f)		210,840
		Petroleos Mexicanos MTN,
	60,000	6.500%, 03/13/27 (a)		67,110
	280,000	6.750%, 09/21/47 (a)		301,028
	230,000	6.875%, 08/04/26		264,454

				843,432

		Netherlands — 1.7%
		AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
	155,000	3.650%, 07/21/27		155,793
	150,000	4.625%, 07/01/22		161,678
	EUR 100,000	Gas Natural Fenosa Finance BV, (EUR 8 year swap rate+3.353%), 4.125%, 11/29/49 (d) (f) (j)		127,830
	EUR 100,000	ING Groep NV MTN, (EUR 5 year swap rate+2.850%), 3.000%, 04/11/28 (d)		129,750
	200,000	ING Groep NV, (USD 5 year swap rate+5.124%), 6.875%, 12/29/49 (d) (f) (j)		215,600
	EUR 200,000	Koninklijke KPN NV, (EUR 5 year swap rate+5.202%), 6.125%, 03/29/49 (d) (f) (j)		250,975
	53,000	Petrobras Global Finance BV, 8.375%, 05/23/21		60,181
	35,000	Shell International Finance BV, 4.125%, 05/11/35		37,325
	160,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/26		146,554
	EUR 120,000	UPC Holding BV, 6.750%, 03/15/23 (j)		151,996
	EUR 100,000	UPCB Finance IV Ltd., 4.000%, 01/15/27 (j)		124,753
	EUR 200,000	Ziggo Bond Finance BV, 4.625%, 01/15/25 (j)		251,530

				1,813,965


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		New Zealand — 0.1%
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC / Reynolds Group Issuer,
	62,000	5.125%, 07/15/23 (a)		64,615
	70,000	5.750%, 10/15/20		71,305

				135,920

		Peru — 0.0%
	40,000	Southern Copper Corp., 5.875%, 04/23/45		45,250

		Portugal — 0.4%
	EUR 100,000	EDP — Energias de Portugal S.A., (EUR 5 year swap rate+5.043%), 5.375%, 09/16/75 (d) (j)		131,282
	EUR 200,000	EDP Finance BV MTN, 2.375%, 03/23/23 (j)		256,801

				388,083

		Qatar — 0.2%
	200,000	ABQ Finance Ltd. MTN, 3.500%, 02/22/22 (j)		196,750

		Spain — 1.5%
	EUR 100,000	Bankia S.A., (EUR 5 year swap rate+3.350%), 3.375%, 03/15/27 (d) (j)		124,015
	EUR 100,000	CaixaBank S.A. MTN, (EUR 5 year swap rate+3.350%), 3.500%, 02/15/27 (d) (j)		126,307
	EUR 250,000	Cirsa Funding Luxembourg S.A., 5.750%, 05/15/21 (j)		313,981
	EUR 100,000	eDreams ODIGEO S.A., 8.500%, 08/01/21 (j)		129,537
	EUR 100,000	Gestamp Funding Luxembourg S.A., 3.500%, 05/15/23 (j)		124,527
	EUR 100,000	Grupo-Antolin Irausa S.A., 3.250%, 04/30/24 (j)		122,021
	EUR 100,000	Repsol International Finance BV, (EUR Swap Annual 10 Year+4.200%), 4.500%, 03/25/75 (d) (j)		126,371
	EUR 400,000	Telefonica Europe BV, (EUR 6 year swap rate+3.804%), 5.000%, 03/31/49 (d) (f) (j)		510,940

				1,577,699

		Sweden — 0.9%
		Skandinaviska Enskilda Banken AB MTN
	EUR 100,000	(EUR 5 year swap rate+1.450%), 2.500%, 05/28/26 (d) (j)		126,296
	200,000	(USD 5 year swap rate+3.850%), 5.750%, 11/29/49 (d) (f) (j)		207,390
	EUR 180,000	Verisure Holding AB, 6.000%, 11/01/22 (j)		232,083
	EUR 100,000	Volvo Car AB, 3.250%, 05/18/21 (j)		129,163
	EUR 200,000	Volvo Treasury AB, (EUR 5 year swap rate+4.101%), 4.850%, 03/10/78 (d) (j)		266,674

				961,606


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Switzerland — 0.6%
	GBP 100,000	Glencore Finance Europe S.A., 6.000%, 04/03/22 (j)		151,830
	EUR 400,000	UBS Group AG, (EUR 5 year swap rate+5.287%), 5.750%, 12/29/49 (d) (f) (j)		531,535

				683,365

		United Kingdom — 3.4%
	EUR 150,000	Anglo American Capital plc MTN, 3.250%, 04/03/23 (j)		198,216
		BAT Capital Corp.,
	270,000	3.557%, 08/15/27 (a)		273,850
	125,000	4.390%, 08/15/37 (a)		128,584
		BP Capital Markets plc,
	30,000	3.588%, 04/14/27		31,080
	240,000	3.814%, 02/10/24		255,346
	EUR 125,000	CNH Industrial Finance Europe S.A. MTN, 2.875%, 05/17/23 (j)		161,110
	EUR 200,000	Fiat Chrysler Automobiles NV MTN, 3.750%, 03/29/24 (j)		258,370
	200,000	HSBC Holdings plc, (USD 5 year swap mid price+4.368%), 6.375%, 12/29/49 (d) (f)		214,250
	EUR 100,000	INEOS Finance plc, 4.000%, 05/01/23 (j)		123,207
	GBP 100,000	Jaguar Land Rover Automotive plc, 3.875%, 03/01/23 (j)		135,425
	200,000	Lloyds Banking Group plc, 4.582%, 12/10/25		210,674
	EUR 100,000	NGG Finance plc, (EUR 7 year swap rate+2.880%), 4.250%, 06/18/76 (d) (j)		128,628
	131,000	Royal Bank of Scotland Group plc, 6.100%, 06/10/23		144,767
	400,000	Santander UK Group Holdings plc, 3.571%, 01/10/23		410,160
	EUR 200,000	Sky plc MTN, 1.500%, 09/15/21 (j)		248,606
	GBP 100,000	Standard Life Aberdeen plc MTN, (U.K. Government bonds 5 year note generic bid yield+4.850%), 5.500%, 12/04/42 (d) (j)		145,381
	EUR 100,000	Synlab Unsecured Bondco plc, 8.250%, 07/01/23 (j)		132,047
	EUR 250,000	Tesco Corporate Treasury Services plc MTN, 2.125%, 11/12/20 (j)		312,285
	EUR 100,000	Worldpay Finance plc, 3.750%, 11/15/22 (j)		133,710

				3,645,696


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — 37.0%
	120,000	21st Century Fox America, Inc., 4.950%, 10/15/45		132,842
	97,000	Acadia Healthcare Co., Inc., 6.500%, 03/01/24		104,275
	50,000	ACCO Brands Corp., 5.250%, 12/15/24 (a)		51,500
	EUR 100,000	Adient Global Holdings Ltd., 3.500%, 08/15/24 (j)		122,158
	125,000	ADT Corp., 4.125%, 06/15/23		126,562
	89,000	AECOM, 5.875%, 10/15/24		97,344
	69,000	AES Corp., 5.500%, 04/15/25		71,932
	45,000	Air Lease Corp., 3.000%, 09/15/23		45,012
	35,000	AK Steel Corp., 7.000%, 03/15/27		35,612
	215,000	Albertsons Co. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 06/15/24		205,217
		Allergan Funding SCS,
	40,000	3.800%, 03/15/25		41,827
	100,000	4.550%, 03/15/35		107,206
		Ally Financial, Inc.,
	155,000	4.250%, 04/15/21		160,037
	164,000	4.625%, 05/19/22		170,560
		Altria Group, Inc.,
	115,000	3.875%, 09/16/46		111,270
	40,000	4.000%, 01/31/24		42,969
	15,000	4.250%, 08/09/42		15,310
		Amazon.com, Inc.,
	45,000	2.800%, 08/22/24 (a)		45,561
	65,000	4.050%, 08/22/47 (a)		67,005
	105,000	AMC Entertainment Holdings, Inc., 5.750%, 06/15/25		99,750
	132,000	AMC Networks, Inc., 5.000%, 04/01/24		136,125
		American Axle & Manufacturing, Inc.,
	20,000	6.500%, 04/01/27 (a)		19,700
	294,000	6.625%, 10/15/22		303,922
	145,000	American International Group, Inc., 4.800%, 07/10/45		158,564
	80,000	American Tower Corp. REIT, 5.000%, 02/15/24		88,885
	45,000	Amkor Technology, Inc., 6.375%, 10/01/22		46,462
	50,000	AMN Healthcare, Inc., 5.125%, 10/01/24 (a)		51,250
	210,000	Anadarko Petroleum Corp., 3.450%, 07/15/24		208,439
		Analog Devices, Inc.,
	15,000	3.500%, 12/05/26		15,404
	10,000	4.500%, 12/05/36		10,416


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
		Andeavor Logistics LP/Tesoro Logistics Finance Corp.,
	97,000	5.250%, 01/15/25		102,820
	85,000	6.375%, 05/01/24		92,438
		Anheuser-Busch InBev Finance, Inc.,
	35,000	3.650%, 02/01/26		36,464
	20,000	4.700%, 02/01/36		22,172
	105,000	Anixter, Inc., 5.500%, 03/01/23		112,875
	204,000	Antero Resources Corp., 5.125%, 12/01/22		204,510
		Apple, Inc.,
	30,000	3.350%, 02/09/27		31,075
	45,000	3.850%, 08/04/46		45,578
	98,000	Arch Merger Sub, Inc., 8.500%, 09/15/25 (a)		95,550
	314,000	Arconic, Inc., 5.900%, 02/01/27		342,260
		AT&T, Inc.,
	40,000	3.400%, 05/15/25		39,734
	95,000	3.900%, 08/14/27		95,997
	75,000	4.300%, 12/15/42		69,640
	35,000	4.800%, 06/15/44		34,000
	45,000	5.150%, 02/14/50		45,376
	20,000	5.250%, 03/01/37		21,075
	175,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.500%, 04/01/23		176,479
	EUR 100,000	Axalta Coating Systems LLC, 4.250%, 08/15/24 (j)		126,866
	EUR 250,000	Ball Corp., 4.375%, 12/15/23		340,022
		Bank of America Corp. MTN,
	270,000	2.625%, 04/19/21		272,868
	150,000	(USD 3 month LIBOR+1.575%), 3.824%, 01/20/28 (d)		154,690
	30,000	4.250%, 10/22/26		31,470
	400,000	Bank of America Corp., PO, 0.000%, 04/27/23		270,428
	230,000	Bank of America Corp., (USD 3 month LIBOR+4.553%), 6.300%, 12/29/49 (d) (f)		259,037
	62,000	Berry Plastics Corp., 5.125%, 07/15/23		64,790
	96,000	Blue Cube Spinco, Inc., 10.000%, 10/15/25		118,320
	50,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (a)		51,375
	50,000	Boardwalk Pipelines LP, 3.375%, 02/01/23		49,790
		Boyd Gaming Corp.,
	52,000	6.375%, 04/01/26		56,485
	30,000	6.875%, 05/15/23		32,250


