JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2021 (Unaudited)
Investments | Shares | Value ($) | ||||||
COMMON STOCKS — 99.8% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
L3Harris Technologies, Inc. | 514 | 116,544 | ||||||
Lockheed Martin Corp. | 285 | 105,926 | ||||||
|
| |||||||
222,470 | ||||||||
|
| |||||||
Automobiles & Parts — 0.6% |
| |||||||
Gentex Corp. | 1,810 | 61,595 | ||||||
Genuine Parts Co. | 572 | 72,598 | ||||||
|
| |||||||
134,193 | ||||||||
|
| |||||||
Banks — 0.1% |
| |||||||
TFS Financial Corp. | 1,529 | 29,785 | ||||||
|
| |||||||
Beverages — 3.8% |
| |||||||
Brown-Forman Corp., Class B | 1,521 | 107,869 | ||||||
Coca-Cola Co. (The) | 2,177 | 124,154 | ||||||
Constellation Brands, Inc., Class A | 483 | 108,356 | ||||||
Keurig Dr Pepper, Inc. | 3,272 | 115,207 | ||||||
Molson Coors Beverage Co., Class B* | 2,136 | 104,429 | ||||||
Monster Beverage Corp.* | 1,271 | 119,881 | ||||||
PepsiCo, Inc. | 873 | 137,018 | ||||||
|
| |||||||
816,914 | ||||||||
|
| |||||||
Chemicals — 3.2% |
| |||||||
Air Products and Chemicals, Inc. | 388 | 112,919 | ||||||
Ashland Global Holdings, Inc. | 1,230 | 104,636 | ||||||
Celanese Corp. | 108 | 16,823 | ||||||
Ecolab, Inc. | 502 | 110,857 | ||||||
FMC Corp. | 318 | 34,010 | ||||||
International Flavors & Fragrances, Inc. | 725 | 109,214 | ||||||
NewMarket Corp. | 126 | 39,805 | ||||||
Scotts Miracle-Gro Co. (The) | 658 | 116,440 | ||||||
WR Grace & Co. | 745 | 51,852 | ||||||
|
| |||||||
696,556 | ||||||||
|
| |||||||
Consumer Services — 0.6% |
| |||||||
Rollins, Inc. | 575 | 22,040 | ||||||
Service Corp. International | 1,610 | 100,609 | ||||||
|
| |||||||
122,649 | ||||||||
|
| |||||||
Electricity — 11.3% |
| |||||||
Alliant Energy Corp. | 1,971 | 115,363 | ||||||
American Electric Power Co., Inc. | 1,391 | 122,575 | ||||||
Avangrid, Inc. | 1,679 | 87,543 | ||||||
Brookfield Renewable Corp. | 334 | 14,175 | ||||||
CMS Energy Corp. | 1,911 | 118,081 | ||||||
Consolidated Edison, Inc. | 1,446 | 106,671 | ||||||
Dominion Energy, Inc. | 1,426 | 106,764 | ||||||
DTE Energy Co. | 906 | 106,292 | ||||||
Edison International | 1,845 | 100,552 | ||||||
Entergy Corp. | 1,064 | 109,507 | ||||||
Evergy, Inc. | 1,718 | 112,048 | ||||||
Eversource Energy | 1,296 | 111,806 | ||||||
Exelon Corp. | 2,456 | 114,941 | ||||||
FirstEnergy Corp. | 2,759 | 105,725 | ||||||
Hawaiian Electric Industries, Inc. | 1,314 | 56,949 | ||||||
IDACORP, Inc. | 697 | 73,499 | ||||||
NextEra Energy, Inc. | 1,741 | 135,624 | ||||||
NRG Energy, Inc. | 1,929 | 79,552 | ||||||
OGE Energy Corp. | 3,009 | 101,554 | ||||||
Pinnacle West Capital Corp. | 1,234 | 103,101 | ||||||
PPL Corp. | 3,647 | 103,465 | ||||||
Public Service Enterprise Group, Inc. | 1,997 | 124,273 | ||||||
Southern Co. (The) | 1,809 | 115,541 | ||||||
Xcel Energy, Inc. | 1,642 | 112,066 | ||||||
|
| |||||||
