NPORT-EX 2 HG_CFSMA.htm FOR VALIDATION PURPOSES ONLY - [892160.HG_CFSMA]

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited)

 

Investments

    Principal
Amount ($)		      Value ($)  

ASSET-BACKED SECURITIES — 27.4%

 

American Credit Acceptance Receivables Trust

 

Series 2019-3, Class A, 2.44%, 12/12/2022 (a)

      42,853        42,964  

Series 2017-1, Class D, 3.54%, 3/13/2023 (a)

      165,391        166,086  

Series 2020-1, Class B, 2.08%, 12/13/2023 (a)

      94,000        93,778  

AmeriCredit Automobile Receivables Series 2015-4, Class D, 3.72%, 12/8/2021

      192,467        192,584  

B2R Mortgage Trust Series 2015-2, Class A, 3.34%, 11/15/2048 (a)

      14,488        14,489  

Business Jet Securities LLC

 

Series 2018-2, Class A, 4.45%, 6/15/2033 (a)

      136,916        117,240  

Series 2018-2, Class B, 5.44%, 6/15/2033 (a)

      142,051        106,053  

Series 2019-1, Class A, 4.21%, 7/15/2034 (a)

      112,888        98,534  

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

      112,000        111,385  

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

      250,000        232,696  

CPS Auto Receivables Trust

 

Series 2015-B, Class C, 4.20%, 5/17/2021 (a)

      59,027        59,256  

Series 2018-B, Class B, 3.23%, 7/15/2022 (a)

      47,401        47,446  

Series 2019-C, Class B, 2.63%, 8/15/2023 (a)

      130,000        130,474  

Credit Acceptance Auto Loan Trust

 

Series 2018-2A, Class A, 3.47%, 5/17/2027 (a)

      250,000        252,184  

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

      250,000        248,070  

Drive Auto Receivables Trust Series 2018-5, Class B, 3.68%, 7/15/2023

      189,940        191,114  

DT Auto Owner Trust

 

Series 2017-1A, Class D, 3.55%, 11/15/2022 (a)

      64,504        64,879  

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

      88,000        88,658  

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

      50,000        49,929  

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

      90,000        90,421  

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

      190,000        190,337  

Exeter Automobile Receivables Trust

 

Series 2019-4A, Class A, 2.18%, 1/17/2023 (a)

      105,856        106,189  

Series 2019-3A, Class B, 2.58%, 8/15/2023 (a)

      195,000        196,934  

Series 2020-1A, Class B, 2.26%, 4/15/2024 (a)

      40,000        40,097  

First Investors Auto Owner Trust

 

Series 2016-2A, Class C, 2.53%, 7/15/2022 (a)

      186,276        186,670  

Series 2018-1A, Class A2, 3.22%, 1/17/2023 (a)

      26,251        26,307  

Series 2019-1A, Class B, 3.02%, 3/17/2025 (a)

      120,000        119,302  

Flagship Credit Auto Trust

 

Series 2016-2, Class C, 6.22%, 9/15/2022 (a)

      100,000        101,632  

Series 2017-2, Class B, 2.57%, 4/15/2023 (a)

      31,729        31,760  

Series 2018-2, Class B, 3.56%, 5/15/2023 (a)

      150,000        152,720  

Series 2019-1, Class A, 3.11%, 8/15/2023 (a)

      138,684        140,448  

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

      177,142        179,795  

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

      400,000        402,072  

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

      225,000        224,539  

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

      167,000        170,814  

Ford Credit Auto Lease Trust Series 2019-A, Class A4, 2.98%, 6/15/2022

      200,000        203,756  

FREED ABS Trust

 

Series 2018-2, Class A, 3.99%, 10/20/2025 (a)

      24,922        24,757  

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

      95,113        93,795  

GLS Auto Receivables Issuer Trust

 

Series 2019-1A, Class A, 3.37%, 1/17/2023 (a)

      20,977        21,093  

Series 2019-2A, Class A, 3.06%, 4/17/2023 (a)

      39,134        39,489  

Series 2019-3A, Class A, 2.58%, 7/17/2023 (a)

      81,344        81,976  

GLS Auto Receivables Trust

 

Series 2018-3A, Class A, 3.35%, 8/15/2022 (a)

      23,321        23,397  

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

      125,000        126,129  

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

      131,913        138,139  

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

      73,448        76,116  

Hyundai Auto Lease Securitization Trust Series 2019-A, Class A3, 2.98%, 7/15/2022 (a)

      150,000        151,810  

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

      175,000        160,809  

Marlette Funding Trust

 

