NPORT-EX 2 HG_CFSMA.htm HTML

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

COLLATERALIZED MORTGAGE OBLIGATIONS — 29.5%

    

FHLMC, REMIC

    

Series 2926, Class EW, 5.00%, 1/15/2025

     166       173  

Series 3935, Class GA, 3.00%, 10/15/2026

     240       249  

Series 2488, Class GM, 6.00%, 8/15/2032

     20       23  

Series 4151, Class YC, 2.50%, 1/15/2033

     105       108  

Series 2740, Class PE, 5.50%, 1/15/2034

     74       85  

Series 2943, Class ZC, 5.00%, 2/15/2034

     28       31  

Series 2768, Class PK, 5.00%, 3/15/2034

     26       29  

Series 3237, Class CE, 5.50%, 11/15/2036

     50       60  

Series 3249, Class CB, 4.25%, 12/15/2036

     39       43  

Series 3258, Class XX, 5.50%, 12/15/2036

     52       60  

Series 4031, Class AB, 5.50%, 6/15/2037

     89       101  

Series 3404, Class DC, 5.50%, 1/15/2038

     50       58  

Series 3601, Class HB, 5.00%, 11/15/2039

     25       28  

Series 3626, Class ME, 5.00%, 1/15/2040

     28       31  

Series 3680, Class ZA, 4.50%, 6/15/2040

     80       89  

Series 3777, Class WA, 4.00%, 12/15/2040

     62       66  

Series 3772, Class NE, 4.50%, 12/15/2040

     180       199  

Series 3939, Class AZ, 4.00%, 3/15/2041

     83       87  

Series 4240, Class DK, 4.00%, 11/15/2042

     45       47  

Series 4283, Class EW, 4.50%, 12/15/2043(a)

     65       71  

Series 4887, Class EA, 2.50%, 6/15/2049

     339       347  

Series 4924, Class KA, 2.50%, 8/25/2049

     189       194  

FNMA, REMIC

    

Series 2011-61, Class MG, 4.00%, 7/25/2026(b)

     241       253  

Series 2013-17, Class YM, 4.00%, 3/25/2033

     60       65  

Series 2003-32, Class UJ, 5.50%, 5/25/2033

     18       21  

Series 2003-82, Class Z, 5.50%, 8/25/2033

     31       35  

Series 2004-17, Class H, 5.50%, 4/25/2034

     73       83  

Series 2004-31, Class MZ, 4.25%, 5/25/2034

     32       36  

Series 2004-36, Class CB, 5.00%, 5/25/2034

     19       21  

Series 2004-91, Class BR, 5.50%, 12/25/2034

     24       27  

Series 2009-13, Class PM, 4.00%, 4/25/2035

     48       49  

Series 2005-29, Class WQ, 5.50%, 4/25/2035

     89       102  

Series 2005-109, Class GD, 6.00%, 10/25/2035

     14       15  

Series 2015-65, Class LD, 3.50%, 1/25/2036

     147       160  

Series 2005-122, Class PY, 6.00%, 1/25/2036

     71       82  

Series 2006-24, Class Z, 5.50%, 4/25/2036

     80       90  

Series 2007-36, Class PH, 5.50%, 4/25/2037

     25       27  

Series 2007-60, Class ZB, 4.75%, 5/25/2037

     188       203  

Series 2009-42, Class TZ, 4.50%, 3/25/2039

     238       262  

Series 2009-66, Class KE, 4.00%, 9/25/2039

     40       43  

Series 2009-105, Class DB, 4.50%, 12/25/2039

     25       29  

Series 2010-43, Class EM, 5.00%, 5/25/2040

     21       25  

Series 2010-87, Class PJ, 3.50%, 6/25/2040

     11       11  

Series 2010-59, Class EB, 5.00%, 6/25/2040

     300       376  

Series 2012-113, Class PB, 2.00%, 10/25/2040

     188       191  

Series 2011-146, Class LX, 3.50%, 10/25/2040

     200       209  

Series 2011-1, Class QA, 4.50%, 10/25/2040

     9       9  

Series 2010-133, Class GP, 4.00%, 11/25/2040

     250       278  

Series 2010-123, Class KU, 4.50%, 11/25/2040

     93       104  

Series 2010-129, Class PZ, 4.50%, 11/25/2040

     121       128  

Series 2010-136, Class CY, 4.00%, 12/25/2040

     290       321  

Series 2010-141, Class AL, 4.00%, 12/25/2040

     90       96  

Series 2010-154, Class KZ, 4.50%, 1/25/2041

     48       58  

Series 2011-55, Class BZ, 3.50%, 6/25/2041

     158       170  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

Series 2011-115, Class UC, 4.00%, 11/25/2041

     49       52  

Series 2013-114, Class LM, 4.00%, 3/25/2042

     200       217  

Series 2012-124, Class PA, 2.50%, 7/25/2042

     196       201  

Series 2012-120, Class PA, 3.50%, 10/25/2042

     61       65  

Series 2014-19, Class Z, 4.50%, 4/25/2044

     282       321  

Series 2016-103, Class LA, 3.00%, 5/25/2044

     251       256  

Series 2015-61, Class PV, 3.50%, 5/25/2044

     18       19  

Series 2016-32, Class PA, 3.00%, 12/25/2045

     106       111  

Series 2017-110, Class PB, 3.00%, 2/25/2057

     265       280  

GNMA

    

