UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23117
JPMorgan Trust IV
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2021 through June 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the
shareholder reports.
Annual Report
J.P. Morgan Large Cap Funds
June 30, 2022
JPMorgan Equity Focus Fund |
JPMorgan Equity Income Fund |
JPMorgan Equity Index Fund |
JPMorgan Equity Premium Income Fund |
JPMorgan Hedged Equity Fund |
JPMorgan Hedged Equity 2 Fund |
JPMorgan Hedged Equity 3 Fund |
JPMorgan Large Cap Growth Fund |
JPMorgan Large Cap Value Fund |
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) |
JPMorgan U.S. Equity Fund |
JPMorgan U.S. GARP Equity Fund |
JPMorgan U.S. Large Cap Core Plus Fund |
JPMorgan U.S. Research Enhanced Equity Fund |
JPMorgan U.S. Sustainable Leaders Fund |
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CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
August 8, 2022 (Unaudited)
Dear Shareholder,
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“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher
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The global economic rebound that marked 2021 has been sapped of much of its strength in 2022 by accelerating inflation and rising interest rates, the conflict in Ukraine and the ongoing global impacts of the pandemic. The uncertain economic picture has proven to be particularly challenging for investors.
U.S. equity prices, which had largely led a decade-long rally in global equity, fell sharply in 2022 and turned in their worst first-half performance since 1970. In general, only select U.S. Treasury bonds and U.S. core fixed income saw increased investor demand amid the sell-off in equities.
In response to rising consumer and producer prices and tight labor markets, the U.S. Federal Reserve (the “Fed”) adopted an increasingly aggressive policy stance in 2022, raising its benchmark interest rate by 25 basis points in March, then by 50 basis points in May and by 75 basis points each in June and July. Meanwhile, U.S. gross domestic product fell by 1.6% in the first quarter of 2022 and by an estimated 0.9% in the second quarter.
However, corporate earnings and revenues have largely outpaced certain investor expectations in 2022 amid sustained strength in consumer demand and management efforts to hold down expenses and pass along higher input costs. Further economic resilience was seen in labor markets, where the jobless rate remained at 3.6% from February through June.
In 2022, investors are now facing economic and market circumstances unseen in decades. In the U.S., the highest inflation rate in 40 years and the Fed’s policy response have rattled both equity and fixed income markets. Concurrently, the conflict in Ukraine has constrained both energy supplies to Europe and grain shipments to a range of nations already under economic strain. The Fed and other leading central banks have acknowledged the risks of runaway inflation and have generally pledged to employ a flexible approach to counter those risks without squelching economic growth.
It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions, while cultivating long-term opportunities. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| J.P. Morgan Large Cap Funds | |
J.P. Morgan Large Cap Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
Equity markets rallied in the second half of 2021 on the back of low interest rates, record corporate earnings and the global economic rebound. However, equity markets in 2022 rendered their worst first-half performance since 1970.
By the end of June 2022, the S&P 500 had slumped into bear market territory – generally defined as a 20% or more decline since the last closing high. While bond markets largely underperformed equity markets throughout most of the twelve-month period, investor demand for U.S. Treasury bonds bolstered the Bloomberg U.S. Aggregate Index in the second half of the period.
U.S. equity generated positive returns and led developed markets equity to outperform both emerging markets equity and fixed income markets during the second half of 2021. U.S. equity prices were bolstered by continued monetary and fiscal support as well as strong consumer spending and record corporate profits.
A resurgence in the pandemic, particularly the emergence of the Omicron variant of Covid-19, in late 2021 and early 2022 failed to dent the U.S. economy. However, a number of nations reinstated social restrictions and China enacted a “Zero Covid” policy that led to severe lockdowns in several large cities, including Shanghai. The result was a sharp drop in manufacturing and other economic activity across China, which further strained on global supply chains and became a drag on the economies of other emerging market nations.
The S&P 500 reached a new closing high on January 3, 2022, bolstered by record high corporate earnings, sales, cash flows, share repurchases and dividends. However, investor sentiment began to sour as accelerating inflation started to erode consumer confidence and raise expectations for an increase in benchmark interest rates by the U.S. Federal Reserve.