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — continued
	210,000	Broadcom Corp./Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 (a)		216,349
		Buckeye Partners LP,
	30,000	3.950%, 12/01/26		29,832
	171,000	4.150%, 07/01/23		177,581
	125,000	Burlington Northern Santa Fe LLC, 4.550%, 09/01/44		138,715
	111,000	Cablevision Systems Corp., 8.000%, 04/15/20		122,794
	85,000	CalAtlantic Group, Inc., 5.875%, 11/15/24		92,225
	20,000	California Resources Corp., 8.000%, 12/15/22 (a)		11,050
	42,000	Callon Petroleum Co., 6.125%, 10/01/24		42,630
	76,000	Calpine Corp., 5.250%, 06/01/26 (a)		74,480
		Capital One Financial Corp.,
	50,000	3.750%, 03/09/27		50,705
	175,000	4.200%, 10/29/25		180,528
	55,000	Cardinal Health Inc., 4.368%, 06/15/47		56,391
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	140,000	5.125%, 05/01/27 (a)		144,200
	650,000	5.750%, 02/15/26 (a)		687,173
	125,000	Centene Corp., 6.125%, 02/15/24		134,531
	20,000	Central Garden & Pet Co., 6.125%, 11/15/23		21,300
	140,000	CenturyLink, Inc., 7.500%, 04/01/24		146,650
	234,000	CF Industries, Inc., 4.500%, 12/01/26 (a)		243,520
	45,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908%, 07/23/25		48,209
	37,000	Chemours Co. (The), 7.000%, 05/15/25		40,792
	62,000	Cheniere Corpus Christi Holdings LLC, 5.875%, 03/31/25		66,650
		Chesapeake Energy Corp.,
	16,000	8.000%, 12/15/22 (a)		16,540
	42,000	8.000%, 01/15/25 (a)		40,477
	65,000	8.000%, 06/15/27 (a)		61,750
	125,000	Cincinnati Bell, Inc., 7.000%, 07/15/24 (a)		123,750
	250,000	Cisco Systems, Inc., 2.600%, 02/28/23		254,154
	164,000	CIT Group, Inc., 5.000%, 08/15/22		177,514
	25,000	CITGO Petroleum Corp., 6.250%, 08/15/22 (a)		25,250
		Citigroup, Inc., (d)
	135,000	3.875%, 03/26/25		138,313
	55,000	4.125%, 07/25/28		56,764
	130,000	4.400%, 06/10/25		137,474


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
	200,000	(USD 3 month LIBOR+4.059%), 5.875%, 12/29/49 (d) (f)		209,000
	90,000	Clean Harbors, Inc., 5.125%, 06/01/21		91,575
		Clear Channel Worldwide Holdings, Inc.,
	402,000	6.500%, 11/15/22		413,055
	125,000	7.625%, 03/15/20		124,531
		Comcast Corp.,
	110,000	3.200%, 07/15/36		102,365
	105,000	4.600%, 08/15/45		114,065
	70,000	Commercial Metals Co., 4.875%, 05/15/23		72,100
	227,000	CommScope Technologies LLC, 6.000%, 06/15/25 (a)		241,187
	55,000	Community Health System, Inc., 7.125%, 07/15/20		51,734
	35,000	Concho Resources, Inc., 5.500%, 04/01/23		36,050
		Continental Resources, Inc.,
	105,000	4.500%, 04/15/23		103,425
	85,000	5.000%, 09/15/22		85,425
	105,000	Cooper-Standard Automotive, Inc., 5.625%, 11/15/26 (a)		105,656
	70,000	CoreCivic, Inc. REIT, 4.625%, 05/01/23		71,050
	35,000	Covanta Holding Corp., 5.875%, 07/01/25		34,737
	35,000	Crestwood Midstream Partners LP/Crestwood Modstream Finance Corp., 6.250%, 04/01/23		36,137
	62,000	Crown Americas LLC/Crown Americas Capital Corp. V, 4.250%, 09/30/26		62,310
	EUR 150,000	Crown European Holdings S.A., 4.000%, 07/15/22 (j)		199,888
	10,000	CURO Financial Technologies Corp., 12.000%, 03/01/22 (a)		10,700
	160,000	Dana Financing Luxembourg Sarl, 6.500%, 06/01/26 (a)		171,600
	145,000	Darden Restaurants, Inc., 3.850%, 05/01/27		150,495
	76,000	DaVita, Inc., 5.125%, 07/15/24		77,567
	76,000	DCP Midstream Operating LP, 3.875%, 03/15/23		74,005
		Dell International LLC/EMC Corp.,
	230,000	6.020%, 06/15/26 (a)		256,756
	157,000	7.125%, 06/15/24 (a)		173,919
	7,000	Diamond Offshore Drilling, Inc., 7.875%, 08/15/25		7,017
	35,000	Diamondback Energy, Inc., 4.750%, 11/01/24		35,087
		DISH DBS Corp.,
	146,000	5.875%, 07/15/22		157,406
	415,000	5.875%, 11/15/24		447,681


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — continued
	20,000	DJO Finco, Inc./DFO Finance LLC/DJO Finance Corp., 8.125%, 06/15/21 (a)		19,006
	21,000	Dole Food Co., Inc., 7.250%, 06/15/25 (a)		22,522
	97,000	Dollar Tree, Inc., 5.750%, 03/01/23		102,335
		Dynegy, Inc.,
	83,000	5.875%, 06/01/23		82,377
	50,000	7.625%, 11/01/24		51,563
	62,000	Endo Finance LLC, 5.750%, 01/15/22 (a)		55,490
	42,000	Energy Transfer Equity LP, 5.875%, 01/15/24		45,255
	160,000	Entergy Corp., 2.950%, 09/01/26		156,578
	95,000	Enterprise Products Operating LLC, (USD 3 month LIBOR+3.033%), 5.250%, 08/16/77 (d)		94,881
	125,000	Envision Healthcare Corp., 5.625%, 07/15/22		130,000
		EP Energy LLC/Everest Acquistion Finance, Inc.,
	50,000	8.000%, 11/29/24 (a)		48,875
	63,000	8.000%, 02/15/25 (a)		41,580
	76,000	9.375%, 05/01/20		55,955
	52,000	Equinix Inc. REIT, 5.375%, 04/01/23		54,210
	14,000	ESH Hospitality, Inc. REIT, 5.250%, 05/01/25 (a)		14,420
		Express Scripts Holding Co.,
	300,000	3.000%, 07/15/23		302,071
	30,000	3.400%, 03/01/27		29,821
		First Data Corp.,
	170,000	5.375%, 08/15/23 (a)		178,925
	60,000	5.750%, 01/15/24 (a)		63,093
	112,000	7.000%, 12/01/23 (a)		120,680
	115,000	FirstEnergy Corp., 3.900%, 07/15/27		117,490
	115,000	Ford Motor Co., 5.291%, 12/08/46		117,909
		Freeport-McMoRan, Inc.,
	111,000	3.550%, 03/01/22		109,127
	35,000	3.875%, 03/15/23		34,650
	20,000	4.550%, 11/14/24		19,950
	195,000	Frontier Communications Corp., 6.875%, 01/15/25		148,200
	200,000	GE Capital International Funding Co., 4.418%, 11/15/35		218,736
	EUR 100,000	General Electric Co., 1.500%, 05/17/29		120,168
		General Motors Co.,
	145,000	5.150%, 04/01/38		146,225
	10,000	5.200%, 04/01/45		9,894


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
		General Motors Financial Co., Inc.,
	235,000	3.700%, 05/09/23		239,608
	20,000	3.950%, 04/13/24		20,478
	49,000	Genesis Energy LP/Genesis Energy Finance Corp., 5.625%, 06/15/24		46,060
	90,000	GEO Group, Inc. (The) REIT, 5.875%, 01/15/22		93,487
		Gilead Sciences, Inc.,
	20,000	4.000%, 09/01/36		20,574
	105,000	4.150%, 03/01/47		107,816
	52,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/23		56,290
		Goldman Sachs Group, Inc. (The)
	40,000	3.500%, 01/23/25		40,758
	15,000	5.150%, 05/22/45		17,107
	190,000	(USD 3 month LIBOR+3.834%), 5.300%, 12/29/49 (d) (f)		203,418
	100,000	(USD 3 month LIBOR+3.922%), 5.375%, 12/29/49 (d) (f)		104,000
		Goodyear Tire & Rubber Co. (The),
	20,000	4.875%, 03/15/27		20,350
	139,000	5.000%, 05/31/26		145,081
	42,000	Hanesbrands, Inc., 4.875%, 05/15/26 (a)		43,680
	120,000	Harris Corp., 4.854%, 04/27/35		133,500
		HCA, Inc.,
	110,000	5.375%, 02/01/25		116,050
	158,000	5.875%, 03/15/22		175,048
	168,000	5.875%, 05/01/23		183,792
	375,000	5.875%, 02/15/26		404,531
	105,000	HealthSouth Corp., 5.750%, 09/15/25		109,200
	90,000	Herc Rentals, Inc., 7.750%, 06/01/24 (a)		98,550
	285,000	Hertz Corp., 7.375%, 01/15/21		281,081
	115,000	Hess Corp., 5.800%, 04/01/47		114,915
	176,000	Hexion, Inc., 6.625%, 04/15/20		160,160
	42,000	Hilcorp Energy I LP/Hilcorp Finance Co., 5.000%, 12/01/24 (a)		39,690
	50,000	Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (a)		52,625
	14,000	Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.125%, 12/01/24 (a)		15,365
	14,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 04/01/27		14,805
	62,000	Holly Energy Partners LP/Holly Energy Finance Corp., 6.000%, 08/01/24 (a)		64,480


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — continued
	62,000	Hologic, Inc., 5.250%, 07/15/22 (a)		65,274
	30,000	HRG Group, Inc., 7.750%, 01/15/22		31,425
	480,000	HSBC Holdings plc, 3.400%, 03/08/21		497,413
	97,000	Hughes Satellite Systems Corp., 5.250%, 08/01/26		101,729
		Huntsman International LLC,
	EUR 200,000	5.125%, 04/15/21		270,827
	175,000	5.125%, 11/15/22		185,062
	10,000	IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19		10,000
	110,000	Infor Software Parent LLC/Infor Software Parent, Inc., 7.125% Cash/7.875% PIK, 05/01/2021 (a) (i)		112,200
	120,000	Infor US, Inc., 6.500%, 05/15/22		122,400
	EUR 100,000	International Game Technology plc, 4.750%, 02/15/23 (j)		131,532
	55,000	International Paper Co., 4.350%, 08/15/48		55,700
	51,000	inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.500%, 10/01/24 (a)		56,355
	110,000	Iron Mountain, Inc. REIT, 5.750%, 08/15/24		112,205
	85,000	Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 6.750%, 11/15/21 (a)		88,400
	65,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 06/01/27 (a)		66,706
	70,000	Kindred Healthcare, Inc., 8.750%, 01/15/23		67,725
	90,000	Kinetic Concepts, Inc./KCI USA, Inc., 7.875%, 02/15/21 (a)		94,500
	135,000	Kraft Heinz Foods Co., 4.375%, 06/01/46		131,728
		Kroger Co. (The),
	35,000	2.650%, 10/15/26		32,573
	130,000	4.450%, 02/01/47		125,237
		L Brands, Inc.,
	69,000	5.625%, 10/15/23		72,450
	70,000	6.750%, 07/01/36		66,301
	62,000	Lamar Media Corp., 5.750%, 02/01/26		66,883
	350,000	Level 3 Communications, Inc., 5.750%, 12/01/22		359,625
	265,000	Level 3 Financing, Inc., 5.250%, 03/15/26		270,963
	64,000	Live Nation Entertainment, Inc., 4.875%, 11/01/24 (a)		65,280
	64,000	LKQ Corp., 4.750%, 05/15/23		65,600
	EUR 100,000	LKQ Italia Bondco SpA, 3.875%, 04/01/24 (j)		130,056
	110,000	Lowe’s Co., Inc., 4.050%, 05/03/47		113,036
	6,000	LPL Holdings, Inc., 5.750%, 09/15/25 (a)		6,285