2,437,667 | ||||||||
|
| |||||||
Electronic & Electrical Equipment — 0.6% |
| |||||||
Hubbell, Inc. | 192 | 38,489 | ||||||
Waters Corp.* | 225 | 87,707 | ||||||
|
| |||||||
126,196 | ||||||||
|
| |||||||
Finance & Credit Services — 0.1% |
| |||||||
Morningstar, Inc. | 71 | 17,937 | ||||||
|
| |||||||
Food Producers — 8.7% |
| |||||||
Archer-Daniels-Midland Co. | 1,948 | 116,335 | ||||||
Bunge Ltd. | 1,338 | 103,869 | ||||||
Campbell Soup Co. | 2,314 | 101,168 | ||||||
Conagra Brands, Inc. | 3,072 | 102,881 | ||||||
Corteva, Inc. | 1,938 | 82,908 | ||||||
Flowers Foods, Inc. | 2,879 | 67,829 | ||||||
General Mills, Inc. | 1,751 | 103,064 | ||||||
Hain Celestial Group, Inc. (The)* | 651 | 25,981 | ||||||
Hershey Co. (The) | 682 | 121,996 | ||||||
Hormel Foods Corp. | 2,189 | 101,526 | ||||||
Ingredion, Inc. | 1,130 | 99,225 | ||||||
JM Smucker Co. (The) | 880 | 115,377 | ||||||
Kellogg Co. | 1,661 | 105,241 | ||||||
Kraft Heinz Co. (The) | 2,610 | 100,407 | ||||||
Lamb Weston Holdings, Inc. | 1,295 | 86,467 | ||||||
McCormick & Co., Inc. (Non-Voting) | 1,204 | 101,341 | ||||||
Mondelez International, Inc., Class A | 1,901 | 120,257 | ||||||
Pilgrim’s Pride Corp.* | 1,005 | 22,261 | ||||||
Post Holdings, Inc.* | 894 | 91,492 | ||||||
Tyson Foods, Inc., Class A | 1,388 | 99,186 | ||||||
US Foods Holding Corp.* | 350 | 12,019 | ||||||
|
| |||||||
1,880,830 | ||||||||
|
| |||||||
Gas, Water & Multi-utilities — 5.3% |
| |||||||
Ameren Corp. | 1,351 | 113,376 | ||||||
American Water Works Co., Inc. | 801 | 136,258 | ||||||
Atmos Energy Corp. | 1,058 | 104,308 | ||||||
CenterPoint Energy, Inc. | 2,567 | 65,356 | ||||||
Duke Energy Corp. | 1,215 | 127,709 | ||||||
Essential Utilities, Inc. | 2,094 | 102,857 | ||||||
National Fuel Gas Co. | 1,583 | 81,414 | ||||||
NiSource, Inc. | 4,422 | 109,533 | ||||||
Sempra Energy | 791 | 103,344 | ||||||
UGI Corp. | 1,752 | 80,574 | ||||||
WEC Energy Group, Inc. | 1,179 | 110,991 | ||||||
|
| |||||||
1,135,720 | ||||||||
|
| |||||||
General Industrials — 1.5% |
| |||||||
3M Co. | 466 | 92,240 | ||||||
AptarGroup, Inc. | 349 | 44,993 | ||||||
PPG Industries, Inc. | 530 | 86,666 | ||||||
RPM International, Inc. | 1,041 | 90,140 | ||||||
Silgan Holdings, Inc. | 367 | 14,871 | ||||||
Sonoco Products Co. | 93 | 5,932 | ||||||
|
| |||||||
334,842 | ||||||||
|
| |||||||
Health Care Providers — 2.0% |
| |||||||
Cerner Corp. | 1,317 | 105,874 | ||||||
Chemed Corp. | 124 | 59,026 | ||||||
Encompass Health Corp. | 479 | 39,877 | ||||||
IQVIA Holdings, Inc.* | 318 | 78,769 | ||||||
UnitedHealth Group, Inc. | 339 | 139,742 | ||||||
|
| |||||||
423,288 | ||||||||
|
|
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2021 (Unaudited) (continued)
Investments | Shares | Value ($) | ||||||
Household Goods & Home Construction — 0.7% |
| |||||||
Leggett & Platt, Inc. | 1,026 | 49,279 | ||||||