Russia’s invasion of Ukraine at the end of February 2022 initiated a sell-off in global financial markets that was further fueled by the highest U.S. inflation rate in more than 40 years. Equity prices recovered somewhat in March 2022 amid better-than-expected corporate earnings. However, the general trend in global financial markets was downward.
While the S&P 500 had a positive total return of 11.7% in the second half of 2021, the index plummeted in the first half of 2022 and its total returns for the twelve-month period was -10.6%. Within U.S. equity markets, small cap and mid cap stocks generally declined more than large cap stocks and growth stocks declined more than value stocks.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
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Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Focus Fund (the “Fund”) seeks long term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the communication services and health care sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position in the consumer staples sector and its security selection in the information technology sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in AutoZone Inc., ConocoPhillips and AbbVie Inc. Shares of AutoZone, an automotive parts retailer, rose amid consecutive quarters of better-than-expected earnings and revenue, and continued sales growth. Shares of ConocoPhillips, an integrated petroleum and natural gas producer, rose amid rising global energy prices for most of the reporting period. Shares of AbbVie, a pharmaceuticals maker, rose as the company reached settlements with various U.S. states to resolve legal claims against the company’s Allergan unit stemming from the opioid addiction epidemic.
Leading individual detractors from relative performance included the Fund’s overweight positions in Gap Inc. and Capital One Financial Co. and its position in Tesla Inc. Shares of Gap, a retailer of brand name apparel, fell amid general weakness in the apparel sector and weaker-than-expected results for several quarters. Shares of Capital One Financial, a financial services provider, fell amid general weakness in financial sector stocks as the U.S. economic growth slowed in the first half of 2022. Shares of Tesla Motors, a maker of electric vehicles and battery storage systems, fell amid slowing production and sales in China and investor concerns about slowing economic growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection. As a result of this
approach to stock selection, the Fund’s largest positions were in the information technology and financials sectors and the Fund’s smallest positions were in the utilities and consumer
staples sectors.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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| Berkshire Hathaway, Inc., Class B | |
| Capital One Financial Corp. | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
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| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Focus Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through July 31, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
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Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Income Fund (the “Fund”) seeks capital appreciation and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the industrials and health care sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials and financials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in General Dynamics Corp., Raytheon Corp. and Northrop Grumman Corp.
Shares of General Dynamics, Raytheon and Northrop Grumman, each an aerospace and defense manufacturers, rose after they reported better-than-expected quarterly earnings and as the military conflict in Ukraine increased demand for military hardware across Europe.
Leading individual detractors from relative performance included the Fund’s overweight positions in PPG Industries Inc., Medtronic PLC and Gap Inc. Shares of PPG Industries, a specialty chemicals manufacturer, fell amid investor concerns about rising materials costs and supply chain disruptions. Shares of Medtronic, a medical technology manufacturer, fell after the company reported lower-than-expected revenue for its fiscal fourth quarter amid supply chain disruptions. Shares of Gap, a retailer of brand name apparel, fell amid general weakness in the apparel sector and weaker-than-expected results for several quarters.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at attractive valuations had the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with above average dividend yields, the research process seeks to identify companies with predictable and durable business models deemed capable of generating sustainable free cash
flow.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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| Raytheon Technologies Corp. | |
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| Philip Morris International, Inc. | |
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PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
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| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares had similar expenses to Class I Shares.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would have been similar than those shown because Class R3 Shares currently have the same expenses as Class A Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to February 28, 2011, Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Income Fund and the Russell 1000 Value Index from June 30, 2012 to June 30, 2022. The performance of the Fund
assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the bench mark, if applicable. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A Performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
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Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the S&P 500 Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended June 30, 2022, the Fund’s Class I Shares largely performed in line with the Benchmark, before considering the effect of Fund fees and expenses. This was consistent with the Fund’s investment objective and indexing strategy, as the Fund looks to generate returns that are comparable to those of the Benchmark.
U.S. equity markets provided negative returns for the period amid rising interest rates, accelerating inflation, pandemic lockdowns across China and Russia’s invasion of Ukraine.