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
		Masco Corp.,
	30,000	3.500%, 11/15/27		30,099
	195,000	4.375%, 04/01/26		209,216
	30,000	MasTec, Inc., 4.875%, 03/15/23		30,450
	20,000	MetLife, Inc., 6.400%, 12/15/36		23,050
	453,000	MGM Resorts International, 6.000%, 03/15/23		500,565
		Micron Technology, Inc.,
	82,000	5.250%, 08/01/23 (a)		85,382
	70,000	7.500%, 09/15/23		77,613
	20,000	Microsoft Corp., 4.100%, 02/06/37		21,845
		Morgan Stanley, (d)
	150,000	(USD 3 month LIBOR+1.455%), 3.971%, 07/22/38 (d)		151,740
	15,000	4.375%, 01/22/47		15,892
	100,000	(USD 3 month LIBOR+3.610%), 5.450%, 12/29/49 (d) (f)		102,875
	100,000	(USD 3 month LIBOR+3.810%), 5.550%, 12/29/49 (d) (f)		104,124
		Morgan Stanley MTN,
	220,000	2.750%, 05/19/22		221,888
	40,000	3.875%, 01/27/26		41,813
	30,000	4.350%, 09/08/26		31,525
	115,000	MPLX LP, 5.200%, 03/01/47		118,587
	270,000	Mylan, Inc., 4.200%, 11/29/23		282,197
	15,000	Mylan NV, 3.950%, 06/15/26		15,281
	49,000	Nabors Industries, Inc., 5.500%, 01/15/23		45,846
	89,000	Nationstar Mortgage LLC/Nationstar Capital Corp., 6.500%, 07/01/21		90,812
	57,000	Netflix, Inc., 4.375%, 11/15/26 (a)		55,575
	90,000	Newfield Exploration Co., 5.750%, 01/30/22		94,950
	25,000	Nexstar Broadcasting, Inc., 6.125%, 02/15/22 (a)		26,063
	35,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 03/01/25 (a)		31,150
	64,000	Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (a)		66,240
	150,000	NiSource Finance Corp., 4.375%, 05/15/47		159,767
	15,000	Noble Energy, Inc., 5.250%, 11/15/43		15,378
	64,000	Novelis Corp., 5.875%, 09/30/26 (a)		66,720
	76,000	NRG Energy, Inc., 6.625%, 01/15/27		79,800
	35,000	NRG Yield Operating LLC, 5.000%, 09/15/26		35,788
		Oasis Petroleum, Inc.,
	42,000	6.500%, 11/01/21		40,898
	160,000	6.875%, 01/15/23		153,120


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — continued
	EUR 150,000	OI European Group BV, 3.125%, 11/15/24 (j)		184,108
	210,000	ONEOK Partners LP, 3.375%, 10/01/22		212,253
		Oracle Corp.,
	30,000	2.650%, 07/15/26		29,487
	135,000	4.500%, 07/08/44		148,665
	62,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 03/15/25		64,666
	85,000	Owens Corning, 4.300%, 07/15/47		82,483
	55,000	Parker Drilling Co., 6.750%, 07/15/22		41,800
	14,000	Pattern Energy Group, Inc., 5.875%, 02/01/24 (a)		14,665
		PetSmart, Inc.,
	70,000	5.875%, 06/01/25 (a)		62,475
	125,000	7.125%, 03/15/23 (a)		101,875
	115,000	Philip Morris International, Inc., 4.125%, 03/04/43		117,334
	75,000	PolyOne Corp., 5.250%, 03/15/23		78,750
	10,000	Post Holdings, Inc., 5.500%, 03/01/25 (a)		10,400
	105,000	Prime Security Services Borrower LLC/Prime Finance, Inc., 9.250%, 05/15/23 (a)		116,025
	115,000	Prudential Financial, Inc. MTN, 4.600%, 05/15/44		127,268
	35,000	QEP Resources, Inc., 5.375%, 10/01/22		33,688
	240,000	QUALCOMM, Inc., 2.900%, 05/20/24		242,971
	60,000	Quicken Loans, Inc., 5.750%, 05/01/25 (a)		62,850
	EUR 250,000	Quintiles IMS, Inc., 3.500%, 10/15/24 (j)		309,852
	195,000	Rackspace Hosting, Inc., 8.625%, 11/15/24 (a)		206,944
	50,000	Rain CII Carbon LLC/CII Carbon Corp., 7.250%, 04/01/25 (a)		52,000
	100,000	Range Resources Corp., 4.875%, 05/15/25		95,750
	70,000	Regal Entertainment Group, 5.750%, 02/01/25		69,650
	43,000	Revlon Consumer Products Corp., 5.750%, 02/15/21		38,469
	35,000	Reynolds American, Inc., 4.450%, 06/12/25		37,826
	50,000	RHP Hotel Properties LP/RHP Finance Corp. REIT, 5.000%, 04/15/23		51,500
	35,000	Rite Aid Corp., 6.125%, 04/01/23 (a)		34,388
	325,000	Rockwell Collins, Inc., 3.700%, 12/15/23		342,813
	280,000	Roper Technologies, Inc., 3.800%, 12/15/26		291,718
	15,000	RSI Home Products, Inc., 6.500%, 03/15/23 (a)		15,825
	35,000	RSP Permian, Inc., 6.625%, 10/01/22		36,313
	50,000	Sabre GLBL Inc., 5.375%, 04/15/23 (a)		51,438


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
	85,000	Scientific Games International, Inc., 7.000%, 01/01/22 (a)		90,738
	70,000	Scotts Miracle-Gro Co. (The), 6.000%, 10/15/23		74,988
	97,000	Sealed Air Corp., 5.125%, 12/01/24 (a)		103,063
	85,000	Sensata Technologies BV, 4.875%, 10/15/23 (a)		88,613
	70,000	Service Corp. International, 7.500%, 04/01/27		83,300
	225,000	Shire Acquisitions Investments Ireland DAC, 2.875%, 09/23/23		223,831
	EUR 200,000	Silgan Holdings, Inc., 3.250%, 03/15/25 (j)		244,935
		Sinclair Television Group, Inc.,
	120,000	5.625%, 08/01/24 (a)		122,736
	25,000	6.125%, 10/01/22		25,813
		Sirius XM Radio, Inc.,
	10,000	5.000%, 08/01/27 (a)		10,275
	146,000	5.375%, 04/15/25 (a)		154,337
	265,000	6.000%, 07/15/24 (a)		286,274
	85,000	SM Energy Co., 6.500%, 11/15/21		82,131
	EUR 90,000	SMCP Group SAS, 5.875%, 05/01/23 (j)		116,139
	55,000	Southwestern Energy Co., 6.700%, 01/23/25		53,625
	158,000	Spectrum Brands, Inc., 6.625%, 11/15/22		164,123
	25,000	Springleaf Finance Corp., 6.125%, 05/15/22		26,188
		Sprint Corp.,
	431,000	7.625%, 02/15/25		487,030
	490,000	7.875%, 09/15/23		559,889
	25,000	SPX FLOW, Inc., 5.625%, 08/15/24 (a)		25,875
	104,000	Steel Dynamics, Inc., 5.000%, 12/15/26		109,980
	125,000	Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 07/15/23		130,938
	130,000	Sunoco Logistics Partners Operations LP, 5.350%, 05/15/45		128,698
	125,000	SUPERVALU, Inc., 6.750%, 06/01/21		120,625
	50,000	Synchrony Financial, 4.250%, 08/15/24		52,353
	99,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/23		98,258
		TEGNA, Inc.,
	50,000	5.500%, 09/15/24 (a)		52,625
	62,000	6.375%, 10/15/23		65,797
	50,000	Tempur Sealy International, Inc., 5.625%, 10/15/23		52,063


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		United States — continued
		Tenet Healthcare Corp.,
	119,000	4.500%, 04/01/21		121,380
	125,000	7.500%, 01/01/22 (a)		135,000
	245,000	8.125%, 04/01/22		257,250
	42,000	Terex Corp., 5.625%, 02/01/25 (a)		43,890
	28,000	Terraform Global Operating LLC, 9.750%, 08/15/22 (a)		31,185
	28,000	TerraForm Power Operating LLC, Class SUB, 6.625%, 06/15/25 (a)		29,680
	30,000	Tesla Inc., 5.300%, 08/15/25 (a)		29,531
	35,000	TI Group Automotive Systems LLC, 8.750%, 07/15/23 (a)		36,891
		T-Mobile USA, Inc.,
	281,000	6.000%, 04/15/24		298,914
	250,000	6.500%, 01/15/24		266,875
	100,000	6.500%, 01/15/26		110,750
	35,000	TransDigm, Inc., 6.500%, 07/15/24		36,356
	53,200	Transocean Proteus Ltd., 6.250%, 12/01/24 (a)		55,727
		Transocean, Inc.,
	49,000	6.800%, 03/15/38		37,485
	55,000	9.000%, 07/15/23 (a)		58,575
	10,000	Triumph Group Inc., 4.875%, 04/01/21		9,575
		United Rentals North America, Inc.,
	125,000	5.500%, 05/15/27		132,500
	120,000	5.750%, 11/15/24		128,436
	69,000	United States Steel Corp., 8.375%, 07/01/21 (a)		76,245
	15,000	UnitedHealth Group, Inc., 4.750%, 07/15/45		17,477
		Uniti Group, Inc./Uniti Group Finance, Inc. / CSL Capital LLC REIT,
	85,000	6.000%, 04/15/23 (a)		85,212
	85,000	8.250%, 10/15/23		83,054
	97,000	Univision Communications, Inc., 5.125%, 02/15/25 (a)		97,485
	125,000	US Concrete Inc., 6.375%, 06/01/24		135,000
		Valeant Pharmaceuticals International, Inc.,
	295,000	6.125%, 04/15/25 (a)		248,906
	69,000	6.500%, 03/15/22 (a)		72,364
	146,000	7.000%, 10/01/20 (a)		145,635
	160,000	7.000%, 03/15/24 (a)		169,800
	250,000	VEREIT Operating Partnership LP REIT, 4.600%, 02/06/24		264,280


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		United States — continued
		Verizon Communications, Inc.,
	65,000	3.500%, 11/01/24		66,196
	5,000	4.125%, 08/15/46		4,433
	20,000	4.272%, 01/15/36		19,446
	130,000	5.012%, 04/15/49		130,554
	49,000	Vertiv Group Corp., 9.250%, 10/15/24 (a)		54,512
	235,000	Viacom, Inc., 3.450%, 10/04/26		226,630
	85,000	Vista Outdoor, Inc., 5.875%, 10/01/23		87,125
		Weatherford International Ltd.,
	35,000	6.500%, 08/01/36		29,050
	21,000	7.000%, 03/15/38		17,745
	21,000	9.875%, 02/15/24 (a)		21,473
	140,000	Welbilt, Inc., 9.500%, 02/15/24		161,350
		Wells Fargo & Co.
	112,000	(USD 3 month LIBOR+3.990%), 5.875%, 12/29/49 (d) (f)		124,320
	118,000	(USD 3 month LIBOR+3.110%), 5.900%, 12/29/49 (d) (f)		128,030
		Wells Fargo & Co. MTN
	15,000	(USD 3 month LIBOR+1.310%), 3.584%, 05/22/28 (d)		15,355
	150,000	4.900%, 11/17/45		165,461
	184,000	Western Digital Corp., 10.500%, 04/01/24		218,270
		Whiting Petroleum Corp.,
	104,000	5.000%, 03/15/19		102,960
	85,000	5.750%, 03/15/21		79,900
	125,000	Williams Cos., Inc. (The), 4.550%, 06/24/24		127,813
	150,000	Williams Partners LP, 3.750%, 06/15/27		150,081
		Windstream Services LLC,
	125,000	6.375%, 08/01/23		96,563
	195,000	7.500%, 06/01/22		152,100
		WMG Acquisition Corp.,
	EUR 150,000	4.125%, 11/01/24 (j)		188,924
	92,000	4.875%, 11/01/24 (a)		94,300
	70,000	WPX Energy, Inc., 8.250%, 08/01/23		76,825
	129,000	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a)		134,483
		XPO Logistics, Inc.,
	35,000	6.125%, 09/01/23 (a)		36,531
	55,000	6.500%, 06/15/22 (a)		57,750
		Zayo Group LLC/Zayo Capital, Inc.,
	19,000	5.750%, 01/15/27 (a)		20,163
	85,000	6.000%, 04/01/23		89,968
	189,000	6.375%, 05/15/25		203,117