Series 2003-46, Class HA, 4.50%, 6/20/2033

     64       68  

Series 2004-55, Class MC, 5.50%, 7/20/2034

     14       16  

Series 2005-16, Class CA, 5.00%, 2/20/2035

     23       26  

Series 2005-17, Class GE, 5.00%, 2/20/2035

     107       118  

Series 2008-25, Class AD, 4.50%, 3/20/2038

     76       81  

Series 2009-16, Class ZD, 6.00%, 3/20/2039

     95       108  

Series 2009-58, Class PA, 4.50%, 7/20/2039

     110       119  
   

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $7,490)

       7,816  
   

 

 

  

ASSET-BACKED SECURITIES — 28.2%

    

ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027(c)

     104       104  

Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046(c)

     330       327  

American Credit Acceptance Receivables Trust

    

Series 2020-3, Class C, 1.85%, 6/15/2026(c)

     148       149  

Series 2021-2, Class C, 0.97%, 7/13/2027(c)

     204       204  

Business Jet Securities LLC Series 2019-1, Class A, 4.21%, 7/15/2034(c)

     63       64  

CarMax Auto Owner Trust Series 2020-1, Class B, 2.21%, 9/15/2025

     112       115  

CarNow Auto Receivables Trust Series 2021-1A, Class A, 0.97%, 10/15/2024(c)

     96       96  

Carvana Auto Receivables Trust

    

Series 2021-P1, Class B, 1.19%, 1/11/2027

     200       198  

Series 2021-P1, Class C, 1.53%, 3/10/2027

     200       198  

CoreVest American Finance Trust Series 2019-2, Class B, 3.42%, 6/15/2052‡(c)

     250       264  

Credit Acceptance Auto Loan Trust

    

Series 2020-1A, Class A, 2.01%, 2/15/2029(c)

     250       251  

Series 2020-3A, Class A, 1.24%, 10/15/2029(c)

     250       251  

Series 2020-3A, Class B, 1.77%, 12/17/2029(c)

     250       251  

Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033(c)

     77       77  

Drive Auto Receivables Trust

    

Series 2019-1, Class D, 4.09%, 6/15/2026

     240       246  

Series 2020-1, Class D, 2.70%, 5/17/2027

     400       408  

DT Auto Owner Trust

    

Series 2018-1A, Class D, 3.81%, 12/15/2023(c)

     7       7  

Series 2020-2A, Class A, 1.14%, 1/16/2024(c)

     9       9  

Series 2020-1A, Class B, 2.16%, 5/15/2024(c)

     43       43  

Series 2019-1A, Class C, 3.61%, 11/15/2024(c)

     18       18  

Series 2019-2A, Class C, 3.18%, 2/18/2025(c)

     121       123  

Elara HGV Timeshare Issuer LLC Series 2021-A, Class A, 1.36%, 8/27/2035(c)

     98       97  

Exeter Automobile Receivables Trust Series 2020-1A, Class B, 2.26%, 4/15/2024(c)

     10       10  

First Investors Auto Owner Trust Series 2019-1A, Class B, 3.02%, 3/17/2025(c)

     86       87  

Flagship Credit Auto Trust

    

Series 2019-2, Class A, 2.83%, 10/16/2023(c)

     4       4  

Series 2017-4, Class C, 2.92%, 11/15/2023(c)

     61       61  

Series 2019-3, Class B, 2.48%, 8/15/2024(c)

     225       227  

Series 2019-1, Class D, 4.08%, 2/18/2025(c)

     167       173  

Series 2020-1, Class C, 2.24%, 1/15/2026(c)

     500       505  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

FREED ABS Trust

    

Series 2020-FP1, Class A, 2.52%, 3/18/2027(c)

     1       1  

Series 2021-1CP, Class A, 0.66%, 3/20/2028(c)

     81       81  

FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038(c)

     150       147  

GLS Auto Receivables Trust

    

Series 2018-3A, Class B, 3.78%, 8/15/2023(c)

     4       4  

Series 2021-2A, Class B, 0.77%, 9/15/2025(c)

     40       40  

Goodgreen (Cayman Islands) Series 2018-1A, Class A, 3.93%, 10/15/2053(a)(c)

     93       97  

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048(c)

     45       46  

Home Partners of America Trust Series 2021-2, Class A, 1.90%, 12/17/2026(c)

     150       150  

Lendingpoint Asset Securitization Trust Series 2021-A, Class A, 1.00%, 12/15/2028(c)

     187       187  

Lendmark Funding Trust Series 2019-1A, Class A, 3.00%, 12/20/2027(c)