During the period, the information technology and consumer discretionary sectors were leading detractors from performance for the Fund and the Benchmark, while the energy and health care sectors were leading contributors to performance.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions
as those found in the Benchmark.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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| Berkshire Hathaway, Inc., Class B | |
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PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Index Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P
500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A Performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Premium Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
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ICE BofAML 3-Month US Treasury Bill Index | |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Premium Income Fund (the “Fund”) seeks current income while maintaining prospects for capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) and underperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the twelve months ended June 30, 2022.
The Fund’s security selection in the health care and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position in the energy sector and its security selection in the materials sector were leading detractors from relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight positions in PayPal Holdings Inc. and Meta Platform Inc., and its overweight position in Progressive Corp. Shares of PayPal Holdings, a digital payments platform provider, fell after the company issued a lower-than-expected earnings forecast for the third quarter of 2021 and amid general weakness in financial technology stocks. Shares of Meta Platforms, the parent of
Facebook Inc., fell after the company reported weaker-than-expected earnings for the fourth quarter of 2021 and issued a weaker-than-expected revenue forecast. Shares of Progressive, a property and casualty insurance provider, rose amid monthly increases in the company’s net premiums.
Leading individual detractors from relative performance included the Fund’s underweight positions in Apple Inc., Tesla Inc. and Alphabet Inc. Shares of Apple, a provider of computers, mobile devices and related services, rose amid record earnings and revenue in the second half of 2021 and continued strong demand for mobile phones during the period. Shares of Tesla, a producer of electric vehicles and battery systems, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2022. Shares of Alphabet, parent company of Google Inc., rose amid continued growth in quarterly revenue and earnings during the period.
HOW WAS THE FUND POSITIONED?
The Fund seeks to generate income through a combination of selling options, investing in large cap stocks and delivering monthly income from associated option premiums and stock dividends. The Fund’s portfolio managers employed a proprietary research process designed to identify what they believed were overvalued and undervalued stocks with
attractive risk/return characteristics.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Premium Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| Canadian Imperial Bank of Commerce, ELN, 68.70%, 7/11/2022, (linked to S&P 500 Index) (Canada) | |
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| Credit Suisse AG, ELN, 67.80%, 7/8/2022, (linked to S&P 500 Index) (Switzerland) | |
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| Credit Suisse AG, ELN, 65.60%, 7/18/2022, (linked to S&P 500 Index) (Switzerland) | |
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| Societe Generale SA, ELN, 64.80%, 7/15/2022, (linked to S&P 500 Index) | |
| BNP Paribas, ELN, 79.00%, 8/5/2022, (linked to S&P 500 Index) | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
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| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (8/31/18 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on August 31, 2018.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Premium Income Fund, the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index from August 31, 2018 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the
beginning of the month and held for a full month. Each month the ICE BofAML 3-Month US Treasury Bill Index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through April 7, 2019, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
Leading individual contributors to relative performance included the Fund’s underweight positions in PayPal Holdings Inc. and Adobe Inc., and its overweight position in Alphabet Inc. Shares of PayPal Holdings, a digital payments platform provider, fell after the company issued a lower-than-expected earnings forecast for the third quarter of 2021 and amid general weakness in financial technology stocks. Shares of Adobe, a digital marketing and media provider not held in the Fund, fell after the company issued consecutive weaker-than-expected quarterly forecasts during the period. Shares of Alphabet, parent company of Google Inc., rose amid continued growth in quarterly revenue and earnings during the period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Stanley Black & Decker Inc. and Lam Research Corp. and its underweight position in Pfizer Inc. Shares of Stanley Black & Decker, a power tools manufacturer, fell after the company reported consecutive quarters of lower-than-expected revenue and lowered its forecast for the sale of some of its business lines. Shares of Lam Research, a maker of semiconductor manufacturing equipment, fell amid decreased global demand for semiconductors and further potential U.S. restrictions on technology sales to the Chinese semiconductor industry. Shares of Pfizer, a pharmaceutical manufacturer, rose amid a resurgence in the pandemic in late 2021 and U.S. Food and Drug Administration approval for the company’s COVID-19 pill.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The options overlay is known as a Put/Spread Collar strategy. The combination of the diversified portfolio of equity securities, downside protection from index
put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than