				39,698,943

		Total Corporate Bonds (Cost $65,264,490)		66,807,489


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	Foreign Government Securities — 21.6%
		Angola — 0.2%
	200,000	Angolan Government International Bond, 9.500%, 11/12/25 (j)		214,750

		Argentina — 0.2%
	200,000	Provincia de Buenos Aires, 9.125%, 03/16/24 (a)		231,000

		Australia — 2.7%
	AUD 3,660,000	Australia Government Bond, 2.750%, 11/21/27 (j)		2,916,315

		Belarus — 0.4%
		Republic of Belarus International Bond,
	200,000	6.875%, 02/28/23 (a)		214,250
	250,000	8.950%, 01/26/18 (j)		256,250

				470,500

		Brazil — 1.0%
	BRL 3,255,000	Brazil Notas do Tesouro Nacional, 10.000%, 01/01/25		1,061,498

		Colombia — 0.2%
	200,000	Colombia Government International Bond, 5.000%, 06/15/45		206,800

		Dominican Republic — 0.4%
	350,000	Dominican Republic International Bond, 6.875%, 01/29/26 (j)		402,500

		Ecuador — 0.2%
	200,000	Ecuador Government International Bond, 10.750%, 03/28/22 (a)		219,250

		Egypt — 0.5%
	300,000	Egypt Government International Bond, 5.750%, 04/29/20 (j)		313,275
	200,000	Egypt Government International Bond MTN, 8.500%, 01/31/47 (j)		225,000

				538,275

		Indonesia — 3.3%
	340,000	Indonesia Government International Bond, 6.625%, 02/17/37 (j)		434,775
	IDR 6,300,000,000	Indonesia Treasury Bond, 8.250%, 05/15/36		518,402
	IDR 30,392,000,000	8.750%, 05/15/31		2,606,417

				3,559,594

		Italy — 0.4%
	EUR 420,000	Italy Buoni Poliennali Del Tesoro, 2.800%, 03/01/67 (a) (j)		425,572


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Jordan — 0.2%
	200,000	Jordan Government International Bond, 6.125%, 01/29/26 (j)		206,500

		Lebanon — 0.5%
		Lebanon Government International Bond MTN,
	150,000	5.150%, 11/12/18 (j)		150,938
	267,000	5.450%, 11/28/19 (j)		268,335
	100,000	6.100%, 10/04/22 (j)		99,125

				518,398

		Mexico — 2.0%
	MXN 38,100,000	Mexican Bonos, 6.500%, 06/09/22		2,105,444

		Morocco — 0.2%
	200,000	Morocco Government International Bond, 5.500%, 12/11/42 (j)		227,000

		New Zealand — 1.9%
	NZD 2,820,000	New Zealand Government Bond, 3.500%, 04/14/33 (j)		2,071,310

		Oman — 0.2%
	200,000	Oman Government International Bond, 6.500%, 03/08/47 (a)		209,400

		Pakistan — 0.2%
	200,000	Pakistan Government International Bond, 7.250%, 04/15/19 (j)		209,072

		Portugal — 1.4%
	EUR 1,270,000	Portugal Obrigacoes do Tesouro OT, 2.875%, 07/21/26 (a) (j)		1,543,239

		Qatar — 0.4%
	410,000	Qatar Government International Bond, 2.375%, 06/02/21 (j)		405,900

		South Africa — 1.0%
	ZAR 12,400,000	Republic of South Africa, 10.500%, 12/21/26		1,068,936

		Spain — 0.5%
	EUR 430,000	Spain Government Bond, 2.900%, 10/31/46 (a) (j)		523,146

		Sri Lanka — 0.4%
		Sri Lanka Government International Bond,
	200,000	6.200%, 05/11/27 (a)		210,000
	200,000	6.825%, 07/18/26 (a)		219,000

				429,000


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Foreign Government Securities — continued
		Turkey — 2.4%
	TRY 7,380,000	Turkey Government Bond, 10.600%, 02/11/26		2,160,941
	350,000	Turkey Government International Bond, 5.750%, 05/11/47		359,187

				2,520,128

		Ukraine — 0.5%
	340,000	Republic of Ukraine, 7.750%, 09/01/19 (j)		354,110
	200,000	Ukraine Government International Bond, 7.750%, 09/01/24 (j)		206,500

				560,610

		Uruguay — 0.1%
	100,000	Uruguay Government International Bond, 4.375%, 10/27/27		108,000

		Zambia — 0.2%
	200,000	Zambia Government International Bond, 8.500%, 04/14/24 (j)		217,000

		Total Foreign Government Securities (Cost $22,430,812)		23,169,137


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 4.6%
		Investment Company — 4.6%
	4,919,798	JPMorgan U.S. Government Money Market Fund, Class Institutional Class Shares, 0.870% (b) (c) (Cost $4,919,798)		4,919,798

		Total Investments — 98.0% (Cost $102,871,466)		105,199,630
		Other Assets in Excess of Liabilities — 2.0%		2,179,594

		NET ASSETS — 100.0%	$	107,379,224


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 16.3%
	99,595	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class A3, 1.270%, 01/08/20		99,557
	300,000	AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A2A, 1.650%, 09/18/20		300,008
	275,000	Benefit Street Partners CLO Ltd., Series 2013-IIA, Class X (USD 3 month LIBOR+1.700%), 3.004%, 07/15/29 (d)		274,907
	350,000	Bowman Park CLO Ltd., Series 2017-1A, Class AR, (USD 3 month LIBOR+1.180%), 2.366%, 11/23/25 (a) (d)		350,151
	95,510	Capital Auto Receivables Asset Trust, Series 2015-4, Class A2, 1.620%, 03/20/19		95,544
	250,000	CARDS II Trust, Series 2017-1A, Class A, (USD 1 month LIBOR+0.370%), 1.596%, 04/18/22 (a) (d)		250,162
	220,000	CarMax Auto Owner Trust, Series 2017-3, Class A2A, 1.640%, 09/15/20		220,112
	200,000	CIFC Funding Ltd., Series 2013-II, Class A1L, (USD 3 month LIBOR+1.150%), 2.454%, 04/21/25 (d)		200,114
	53,000	Drive Auto Receivables Trust, Series 2017-2, Class A3, 1.820%, 06/15/20		53,050
	235,000	Drive Auto Receivables Trust, Series 2017-1, Class A3, 1.860%, 03/16/20		235,097
	250,000	Drive Auto Receivables Trust, Series 2016-CA, Class A3, 1.670%, 11/15/19 (a)		250,052
	390,000	Dryden 31 Senior Loan Fund, Series 2017-31A, Class AR, (USD 3 month LIBOR+1.080%) (Cayman Islands), 2.238%, 04/18/26 (a) (d)		390,241
	250,000	Dryden 37 Senior Loan Fund, Series 2015-37A, Class A, (USD 3 month LIBOR+1.500%) (Cayman Islands), 2.658%, 04/15/27 (a) (d)		250,534
	250,000	First National Master Note Trust, Series 2015-1, Class A, (USD 1 Month LIBOR+0.770%), 2.004%, 09/15/20 (d)		250,051
	181,566	Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/19		181,361
	650,000	GoldenTree Loan Opportunities IX Ltd., Series 2016-9A, Class AR, (USD 3 month LIBOR+1.370%), 2.681%, 10/29/26 (a) (d)		650,227
	247,032	GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, (USD 3 month LIBOR+1.150%), 2.306%, 04/25/25 (a) (d)		247,138


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	250,000	Magnetite XI Ltd., Series 2017-11A, Class A1R, (USD 3 month LIBOR+1.120%), 2.424%, 01/18/27 (a) (d)		250,168
	500,000	Oaktree EIF Ltd., Series 2015-B1A, Class A, (USD 3 month LIBOR+1.550%), 2.732%, 02/15/26 (a) (d)		500,335
	250,000	OCP CLO Ltd., Series 2015-8A, Class A1, (USD 3 month LIBOR+1.530%), 2.834%, 04/17/27 (a) (d)		250,059
	400,000	OCP CLO Ltd., Series 2016-2A, Class A1R, (USD 3 month LIBOR+1.400%), 2.572%, 11/22/25 (a) (d)		403,033
	250,000	Race Point IX CLO Ltd., Series 2017-9A, Class X, (USD 3 month LIBOR+0.650%), 2.009%, 10/15/30 (a) (d) (h)		250,000
	125,000	Santander Drive Auto Receivables Trust, Series 2017-2, Class A2, 1.600%, 03/16/20		124,979
	340,000	Symphony CLO Ltd., Series 2014-14A, Class A2R, (USD 3 month LIBOR+1.280%), 2.584%, 07/14/26 (d)		340,072
	400,000	Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.740%, 09/15/21		400,410
	250,000	Synchrony Credit Card Master Note Trust, Series 2015-2, Class A, 1.600%, 04/15/21		250,131
	250,000	Synchrony Credit Card Master Note Trust, Series 2013-1, Class A, 1.350%, 03/15/21		249,779

		Total Asset-Backed Securities (Cost $7,320,577)		7,317,272

	Certificates of Deposit — 1.4%
	400,000	Canadian Imperial Bank of Commerce, (USD 3 month LIBOR+0.330%), 1.531%, 01/03/19 (d)		399,913
	255,000	Canadian Imperial Bank of Commerce (USD 3 month LIBOR+0.235%), 1.647%, 05/29/19 (d)		249,914

		Total Certificates of Deposit (Cost $649,694)		649,827

	Commercial Mortgage-Backed Securities — 2.7%
	152,000	CGDB Commercial Mortgage Trust, Series 2017-BIO, Class A, (USD 1 Month LIBOR+0.750%), 1.977%, 05/15/19 (d)		151,836
	400,000	CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class A, (USD 1 month LIBOR+0.790%), 2.040%, 07/15/19 (a) (d)		400,759
	234,790	JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class A1, 1.539%, 09/15/19		234,423


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — continued
	206,900	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class A1, 1.294%, 03/15/19		206,437
	227,351	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class A1, 1.390%, 11/15/47		226,572

		Total Commercial Mortgage-Backed Securities (Cost $1,219,399)		1,220,027

	Corporate Bonds — 60.9%
		Consumer Discretionary — 3.2%
		Automobiles — 3.2%
	400,000	Daimler Finance North America LLC, (USD 3 month LIBOR+0.530%), 1.842%, 05/05/20 (a) (d)		401,585
	400,000	Ford Motor Credit Co. LLC, (USD 3 month LIBOR+0.790%), 2.018%, 06/12/20 (d)		399,800
	400,000	General Motors Co., (USD 3 month LIBOR+0.800%), 2.112%, 08/07/20 (d)		400,001
	250,000	Nissan Motor Acceptance Corp. MTN, (USD 3 month LIBOR+0.580%), 1.884%, 01/13/20 (a) (d)		251,340

		Total Consumer Discretionary		1,452,726

		Consumer Staples — 4.7%
		Agriculture — 1.9%
	400,000	BAT Capital Corp., (USD 3 month LIBOR+0.590%) (United Kingdom), 1.905%, 08/14/20 (a) (d)		400,239
	450,000	Japan Tobacco, Inc. (Japan), 2.100%, 07/23/18 (a)		451,953

				852,192

		Food Products — 1.8%
	400,000	Tyson Foods, Inc., (USD 3 month LIBOR+0.550%), 1.760%, 06/02/20 (d)		401,958
	400,000	Wesfarmers Ltd. (Australia), 1.874%, 03/20/18 (a)		400,547

				802,505

		Household Products — 1.0%
	450,000	Reckitt Benckiser Treasury Services plc (United Kingdom), 2.125%, 09/21/18 (a)		452,093