     175       177  

Marlette Funding Trust Series 2021-1A, Class A, 0.60%, 6/16/2031(c)

     52       52  

NMEF Funding LLC Series 2021-A, Class A2, 0.81%, 12/15/2027(c)

     310       310  

Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027(c)

     82       82  

Progress Residential Trust

    

Series 2020-SFR2, Class A, 2.08%, 6/17/2037(c)

     150       151  

Series 2021-SFR8, Class A, 1.51%, 10/17/2038(c)

     155       152  

Santander Consumer Auto Receivables Trust Series 2020-AA, Class C, 3.71%, 2/17/2026(c)

     400       415  

Santander Drive Auto Receivables Trust Series 2020-4, Class D, 1.48%, 1/15/2027

     200       201  

Tidewater Auto Receivables Trust Series 2018-AA, Class C, 3.84%, 11/15/2024(c)

     9       9  

Towd Point Mortgage Trust Series 2017-6, Class A1, 2.75%, 10/25/2057‡(a)(c)

     37       38  

Upstart Securitization Trust Series 2021-1, Class A, 0.87%, 3/20/2031(c)

     228       227  

US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024(c)

     92       92  

Westgate Resorts LLC

    

Series 2018-1A, Class A, 3.38%, 12/20/2031(c)

     55       55  

Series 2018-1A, Class B, 3.58%, 12/20/2031‡(c)

     55       55  

Westlake Automobile Receivables Trust Series 2021-1A, Class C, 0.95%, 3/16/2026(c)

     125       124  
   

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost $7,449)

       7,460  
   

 

 

  

CORPORATE BONDS — 25.1%

    

Aerospace & Defense — 0.8%

    

Boeing Co. (The)

    

2.75%, 2/1/2026

     70       72  

3.63%, 2/1/2031

     10       11  

5.81%, 5/1/2050

     15       20  

Northrop Grumman Corp.

    

3.20%, 2/1/2027

     30       32  

3.85%, 4/15/2045

     20       23  

Raytheon Technologies Corp. 4.15%, 5/15/2045

     40       48  
   

 

 

  
      206  
   

 

 

  

Air Freight & Logistics — 0.1%

    

FedEx Corp. 4.05%, 2/15/2048

     30       34  
   

 

 

  

Auto Components — 0.1%

    

Lear Corp. 3.55%, 1/15/2052

     35       35  
   

 

 

  

Automobiles — 0.9%

    

Hyundai Capital America

    

1.00%, 9/17/2024(c)

     70       69  

1.80%, 10/15/2025(c)

     100       99  

Nissan Motor Acceptance Co. LLC

    

3.88%, 9/21/2023(c)

     30       31  

2.00%, 3/9/2026(c)

     45       45  
   

 

 

  
      244  
   

 

 

  

Banks — 1.6%

    

Bank of America Corp.

    

4.20%, 8/26/2024

     60       64  

5.00%, 1/21/2044

     55       72  

(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049(d)

     15       18  

Citigroup, Inc.

    

3.20%, 10/21/2026

     19       20  

8.13%, 7/15/2039

     30       51  

Fifth Third Bancorp 3.65%, 1/25/2024

     25       26  

Mitsubishi UFJ Financial Group, Inc. (Japan)

    

3.78%, 3/2/2025

     15       16  

3.74%, 3/7/2029

     55       61  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

    Principal
Amount ($000)		      Value ($000)  

Regions Financial Corp. 1.80%, 8/12/2028

      20        20  

Sumitomo Mitsui Financial Group, Inc. (Japan) 3.36%, 7/12/2027

      25        27  

Wells Fargo & Co. 4.65%, 11/4/2044

      30        37  
     

 

 

  
        412  
     

 

 

  

Beverages — 0.7%

      

Anheuser-Busch Cos. LLC (Belgium) 4.90%, 2/1/2046

      25        32  

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.90%, 2/1/2046

      10        13  

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

      

4.00%, 4/13/2028

      15        17  

4.95%, 1/15/2042

      45        55  

Constellation Brands, Inc.

      

3.70%, 12/6/2026

      10        10  

3.75%, 5/1/2050

      5        6  

Keurig Dr Pepper, Inc.

      

4.60%, 5/25/2028

      15        17  

5.09%, 5/25/2048

      5        7  

Molson Coors Beverage Co. 4.20%, 7/15/2046

      15        17  
     

 

 

  
        174  
     

 

 

  

Biotechnology — 0.6%

      

AbbVie, Inc.

      

4.55%, 3/15/2035

      10        12  

4.70%, 5/14/2045

      15        19  

4.45%, 5/14/2046

      25        30  

4.88%, 11/14/2048

      15        19  

Biogen, Inc.