NVR, Inc.* | 19 | 99,229 | ||||||
|
| |||||||
148,508 | ||||||||
|
| |||||||
Industrial Materials — 0.5% |
| |||||||
Avery Dennison Corp. | 488 | 102,812 | ||||||
|
| |||||||
Industrial Metals & Mining — 0.6% |
| |||||||
Fastenal Co. | 2,040 | 111,731 | ||||||
Reliance Steel & Aluminum Co. | 189 | 29,701 | ||||||
|
| |||||||
141,432 | ||||||||
|
| |||||||
Industrial Support Services — 0.8% |
| |||||||
Automatic Data Processing, Inc. | 486 | 101,880 | ||||||
Jack Henry & Associates, Inc. | 312 | 54,316 | ||||||
Verisk Analytics, Inc. | 138 | 26,212 | ||||||
|
| |||||||
182,408 | ||||||||
|
| |||||||
Industrial Transportation — 1.0% |
| |||||||
Expeditors International of Washington, Inc. | 760 | 97,470 | ||||||
United Parcel Service, Inc., Class B | 644 | 123,236 | ||||||
|
| |||||||
220,706 | ||||||||
|
| |||||||
Investment Banking & Brokerage Services — 0.7% |
| |||||||
Berkshire Hathaway, Inc., Class B* | 476 | 132,466 | ||||||
Broadridge Financial Solutions, Inc. | 120 | 20,819 | ||||||
|
| |||||||
153,285 | ||||||||
|
| |||||||
Leisure Goods — 1.1% |
| |||||||
Electronic Arts, Inc. | 162 | 23,322 | ||||||
Garmin Ltd. | 886 | 139,279 | ||||||
Hasbro, Inc. | 143 | 14,220 | ||||||
Pool Corp. | 149 | 71,195 | ||||||
|
| |||||||
248,016 | ||||||||
|
| |||||||
Medical Equipment & Services — 14.1% |
| |||||||
Abbott Laboratories | 1,145 | 138,522 | ||||||
Agilent Technologies, Inc. | 405 | 62,058 | ||||||
Baxter International, Inc. | 1,305 | 100,942 | ||||||
Becton Dickinson and Co. | 445 | 113,809 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 182 | 134,591 | ||||||
Bio-Techne Corp. | 289 | 139,367 | ||||||
Boston Scientific Corp.* | 2,864 | 130,598 | ||||||
Cooper Cos., Inc. (The) | 317 | 133,701 | ||||||
Danaher Corp. | 530 | 157,670 | ||||||
Edwards Lifesciences Corp.* | 1,154 | 129,560 | ||||||
Henry Schein, Inc.* | 1,376 | 110,286 | ||||||
Hill-Rom Holdings, Inc. | 1,020 | 141,229 | ||||||
Hologic, Inc.* | 1,439 | 107,982 | ||||||
IDEXX Laboratories, Inc.* | 220 | 149,277 | ||||||
Integra LifeSciences Holdings Corp.* | 277 | 20,052 | ||||||
Masimo Corp.* | 397 | 108,139 | ||||||
Medtronic plc | 1,059 | 139,057 | ||||||
PerkinElmer, Inc. | 706 | 128,654 | ||||||
QIAGEN NV* | 1,358 | 71,689 | ||||||
Quest Diagnostics, Inc. | 940 | 133,292 | ||||||
STERIS plc | 589 | 128,372 | ||||||
Stryker Corp. | 502 | 136,012 | ||||||
Teleflex, Inc. | 292 | 116,050 | ||||||
Thermo Fisher Scientific, Inc. | 280 | 151,203 | ||||||
West Pharmaceutical Services, Inc. | 372 | 153,164 | ||||||
Zimmer Biomet Holdings, Inc. | 143 | 23,369 | ||||||
|
| |||||||
3,058,645 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts — 0.3% |
| |||||||
AGNC Investment Corp. | 450 | 7,142 | ||||||
Annaly Capital Management, Inc. | 659 | 5,595 | ||||||
Starwood Property Trust, Inc. | 1,645 | 42,819 | ||||||
|
| |||||||
55,556 | ||||||||
|
| |||||||