		Total Consumer Staples		2,106,790

		Energy — 4.1%
		Energy Equipment & Services — 0.9%
	400,000	Schlumberger Holdings Corp., 2.350%, 12/21/18 (a)		402,722

		Oil, Gas & Consumable Fuels — 3.2%
	400,000	Canadian Natural Resources Ltd. (Canada), 5.900%, 02/01/18		406,542


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — continued
	400,000	Enterprise Products Operating LLC, 1.650%, 05/07/18		399,828
	400,000	Petro-Canada (Canada), 6.050%, 05/15/18		412,228
	250,000	Phillips 66, (USD 3 month LIBOR+0.750%), 2.054%, 04/15/20 (a) (d)		250,121

				1,468,719

		Total Energy		1,871,441

		Financials — 30.7%
		Banks — 21.8%
	250,000	ABN AMRO Bank NV, (USD 3 month LIBOR+0.640%) (Netherlands), 1.944%, 01/18/19 (a) (d)		251,182
	200,000	Bank of America Corp. MTN, 5.650%, 05/01/18		205,020
	475,000	Bank of Nova Scotia (The), (USD 3 month LIBOR+0.660%) (Canada), 1.902%, 06/14/19 (d)		478,580
	400,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The) (Japan), 1.650%, 02/26/18 (a)		400,129
	250,000	Banque Federative du Credit Mutuel S.A., (USD 3 month LIBOR+0.490%), 1.794%, 07/20/20 (a) (d)		250,435
	171,000	BNP Paribas SA MTN (France), 2.700%, 08/20/18		172,766
	400,000	Citigroup, Inc., (USD 3 month LIBOR+0.790%), 2.094%, 01/10/20 (d)		403,124
		Citizens Bank NA/Providence RI MTN,
	250,000	(USD 3 month LIBOR+0.540%), 1.750%, 03/02/20 (d)		250,166
	250,000	2.300%, 12/03/18		251,260
	425,000	Commonwealth Bank of Australia, (USD 3 month LIBOR+0.450%) (Australia), 1.686%, 03/10/20 (a) (d)		425,962
	550,000	Credit Agricole SA/London MTN (France), 2.625%, 10/03/18 (a)		555,328
	250,000	DBS Group Holdings (Singapore), 1.709%, 06/08/20		250,322
		HSBC USA, Inc.,
	400,000	2.000%, 08/07/18		401,487
	100,000	(USD 3 month LIBOR+0.880%), 2.176%, 09/24/18 (d)		100,786
	250,000	Huntington National Bank (The), 1.700%, 02/26/18		250,187
	250,000	ING Bank NV, (USD 3 month LIBOR+0.610%) (Netherlands), 1.925%, 08/15/19 (a) (d)		251,166


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Banks — continued
	250,000	Lloyds Bank plc (United Kingdom), 1.750%, 05/14/18		250,387
	250,000	Macquarie Bank Ltd. MTN (Australia), 1.870%, 02/28/19 (a)		249,715
	450,000	Macquarie Group Ltd. (Australia), 3.000%, 12/03/18 (a)		455,681
	400,000	Mizuho Bank Ltd. (Japan), 1.850%, 03/21/18 (a)		400,534
	400,000	National Australia Bank Ltd. MTN, (USD 3 month LIBOR+0.510%) (Australia), 1.825%, 05/22/20 (a) (d)		401,324
	200,000	Nordea Bank AB, (USD 3 month LIBOR+0.470%) (Sweden), 1.787%, 05/29/20 (a) (d)		200,757
	250,000	PNC Bank NA MTN, 1.600%, 06/01/18		250,245
	165,000	Royal Bank of Canada MTN, (USD 3 month LIBOR+0.710%) (Canada), 2.014%, 04/15/19 (d)		166,204
	200,000	Skandinaviska Enskilda Banken AB MTN (Sweden), 2.375%, 11/20/18 (j)		201,595
	400,000	1.750%, 03/19/18 (a)		400,333
	400,000	Sumitomo Mitsui Trust Bank Ltd. (Japan), 1.800%, 03/28/18 (a)		400,495
	265,000	SunTrust Banks, Inc., 2.350%, 11/01/18		266,649
	175,000	Toronto-Dominion Bank (The) MTN, (USD 3 month LIBOR+0.840%) (Canada), 2.153%, 01/22/19 (d)		176,590
	250,000	US Bank NA/Cincinnati OH, (USD 3 month LIBOR+0.150%), 1.467%, 05/24/19 (d)		250,087
	395,000	Wachovia Corp. MTN, 5.750%, 02/01/18		401,674
	450,000	Westpac Banking Corp. MTN, (USD 3 month LIBOR+0.360%) (Australia), 1.676%, 09/01/20 (a) (d)		449,738

				9,819,908

		Capital Markets — 3.5%
	400,000	Credit Suisse AG/New York NY (Switzerland), 1.700%, 04/27/18		400,220
	400,000	Goldman Sachs Group, Inc. (The), (USD 3 month LIBOR+0.800%), 2.036%, 12/13/19 (d)		402,796
	400,000	Morgan Stanley, (USD 3 month LIBOR+0.800%), 2.109%, 02/14/20 (d)		401,916
	400,000	UBS AG, (USD 3 month LIBOR+0.580%) (Switzerland), 1.790%, 06/08/20 (a) (d)		401,426

				1,606,358

		Consumer Finance — 0.9%
	400,000	Capital One Financial Corp., (USD 3 month LIBOR+0.760%), 2.069%, 05/12/20 (d)		401,547


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Financial Services — 1.0%
	400,000	National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18		439,389

		Insurance — 3.5%
	400,000	AIG Global Funding, (USD 3 month LIBOR+0.480%), 1.777%, 07/02/20 (a) (d)		400,636
	420,000	Athene Global Funding, (USD 3 month LIBOR+1.140%), 2.447%, 04/20/20 (a) (d)		425,013
	250,000	Jackson National Life Global Funding, 4.700%, 06/01/18 (a)		255,461
	250,000	Metropolitan Life Global Funding I, (USD 3 month LIBOR+0.400%), 1.636%, 06/12/20 (a) (d)		251,343
	250,000	Protective Life Global Funding, 1.722%, 04/15/19 (a)		249,280

				1,581,733

		Total Financials		13,848,935

		Health Care — 6.2%
		Biotechnology — 2.6%
	400,000	AbbVie, Inc., 1.800%, 05/14/18		400,409
	383,000	Baxalta, Inc., 2.000%, 06/22/18		383,712
	400,000	Celgene Corp., 2.125%, 08/15/18		401,771

				1,185,892

		Health Care Providers & Services — 0.9%
	400,000	Cardinal Health, Inc., 1.950%, 06/15/18		401,068

		Pharmaceuticals — 2.7%
	400,000	Allergan Funding SCS (Luxembourg), 2.350%, 03/12/18		401,300
	400,000	Mylan, Inc., 2.600%, 06/24/18		402,301
	400,000	Teva Pharmaceuticals (Netherlands), 1.400%, 07/20/18		397,760

				1,201,361

		Total Health Care		2,788,321

		Industrials — 0.7%
		Trading Companies & Distributors — 0.7%
	302,000	Air Lease Corp., 2.625%, 09/04/18		304,489

		Total Industrials		304,489


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — continued
		Information Technology — 2.9%
		IT Services — 2.0%
	450,000	DXC Technology Co., (USD 3 month LIBOR+0.950%), 2.158%, 03/01/21 (d)		450,228
	450,000	Western Union Co. (The), (USD 3 month LIBOR+0.800%), 2.115%, 05/22/19 (d)		450,335

				900,563

		Technology Hardware, Storage & Peripherals — 0.9%
	400,000	Apple, Inc., (USD 3 month LIBOR+0.200%), 1.512%, 02/07/20 (d)		401,084

		Total Information Technology		1,301,647

		Real Estate — 2.8%
		Equity Real Estate Investment Trusts (REITs) — 2.8%
	250,000	Realty Income Corp., 2.000%, 01/31/18		250,323
	186,000	Ventas Realty LP, 4.000%, 04/30/19		191,389
	400,000	VEREIT Operating Partnership LP, 3.000%, 02/06/19		404,888
	400,000	Welltower, Inc., 2.250%, 03/15/18		400,682

		Total Real Estate		1,247,282

		Telecommunication Services — 2.7%
		Diversified Telecommunication Services — 2.7%
	400,000	British Telecommunications plc (United Kingdom), 5.950%, 01/15/18		406,283
	400,000	Deutsche Telekom International Finance BV, (USD 3 month LIBOR+0.580%) (Netherlands), 1.884%, 01/17/20 (a) (d)		401,293
	400,000	Telefonica Emisiones SAU (Spain), 3.192%, 04/27/18		403,583

		Total Telecommunication Services		1,211,159

		Utilities — 2.9%
		Electric Utilities — 0.9%
	400,000	Southern Power Co., 1.500%, 06/01/18		399,478

		Multi-Utilities — 2.0%
	250,000	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		251,613
	400,000	Dominion Energy, Inc., (USD 3 month LIBOR+0.550%), 1.754%, 06/01/19 (a) (d)		401,578
	221,000	Sempra Energy, 9.800%, 02/15/19		245,810

				899,001

		Total Utilities		1,298,479

		Total Corporate Bonds (Cost $27,417,626)		27,431,269


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Foreign Government Securities — 1.3%
	200,000	Japan Bank for International Cooperation/Japan, 1.682%, 06/01/20		199,893
	400,000	Japan Finance Organization for Municipalities, 2.125%, 03/06/19 (a)		399,879

		Total Foreign Government Securities (Cost $599,899)		599,772

	Short-Term Investments — 18.5%
		Certificates of Deposit — 11.0%
		Agricultural Bank of China Limit,
	400,000	1.750%, 10/20/17		400,000
	275,000	1.750%, 09/11/17		275,000
	250,000	Barclays Bank plc, 1.920%, 05/22/18		250,000
	400,000	BNP Paribas S.A., 1.600%, 07/06/18		400,000
		China Construction Bank Corp.,
	400,000	1.750%, 10/02/17		400,000
	250,000	1.750%, 10/20/17		250,000
	275,000	1.750%, 09/05/17		275,000
	250,000	Credit Industrial Commercial, 1.560%, 06/29/18		250,000
		Deutsche Bank AG,
	250,000	2.000%, 07/10/18		250,000
	250,000	2.000%, 08/03/18		250,000
	250,000	DZ Bank AG Deutsche Zentral-Genossenschaftsbank, (USD 3 month LIBOR+0.235%), 1.686%, 08/16/18 (d)		250,224
	275,000	Industrial & Commercial Bank of China, 1.750%, 09/08/17		275,000
		Norinchukin Bank,
	250,000	1.660%, 07/26/18		250,000
	250,000	1.630%, 01/31/18		250,127
	250,000	Standard Chartered Bank plc, 1.620%, 06/01/18		250,000
	400,000	Sumitomo Mitsui Banking Corp., (USD 3 month LIBOR+0.370%), 1.680%, 07/11/19 (d)		399,854
	250,000	The Chiba Bank Ltd., 1.450%, 12/01/17		250,000

		Total Certificates of Deposit (Cost $4,925,126)		4,925,205

		Commercial Paper (k) — 4.9%
	250,000	Assa Abloy Financial Services, 1.486%, 09/28/17		249,718
	250,000	BP Capital Markets plc, 1.349%, 11/13/17		249,329
	250,000	Electricite de France SA, 1.668%, 01/05/18		248,543
	250,000	Engie SA, 1.458%, 10/04/17 (a)		249,716
	250,000	Federation des Caisses, 1.626%, 08/17/18		246,090
	400,000	First Abu Dhabi Bank, 1.782%, 07/20/18		394,753
	325,000	Societe Generale SA, 1.357%, 09/26/17		324,711


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investments — continued
		Commercial Paper — continued
	250,000	XCEL Energy, Inc., 1.612%, 10/30/17		249,371

		Total Commercial Paper (Cost $2,211,156)		2,212,231


SHARES
		Investment Company — 1.3%
	596,776	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.870% (b) (c) (Cost $596,776)		596,776


PRINCIPAL AMOUNT($)
		Repurchase Agreements — 1.3%
	300,000	Merrill Lynch 1.860% dated 05/18/17, due 11/14/17, repurchase price $300,001, collateralized by Collateralized Mortgage Obligation, 6.234%, due 12/25/25, with a value of $324,001.		300,000
	300,000	Wells Fargo, 1.940%, dated 05/18/17, due 11/14/17, repurchase price $302,910, collateralized by Asset-Backed Security, 5.647%, due 05/06/39, with a value of $333,201.		300,000

		Total Repurchase Agreements (Cost $600,000)		600,000

		Total Investments — 101.1% (Cost $45,540,253)		45,552,379
		Liabilities in Excess of Other Assets — (1.1)%		(511,992	)

		NET ASSETS — 100.0%	$	45,040,387

Percentages indicated are based on net assets.