traditional long-only equity strategies.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hathaway, Inc., | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (12/13/13 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on December 13, 2013.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity Fund, the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index from December 13, 2013 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased
at the beginning of the month and held for a full month. Each month the ICE BofAML 3-Month US Treasury Bill Index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through May 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 2 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity 2 Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the pharmaceutical/medical technology and the financials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the basic materials and telecommunication sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in PayPal Holdings Inc. and Adobe Inc., and its overweight position in Alphabet Inc. Shares of PayPal Holdings, a digital payments platform provider, fell after the company issued a lower-than-expected earnings forecast for the third quarter of 2021 and amid general weakness in financial technology stocks. Shares of Adobe, a digital marketing and media provider not held in the Fund, fell after the company issued consecutive weaker-than-expected quarterly forecasts during the period. Shares of Alphabet, parent company of Google Inc., rose amid continued growth in quarterly revenue and earnings during the period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Stanley Black & Decker Inc. and Lam Research Corp. and its underweight position in Pfizer Inc. Shares of Stanley Black & Decker, a power tools manufacturer, fell after the company reported consecutive quarters of lower-than-expected revenue and lowered its forecast for the sale of some of its business lines. Shares of Lam Research, a maker of semiconductor manufacturing equipment, fell amid decreased global demand for semiconductors and further potential U.S. restrictions on technology sales to the Chinese semiconductor industry. Shares of Pfizer, a pharmaceutical manufacturer, rose amid a resurgence in the pandemic in late 2021 and U.S. Food and Drug Administration approval for the company’s COVID-19 pill.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The options overlay is known as a Put/Spread Collar strategy. The combination of the diversified
portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than
traditional long-only equity strategies.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| S&P 500 Index 7/29/2022 at USD 3,910.00, European Style | |
| | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hathaway, Inc., Class B | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/26/21 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity 2 Fund and the S&P 500 Index from February 26, 2021 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of
the securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 3 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity 3 Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the pharmaceutical/medical technology and the financials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the basic materials and telecommunication sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in PayPal Holdings Inc. and Adobe Inc., and its overweight position in Alphabet Inc. Shares of PayPal Holdings, a digital payments platform provider, fell after the company issued a lower-than-expected earnings forecast for the third quarter of 2021 and amid general weakness in financial technology stocks. Shares of Adobe, a digital marketing and media provider not held in the Fund, fell after the company issued consecutive weaker-than-expected quarterly forecasts during the period. Shares of Alphabet, parent company of Google Inc., rose amid continued growth in quarterly revenue and earnings during the period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Stanley Black & Decker Inc. and Lam Research Corp. and its underweight position in Pfizer Inc. Shares of Stanley Black & Decker, a power tools manufacturer, fell after the company reported consecutive quarters of lower-than-expected revenue and lowered its forecast for the sale of some of its business lines. Shares of Lam Research, a maker of semiconductor manufacturing equipment, fell amid decreased global demand for semiconductors and further potential U.S. restrictions on technology sales to the Chinese semiconductor industry. Shares of Pfizer, a pharmaceutical manufacturer, rose amid a resurgence in the pandemic in late 2021 and U.S. Food and Drug Administration approval for the company’s COVID-19 pill.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The options overlay is known as a Put/Spread Collar strategy. The combination of the diversified
portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than
traditional long-only equity strategies.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| S&P 500 Index 8/31/2022 at USD 3,905.00, European Style | |
| | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hathaway, Inc., Class B | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/26/21 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity 3 Fund and the S&P 500 Index from February 26, 2021 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of
the securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
Russell 1000 Growth Index | |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection and underweight positions in both the information technology and communication services sectors were leading detractors from performance relative to the Benchmark, while the Fund’s overweight position and security selection in the health care sector and its security selection in the consumer discretionary sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in Snap Inc., its underweight positions in Apple Inc. and its overweight position in Carvana Co. Shares of Snap, an online camera platform and social media provider, fell after the company reported lower-than-expected quarterly results and forecast weakness in cash flow and revenue in 2022. Shares of Apple, a provider of computers, mobile devices and related services, rose amid record earnings and revenue in the second half of 2021 and continued strong demand for mobile phones during the period. Shares of Carvana, an automobile retailer, fell after the company reported a wider-than-expected loss for its first quarter and amid general weakness in e-commerce sector stocks in the second half of the period.