Series 2019-1A, Class A, 3.44%, 4/16/2029 (a)

      121,386        120,176  

Series 2020-1A, Class A, 2.24%, 3/15/2030 (a)

      159,223        158,621  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

OnDeck Asset Securitization Trust LLC Series 2018-1A, Class A, 3.50%, 4/18/2022 (a)

      84,405        84,447  

OneMain Direct Auto Receivables Trust Series 2017-2A, Class B, 2.55%, 11/14/2023 (a)

      39,050        39,058  

Progress Residential Trust Series 2020-SFR2, Class A, 2.08%, 6/18/2037 (a)

      150,000        150,047  

Prosper Marketplace Issuance Trust Series 2019-3A, Class A, 3.19%, 7/15/2025 (a)

      61,908        61,416  

Santander Drive Auto Receivables Trust

 

Series 2017-1, Class C, 2.58%, 5/16/2022

      6,244        6,249  

Series 2017-3, Class C, 2.76%, 12/15/2022

      23,137        23,223  

Series 2019-1, Class B, 3.21%, 9/15/2023

      90,000        90,879  

Santander Retail Auto Lease Trust Series 2018-A, Class D, 3.75%, 12/20/2022 (a)

      200,000        201,450  

SoFi Consumer Loan Program LLC

 

Series 2016-3, Class A, 3.05%, 12/26/2025 (a)

      7,831        7,803  

Series 2017-1, Class A, 3.28%, 1/26/2026 (a)

      17,425        17,427  

Series 2017-2, Class A, 3.28%, 2/25/2026 (a)

      20,474        20,506  

Springleaf Funding Trust Series 2015-BA, Class B, 3.80%, 5/15/2028‡ (a)

      100,000        92,028  

Tesla Auto Lease Trust Series 2018-B, Class A, 3.71%, 8/20/2021 (a)

      41,431        42,088  

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

      250,000        252,040  

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

      68,177        69,936  

Vericrest Opportunity Loan Trust

 

Series 2019-NPL4, Class A1A, 3.35%, 8/25/2049‡ (a) (c)

      111,075        106,382  

Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050‡ (a) (c)

      137,758        130,065  

Westgate Resorts LLC

 

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

      126,230        123,156  

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

      126,230        121,250  
     

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost $7,818,091)

 

      7,727,369  
     

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS — 26.7%

 

FHLMC, REMIC

 

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

      29,638        34,643  

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

      230,088        238,150  

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

      109,067        127,497  

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

      40,774        46,611  

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

      37,345        41,587  

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

      50,000        63,852  

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

      43,370        46,119  

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

      53,000        58,868  

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

      133,178        156,226  

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

      50,000        60,957  

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

      25,000        29,878  

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

      29,000        35,110  

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

      135,449        152,983  

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

      126,295        140,531  

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

      180,000        217,484  

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

      186,657        204,808  

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

      69,194        77,088  

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

      114,302        126,987  

FNMA, REMIC

 

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

      93,704        105,991  

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

      24,616        28,331  

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

      42,248        49,089  

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

      101,656        119,779  

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

      29,571        35,434  

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

      27,258        31,260  

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

      34,877        40,323  

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

      94,310        98,839  

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

      120,491        141,389  

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

      18,750        20,831  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

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

      80,000        91,096  

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

      71,000        86,199  

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

      114,608        130,985  

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

      33,300        38,876  

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

      262,003        289,993  

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

      222,079        258,109  

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

      62,754        68,875  

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

      25,000        30,439  

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

      20,600        26,582  

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

      28,745        29,781  

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

      300,000        394,943  

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

      200,000        215,651  

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

      65,701        67,722  

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

      250,000        295,115  

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

      123,589        142,363  

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

      243,537        270,618  

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

      290,000        338,036  

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

      182,381        203,390  

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

      44,727        58,488  

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

      171,204        190,628  

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

      70,000        84,464  

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

      200,000        230,595  

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

      83,271        90,775  

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

      263,828        312,402  

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

      21,034        23,157  

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

      142,488        151,612  

GNMA

      

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

      91,533        100,928  

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

      21,579        24,839  

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

      29,000        33,360  

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

      158,061        179,897  

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

      111,021        123,322  

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

      149,677        174,072  

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

      181,477        200,523  

Series 2010-69, Class ME, 3.00%, 4/20/2040

      58,578        59,808  
     

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $6,883,177)

         7,548,288  
     

 

 

  

CORPORATE BONDS — 22.4%

      

Aerospace & Defense — 0.4%

      

Lockheed Martin Corp. 2.80%, 6/15/2050

      15,000        15,733  

Northrop Grumman Corp.