      

2.25%, 5/1/2030

      30        29  

3.15%, 5/1/2050

      30        30  

Gilead Sciences, Inc. 4.80%, 4/1/2044

      15        19  
     

 

 

  
        158  
     

 

 

  

Capital Markets — 1.3%

      

Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032

      15        21  

Goldman Sachs Group, Inc. (The) (ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038(d)

      65        74  

Macquarie Group Ltd. (Australia)

      

(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028(c)(d)

      20        22  

(SOFR + 1.44%), 2.69%, 6/23/2032(c)(d)

      100        99  

Morgan Stanley

      

3.13%, 7/27/2026

      35        37  

3.95%, 4/23/2027

      25        27  

(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030(d)

      50        58  

(SOFR + 1.49%), 3.22%, 4/22/2042(d)

      10        11  
     

 

 

  
        349  
     

 

 

  

Chemicals — 0.6%

      

DuPont de Nemours, Inc. 5.32%, 11/15/2038

      20        26  

LYB International Finance II BV 3.50%, 3/2/2027

      20        22  

LYB International Finance III LLC 3.38%, 10/1/2040

      20        21  

Mosaic Co. (The)

      

3.25%, 11/15/2022

      10        10  

4.05%, 11/15/2027

      10        11  

Nutrien Ltd. (Canada)

      

3.00%, 4/1/2025

      20        21  

6.13%, 1/15/2041

      20        28  

Sherwin-Williams Co. (The) 2.30%, 5/15/2030

      30        30  
     

 

 

  
        169  
     

 

 

  

Construction Materials — 0.3%

      

Eagle Materials, Inc. 2.50%, 7/1/2031

      50        50  

Martin Marietta Materials, Inc. 3.45%, 6/1/2027

      30        32  
     

 

 

  
        82  
     

 

 

  

Consumer Finance — 0.7%

      

Avolon Holdings Funding Ltd. (Ireland)

      

2.88%, 2/15/2025(c)

      65        66  

5.50%, 1/15/2026(c)

      25        28  

2.53%, 11/18/2027(c)

      45        44  

Capital One Financial Corp.

      

4.20%, 10/29/2025

      15        16  

3.75%, 3/9/2027

      25        27  

General Motors Financial Co., Inc. 1.25%, 1/8/2026

      15        15  
     

 

 

  
        196  
     

 

 

  

Diversified Financial Services — 0.2%

      

Element Fleet Management Corp. (Canada)

      

1.60%, 4/6/2024(c)

      5        5  

3.85%, 6/15/2025(c)

      30        33  

Shell International Finance BV (Netherlands) 5.50%, 3/25/2040

      20        27  
     

 

 

  
        65  
     

 

 

  

Diversified Telecommunication Services — 1.2%

      

AT&T, Inc.

      

2.25%, 2/1/2032

      15        14  

2.55%, 12/1/2033

      52        50  

3.50%, 9/15/2053

      68        69  

Deutsche Telekom International Finance BV (Germany) 8.75%, 6/15/2030(b)

      25        37  

Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036

      15        22  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

    Principal
Amount ($000)		      Value ($000)  

Verizon Communications, Inc.

      

2.10%, 3/22/2028

      25        25  

4.33%, 9/21/2028

      41        47  

4.86%, 8/21/2046

      46        60  
     

 

 

  
        324  
     

 

 

  

Electric Utilities — 1.4%

      

Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036

      20        27  

Duke Energy Corp. 3.75%, 9/1/2046

      25        27  

Emera US Finance LP (Canada)

      

3.55%, 6/15/2026

      10        11  

4.75%, 6/15/2046

      20        23  

Entergy Louisiana LLC 4.00%, 3/15/2033

      40        46  

Evergy, Inc. 2.90%, 9/15/2029

      30        31  

Fortis, Inc. (Canada) 3.06%, 10/4/2026

      19        20  

Indiana Michigan Power Co. Series K, 4.55%, 3/15/2046

      15        19  

Metropolitan Edison Co. 3.50%, 3/15/2023(c)

      15        15  

NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030

      30        30  

Pacific Gas and Electric Co. 1.37%, 3/10/2023

      80        80  

PPL Capital Funding, Inc. 3.10%, 5/15/2026

      20        21  

Southern Co. (The) 3.25%, 7/1/2026

      30        32  
     

 

 

  
        382  
     

 

 

  

Electrical Equipment — 0.1%

      

Eaton Corp. 3.10%, 9/15/2027

      25        27  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.3%

      

Arrow Electronics, Inc.

      

3.25%, 9/8/2024

      15        16  

3.88%, 1/12/2028

      15        16  

Corning, Inc.

      

5.35%, 11/15/2048

      20        28  

4.38%, 11/15/2057

      15        18  
     

 

 

  
        78  
     

 

 

  

Energy Equipment & Services — 0.6%

      

Baker Hughes Holdings LLC

      

3.34%, 12/15/2027

      30        32  

4.08%, 12/15/2047

      30        33  

Halliburton Co. 4.50%, 11/15/2041

      10        11  

NOV, Inc. 3.60%, 12/1/2029

      30        31  

Schlumberger Holdings Corp.

      

4.00%, 12/21/2025(c)

      15        16  

4.30%, 5/1/2029(c)

      30        34  
     

 

 

  
        157  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.6%

      

American Campus Communities Operating Partnership LP 2.25%, 1/15/2029

      10        10  

American Tower Corp.