Leading individual contributors to relative performance included the Fund’s overweight positions in McKesson Corp. and AutoZone Inc., and its underweight position in Amazon.com Inc. Shares of McKesson, a provider of pharmaceuticals, health care products and services, rose as the company moved to settle state legal claims stemming from the opioid addiction epidemic and as investors sought defensive sectors, including consumer staples, in response to the market selloff in the first half of 2022. Shares of AutoZone, an automotive parts retailer, rose after the company reported better-than-expected earnings and revenue for its third fiscal quarter and forecast sales growth. Shares of Amazon.com, an online retailer and services provider, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2021 and as investor demand shifted to value stocks and away from the largest capitalization stocks in the first half of 2022.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged
period of time.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 and Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares had similar expenses to Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large Cap Growth Fund and the Russell 1000 Growth Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of
all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A Performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Large Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the industrials and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and financials sectors was a leading contributor to relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Alcoa Corp. and Vertex Pharmaceuticals Inc. and its out-of-Benchmark position in AbbVie Inc. Shares of Alcoa, an aluminum producer, rose after the company reported better-than-expected earnings and revenue for both the first quarters of 2022. Shares of Vertex Pharmaceuticals, a drug development company, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021 and reported progress in its product development pipeline. Shares of AbbVie, a pharmaceuticals maker, rose as the company reached settlements with various U.S. states to resolve legal claims against the company’s Allergan unit stemming from the opioid addiction epidemic.
Leading individual detractors from relative performance included the Fund’s overweight positions in Zimmer Biomet Holdings Inc., Royal Caribbean Cruises Ltd. and US Foods Holding Corp. Shares of Zimmer Biomet Holdings, a medical device manufacturer, fell after the company reported lower-than-expected earnings and revenue for the fourth quarter of 2021 and issued a lower-than-expected earnings forecast for 2022. Shares of Royal Caribbean Cruises, a cruise ship operator, fell amid investor concerns that slowing economic growth and rising inflation would hurt the travel and hospitality sectors. Shares of U.S. Foods Holding, a distributor of goods to the food services industry, fell after the company reported lower-than-expected earnings for the fourth quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio manager combined a bottom-up fundamental approach to security selection with a systematic
valuation process. Overall, the Fund’s portfolio manager looked to take advantage of mispriced stocks that he believed
appeared attractive relative to their fair value.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| Raytheon Technologies Corp. | |
| | |
| | |
| | |
| | |
| | |
| Vertex Pharmaceuticals, Inc. | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been different than those shown because Class R3 Shares have different expenses than Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large Cap Value Fund and the Russell 1000 Value Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated
with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Applied Data Science Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the health care and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and materials sectors was the sole detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in AutoZone Inc., Northrop Grumman Corp. and O’Reilly Automotive Inc. Shares of AutoZone, an automotive parts retailer, rose amid consecutive quarters of better-than-expected earnings and revenue and continued sales growth. Shares of Northrop Grumman, an aerospace and defense company, rose amid better-than-expected quarterly earnings and investor expectations that the defense sector will benefit from U.S. deliveries of military hardware to Ukraine’s military. Share of O’Reilly Automotive, an auto parts retailer, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021.
Leading individual detractors from relative performance included the Fund’s overweight positions in Medtronic PLC and T. Rowe Price Group Inc., and its underweight position in Pfizer Inc. Shares of Medtronic, a medical technology manufacturer, fell after the company reported lower-than-expected revenue for its fiscal fourth quarter amid supply chain disruptions. Shares of T. Rowe Price Group, a financial services provider, fell as financial market volatility in the first half of 2022 led to a decline in the company’s assets under management. Shares of Pfizer, a pharmaceutical manufacturer, rose amid a resurgence in the pandemic in late 2021 and U.S. Food and Drug Administration approval for the company’s COVID-19 pill.
HOW WAS THE FUND POSITIONED?