Non-life Insurance — 3.9% |
| |||||||
Allstate Corp. (The) | 976 | 126,929 | ||||||
American Financial Group, Inc. | 164 | 20,744 | ||||||
Aon plc, Class A | 145 | 37,704 | ||||||
Arch Capital Group Ltd.* | 1,070 | 41,730 | ||||||
Arthur J Gallagher & Co. | 644 | 89,716 | ||||||
Brown & Brown, Inc. | 2,444 | 132,953 | ||||||
Markel Corp.* | 45 | 54,278 | ||||||
Marsh & McLennan Cos., Inc. | 930 | 136,915 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 645 | 98,485 | ||||||
White Mountains Insurance Group Ltd. | 53 | 59,973 | ||||||
WR Berkley Corp. | 530 | 38,780 | ||||||
|
| |||||||
838,207 | ||||||||
|
| |||||||
Non-Renewable Energy — 4.2% |
| |||||||
Baker Hughes Co. | 4,126 | 87,636 | ||||||
Cabot Oil & Gas Corp. | 6,173 | 98,768 | ||||||
Cheniere Energy, Inc.* | 1,446 | 122,809 | ||||||
Chevron Corp. | 1,090 | 110,973 | ||||||
ConocoPhillips | 879 | 49,277 | ||||||
DT Midstream, Inc.* | 453 | 19,207 | ||||||
Exxon Mobil Corp. | 2,001 | 115,197 | ||||||
Kinder Morgan, Inc. | 6,049 | 105,132 | ||||||
Phillips 66 | 1,249 | 91,714 | ||||||
Williams Cos., Inc. (The) | 4,086 | 102,354 | ||||||
|
| |||||||
903,067 | ||||||||
|
| |||||||
Personal Care, Drug & Grocery Stores — 5.7% |
| |||||||
Albertsons Cos., Inc., Class A(a) | 1,504 | 32,486 | ||||||
AmerisourceBergen Corp. | 892 | 108,976 | ||||||
Casey’s General Stores, Inc. | 236 | 46,660 | ||||||
Church & Dwight Co., Inc. | 1,263 | 109,351 | ||||||
Clorox Co. (The) | 608 | 109,981 | ||||||
Colgate-Palmolive Co. | 1,426 | 113,367 | ||||||
CVS Health Corp. | 1,457 | 119,998 | ||||||
Grocery Outlet Holding Corp.* | 774 | 25,635 | ||||||
Kimberly-Clark Corp. | 828 | 112,376 | ||||||
Kroger Co. (The) | 2,766 | 112,576 | ||||||
McKesson Corp. | 548 | 111,699 | ||||||
Procter & Gamble Co. (The) | 992 | 141,092 | ||||||
Walgreens Boots Alliance, Inc. | 1,995 | 94,064 | ||||||
|
| |||||||
1,238,261 | ||||||||
|
| |||||||
Personal Goods — 0.1% |
| |||||||
Columbia Sportswear Co. | 146 | 14,544 | ||||||
VF Corp. | 234 | 18,767 | ||||||
|
| |||||||
33,311 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Marijuana Producers — 5.9% |
| |||||||
AbbVie, Inc. | 1,115 | 129,674 | ||||||
Amgen, Inc. | 469 | 113,282 | ||||||
Bristol-Myers Squibb Co. | 1,730 | 117,415 | ||||||
Eli Lilly & Co. | 542 | 131,977 | ||||||
Gilead Sciences, Inc. | 1,533 | 104,689 | ||||||
Johnson & Johnson | 830 | 142,926 | ||||||
Merck & Co., Inc. | 1,468 | 112,845 | ||||||
Pfizer, Inc. | 2,762 | 118,241 |
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2021 (Unaudited) (continued)
Investments | Shares | Value ($) | ||||||
Regeneron Pharmaceuticals, Inc.* | 192 | 110,325 | ||||||
United Therapeutics Corp.* | 232 | 42,208 | ||||||
Zoetis, Inc. | 711 | 144,120 | ||||||
|
| |||||||
1,267,702 | ||||||||
|
| |||||||
Precious Metals & Mining — 0.5% |
| |||||||
Newmont Corp. | 1,609 | 101,077 | ||||||