      

5.00%, 2/15/2024

      30        32  

3.95%, 3/15/2029

      15        16  

1.88%, 10/15/2030

      50        47  

Boston Properties LP 3.40%, 6/21/2029

      25        27  

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

      25        26  

Crown Castle International Corp. 4.45%, 2/15/2026

      30        33  

CubeSmart LP 2.25%, 12/15/2028

      15        15  

Duke Realty LP 4.00%, 9/15/2028

      25        28  

Equinix, Inc. 3.20%, 11/18/2029

      18        19  

ERP Operating LP 3.00%, 7/1/2029

      30        32  

Host Hotels & Resorts LP 3.88%, 4/1/2024

      15        16  

Kilroy Realty LP 2.65%, 11/15/2033

      20        20  

Life Storage LP

      

4.00%, 6/15/2029

      25        27  

2.40%, 10/15/2031

      25        25  

National Retail Properties, Inc. 4.00%, 11/15/2025

      20        22  

Realty Income Corp.

      

4.88%, 6/1/2026

      10        11  

3.65%, 1/15/2028

      25        27  

2.85%, 12/15/2032

      25        26  

Regency Centers LP

      

3.60%, 2/1/2027

      20        22  

3.70%, 6/15/2030

      20        21  

Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026(c)

      60        64  

Simon Property Group LP 4.75%, 3/15/2042

      10        13  

UDR, Inc.

      

4.40%, 1/26/2029

      20        22  

3.00%, 8/15/2031

      20        21  

Welltower, Inc.

      

4.00%, 6/1/2025

      25        27  

6.50%, 3/15/2041

      10        15  

WP Carey, Inc. 2.40%, 2/1/2031

      25        25  
     

 

 

  
        689  
     

 

 

  

Food & Staples Retailing — 0.3%

      

Kroger Co. (The) 5.15%, 8/1/2043

      30        39  

Sysco Corp. 5.65%, 4/1/2025

      25        28  
     

 

 

  
        67  
     

 

 

  

Food Products — 0.2%

      

Conagra Brands, Inc. 5.30%, 11/1/2038

      5        6  

Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044

      20        27  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

Tyson Foods, Inc. 5.15%, 8/15/2044

     10       13  
   

 

 

  
      46  
   

 

 

  

Gas Utilities — 0.0%(e)

    

CenterPoint Energy Resources Corp. 0.70%, 3/2/2023

     10       10  
   

 

 

  

Health Care Equipment & Supplies — 0.4%

    

Abbott Laboratories 4.75%, 11/30/2036

     15       19  

Becton Dickinson and Co.

    

3.70%, 6/6/2027

     10       11  

2.82%, 5/20/2030

     30       31  

Boston Scientific Corp. 4.70%, 3/1/2049

     10       13  

Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031

     20       20  
   

 

 

  
      94  
   

 

 

  

Health Care Providers & Services — 0.7%

    

Anthem, Inc. 4.63%, 5/15/2042

     20       25  

Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051

     15       16  

Cigna Corp. 3.40%, 3/15/2051

     25       26  

CVS Health Corp.

    

4.30%, 3/25/2028

     10       11  

4.78%, 3/25/2038

     27       33  

HCA, Inc.

    

4.50%, 2/15/2027

     20       22  

5.25%, 6/15/2049

     15       19  

Quest Diagnostics, Inc. 2.80%, 6/30/2031

     30       31  
   

 

 

  
      183  
   

 

 

  

Hotels, Restaurants & Leisure — 0.2%

    

McDonald’s Corp. 4.70%, 12/9/2035

     30       37  

Starbucks Corp. 4.45%, 8/15/2049

     15       19  
   

 

 

  
      56  
   

 

 

  

Industrial Conglomerates — 0.4%

    

General Electric Co. 6.75%, 3/15/2032

     70       97  
   

 

 

  

Insurance — 1.0%

    

American Financial Group, Inc. 3.50%, 8/15/2026

     20       22  

American International Group, Inc.

    

3.88%, 1/15/2035

     25       28  

4.38%, 1/15/2055

     15       19  

Athene Global Funding

    

3.00%, 7/1/2022(c)

     25       25  

2.95%, 11/12/2026(c)

     30       31  

Athene Holding Ltd. 4.13%, 1/12/2028

     10       11  

Cincinnati Financial Corp. 6.92%, 5/15/2028

     20       26  

Lincoln National Corp. 4.35%, 3/1/2048

     20       24  

Markel Corp.

    

3.50%, 11/1/2027

     20       22  

5.00%, 5/20/2049

     15       20  

Principal Financial Group, Inc. 3.70%, 5/15/2029

     5       6  

Prudential Financial, Inc. 3.88%, 3/27/2028

     19       21  
   

 

 

  
      255  
   

 

 

  

IT Services — 0.1%

    

Fiserv, Inc. 2.65%, 6/1/2030

     30       30  
   

 

 

  

Media — 1.0%

    

Charter Communications Operating LLC

    

4.91%, 7/23/2025

     25       27  

3.75%, 2/15/2028

     15       16  

6.38%, 10/23/2035

     20       25  

5.75%, 4/1/2048

     10       13  

4.80%, 3/1/2050

     20       23  

Comcast Corp.