During the period, the Fund’s portfolio managers employed a data science driven investment approach that combines research, data insights and risk management. The portfolio
managers utilize proprietary techniques to process, analyze and combine a wide variety of data sources, including a multi-decade history of proprietary fundamental research,
company fundamentals and alternative data.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| Verizon Communications, Inc. | |
| | |
| | |
| | |
| Meta Platforms, Inc., Class A | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Applied Data Science Value Fund and the Russell 1000 Value Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000
companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Equity Fund (the “Fund”) seeks to provide high total return from a portfolio of selected equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in both the pharmaceutical/medical technology and consumer cyclical sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position in the energy sector and its security selection in the basic materials sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Alphabet Inc, AbbVie Inc. and Northrop Grumman Corp. Shares of Alphabet, parent company of Google, rose amid continued growth in quarterly revenue and earnings during the period. Shares of AbbVie, a pharmaceuticals maker, rose as the company reached settlements with various U.S. states to resolve legal claims against the company’s Allergan unit stemming from the opioid addiction epidemic. Shares of Northrop Grumman, an aerospace and defense company, rose amid better-than-expected quarterly earnings and investor expectations that the defense sector will benefit from U.S. deliveries of military hardware to Ukraine’s military.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Shopify Inc. and Snap Inc. and its overweight position in PPG Industries Inc.
Shares of Shopify, an internet retailing platform operator, fell amid weakness among e-commerce stocks and after the company reported lower-than-expected earnings and revenue for the first quarter of 2022. Shares of Snap, an online camera platform and social media provider, fell after the company reported lower-than-expected quarterly results and forecast weakness in cash flow and revenue in 2022. Shares of PPG Industries, a specialty chemicals manufacturer, amid investor concerns about rising materials costs and supply chain disruptions.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their
underlying value and potential for future earnings growth.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| NXP Semiconductors NV (China) | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses than Class I Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Equity Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect
the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. GARP Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
Russell 1000 Growth Index | |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. GARP Equity Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the health care and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrials and communication services sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in PayPal Holdings Inc. and its overweight positions in O’Reilly Automotive Inc. and AbbVie Inc. Shares of PayPal Holdings, a digital payments platform provider, fell after the company issued a lower-than-expected earnings forecast for the third quarter of 2021 and amid general weakness in financial technology stocks. Shares of O’Reilly Automotive, an auto parts retailer, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021. Shares of AbbVie, a pharmaceuticals maker, rose as the company reached settlements with various U.S. states to resolve legal claims against the company’s Allergan unit stemming from the opioid addiction epidemic.
Leading individual detractors from relative performance included the Fund’s overweight positions in Lyft Inc. and Altice USA Inc., and its underweight position in Eli Lilly & Co. Shares of Lyft, a ride-hailing business, fell amid general weakness in the ride-hailing business and after the company issued a weaker-than-expected forecast for the second quarter of 2022. Shares of Altice USA, a communication services and media provider, fell amid a general decline in consumer demand for broadcast television programming and investor concerns about its impact on company earnings and revenue. Shares of Eli Lilly, a pharmaceuticals maker, rose as several of the company’s drug candidates earned or advanced toward regulatory approval in the U.S. and Europe.
HOW WAS THE FUND POSITIONED?
The Fund’s managers sought growth companies that they believed had attractive relative valuations, high quality
characteristics and strong momentum.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| Mastercard, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. GARP Equity Fund and the Russell 1000 Growth Index, from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the
benchmark, if applicable. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Large Cap Core Plus Fund (the “Fund”) seeks to provide a high total return from a portfolio of selected equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s allocation to the media sector and its security selection in the auto & transportation sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in both the pharmaceutical/medical technology and the health services & systems sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Lyft Inc. and Shopify Inc., and its overweight position in NXP Semiconductors NV. Shares of Lyft, a ride-hailing business, fell amid general weakness in the ride-hailing business and after the company issued a weaker-than-expected forecast for the second quarter of 2022. Shares of Shopify, an online retailing platform operator, fell amid weakness among e-commerce stocks and after the company reported lower-than-expected earnings and revenue for the first quarter of 2022. Shares of NXP Semiconductors, a semiconductor manufacturer, fell amid investor concern about slowing demand from the automotive industry.