|
| |||||||
Real Estate Investment Trusts — 5.2% |
| |||||||
Alexandria Real Estate Equities, Inc. | 416 | 83,757 | ||||||
American Homes 4 Rent, Class A | 738 | 30,996 | ||||||
American Tower Corp. | 484 | 136,875 | ||||||
CoreSite Realty Corp. | 194 | 26,813 | ||||||
Crown Castle International Corp. | 666 | 128,598 | ||||||
CubeSmart | 573 | 28,455 | ||||||
Digital Realty Trust, Inc. | 701 | 108,066 | ||||||
Equinix, Inc. | 148 | 121,421 | ||||||
Equity LifeStyle Properties, Inc. | 282 | 23,632 | ||||||
Extra Space Storage, Inc. | 365 | 63,561 | ||||||
First Industrial Realty Trust, Inc. | 437 | 23,939 | ||||||
Healthcare Trust of America, Inc., Class A | 726 | 20,756 | ||||||
Life Storage, Inc. | 263 | 30,866 | ||||||
Mid-America Apartment Communities, Inc. | 226 | 43,641 | ||||||
Public Storage | 402 | 125,617 | ||||||
SBA Communications Corp. | 382 | 130,258 | ||||||
|
| |||||||
1,127,251 | ||||||||
|
| |||||||
Renewable Energy — 0.6% |
| |||||||
First Solar, Inc.* | 1,393 | 119,854 | ||||||
|
| |||||||
Retailers — 1.3% |
| |||||||
Costco Wholesale Corp. | 345 | 148,253 | ||||||
Walmart, Inc. | 892 | 127,155 | ||||||
|
| |||||||
275,408 | ||||||||
|
| |||||||
Software & Computer Services — 5.0% |
| |||||||
Amdocs Ltd. | 1,445 | 111,424 | ||||||
ANSYS, Inc.* | 383 | 141,120 | ||||||
Black Knight, Inc.* | 754 | 62,439 | ||||||
CDK Global, Inc. | 1,353 | 64,930 | ||||||
Citrix Systems, Inc. | 572 | 57,629 | ||||||
Cognizant Technology Solutions Corp., Class A | 217 | 15,956 | ||||||
International Business Machines Corp. | 456 | 64,278 | ||||||
Intuit, Inc. | 276 | 146,272 | ||||||
Microsoft Corp. | 623 | 177,499 | ||||||
Synopsys, Inc.* | 489 | 140,827 | ||||||
Tyler Technologies, Inc.* | 151 | 74,389 | ||||||
VeriSign, Inc.* | 142 | 30,724 | ||||||
|
| |||||||
1,087,487 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 0.4% |
| |||||||
Texas Instruments, Inc. | 425 | 81,014 | ||||||
|
| |||||||
Telecommunications Equipment — 1.6% |
| |||||||
Cisco Systems, Inc. | 2,027 | 112,235 | ||||||
Juniper Networks, Inc. | 3,722 | 104,737 | ||||||
Motorola Solutions, Inc. | 605 | 135,472 | ||||||
|
| |||||||
352,444 | ||||||||
|
| |||||||
Telecommunications Service Providers — 3.5% |
| |||||||
AT&T, Inc. | 3,772 | 105,805 | ||||||
Charter Communications, Inc., Class A* | 165 | 122,768 | ||||||
Comcast Corp., Class A | 2,007 | 118,072 | ||||||
Liberty Broadband Corp., Class C* | 660 | 117,143 | ||||||
Lumen Technologies, Inc. | 4,081 | 50,890 | ||||||
T-Mobile US, Inc.* | 873 | 125,729 | ||||||
Verizon Communications, Inc. | 2,084 | 116,246 | ||||||
|
| |||||||
756,653 | ||||||||
|
| |||||||
Tobacco — 1.1% |
| |||||||
Altria Group, Inc. | 2,250 | 108,090 | ||||||
Philip Morris International, Inc. | 1,221 | 122,210 | ||||||
|
| |||||||
230,300 | ||||||||
|
| |||||||
Travel & Leisure — 0.9% |
| |||||||