    

3.20%, 7/15/2036

     40       43  

3.90%, 3/1/2038

     45       51  

Discovery Communications LLC 4.65%, 5/15/2050

     30       36  

ViacomCBS, Inc. 4.95%, 1/15/2031

     30       36  
   

 

 

  
      270  
   

 

 

  

Metals & Mining — 0.4%

    

Glencore Funding LLC (Australia)

    

4.63%, 4/29/2024(c)

     15       16  

1.63%, 9/1/2025(c)

     20       20  

2.63%, 9/23/2031(c)

     30       29  

Newcrest Finance Pty. Ltd. (Australia) 3.25%, 5/13/2030(c)

     10       11  

Teck Resources Ltd. (Canada) 6.13%, 10/1/2035

     20       26  
   

 

 

  
      102  
   

 

 

  

Multiline Retail — 0.2%

    

Dollar General Corp.

    

4.13%, 5/1/2028

     5       6  

3.50%, 4/3/2030

     20       22  

Kohl’s Corp.

    

3.38%, 5/1/2031

     10       10  

5.55%, 7/17/2045

     10       12  
   

 

 

  
      50  
   

 

 

  

Multi-Utilities — 0.3%

    

Ameren Corp. 1.75%, 3/15/2028

     5       5  

Dominion Energy, Inc. Series C, 4.05%, 9/15/2042

     20       23  

Puget Energy, Inc. 2.38%, 6/15/2028

     10       10  

Sempra Energy 3.80%, 2/1/2038

     25       27  

Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051

     5       5  
   

 

 

  
      70  
   

 

 

  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

Oil, Gas & Consumable Fuels — 2.4%

    

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027(c)

     30       33  

Boardwalk Pipelines LP 5.95%, 6/1/2026

     20       23  

Buckeye Partners LP 5.85%, 11/15/2043

     10       10  

Chevron USA, Inc. 5.05%, 11/15/2044

     30       40  

CNOOC Petroleum North America ULC (China) 5.88%, 3/10/2035

     20       25  

Devon Energy Corp. 5.25%, 9/15/2024(c)

     20       22  

Enbridge, Inc. (Canada)

    

4.25%, 12/1/2026

     20       22  

4.50%, 6/10/2044

     15       17  

Energy Transfer LP

    

5.88%, 3/1/2022

     15       15  

4.00%, 10/1/2027

     10       11  

5.35%, 5/15/2045

     30       35  

6.25%, 4/15/2049

     15       19  

Enterprise Products Operating LLC

    

3.13%, 7/31/2029

     15       16  

5.10%, 2/15/2045

     25       31  

Gray Oak Pipeline LLC 2.60%, 10/15/2025(c)

     50       51  

Kinder Morgan, Inc. 3.25%, 8/1/2050

     10       9  

Magellan Midstream Partners LP 4.20%, 10/3/2047

     10       11  

Marathon Petroleum Corp. 6.50%, 3/1/2041

     15       21  

MPLX LP

    

4.13%, 3/1/2027

     15       16  

4.50%, 4/15/2038

     10       11  

5.20%, 3/1/2047

     15       19  

ONEOK, Inc. 4.45%, 9/1/2049

     15       17  

Phillips 66 4.88%, 11/15/2044

     20       25  

Pioneer Natural Resources Co. 1.90%, 8/15/2030

     30       28  

Plains All American Pipeline LP 3.55%, 12/15/2029

     30       31  

Spectra Energy Partners LP 4.50%, 3/15/2045

     20       23  

Suncor Energy, Inc. (Canada) 5.35%, 7/15/2033

     20       24  

TransCanada PipeLines Ltd. (Canada) 4.63%, 3/1/2034

     15       18  

Williams Cos., Inc. (The) 3.90%, 1/15/2025

     20       21  
   

 

 

  
      644  
   

 

 

  

Pharmaceuticals — 0.5%

    

Mylan, Inc. 5.20%, 4/15/2048

     10       12  

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026

     50       53  

Utah Acquisition Sub, Inc. 3.95%, 6/15/2026

     10       11  

Zoetis, Inc.

    

4.50%, 11/13/2025

     15       17  

2.00%, 5/15/2030

     15       15  

4.70%, 2/1/2043

     15       19  
   

 

 

  
      127  
   

 

 

  

Road & Rail — 0.9%

    

Burlington Northern Santa Fe LLC 4.40%, 3/15/2042

     30       37  

Canadian Pacific Railway Co. (Canada) 2.45%, 12/2/2031

     10       10  

CSX Corp.

    

2.40%, 2/15/2030

     15       15  

4.30%, 3/1/2048

     20       25  

ERAC USA Finance LLC 5.63%, 3/15/2042(c)

     30       42  

Norfolk Southern Corp.