      

3.20%, 2/1/2027

      30,000        32,901  

3.85%, 4/15/2045

      20,000        22,896  

Raytheon Technologies Corp. 4.63%, 11/16/2048

      40,000        51,831  
     

 

 

  
        123,361  
     

 

 

  

Automobiles — 0.1%

 

Hyundai Capital America 3.45%, 3/12/2021 (a)

      30,000        30,206  
     

 

 

  

Banks — 3.5%

 

Bank of America Corp.

      

(ICE LIBOR USD 3 Month + 0.93%), 2.82%, 7/21/2023 (d)

      65,000        67,228  

4.20%, 8/26/2024

      60,000        66,169  

5.00%, 1/21/2044

      55,000        72,104  

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

      15,000        17,457  

Citigroup, Inc.

      

3.75%, 6/16/2024

      41,000        44,613  

3.20%, 10/21/2026

      19,000        20,330  

8.13%, 7/15/2039

      30,000        50,434  

Citizens Financial Group, Inc. 2.38%, 7/28/2021

      50,000        50,704  

Commonwealth Bank of Australia (Australia) 3.45%, 3/16/2023 (a)

      70,000        75,016  

Fifth Third Bancorp 3.65%, 1/25/2024

      35,000        37,942  

Huntington Bancshares, Inc. 2.30%, 1/14/2022

      50,000        50,999  

Mitsubishi UFJ Financial Group, Inc. (Japan)

      

3.46%, 3/2/2023

      45,000        47,501  

3.78%, 3/2/2025

      45,000        49,323  

3.74%, 3/7/2029

      15,000        16,764  

Regions Financial Corp. 2.75%, 8/14/2022

      40,000        40,939  

Santander UK Group Holdings plc (United Kingdom) 3.13%, 1/8/2021

      30,000        30,344  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

Sumitomo Mitsui Financial Group, Inc. (Japan)

      

3.10%, 1/17/2023

      25,000        26,251  

3.36%, 7/12/2027

      25,000        26,851  

Wells Fargo & Co.

      

Series M, 3.45%, 2/13/2023

      70,000        73,687  

4.65%, 11/4/2044

      30,000        35,604  

Westpac Banking Corp. (Australia) 2.85%, 5/13/2026

      65,000        70,643  
     

 

 

  
        970,903  
     

 

 

  

Beverages — 0.6%

 

Anheuser-Busch Cos. LLC (Belgium)

      

3.65%, 2/1/2026

      30,000        33,240  

4.90%, 2/1/2046

      25,000        28,990  

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

      10,000        11,570  

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

      

4.00%, 4/13/2028

      15,000        16,950  

4.95%, 1/15/2042

      30,000        35,016  

Keurig Dr Pepper, Inc.

      

4.60%, 5/25/2028

      15,000        17,785  

5.09%, 5/25/2048

      5,000        6,484  

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

      15,000        14,140  
     

 

 

  
        164,175  
     

 

 

  

Biotechnology — 0.7%

 

AbbVie, Inc.

      

3.80%, 3/15/2025 (a)

      15,000        16,522  

3.60%, 5/14/2025

      50,000        55,164  

4.55%, 3/15/2035 (a)

      10,000        11,780  

4.85%, 6/15/2044 (a)

      15,000        17,802  

4.70%, 5/14/2045

      15,000        17,910  

4.88%, 11/14/2048

      15,000        18,497  

Amgen, Inc. 2.20%, 2/21/2027

      10,000        10,423  

Gilead Sciences, Inc.

      

3.70%, 4/1/2024

      30,000        33,252  

4.80%, 4/1/2044

      15,000        19,743  
     

 

 

  
        201,093  
     

 

 

  

Building Products — 0.1%

 

Masco Corp. 4.45%, 4/1/2025

      25,000        27,284  
     

 

 

  

Capital Markets — 1.3%

 

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

      15,000        22,127  

Goldman Sachs Group, Inc. (The)

      

4.00%, 3/3/2024

      50,000        54,767  

(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (d)

      65,000        72,251  

Macquarie Group Ltd. (Australia)

      

6.25%, 1/14/2021(a)

      30,000        30,913  

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

      20,000        20,979  

Morgan Stanley

      

4.00%, 7/23/2025

      90,000        100,617  

3.13%, 7/27/2026

      35,000        37,918  

3.95%, 4/23/2027

      25,000        27,836  
     

 

 

  
        367,408  
     

 

 

  