Leading individual contributors to relative performance included the Fund’s overweight positions in AbbVie Inc. and Alphabet Inc., and its underweight position in Moderna Inc. Shares of AbbVie, a pharmaceuticals maker, rose as the
company reached settlements with various U.S. states to resolve legal claims against the company’s Allergan unit stemming from the opioid addiction epidemic. Shares of Alphabet, parent company of Google, rose amid continued growth in quarterly revenue and earnings during the period. Shares of Moderna, a pharmaceuticals manufacturer, fell in the second half of the period amid investor concerns about potentially declining demand for Covid-19 vaccines.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine their underlying value and potential for future earnings growth. Overall, the Fund’s portfolio managers aimed to take advantage of mispriced stocks that appeared attractive relative to fair value for long positions and looked for overvalued stocks in which to take short positions. The long-to-short exposure ratio at the end of the reporting
period was 123% to 23%.
TOP TEN LONG POSITIONS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| Mastercard, Inc., Class A | |
| | |
| | |
| NXP Semiconductors NV (China) | |
| | |
| | |
| Thermo Fisher Scientific, Inc. | |
| J.P. Morgan Large Cap Funds | |
TOP TEN SHORT POSITIONS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| Paramount Global, Class B | |
| Capital One Financial Corp. | |
| | |
| | |
| CH Robinson Worldwide, Inc. | |
LONG POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
SHORT POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Large Cap Core Plus Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if
applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Research Enhanced Equity Fund (the “Fund”) seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the S&P 500 Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Benchmark for the twelve months ended June 30, 2022.
The Fund’s security selection in the health care and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the telecommunications and utilities sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in PayPal Holdings Inc. and Adobe Inc., and its overweight position in Progressive Corp. Shares of PayPal Holdings, a digital payments platform provider, fell amid general weakness in financial technology stocks. Shares of Adobe, a digital marketing and media provider not held in the Fund, fell after the company issued consecutive weaker-than-expected quarterly forecasts during the period. Shares of Progressive, a property and casualty insurance provider, rose amid monthly increases in the company’s net premiums.
Leading individual detractors from relative performance included the Fund’s overweight positions in Stanley Black & Decker Inc. and T. Rowe Price Group Inc., and its underweight position in Pfizer Inc. Shares of Stanley Black & Decker, a power tools manufacturer, fell after the company reported consecutive quarters of lower-than-expected revenue and lowered its forecast for the sale of some of its business lines. Shares of T. Rowe Price Group, a financial services provider, fell as financial market volatility in the first half of 2022 led to a decline in the company’s assets under management. Shares of Pfizer, a pharmaceutical manufacturer, rose amid a resurgence in the pandemic in late 2021 and U.S. Food and Drug Administration approval for the company’s COVID-19 pill.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of
potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were
attractive based on valuation and strong fundamentals.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hathaway, Inc., Class B | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Research Enhanced Equity Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the
benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Sustainable Leaders Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
| |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Sustainable Leaders Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund had no holdings in the energy sector, which was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the consumer discretionary sector also detracted from relative performance. The Fund’s security selection in the communication services and utilities sectors was a leading contributor to relative performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight positions in Tesla Inc. and Alphabet Inc. and its out-of-Benchmark position in Itron Inc. Shares of Tesla, a producer of electric vehicles and battery systems, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2022. Shares of Alphabet, parent company of Google, rose amid continued growth in quarterly revenue earnings during the period. Shares of Itron, a provider of technology and services for water and energy utilities, fell after the company reported consecutive quarters of lower-than-expected revenue.
Leading individual contributors to performance relative to the Benchmark included Amazon.com Inc., PayPal Holdings Inc. and Meta Platforms Inc., none of which were held by the Fund. Shares of Amazon.com, an online retailer and services provider, fell as investor demand shifted to value stocks and away from the largest capitalization stocks in the first half of 2022. Shares of PayPal Holdings, a digital payments platform provider, fell amid general weakness in financial technology stocks. Shares of Meta Platforms, the parent of Facebook Inc., fell after the company reported weaker-than-expected earnings for the fourth quarter of 2021 and issued a weaker-than-expected revenue forecast.
HOW WAS THE FUND POSITIONED?
During the period, the Fund employed a proprietary scoring methodology to invest in companies that the Fund’s portfolio
managers believed have attractive environmental, social and governance characteristics and potential for long-term capital appreciation. The Fund’s positioning during the period was a
result of that process.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| Mastercard, Inc., Class A | |
| | |
| | |
| | |
| | |
| Thermo Fisher Scientific, Inc. | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Sustainable Leaders Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Sustainable Leaders Fund and the S&P 500 Index from June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Effective November 1, 2016, the Fund changed its investment strategies. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date might be less relevant for investors considering whether to purchase shares of the Fund.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| |
Fund (Class A Shares, without a sales charge) * | |
| |
Net Assets as of 6/30/2022 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Value Fund (the “Fund”) seeks to provide capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2022.