    

4.65%, 1/15/2046

     10       13  

2.90%, 8/25/2051

     60       59  

4.05%, 8/15/2052

     15       18  

Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026(c)

     30       30  
   

 

 

  
      249  
   

 

 

  

Semiconductors & Semiconductor Equipment — 0.3%

    

Broadcom Corp.

    

3.13%, 1/15/2025

     30       31  

3.88%, 1/15/2027

     25       27  

Microchip Technology, Inc. 0.97%, 2/15/2024(c)

     21       21  
   

 

 

  
      79  
   

 

 

  

Software — 0.2%

    

Oracle Corp. 3.85%, 7/15/2036

     50       54  

VMware, Inc. 1.80%, 8/15/2028

     5       5  
   

 

 

  
      59  
   

 

 

  

Specialty Retail — 0.2%

    

AutoZone, Inc.

    

4.00%, 4/15/2030

     10       11  

1.65%, 1/15/2031

     20       19  

O’Reilly Automotive, Inc. 1.75%, 3/15/2031

     15       14  
   

 

 

  
      44  
   

 

 

  

Technology Hardware, Storage & Peripherals — 0.2%

    

Dell International LLC

    

5.45%, 6/15/2023

     9       10  

6.02%, 6/15/2026

     20       23  

6.20%, 7/15/2030

     10       13  
   

 

 

  
      46  
   

 

 

  

Tobacco — 0.4%

    

Altria Group, Inc.

    

3.40%, 5/6/2030

     30       31  

3.88%, 9/16/2046

     15       15  

BAT Capital Corp. (United Kingdom)

    

3.22%, 8/15/2024

     5       5  

3.56%, 8/15/2027

     20       21  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount ($000)		     Value ($000)  

Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045

     25       30  
   

 

 

  
      102  
   

 

 

  

Trading Companies & Distributors — 0.4%

    

Air Lease Corp.

    

3.50%, 1/15/2022

     25       26  

3.25%, 3/1/2025

     10       10  

3.25%, 10/1/2029

     20       20  

Aviation Capital Group LLC

    

2.88%, 1/20/2022(c)

     30       30  

3.50%, 11/1/2027(c)

     20       21  
   

 

 

  
      107  
   

 

 

  

Wireless Telecommunication Services — 0.3%

    

Rogers Communications, Inc. (Canada) 4.50%, 3/15/2043

     10       11  

T-Mobile USA, Inc.

    

3.75%, 4/15/2027

     15       16  

4.50%, 4/15/2050

     5       6  

Vodafone Group plc (United Kingdom)

    

4.38%, 5/30/2028

     25       28  

5.00%, 5/30/2038

     11       14  
   

 

 

  
      75  
   

 

 

  

TOTAL CORPORATE BONDS
(Cost $6,291)

       6,643  
   

 

 

  

MORTGAGE-BACKED SECURITIES — 6.2%

    

FHLMC Gold Pools, Other Pool # U90067, 4.00%, 8/1/2042

     89       96  

FNMA, Other

    

Pool # AM4660, 3.77%, 12/1/2025

     129       140  

Pool # AM5940, 3.24%, 6/1/2026

     65       70  

Pool # AN3452, 2.82%, 12/1/2026

     493       523  

Pool # BL0004, 3.50%, 9/1/2028

     250       279  

Pool # AM6428, 3.58%, 8/1/2029

     83       91  

Pool # AM6430, 3.58%, 8/1/2029

     83       93  

Pool # BL9673, 1.53%, 12/1/2030

     345       340  
   

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES
(Cost $1,613)

 

     1,632  
   

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.8%

    

20 Times Square Trust

    

Series 2018-20TS, Class D, 3.20%, 5/15/2035‡(a)(c)

     100       98  

Series 2018-20TS, Class E, 3.20%, 5/15/2035‡(a)(c)

     100       96  

Cantor Commercial Real Estate Lending Series 2019-CF1, Class A5, 3.79%, 5/15/2052

     150       166  

Citigroup Commercial Mortgage Trust

    

Series 2013-GC11, Class A3, 2.82%, 4/10/2046

     24       24  

Series 2014-GC19, Class A3, 3.75%, 3/10/2047

     8       8  

Series 2014-GC23, Class A3, 3.36%, 7/10/2047

     8       9  

Commercial Mortgage Trust

    

Series 2014-UBS2, Class A4, 3.69%, 3/10/2047

     10       10  

Series 2014-CR17, Class A4, 3.70%, 5/10/2047

     28       28  

Series 2014-UBS3, Class A3, 3.55%, 6/10/2047

     24       25  

FHLMC, Multi-Family Structured Pass-Through Certificates

    

Series K731, Class AM, 3.60%, 2/25/2025(a)

     200       212  

Series K090, Class A2, 3.42%, 2/25/2029

     120       134  

FREMF Mortgage Trust Series 2013-K26, Class B, 3.72%, 12/25/2045(a)(c)