Chemicals — 0.6%

 

DuPont de Nemours, Inc. 4.49%, 11/15/2025

      100,000        113,451  

Mosaic Co. (The)

      

3.25%, 11/15/2022

      10,000        10,076  

4.05%, 11/15/2027

      10,000        10,173  

Nutrien Ltd. (Canada)

      

3.00%, 4/1/2025

      20,000        20,954  

6.13%, 1/15/2041

      20,000        25,349  
     

 

 

  
        180,003  
     

 

 

  

Construction Materials — 0.1%

 

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

      30,000        31,580  
     

 

 

  

Consumer Finance — 0.5%

 

American Express Co. 2.50%, 8/1/2022

      30,000        31,137  

Capital One Financial Corp.

      

4.20%, 10/29/2025

      15,000        15,829  

3.75%, 3/9/2027

      25,000        26,122  

General Motors Financial Co., Inc. 4.20%, 3/1/2021

      25,000        25,251  

HSBC Finance Corp. 6.68%, 1/15/2021

      30,000        30,730  
     

 

 

  
        129,069  
     

 

 

  

Diversified Financial Services — 0.3%

 

ORIX Corp. (Japan) 3.70%, 7/18/2027

      30,000        32,678  

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

      25,000        34,454  

Voya Financial, Inc. 3.65%, 6/15/2026

      20,000        21,498  
     

 

 

  
        88,630  
     

 

 

  

Diversified Telecommunication Services — 1.0%

 

AT&T, Inc.

      

3.00%, 6/30/2022

      25,000        25,938  

3.40%, 5/15/2025

      30,000        32,347  

5.35%, 9/1/2040

      65,000        80,926  

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

      15,000        21,505  

Verizon Communications, Inc.

      

4.33%, 9/21/2028

      41,000        48,964  

4.86%, 8/21/2046

      55,000        73,790  
     

 

 

  
        283,470  
     

 

 

  

Electric Utilities — 1.0%

 

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

      20,000        25,365  

Duke Energy Corp.

      

2.65%, 9/1/2026

      25,000        26,758  

3.75%, 9/1/2046

      25,000        27,572  

Emera US Finance LP (Canada)

      

3.55%, 6/15/2026

      10,000        10,878  

4.75%, 6/15/2046

      20,000        22,666  

Entergy Louisiana LLC 4.00%, 3/15/2033

      40,000        48,073  

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

      19,000        20,380  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

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

      15,000        18,586  

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

      15,000        15,702  

PNM Resources, Inc. 3.25%, 3/9/2021

      15,000        15,150  

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

      20,000        21,316  

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

      30,000        33,047  
     

 

 

  
        285,493  
     

 

 

  

Electrical Equipment — 0.1%

 

Eaton Corp. 3.10%, 9/15/2027

      25,000        26,676  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.3%

 

Arrow Electronics, Inc.

      

3.25%, 9/8/2024

      15,000        15,731  

3.88%, 1/12/2028

      15,000        15,319  

Corning, Inc.

      

5.35%, 11/15/2048

      20,000        25,057  

4.38%, 11/15/2057

      15,000        16,614  
     

 

 

  
        72,721  
     

 

 

  

Energy Equipment & Services — 0.2%

 

Halliburton Co.

      

3.80%, 11/15/2025

      2,000        2,116  

4.50%, 11/15/2041

      10,000        9,290  

Schlumberger Holdings Corp.

      

4.00%, 12/21/2025 (a)

      15,000        16,222  

4.30%, 5/1/2029 (a)

      30,000        32,548  
     

 

 

  
        60,176  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.3%

 

American Tower Corp.

      

5.00%, 2/15/2024

      30,000        34,151  

3.95%, 3/15/2029

      15,000        17,019  

Boston Properties LP 3.40%, 6/21/2029

      25,000        26,280  

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

      25,000        24,839  

Healthpeak Properties, Inc. 3.25%, 7/15/2026

      50,000        50,799  

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

      15,000        14,871  

Life Storage LP 4.00%, 6/15/2029

      5,000        5,170  

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

      20,000        21,002  

Realty Income Corp. 3.65%, 1/15/2028

      25,000        26,670  

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

      10,000        10,226  

UDR, Inc.

      

4.40%, 1/26/2029

      20,000        22,496  

3.20%, 1/15/2030

      10,000        10,459  

3.00%, 8/15/2031

      20,000        20,379  

VEREIT Operating Partnership LP 4.88%, 6/1/2026

      10,000        9,968  

Welltower, Inc.