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:


AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CLO		— Collateralized Loan Obligation
CZK		— Czech Koruna
EUR		— Euro
GBP		— British Pound Sterling
IDR		— Indonesia Rupiah
IO		— Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.


LIBOR		— London interbank offered rate
MTN		— Medium Term Note
MXN		— Mexican Peso
NZD		— New Zealand Dollar
PIK		— Pay in Kind
PO		— Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REIT		— Real Estate Investment Trust
REMIC		— Real Estate Mortgage Investment Conduit
STRIPS		— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
SUB		— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2017.
TRY		— Turkish Lira
UK		— United Kingdom
USD		— U.S. Dollar
ZAR		— South African Rand
(a)		Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualify institutional buyers.
(b)		Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)		The rate shown is the current yield as of August 31, 2017.
(d)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of August 31, 2017.
(e)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2017.
(f)		Securities are perpetual and, thus, do not have a predetermined maturity date. The coupon rate for these securities is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2017.
(g)		Amount rounds to less than 0.05%.
(h)		Value determined using significant unobservable inputs.
(i)		Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
(j)		Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.
(k)		The rate shown is the effective yield as of August 31, 2017.

J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-ended management investment company.

The following are 3 separate funds of the Trust (collectively, the “Funds”) covered in this report:

JPMorgan Disciplined High Yield ETF (the “Disciplined High Yield ETF”) commenced operations on September 14, 2016. The investment objective of the Fund is to seek to provide a high level of income with capital appreciation as a secondary objective.

JPMorgan Global Bond Opportunities ETF (the “Global Bond Opportunities ETF) commenced operations on April 5, 2017. The investment objective of the Fund is to provide total returns.

JPMorgan Ultra-Short Income ETF (the “Ultra-Short Income” ETF) commenced operations on May 17, 2017. The investment objective of the Fund is to seek to provide current income while seeking to maintain a low volatility of principal.

J.P. Morgan Investment Management Inc. (“JPMIM” or the “Adviser”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as the Adviser and Administrator (the “Administrator”) to the Funds.

Shares of each Fund are listed and traded on the Bats BZX Exchange, Inc. Market prices for the Funds’ shares may be different from their net asset value (“NAV”). The Funds issue and redeem their shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor”), at NAV in large blocks of shares, typically 100,000 shares for all funds, except for the Ultra-Short Income ETF which trades in blocks of 50,000 shares, referred to as “Creation Units.” The Funds may elect creations and redemptions in cash or partially in cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of the U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

Fixed income instruments are valued based on prices received from approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Investments in mutual funds (the “Underlying Funds”) are valued at each Underlying Funds’ 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 Funds’ investments are summarized into the three broad levels listed below.

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:

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 August 31, 2017.

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair values (amounts in thousands):

The change in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2017, which were valued using significant unobservable inputs (level 3) was $17,790 for the Global Bond Opportunities ETF.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.

As of August 31, 2017, none of the Funds had investments in restricted securities other than securities sold to the Fund under Rule 144A and Regulation S under the Securities Act.

C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM, an indirect, wholly-owned subsidiary of JPMorgan. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan.

The Funds’ repurchase agreements are not subject to master netting arrangements.

D. Derivatives — The Global Bond Opportunities ETF is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The 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 the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and the Fund 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 Fund. The ISDA agreements give the Fund 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 Global Bond Opportunities 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). The Fund may be required to post or receive collateral for non-deliverable foreign currency contracts.

(2). Futures Contracts — The Global Bond Opportunities ETF used interest rate futures to obtain long and short exposure to the underlying interest rate markets. The purchase of futures contracts will tend to increase a Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sale 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 the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the Schedule of Portfolio Investments and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject 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 subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, 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).

The following table presents the value of derivatives held as of August 31, 2017, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:

The following tables present the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of August 31, 2017:

The following tables present the effect of derivatives on the Statements of Operations for the period ended August 31, 2017, by primary underlying risk exposure:

The table discloses the volume of the Fund’s futures contracts and forward foreign currency exchange contracts activity during the period ended August 31, 2017. Please refer to the table in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

The Fund’s derivatives contracts held at August 31, 2017 are not accounted for as hedging instruments under GAAP.

E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in the foreign exchange rates from changes in the market prices of securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and withholding taxes recorded on the Funds’ books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

F. Investment Transactions with Affiliates — The Funds invest in Underlying Funds advised by the Adviser or its affiliates.

An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the following to be affiliated issuers. Included in the Realized Gain (Loss) amounts in the table below are distributions of realized capital gains, if any, received from the Underlying Funds and other ETFs advised by the Adviser or its affiliates:

G. Offering and Organizational Costs – Total offering costs incurred in connection with the offering of shares of the Funds are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Trust, if any, were recorded as an expense at the time it commenced operations. Approximate total offering costs incurred by the Funds were as follows:

H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a fund first learns of the dividend.

I. Allocation of Expenses — Expenses directly attributable to the Funds are charged directly to the Funds, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.

J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2017, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.

K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly. Net realized capital gains, if any, are distributed by the Funds at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser supervises the investments of each Fund and is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.D.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an effective annual rate of 0.085% of the average daily net assets of each Fund in the Trust covered by the Administration Agreement.

C. Custodian and Transfer Agent Fees — JPMCB provides portfolio custody and transfer agency services to the Funds. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian and Transfer Agent fees on the Statements of Operations. With respect to the transfer agency services provided by JPMCB for each creation or redemption transaction, the Authorized Participant will generally be responsible for such associated expenses; during the period, the Funds paid no transfer agency fees to JPMCB.

Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Fund for these transactions.

For the period ended August 31, 2017, the amount of transaction fees paid by the Authorized Participants that were used to reimburse custodian fees were as follows:

Such amounts are included in expense reimbursements from non-affiliates in the Statements of Operations.

Restricted cash on the Statements of Assets and Liabilities is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.

Interest income earned on cash balances at the custodian, if any, is included as interest income from affiliates in the Statements of Operations.

Interest expense paid to the custodian related to overdrafts, if any, is included in interest expense to affiliates in the Statements of Operations.

D. Waivers and Reimbursements — The Adviser has contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales (if applicable), interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the percentage of the Funds’ average daily net assets as shown in the below table:

The expense limitation agreements were in effect for the period ended August 31, 2017. The contractual expense limitation percentage is in place until at least February 28, 2021 for the Global Bond Opportunities ETF and until at least June 30, 2021 for the Disciplined High Yield ETF and the Ultra-Short Income ETF.

For the period ended August 31, 2017, the Funds’ service providers waived fees and/or reimbursed expenses for each Fund as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser has agreed to waive the net expense ratio of the underlying money market funds.

The amounts of the waivers resulting from investments in these money market funds as of August 31, 2017 were as follows:

E. Related Party Transactions — The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. The Distributor has no role in determining the investment policies of the Fund or the securities that are purchased or sold by the Fund. The Distributor receives no fee for its distribution services under the Distribution Agreement. Although the Distributor does not receive any fees under the Distribution Agreement with the Trust, JPMIM pays the Distributor for certain distribution related services.

F. Other — Certain officers of the Trust are affiliated with the Adviser. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. The Funds, along with other affiliated funds, make reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Funds may use related party broker-dealers. For the period ended August 31, 2017, the Funds incurred no brokerage commissions with broker-dealers affiliated with the Adviser or Trust.

During the period ended August 31, 2017, purchases and sales of investments (excluding short-term investments) were as follows:

For the period ended August 31, 2017, there were no in-kind transactions associated with creations and redemptions.

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2017 were as follows:

There is no difference between book and tax basis appreciation (depreciation) on investments.

The tax character of distributions paid during the period ended February 28, 2017 was as follows:

As of February 28, 2017, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

Net capital losses and other late year losses after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 28, 2017, the Fund deferred to March 1, 2017 net capital losses and other late year loss of:

The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.

Shares of the Funds may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a “DTC Participant”; which, in either case, must have executed an agreement with the Distributor.

Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.

Authorized Participants transacting in Creation Units for cash may also pay a variable charge to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in “Proceeds from shares purchased” or “Proceeds from shares issued” in the Statements of Changes in Net Assets.

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure, if any, would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of August 31, 2017, the Adviser owned more than 10% of the outstanding shares of the following Funds:

Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.

The Disciplined High Yield ETF invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Fund is intended for investors who are able and willing to assume a high degree of risk.

The Disciplined High Yield ETF may invest up to 100% of the its total assets in below investment grade securities or unrated securities that JPMIM deems to be of equivalent quality. Such securities may include so called “distressed debt”.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of August 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.

JPMCB became the sub-administrator (the “Sub-administrator”) to the Funds. For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

JPMorgan Distribution Services, Inc., a wholly-owned subsidiary of JPMorgan, replaced SEI Investment Distribution Co. as distributor to the Funds.

The table below indicates the number of trading days in which the Funds traded within the range of the premium/discount noted. The number of days in each range is also shown as a percentage of the total trading days for the period covered in the table. All information within the table is based on historical performance. Past performance cannot be used to predict future results. Shareholders may pay more than NAV when they buy fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market prices.

As a shareholder of the Funds, you incur ongoing costs, investment advisory fees, administration fees and other Fund expenses, in addition to brokerage commissions on your purchases and sales of Fund shares. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, March 1, 2017 and continued to hold your shares at the end of the reporting period, August 31, 2017.

Actual Expenses

For the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading

entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of a Fund.

On June 7-8, 2016, the Board of the Trust, a statutory Trust organized under the laws of the State of Delaware, held an in-person meeting and approved the initial Investment Advisory Agreements, each an “Advisory Agreement” and collectively, the “Advisory Agreements,” for the JPMorgan Global Bond Opportunities ETF and JPMorgan Ultra-Short Income ETF (each a “Fund” and together, the “Funds”). The approvals included the approval of a majority of Trustees who are not interested persons of the Trust or the Adviser. Such Trustees are considered Independent Trustees as defined by the Investment Company Act of 1940. In connection with the approval of each Advisory Agreement, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser and with counsel to the Trust and independent legal counsel to the Trustees and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds and the approval of the Advisory Agreements. Each Trustee attributed his or her own evaluation of significance to the various factors, and no factor alone was considered determinative. The Trustees determined that the proposed compensation to be received by the Adviser from the Funds under the Advisory Agreements was fair and reasonable and that initial approval of the Advisory Agreements was in the best interests of the Funds and their potential shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

In connection with the approval of the initial Advisory Agreements, the Trustees considered the materials furnished specifically in connection with the approval of the Advisory Agreements, as well as other relevant information furnished for the Trustees. The Trustees considered the background and experience of the Adviser’s senior management and investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund. The Trustees also considered the investment strategy for the Funds, and the infrastructure supporting the portfolio management teams. In addition, the Trustees considered information about the structure and distribution strategy of the Funds, how they fit within the Trust’s fund offerings, and how they will be positioned against other funds.