     99       101  

GS Mortgage Securities Trust

    

Series 2013-GC16, Class AS, 4.65%, 11/10/2046

     111       117  

Series 2013-GC16, Class B, 5.16%, 11/10/2046(a)

     50       52  

JPMBB Commercial Mortgage Securities Trust Series 2013-C15, Class C, 5.37%, 11/15/2045(a)

     30       31  

JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11, Class A4, 2.69%, 4/15/2046

     14       14  

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27, Class A3, 3.47%, 12/15/2047

     125       130  

SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041(c)

     120       123  

Wells Fargo Commercial Mortgage Trust Series 2015-NXS4, Class A3, 3.45%, 12/15/2048

     123       128  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

    Principal
Amount ($000)		      Value ($000)  

WFRBS Commercial Mortgage Trust Series 2013-C13, Class A3,
2.75%, 5/15/2045

      25        25  
     

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost $1,479)

 

 

      1,531  
     

 

 

  

U.S. TREASURY OBLIGATIONS — 0.0%(e)

 

   

U.S. Treasury Bonds 2.00%, 2/15/2050(Cost $11)

      10        10  
     

 

 

  

Investments

    Shares (000)      Value ($000)  

SHORT-TERM INVESTMENTS — 5.1%

      

INVESTMENT COMPANIES — 5.1%

      

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(f)(g)
(Cost $1,346)

      1,346        1,347  
     

 

 

  

Total Investments — 99.9%
(Cost $25,679)

 

      26,439  

Other Assets Less Liabilities — 0.1%

 

      27  
     

 

 

  

Net Assets — 100.0%

 

      26,466  
     

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations
ABS    Asset-Backed Securities
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
GNMA    Government National Mortgage Association
ICE    Intercontinental Exchange
LIBOR    London Interbank Offered Rate
REMIC    Real Estate Mortgage Investment Conduit
SOFR    Secured Overnight Financing Rate
USD    United States Dollar
(a)    Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2021.
(b)    Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2021.
(c)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(d)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2021.

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

(e)    Amount rounds to less than 0.1% of net assets.
(f)    Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(g)    The rate shown is the current yield as of November 30, 2021.
‡    Value determined using significant unobservable inputs.

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from 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 open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2021.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

  •  

Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments.

 

  •  

Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

  •  

Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

    Level 1
Quoted prices		     Level 2
Other significant observable
inputs		     Level 3
Significant unobservable
inputs		     Total  

Investments in Securities

 

    

Asset-Backed Securities

     $ —         $ 7,103       $357       $ 7,460  

Collateralized Mortgage Obligations

     —         7,816       —         7,816  

Commercial Mortgage-Backed Securities

     —         1,337       194       1,531  

Corporate Bonds

     —         6,643       —         6,643  

Mortgage-Backed Securities

     —         1,632       —         1,632  

U.S. Treasury Obligations

     —         10       —         10  

Short-Term Investments

 

    

Investment Companies

     1,347       —         —         1,347  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     $1,347       $24,541       $551       $26,439  
 

 

 

    

 

 

    

 

 

    

 

 

  

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

 

    Balance as of
February 28,
2021		     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
November 30,
2021		  

Investments in Securities:

                  

Asset-Backed Securities

   $ 812     $ —       $ (6 )    $ —   (a)    $ —       $ (449 )    $ —       $ —       $ 357  

Commercial Mortgage-Backed Securities

     345       —         (1 )      —   (a)      —         (150 )      —         —         194  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,157     $ —       $ (7 )    $ —   (a)    $ —       $ (599 )    $ —       $ —       $ 551  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

1 

Purchases include all purchases of securities and securities received in corporate actions.

2 

Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

 

(a)

Amount rounds to less than one thousand.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $(5).

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed below. 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 enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and 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.

Core Focus SMA Fund

Quantitative Information about Level 3 Fair Value Measurements #

 

     Fair Value at
November 30,
2021		     

Valuation Technique(s)

   

Unobservable Input

   

Range (Weighted Average) (a)

   $ 357      Discounted Cash Flow    Constant Prepayment Rate    0.00% - 16.00% (4.00%)
         Yield (Discount Rate of Cash Flows)    0.20% - 2.59% (2.06%)
  

 

 

           

Asset-Backed Securities

      357           
  

 

 

           
     194      Discounted Cash Flow    Yield (Discount Rate of Cash Flows)    4.91% - 5.66% (5.29%)
  

 

 

           

Commercial Mortgage-Backed Securities

      194           
  

 

 

           

Total

    $ 551           
  

 

 

           

 

(a)

Unobservable inputs were weighted by the relative fair value of the instruments.

B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.

 

For the period ended November 30, 2021

  

Security Description

   Value at
February 28, 2021		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
November 30, 2021		     Shares at
November 30, 2021		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05%(a)(b)

   $ 1,175     $ 13,177     $ 13,005     $ —   (c)    $ —   (c)    $ 1,347       1,346     $ 1,242     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of November 30, 2021.

(c)

Amount rounds to less than one thousand.