Choice Hotels International, Inc. | 374 | 44,843 | ||||||
McDonald’s Corp. | 554 | 134,461 | ||||||
Yum! Brands, Inc. | 84 | 11,037 | ||||||
|
| |||||||
190,341 | ||||||||
|
| |||||||
Waste & Disposal Services — 1.3% |
| |||||||
Republic Services, Inc. | 1,162 | 137,534 | ||||||
Waste Management, Inc. | 922 | 136,696 | ||||||
|
| |||||||
274,230 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 21,567,022 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 0.2% |
| |||||||
INVESTMENT COMPANIES — 0.1% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03%(b)(c)(Cost $22,635) | 22,635 | 22,635 | ||||||
|
| |||||||
INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED — 0.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, | 24,948 | 24,947 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | 636 | 636 | ||||||
|
| |||||||
TOTAL INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED |
| 25,583 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 48,218 | |||||||
|
| |||||||
Total Investments — 100.0% |
| 21,615,240 | ||||||
Liabilities in Excess of Other Assets — 0.0%(d) |
| (5,363 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| 21,609,877 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2021 (Unaudited) (continued)
(a) | The security or a portion of this security is on loan at July 31, 2021. The total value of securities on loan at July 31, 2021 is $25,056. |
(b) | 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. |
(c) | The rate shown is the current yield as of July 31, 2021. |
(d) | Amount rounds to less than 0.1% of net assets. |
* | Non-income producing security. |
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2021 (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.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 21,615,240 | $ | — | $ | — | $ | 21,615,240 | ||||||||
|
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|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended July 31, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at July 31, 2021 | Shares at July 31, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, | $ | 249,950 | $ | — | $ | 225,001 | $ | (45 | ) | $ | 43 | $ | 24,947 | 24,948 | $ | 54 | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | — | 144,228 | 121,593 | — | — | 22,635 | 22,635 | 1 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | 205,400 | 3,400,234 | 3,604,998 | — | — | 636 | 636 | 20 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares(a) | 79,780 | 851,631 | 931,411 | — | — | — | — | 6 | — | |||||||||||||||||||||||||||
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Total | $ | 535,130 | $ | 4,396,093 | $ | 4,883,003 | $ | (45 | ) | $ | 43 | $ | 48,218 | $ | 81 | $ | — | |||||||||||||||||||
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(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 July 31, 2021. |