      

4.00%, 6/1/2025

      25,000        26,113  

4.13%, 3/15/2029

      20,000        20,667  

6.50%, 3/15/2041

      10,000        11,972  
     

 

 

  
        353,081  
     

 

 

  

Food & Staples Retailing — 0.1%

 

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

      20,000        25,572  
     

 

 

  

Food Products — 0.2%

 

Campbell Soup Co. 3.65%, 3/15/2023

      6,000        6,394  

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

      5,000        6,375  

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

      20,000        23,993  

Tyson Foods, Inc.

      

3.95%, 8/15/2024

      15,000        16,550  

5.15%, 8/15/2044

      10,000        12,171  
     

 

 

  
        65,483  
     

 

 

  

Health Care Equipment & Supplies — 0.5%

 

Abbott Laboratories

      

3.75%, 11/30/2026

      17,000        19,914  

4.75%, 11/30/2036

      15,000        19,848  

5.30%, 5/27/2040

      15,000        21,050  

Becton Dickinson and Co.

      

2.89%, 6/6/2022

      10,000        10,388  

3.70%, 6/6/2027

      10,000        11,182  

Boston Scientific Corp.

      

3.85%, 5/15/2025

      13,000        14,382  

4.70%, 3/1/2049

      10,000        12,800  

Zimmer Biomet Holdings, Inc.

      

3.70%, 3/19/2023

      6,000        6,339  

3.55%, 4/1/2025

      10,000        10,765  
     

 

 

  
        126,668  
     

 

 

  

Health Care Providers & Services — 0.8%

 

Aetna, Inc. 2.80%, 6/15/2023

      35,000        36,523  

Anthem, Inc.

      

3.35%, 12/1/2024

      15,000        16,372  

4.63%, 5/15/2042

      20,000        24,574  

CVS Health Corp.

      

3.70%, 3/9/2023

      30,000        32,137  

4.30%, 3/25/2028

      41,000        46,750  

4.78%, 3/25/2038

      27,000        32,875  

HCA, Inc.

      

4.50%, 2/15/2027

      20,000        22,089  

5.25%, 6/15/2049

      15,000        17,658  
     

 

 

  
        228,978  
     

 

 

  

Hotels, Restaurants & Leisure — 0.2%

 

McDonald’s Corp. 3.80%, 4/1/2028

      35,000        40,213  

Starbucks Corp. 4.45%, 8/15/2049

      15,000        17,514  
     

 

 

  
        57,727  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.2%

 

Exelon Generation Co. LLC 5.75%, 10/1/2041

      45,000        50,513  
     

 

 

  

Industrial Conglomerates — 0.3%

 

General Electric Co.

      

3.38%, 3/11/2024

      20,000        20,318  

6.75%, 3/15/2032

      45,000        53,980  

4.13%, 10/9/2042

      23,000        21,184  
     

 

 

  
        95,482  
     

 

 

  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

Insurance — 1.3%

 

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

      20,000        20,234  

American International Group, Inc.

      

3.75%, 7/10/2025

      20,000        21,798  

3.88%, 1/15/2035

      25,000        27,216  

4.38%, 1/15/2055

      15,000        16,290  

Athene Global Funding

      

3.00%, 7/1/2022 (a)

      25,000        25,224  

2.95%, 11/12/2026 (a)

      30,000        29,904  

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

      10,000        9,689  

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

      20,000        26,090  

Lincoln National Corp.

      

4.20%, 3/15/2022

      15,000        15,864  

3.63%, 12/12/2026

      15,000        16,186  

4.35%, 3/1/2048

      20,000        21,150  

Markel Corp.

      

3.50%, 11/1/2027

      20,000        21,123  

5.00%, 5/20/2049

      15,000        17,388  

Marsh & McLennan Cos., Inc. 4.38%, 3/15/2029

      30,000        35,414  

New York Life Global Funding 1.10%, 5/5/2023 (a)

      30,000        30,353  

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

      5,000        5,625  

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

      30,000        33,630  
     

 

 

  
        373,178  
     

 

 

  

Media — 0.8%

 

Charter Communications Operating LLC 5.75%, 4/1/2048

      10,000        12,314  

Comcast Corp.

      

3.38%, 2/15/2025

      30,000        33,171  

3.15%, 3/1/2026

      30,000        33,303  

3.20%, 7/15/2036

      40,000        43,095  

6.40%, 5/15/2038

      30,000        43,842  

4.50%, 1/15/2043

      15,000        18,677  

Cox Communications, Inc.