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Trust and in the financial industry generally. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to requests for additional information, questions or concerns raised by them.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Funds by the Adviser.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Trust.

The Trustees also considered the fees that J.P. Morgan Investment Management Inc., in its role as Administrator, will earn from the Fund for providing administrative services. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A., an affiliate of the Adviser, for custody, transfer agency and other related services. Additionally, the Trustees considered that any fall-out or ancillary benefits would be comparable to those related to the other funds in the complex.

Economies of Scale

The Trustees considered the extent to which the Fund will benefit from economies of scale. The Trustees noted that neither the proposed investment advisory fee schedule nor the proposed administration agreement for the Funds contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure for each Fund was reasonable in light of the fee caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Funds would benefit from the economies of scale present in the broader J.P. Morgan fund complex, as the Funds were able to negotiate a similar administration fee to that currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Funds’ administration fee is lower than what the Funds would have to pay if they were not a part of the J.P. Morgan fund complex.

Investment Performance

The Trustees considered each Fund’s investment strategy and processes, the portfolio management team and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.

J.P. Morgan Exchange-Traded Funds are distributed by SEI Investments Distribution Co. (One Freedom Valley Dr., Oaks, PA 19456), which is not affiliated with JPMorgan Chase & Co. or any of its affiliates.

Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-844-457-6383 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

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-CSR 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-CSR 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) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

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.

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.


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


REPORTING PERIOD RETURN:
Net Asset Value*		3.19%
Market Price**		3.49%
BofA Merrill Lynch U.S. High Yield Index		3.08%
Bloomberg Barclays US Aggregate Bond Index		2.74%

Net Assets as of 8/31/2017	$	35,897,042
Duration as of 8/31/2017		4.04 years


	INCEPTION DATE		SIX MONTHS			CUMULATIVE SINCE INCEPTION
JPMorgan Disciplined High Yield ETF
Net Asset Value		September 14, 2016		3.19	%		7.57	%
Market Price				3.49	%		8.29	%


REPORTING PERIOD RETURN:
Net Asset Value*		2.46%
Market Price**		2.90%
Bloomberg Barclays Multiverse Index		5.25%

Net Assets as of 8/31/2017	$	107,379,224
Duration as of 8/31/2017		2.88 years


REPORTING PERIOD RETURN:
Net Asset Value*		0.50%
Market Price**		0.60%
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index		0.28%

Net Assets as of 8/31/2017	$	45,040,387
Duration as of 8/31/2017		0.48 years



President’s Letter			1

Fund Commentaries:

JPMorgan Disciplined High Yield ETF			2

JPMorgan Global Bond Opportunities ETF			4

JPMorgan Ultra-Short Income ETF			6

Schedule of Portfolio Investments			8

Financial Statements			37

Financial Highlights			40

Notes to Financial Statements			42

Supplemental Information			54

Schedule of Shareholder Expenses			55

Board Approval of Initial Investment Advisory Agreement			56


Futures Contracts
NUMBER OF CONTRACTS			DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL AMOUNT AT AUGUST 31, 2017			MARKET VALUE AND NET UNREALIZED APPRECIATION (DEPRECIATION)
			Long Futures Outstanding
	10		Euro Buxl 30-Year Bond		12/11/17		EUR		1,981,573			(80,025	)

			Total Long Futures Outstanding									(80,025	)

			Short Futures Outstanding
	(53	)	Euro Bund		12/07/17		EUR		(10,214,017	)		(2,688	)
	(4	)	Euro Bobl		12/11/17		EUR		(625,382	)		(1,079	)
	(19	)	Euro-OAT 10-Year Bond		12/11/17		EUR		(3,522,463	)		(51,797	)
	(9	)	U.S. Ultra Long Treasury Bond		12/19/17		USD		(1,510,242	)		(20,418	)
	(3	)	U.S. Ultra Long Treasury Bond		12/22/17		USD		(465,594	)		(78	)
	(1	)	Long Gilt 10-Year Bond		12/27/17		EUR		(164,533	)		(10,570	)
	(78	)	U.S. 10-Year Treasury Note		12/29/17		USD		(9,854,203	)		(3,109	)
	(3	)	U.S. Ultra Long Treasury Bond		12/29/17		USD		(406,531	)		(11,226	)
	(33	)	U.S. 5-Year Treasury Note		12/31/17		USD		(3,899,930	)		4,332
	(203	)	90-Day Euro		12/17/18		EUR		(49,847,825	)		(11,040	)

			Total Short Futures Outstanding									(107,673	)

												(187,698	)


Forward Foreign Currency Exchange Contracts
CURRENCY PURCHASED		CURRENCY	COUNTERPARTY	SETTLEMENT DATE		CURRENCY SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
	46,576,211	CZK	HSBC		09/14/2017		2,124,642		1,817
	60,514	EUR	Royal Bank of Canada		09/14/2017		71,337		757
	180,898	EUR	National Australia Capital Markets		09/14/2017		213,745		1,768
	1,996,311	MXN	Goldman Sachs		09/14/2017		111,641		(238	)
	570,988	NZD	TD Securities		09/14/2017		417,963		(8,100	)
	3,113,127	TRY	Citigroup		09/14/2017		871,419		26,390
	3,604,845	TRY	Deutsche Bank		09/14/2017		1,010,393		29,225
							4,821,140		51,619


	JPMorgan Disciplined High Yield ETF			JPMorgan Global Bond Opportunities ETF			JPMorgan Ultra-Short Income ETF
ASSETS:
Investments in non-affiliates, at value	$	35,094,958		$	100,279,832		$	44,955,603
Investment in affiliates, at value		227,857			4,919,798			596,776
Cash		11,732			—			9,908
Restricted Cash		—			2,200			100
Deposit at Broker for Futures Contracts		—			480,000			—
Foreign currency, at value		—			186,638			—
Receivables:
Investment securities sold		—			593,402			—
Fund shares sold		5,144,087			—			—
Interest from non-affiliates		477,077			1,326,778			180,738
Due from Adviser		19,044			—			12,152
Tax reclaims		85			7,239			—
Variation margin on futures contracts		—			2,216			—
Prepaid Expenses		3,748			2,989			—
Deferred offering costs		2,500			53,106			16,789
Unrealized appreciation on forward foreign currency exchange contracts		—			200,737			—
Other assets		—			—			11,784

Total Assets		40,981,088			108,054,935			45,783,850


LIABILITIES:
Payables:
Investments securities purchased		5,014,360			150,935			700,000
Variation margin on futures contracts		—			42,362			—
Unrealized depreciation on forward foreign currency exchange contracts		—			379,601			—
Due to custodian		—			7,278			—
Accrued Liabilities:
Professional fees		54,198			39,324			17,616
Accounting fees		6,804			1,350			12,529
Administration fees		2,217			7,732			3,194
Trustees’ and Chief Compliance Officer’s fees		1,291			2,808			1,597
Custodian and Transfer Agent fees		911			22,600			2,651
Advisory fees		—			10,281			—
Other		4,265			11,440			5,876

Total Liabilities		5,084,046			675,711			743,463

Net Assets	$	35,897,042		$	107,379,224		$	45,040,387


NET ASSETS:
Paid-in Capital	$	35,367,625		$	106,301,896		$	45,021,907
Accumulated undistributed (distributions in excess of) net investment income		182			1,129,961			2,005
Accumulated net realized gains (losses)		(13,430	)		(2,055,683	)		4,349
Net unrealized appreciation (depreciation)		542,665			2,003,050			12,126

Total Net Assets	$	35,897,042		$	107,379,224		$	45,040,387


Outstanding number of shares (unlimited number of shares authorized — $0.0001 par value)		700,000			2,100,000			900,000

Net asset value, per share	$	51.28		$	51.13		$	50.04


Cost of investments in non-affiliates	$	34,552,293		$	97,951,668		$	44,943,477
Cost of investments in affiliates		227,857			4,919,798			596,776
Cost of foreign currency		—			174,165			—


	JPMorgan Disciplined High Yield ETF			JPMorgan Global Bond Opportunities ETF (a)			JPMorgan Ultra-Short Income ETF (b)
INVESTMENT INCOME:
Interest income from non-affiliates	$	812,895		$	1,357,606		$	170,854
Dividend income from affiliates		1,466			33,746			8,380
Foreign taxes withheld		(383	)		(14,445	)		(413	)

Total Investment Income		813,978			1,376,907			178,821


EXPENSES:
Investment advisory fees (Note 3.A)		46,285			164,459			16,020
Administration fees (Note 3.B)		13,114			25,416			9,078
Trustees’ and Chief Compliance Officer’s fees		3,402			4,275			1,597
Professional fees		55,348			48,959			17,950
Printing and mailing costs		4,432			2,241			918
Custodian and Transfer Agent fees		1,105			29,424			2,997
Registration and filing fees		11,554			9,315			6,085
Insurance expense		1,438			1,082			247
Offering costs		25,547			21,990			6,149
Accounting fees		27,888			14,358			14,909
Other		1,292			2,241			918

Total expenses		191,405			323,760			76,868

Less fees waived (Note 3.D)		(59,399	)		(158,629	)		(25,098	)
Less expense reimbursements from affiliates (Note 3.D)		(70,555	)		—			(34,438	)
Less expense reimbursements from non-affiliates (Note 3.C)		(200	)		(4,400	)		(200	)

Net expenses		61,251			160,731			17,132

Net investment income (loss)		752,727			1,216,176			161,689


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		29,437			26,794			4,349
Futures		—			(330,817	)		—
Foreign currency translations		—			9,158			—
Forward foreign currency exchange contracts		—			(1,760,818	)		—

Net realized gain (loss)		29,437			(2,055,683	)		4,349

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		153,665			2,328,164			12,126
Futures		—			(187,698	)		—
Foreign currency translations		—			41,448			—
Forward foreign currency exchange contracts		—			(178,864	)		—

Change in net unrealized appreciation/depreciation		153,665			2,003,050			12,126

Net realized/unrealized gains (losses)		183,102			(52,633	)		16,475

Change in net assets resulting from operations	$	935,829		$	1,163,543		$	178,164


	JPMorgan Disciplined High Yield ETF						JPMorgan Global Bond Opportunities ETF			JPMorgan Ultra- Short Income ETF
	Period Ended August 31, 2017 (Unaudited)			Period Ended February 28, 2017 (a)			Period Ended August 31, 2017 (b) (Unaudited)			Period Ended August 31, 2017 (c) (Unaudited)
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	752,727		$	572,834		$	1,216,176		$	161,689
Net realized gain (loss)		29,437			(41,809	)		(2,055,683	)		4,349
Change in net unrealized appreciation/depreciation		153,665			389,000			2,003,050			12,126

Change in net assets resulting from operations		935,829			920,025			1,163,543			178,164


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(756,942	)		(567,995	)		(86,215	)		(159,684	)
From net realized gains		—			(1,500	)		—			—

Total distributions to shareholders		(756,942	)		(569,495	)		(86,215	)		(159,684	)


CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		5,144,087			30,223,538			106,301,896			45,021,907


NET ASSETS:
Change in net assets		5,322,974			30,574,068			107,379,224			45,040,387
Beginning of period		30,574,068			—			—			—

End of period	$	35,897,042		$	30,574,068		$	107,379,224		$	45,040,387

Accumulated undistributed (distributions in excess of) net investment income	$	182		$	4,397		$	1,129,961		$	2,005


CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued	$	5,144,087		$	30,223,538		$	106,301,896		$	45,021,907

Total change in net assets resulting from capital transactions	$	5,144,087		$	30,223,538		$	106,301,896		$	45,021,907


SHARE TRANSACTIONS:
Issued		100,000			600,000			2,100,000			900,000

Net increase in shares from share transactions		100,000			600,000			2,100,000			900,000


	Per share operating performance
			Investment Operations						Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)		Net realized and unrealized gains (losses) on investments		Total from investment operations		Net investment income			Net realized gain (loss)			Total distributions			Net asset value, end of period