      

3.15%, 8/15/2024 (a)

      25,000        26,525  

4.60%, 8/15/2047 (a)

      15,000        17,565  
     

 

 

  
        228,492  
     

 

 

  

Metals & Mining — 0.1%

 

Glencore Funding LLC (Switzerland) 4.63%,
4/29/2024 (a)

      15,000        16,047  

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

      10,000        10,438  
     

 

 

  
        26,485  
     

 

 

  

Multiline Retail — 0.0% (e)

 

Dollar General Corp. 4.13%, 5/1/2028

      5,000        5,684  
     

 

 

  

Multi-Utilities — 0.3%

 

Dominion Energy, Inc.

      

Series D, 2.85%, 8/15/2026

      25,000        26,357  

Series C, 4.05%, 9/15/2042

      20,000        21,757  

Sempra Energy 3.80%, 2/1/2038

      25,000        26,794  
     

 

 

  
        74,908  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.5%

 

Apache Corp.

      

4.38%, 10/15/2028

      20,000        17,896  

4.25%, 1/15/2044

      25,000        18,279  

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

      30,000        32,501  

Boardwalk Pipelines LP 5.95%, 6/1/2026

      20,000        20,173  

Buckeye Partners LP 5.85%, 11/15/2043

      10,000        8,337  

Enbridge, Inc. (Canada)

      

4.25%, 12/1/2026

      20,000        22,131  

4.50%, 6/10/2044

      15,000        15,527  

Energy Transfer Operating LP 6.25%, 4/15/2049

      15,000        16,281  

Energy Transfer Partners LP 5.88%, 3/1/2022

      15,000        15,801  

Enterprise Products Operating LLC

      

3.75%, 2/15/2025

      30,000        32,999  

3.13%, 7/31/2029

      15,000        15,856  

5.10%, 2/15/2045

      35,000        39,974  

Kinder Morgan Energy Partners LP 3.95%, 9/1/2022

      25,000        26,296  

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

      10,000        10,106  

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

      15,000        17,838  

MPLX LP

      

4.88%, 6/1/2025

      10,000        10,644  

4.13%, 3/1/2027

      15,000        15,492  

4.50%, 4/15/2038

      10,000        9,915  

5.20%, 3/1/2047

      15,000        16,295  

Nexen, Inc. (China) 5.88%, 3/10/2035

      20,000        27,300  

Noble Energy, Inc.

      

3.85%, 1/15/2028

      15,000        13,642  

5.05%, 11/15/2044

      30,000        26,022  

ONEOK, Inc.

      

3.40%, 9/1/2029

      30,000        27,730  

4.45%, 9/1/2049

      15,000        13,701  

Phillips 66 4.88%, 11/15/2044

      20,000        24,850  

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

      30,000        28,335  

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

      20,000        21,196  

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

      20,000        21,775  

Sunoco Logistics Partners Operations LP

      

4.00%, 10/1/2027

      10,000        10,018  

5.35%, 5/15/2045

      30,000        29,295  

TransCanada PipeLines Ltd. (Canada)

      

4.88%, 1/15/2026

      25,000        28,974  

4.63%, 3/1/2034

      15,000        17,188  

4.75%, 5/15/2038

      20,000        23,282  

5.00%, 10/16/2043

      10,000        12,044  

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

      20,000        21,393  
     

 

 

  
        709,086  
     

 

 

  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

Pharmaceuticals — 0.4%

 

Bristol-Myers Squibb Co. 4.63%, 5/15/2044 (a)

      10,000        13,290  

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

      50,000        55,198  

Zoetis, Inc.

      

4.50%, 11/13/2025

      15,000        17,260  

2.00%, 5/15/2030

      15,000        15,101  

4.70%, 2/1/2043

      15,000        19,195  
     

 

 

  
        120,044  
     

 

 

  

Road & Rail — 0.6%

      

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

      30,000        36,636  

CSX Corp. 4.30%, 3/1/2048

      20,000        24,334  

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

      30,000        33,990  

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

      40,000        45,011  

Norfolk Southern Corp. 4.65%, 1/15/2046

      10,000        12,560  
     

 

 

  
        152,531  
     

 

 

  

Semiconductors & Semiconductor Equipment — 0.2%

 

Broadcom Corp.

      

2.65%, 1/15/2023

      20,000        20,671  

3.88%, 1/15/2027

      25,000        26,304  
     

 

 

  
        46,975  
     

 

 

  

Software — 0.5%

      

Microsoft Corp. 4.20%, 11/3/2035

      60,000        78,776  

Oracle Corp. 3.85%, 7/15/2036

      60,000        69,419  
     

 

 

  
        148,195  
     

 

 

  

Specialty Retail — 0.1%

      

Advance Auto Parts, Inc. 4.50%, 12/1/2023

      25,000        26,726  

Lowe’s Cos., Inc. 4.65%, 4/15/2042

      10,000        12,298  
     

 

 

  
        39,024  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.2%

 

Apple, Inc. 4.65%, 2/23/2046

      30,000        41,233  

Dell International LLC 4.42%, 6/15/2021 (a)

      25,000        25,469  
     

 

 

  
        66,702  
     

 

 

  

Tobacco — 0.3%

      

BAT Capital Corp. (United Kingdom)

      

3.22%, 8/15/2024

      15,000        15,775  

3.56%, 8/15/2027

      20,000        21,014  

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

      35,000        41,978  
     

 

 

  
        78,767  
     

 

 

  

Trading Companies & Distributors — 0.4%

 

Air Lease Corp.

      

3.50%, 1/15/2022

      25,000        23,927  

3.25%, 3/1/2025

      10,000        9,255  

3.25%, 10/1/2029

      20,000        17,037  

Aviation Capital Group LLC

      

2.88%, 1/20/2022 (a)

      30,000        25,205  

3.50%, 11/1/2027 (a)

      20,000        13,847  

International Lease Finance Corp. 4.63%, 4/15/2021

      35,000        34,761  
     

 

 

  
        124,032  
     

 

 

  

Wireless Telecommunication Services — 0.3%

 

T-Mobile USA, Inc.

      

3.75%, 4/15/2027 (a)

      15,000        16,218  

4.50%, 4/15/2050 (a)

      5,000        5,622  

Vodafone Group plc (United Kingdom)

      

3.75%, 1/16/2024

      20,000        21,749  

4.38%, 5/30/2028

      25,000        29,257  

5.00%, 5/30/2038

      11,000        13,446  
     

 

 

  
        86,292  
     

 

 

  

TOTAL CORPORATE BONDS
(Cost $5,868,738)

 

      6,326,147  
  

 

 

  

U.S. TREASURY OBLIGATIONS — 8.6%

 

U.S. Treasury Bonds

      

3.75%, 11/15/2043

      7,000        10,399  

2.38%, 11/15/2049

      65,000        80,102  

2.00%, 2/15/2050

      150,000        171,475  

U.S. Treasury Notes

      

2.63%, 2/28/2023

      265,000        282,722  

0.38%, 4/30/2025

      500,000        501,699  

0.50%, 4/30/2027

      1,000,000        1,000,508  

2.75%, 2/15/2028

      230,000        268,543  

2.88%, 5/15/2028

      17,600        20,793  

1.75%, 11/15/2029

      70,000        77,268  
     

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,331,212)

 

      2,413,509  
  

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.2%

 

20 Times Square Trust

 

   

Series 2018-20TS, Class D, 3.10%, 5/15/2035‡ (a) (b)

      100,000        87,015  

Series 2018-20TS, Class E, 3.10%, 5/15/2035‡ (a) (b)

      100,000        85,082  

Citigroup Commercial Mortgage Trust

 

   

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

      23,593        24,221  

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

      8,323        8,906  

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

      11,750        12,452  

Commercial Mortgage Trust

 

   

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

      15,000        15,874  

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

      29,158        31,035  

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

      23,871        25,007  

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

Investments

    Principal
Amount ($)		      Value ($)  

FHLMC, Multi-Family Structured Pass-Through Certificates

 

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

      200,000        219,168  

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

      120,000        140,175  

FREMF Mortgage Trust Series 2013-K26, Class B, 3.60%, 12/25/2045 (a) (b)

      99,000        101,470  

GPMT Ltd. (Cayman Islands) Series 2018-FL1, Class AS, 1.37%, 11/21/2035‡ (a) (b)

      150,000        135,495  

GS Mortgage Securities Trust

      

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

      111,000        116,580  

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

      50,000        52,519  

JP Morgan Chase Commercial Mortgage Securities Trust

 

Series 2013-LC11, Class A4, 2.69%, 4/15/2046

      13,593        13,899  

Series 2011-C5, Class B, 5.44%, 8/15/2046 (a) (b)

      169,000        171,213  

JPMBB Commercial Mortgage Securities Trust Series 2013-C15, Class C, 5.20%, 11/15/2045 (b)

      30,000        28,139  

JPMCC Re-REMIC Trust Series 2014-FRR1, Class BK10, 2.10%, 11/27/2049‡ (a) (b) 180,000 175,011

 