JPMorgan Disciplined High Yield ETF
Six Months Ended August 31, 2017 (Unaudited)	$	50.96	$	1.25	$	0.33	$	1.58	$	(1.26	)	$	—		$	(1.26	)	$	51.28
September 14, 2016 (a) through February 28, 2017		50.00		1.14		0.96		2.10		(1.14	)		—	(h)		(1.14	)		50.96

JPMorgan Global Bond Opportunities ETF
April 5, 2017 (a) through August 31, 2017 (Unaudited)		50.00		0.84		0.39		1.23		(0.10	)		—			(0.10	)		51.13

JPMorgan Ultra-Short Income ETF
May 17, 2017 (a) through August 31, 2017 (Unaudited)		50.00		0.22		0.03		0.25		(0.21	)		—			(0.21	)		50.04


Ratios/Supplemental data
										Ratios to average net assets (f)
Market price, end of period		Total return (c)(d)			Market price total return (c)(e)			Net assets, end of period		Net expenses			Net investment income (loss)			Expenses without waivers and reimbursements			Portfolio turnover rate (c)


$	51.66		3.19	%		3.49	%	$	35,897,042		0.40	%		4.88	%		1.33	%		15	%
	51.16		4.24			4.64			30,574,068		0.39	(g)		4.99			1.74	(g)		8


	51.35		2.46			2.90			107,379,224		0.54	(g)		4.07			2.12	(g)		22


	50.09		0.50			0.60			45,040,387		0.16	(g)		1.51			0.75	(g)		2


		Diversified/Non-Diversified
JPMorgan Disciplined High Yield ETF		Diversified
JPMorgan Global Bond Opportunities ETF		Diversified
JPMorgan Ultra-Short Income ETF		Diversified


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Corporate Bonds
Consumer Discretionary	$	—	$	9,285,049	$	—	$	9,285,049
Consumer Staples		—		1,194,293		—		1,194,293
Energy		—		4,920,373		—		4,920,373
Financials		—		2,508,548		—		2,508,548
Health Care		—		2,417,016		—		2,417,016
Industrials		—		3,593,461		—		3,593,461
Information Technology		—		2,640,455		—		2,640,455
Materials		—		3,190,800		—		3,190,800
Real Estate		—		818,328		—		818,328
Telecommunication Services		—		3,408,256		—		3,408,256
Utilities		—		1,118,379		—		1,118,379

Total Corporate Bonds		—		35,094,958		—		35,094,958

Short-Term Investment
Investment Company		227,857		—		—		227,857

Total Investments in Securities	$	227,857	$	35,094,958	$	—	$	35,322,815



AUGUST 31, 2017	JPMORGAN EXCHANGE-TRADED FUNDS	1



2	JPMORGAN EXCHANGE-TRADED FUNDS	AUGUST 31, 2017



AUGUST 31, 2017	JPMORGAN EXCHANGE-TRADED FUNDS	3



4	JPMORGAN EXCHANGE-TRADED FUNDS	AUGUST 31, 2017


Global Bond Opportunities ETF	Balance as of April 5, 2017		Realized gain (loss)		Change in net unrealized appreciation (depreciation)		Net accretion (amortization)		Purchases¹		Sales²		Transfers into Level 3		Transfers out of Level 3		Balance as of August 31, 2017
Asset-Backed Securities — United States	$	—	$	—	$	—	$	—	$	—	$	—	$	147,446	$	—	$	147,446
Commercial Mortgage Backed Securities — United States		—		—		—		—		—		—		1,414,586		—		1,414,586

Total	$	—	$	—	$	—	$	—	$	—	$	—	$	1,562,032	$	—	$	1,562,032


Global Bond Opportunities ETF
Derivatives Contracts	Statements of Assets and Liabilities
Gross Assets:		Futures Contracts (a)		Forward Foreign Currency Exchange Contracts		Total
Interest rate contracts	Receivables, Net Assets — Unrealized Appreciation	$	4,332	$	—	$	4,332
Foreign exchange contracts	Receivables		—		200,737		200,737

Total		$	4,332	$	200,737	$	205,069


Gross Liabilities:
Interest rate contracts	Payables, Net Assets — Unrealized Depreciation		192,030		—		192,030
Foreign exchange contracts	Payables		—		379,601		379,601

Total		$	192,030	$	379,601	$	571,631


Global Bond Opportunities ETF
Counterparty	Gross Amount of Derivative Assets are Subject to Netting Arrangements Presented on the Statements of Assets and Liabilities (a)		Derivatives Available for offset			Collateral Received		Net Amount Due From Counterparty (Not less than zero)
ANZ	$	130,872	$	(9,734	)	$	—	$	121,138
Citigroup		32,089		—			—		32,089
Deutsche Bank		29,225		(2,979	)		—		26,246
Goldman Sachs		4,209		(4,209	)		—		—
HSBC		1,817		—			—		1,817
National Australia Capital Markets		1,768		(718	)		—		1,050
Royal Bank of Canada		757		(165	)		—		592

	$	200,737	$	(17,805	)	$	—	$	182,932

Counterparty	Gross Amount of Derivative Liabilities are Subject to Netting Arrangements Presented on the Statements of Assets and Liabilities (a)		Derivatives Available for offset			Collateral Posted		Net Amount Due to Counterparty (Not less than zero)
ANZ	$	9,734	$	(9,734	)	$	—	$	—
Deutsche Bank		2,979		(2,979	)		—		—
Goldman Sachs		27,295		(4,209	)		—		23,086
Merrill Lynch		2,832		—			—		2,832
National Australia Capital Markets		718		(718	)		—		—
Royal Bank of Canada		165		(165	)		—		—
TD Securities		335,878		—			—		335,878

	$	379,601	$	(17,805	)	$	—	$	361,796


Global Bond Opportunities ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations
Derivatives Contracts:	Futures Contracts			Forward Foreign Currency Exchange Contracts			Total
Interest rate contracts	$	(334,118	)	$	—		$	(334,118	)
Foreign exchange contracts		3,301			(1,760,818	)		(1,757,517	)

Total	$	(330,817	)	$	(1,760,818	)	$	(2,091,635	)


Global Bond Opportunities ETF
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations
Derivatives Contracts:	Futures Contracts			Forward Foreign Currency Exchange Contracts			Total
Interest rate contracts	$	(187,698	)	$	—		$	(187,698	)
Foreign exchange contracts		—			(178,864	)		(178,864	)

Total	$	(187,698	)	$	(178,864	)	$	(366,562	)


Futures Contracts: (a)
Interest
Average Notional Balance Long	$	1,718,528
Average Notional Balance Short		56,945,351
Ending Notional Balance Long		1,981,573
Ending Notional Balance Short		(80,510,720	)
Forward Foreign Currency Exchange Contracts (a)
Average Settlement Value Purchased		4,307,940
Average Settlement Value Sold		26,351,769
Ending Settlement Value Purchased		4,821,140
Ending Settlement Value Sold		36,637,545


			For the period ended August 31, 2017
Affiliate	Value at Beginning of Period		Purchase Cost		Sales Proceeds		Realized Gain (Loss)		Unrealized Gain (Loss)		Shares at August 31, 2017		Value at August 31, 2017		Dividend Income
Disciplined High Yield ETF
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares	$	266,217	$	2,819,889	$	2,858,249	$	—	$	—		227,857	$	227,857	$	1,466

Global Bond Opportunities ETF (a)
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares		—		222,955,163		218,035,365		—		—		4,919,798		4,919,798		33,746

Ultra-Short Income ETF (b)
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares		—		44,743,319		44,146,543		—		—		596,776		596,776		8,380


Disciplined High Yield ETF	$	38,245
Global Bond Opportunities ETF		75,096
Ultra-Short Income ETF		22,938


Disciplined High Yield ETF	0.30	%
Global Bond Opportunities ETF	0.55	%
Ultra-Short Income ETF	0.15	%


Disciplined High Yield ETF	$	200
Global Bond Opportunities ETF		4,400
Ultra-Short Income ETF		200


	Expense Cap
Disciplined High Yield ETF		0.40	%
Global Bond Opportunities ETF		0.55	%
Ultra-Short Income ETF		0.18	%


	Contractual Waivers
	Investment Advisory		Administration		Total		Contractual Reimbursements
Disciplined High Yield ETF	$	46,285	$	13,114	$	59,399	$	70,755
Global Bond Opportunities ETF		133,213		25,416		158,629		4,400
Ultra-Short Income ETF		16,020		9,078		25,098		34,638


Disciplined High Yield ETF	$	461
Global Bond Opportunities ETF		3,913
Ultra-Short Income ETF		2,093


	Purchases (excluding U.S. Government)		Purchases of U.S. Government		Sales (excluding U.S. Government)		Sales of U.S. Government
Disciplined High Yield ETF	$	9,474,475	$	—	$	4,370,457	$	—
Global Bond Opportunities ETF		91,097,931		14,488,216		11,840,323		4,163,602
Ultra-Short Income ETF		11,059,612		743,764		57,729		76,663


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Disciplined High Yield ETF	$	34,780,150	$	781,573	$	(238,908	)	$	542,665
Global Bond Opportunities ETF		102,871,466		2,713,282		(385,118	)		2,328,164
Ultra-Short Income ETF		45,540,253		23,000		(10,874	)		12,126


	Ordinary Income		Total Distributions Paid
Disciplined High Yield ETF	$	569,495	$	569,495


	Undistributed Ordinary Income	Post October Losses			Unrealized Appreciation (Depreciation)		Total Distributable Earnings
Disciplined High Yield ETF	$4,397	$	(42,867	)	$	389,000	$	350,530


	Net Capital Loss
	Short-Term	Long-Term		Other late year loss
Disciplined High Yield ETF	$(42,867)	$	—	$	—


	% Ownership
Disciplined High Yield ETF		80	%
Global Bond Opportunities ETF		93	%
Ultra-Short Income ETF		55	%


	Disciplined High Yield ETF (a)					Global Bond Opportunities ETF (b)					Ultra-Short Income ETF (c)
Range of Premium/(Discount)	Day Count		Percentage			Day Count		Percentage			Day Count		Percentage
Greater than 2.0% and Less than or equal to 2.5%		—		—	%		—		—	%		1		1.39	%
Greater than 1.5% and Less than or equal to 2.0%		—		—	%		—		—	%		—		—	%
Greater than 1.0% and Less than or equal to 1.5%		—		—	%		2		2.00	%		—		—	%
Greater than 0.5% and Less than or equal to 1.0%		135		56.02	%		10		10.00	%		—		—	%
Greater than 0.0% and Less than or equal to 0.5%		103		42.74	%		86		86.00	%		69		95.83	%
Greater than -0.5% and Less than or equal to 0.0%		2		0.83	%		2		2.00	%		2		2.78	%
Less than -0.5% and greater than or equal to -1.0%		1		0.41	%		—		—	%		—		—	%

		241		100.00	%		100		100.00	%		72		100.00	%


	Beginning Account Value 3/1/2017		Ending Account Value 8/31/2017		Annualized Expense Ratios			Expenses Paid During Period
JPMorgan Disciplined High Yield ETF
Actual Fund Return (1)	$	1,000.00	$	1,031.90		0.40	%	$	2.05
Hypothetical 5% Return (1)		1,000.00		1,023.19		0.40	%		2.04

JPMorgan Global Bond Opportunities ETF
Actual Fund Return (2)	$	1,000.00	$	1,024.60		0.54	%	$	2.22
Hypothetical 5% Return (1)		1,000.00		1,022.48		0.54	%		2.75

JPMorgan Ultra-Short Income ETF
Actual Fund Return (3)	$	1,000.00	$	1,005.00		0.16	%	$	0.47
Hypothetical 5% Return (1)		1,000.00		1,024.40		0.16	%		0.82