Morgan Stanley Bank of America Merrill Lynch Trust

 

Series 2014-C18, Class A2, 3.19%, 10/15/2047

      4,670        4,667  

Series 2015-C27, Class A3, 3.47%, 12/15/2047

      130,000        137,153  

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

      130,000        137,916  

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

      26,291        26,967  
     

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $1,716,037)

 

      1,749,964  
  

 

 

  

MORTGAGE-BACKED SECURITIES — 1.5%

 

FNMA, Other

 

   

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

      132,006        148,620  

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

      67,404        74,919  

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

      86,215        95,889  

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

      86,215        99,009  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES
(Cost $377,351)

 

      418,437  
  

 

 

  

Investments

    Shares      Value ($)  

SHORT-TERM INVESTMENTS — 7.5%

 

INVESTMENT COMPANIES — 7.5%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.44% (f) (g)
(Cost $2,107,867)

      2,107,167        2,109,274  
     

 

 

  

Total Investments — 100.3%
(Cost $27,102,473)

 

      28,292,988  

Liabilities in Excess of Other Assets — (0.3)%

 

      (77,475 ) 
  

 

 

  

Net Assets — 100.0%

 

      28,215,513  
  

 

 

  

 

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
USD    United States Dollar

 

(a)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)    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 May 31, 2020.
(c)    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 May 31, 2020.
(d)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2020.
(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 May 31, 2020.
‡    Value determined using significant unobservable inputs.

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

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 May 31, 2020.

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

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

Investments in Securities

 

      

Asset-Backed Securities

    $ —        $ 7,044,948      $ 682,421      $ 7,727,369  

Collateralized Mortgage Obligations

      —          7,548,288        —          7,548,288  

Commercial Mortgage-Backed Securities

      —          1,267,361        482,603        1,749,964  

Corporate Bonds

      —          6,326,147        —          6,326,147  

Mortgage-Backed Securities

      —          418,437        —          418,437  

U.S. Treasury Obligations

      —          2,413,509        —          2,413,509  

Short-Term Investments

 

      

Investment Companies

      2,109,274        —          —          2,109,274  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 2,109,274      $ 25,018,690      $ 1,165,024      $ 28,292,988  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

 

    Balance as of
February 29,
2020		     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
May 31, 2020		  

Investments in Securities:

 

                

Asset-Backed Securities

   $ 955,903     $ —       $ (69,534 )    $ 31     $ —       $ (130,709 )    $ —       $ (73,270 )    $ 682,421  

Commercial Mortgage-Backed Securities

     429,650       —         (49,155 )      181       —         —         101,927       —         482,603  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,385,553     $ —       $ (118,689 )    $ 212     $ —       $ (130,709 )    $ 101,927     $ (73,270 )    $ 1,165,024  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at May 31, 2020, which were valued using significant unobservable inputs (level 3), amounted to $(117,038).

There were no significant transfers into or out of level 3 for the period ended May 31, 2020.

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value
at May 31,
2020		     

Valuation Technique(s)

   

Unobservable Input

    Range (Weighted Average) (a)  
   $ 682,421      Discounted Cash Flow    Constant Prepayment Rate      0.00% - 40.00% (13.21% ) 
         Yield (Discount Rate of Cash Flows)      4.38% - 9.64% (6.51% ) 
  

 

 

           

Asset-Backed Securities

      682,421           
  

 

 

           
     347,108      Discounted Cash Flow    Yield (Discount Rate of Cash Flows)      6.95% - 9.00% (7.76%)  
  

 

 

           

Commercial Mortgage-Backed Securities

      347,108           
  

 

 

           

Total

    $ 1,029,529           
  

 

 

           

 

#

The table above does not include certain level 3 investments that are valued by brokers and pricing services. At May 31, 2020, the value of these investments was $135,495. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A.

(a)

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

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 yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

JPMorgan Core Focus SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited) (continued)

 

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 the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.

 

For the period ended May 31, 2020

  

Security Description

   Value at
February 29, 2020		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
May 31, 2020		     Shares at
May 31, 2020		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.44%(a)(b)

   $ —       $ 7,980,011     $ 5,873,417     $ 1,272     $ 1,408     $ 2,109,274       2,107,167     $ 2,198     $ —    

JPMorgan Prime Money Market Fund Class Institutional Shares(a)

     2,582,926       1,290,230       3,872,847       407       (716 )      —         —         4,196       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 2,582,926     $ 9,270,241     $ 9,746,264     $ 1,679     $ 692     $ 2,109,274       $ 6,394     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 May 31, 2020.