The Fund’s security selection in the industrials and health care sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and materials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in AutoZone Inc., Northrop Grumman Corp. and General Dynamics Corp. Shares of AutoZone, an automotive parts retailer, rose amid consecutive quarters of better-than-expected earnings and revenue and continued sales growth. Shares of Northrop Grumman and General Dynamics, both aerospace and defense manufacturers, rose after they reported better-than-expected quarterly earnings and as the military conflict in Ukraine increased demand for military hardware across Europe.
Leading individual detractors from relative performance included the Fund’s overweight positions in T. Rowe Price Group Inc., BlackRock Inc. and Citigroup Inc. Shares of T. Rowe Price Group, a financial services provider, fell as financial market volatility in the first half of 2022 led to a decline in the company’s assets under management. Shares of BlackRock and Citigroup, both financial services providers, fell in the second half of the period as they exited operations in Russia in response to U.S. financial sanctions and amid investor concerns about slowing economic growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable franchises, strong management and the ability to grow their intrinsic value per share. The portfolio managers employed a bottom-up approach to security selection and fundamental
research.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| Raytheon Technologies Corp. | |
| Berkshire Hathaway, Inc., Class B | |
| | |
| | |
PORTFOLIO COMPOSTION BY SECTOR
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Large Cap Funds | |
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
|
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R3 Shares prior to their inception date are based on the performance of the Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan U.S. Value Fund and the Russell 1000 Value Index from
June 30, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The Russell 1000 Value Index is an unmanaged index, which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Air Freight & Logistics — 2.5% |
| | |
|
| | |
|
| | |
|
| | |
Regeneron Pharmaceuticals, Inc. * | | |
| | |
|
| | |
Construction & Engineering — 1.8% |
| | |
Construction Materials — 2.6% |
Martin Marietta Materials, Inc. | | |
|
Capital One Financial Corp. | | |
Containers & Packaging — 2.0% |
Packaging Corp. of America | | |
Diversified Financial Services — 3.2% |
Berkshire Hathaway, Inc., Class B * | | |
Electric Utilities — 2.2% |
| | |
Electronic Equipment, Instruments & Components — 0.9% |
Zebra Technologies Corp., Class A * | | |
Equity Real Estate Investment Trusts (REITs) — 4.6% |
| | |
| | |
| | |
Health Care Equipment & Supplies — 2.5% |
| | |
Intuitive Surgical, Inc. * | | |
| | |
Health Care Providers & Services — 3.8% |
| | |
Hotels, Restaurants & Leisure — 1.3% |
| | |
| | |
|
Household Products — 2.5% |
Procter & Gamble Co. (The) | | |
|
| | |
Interactive Media & Services — 4.2% |
Alphabet, Inc., Class C * | | |
Internet & Direct Marketing Retail — 2.8% |
| | |
|
| | |
Mastercard, Inc., Class A | | |
| | |
|
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
Oil, Gas & Consumable Fuels — 4.9% |
| | |
| | |
| | |
|
| | |
Semiconductors & Semiconductor Equipment — 4.9% |
Advanced Micro Devices, Inc. * | | |
| | |
SolarEdge Technologies, Inc. * | | |
| | |
|
| | |
Zoom Video Communications, Inc., Class A * | | |
| | |
|
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 5.6% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Wireless Telecommunication Services — 1.7% |
| | |
Total Common Stocks
(Cost $148,498) | | |
Short Term Investments — 6.3% |
Investment Companies — 6.3% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $11,340) | | |
Total Investments — 102.6%
(Cost $159,838) | | |
Liabilities in Excess of Other Assets — (2.6)% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| 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. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 5.5% |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
Air Freight & Logistics — 1.6% |
United Parcel Service, Inc., Class B | | |
|
| | |
| | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
|
| | |
Charles Schwab Corp. (The) | | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
Commercial Services & Supplies — 0.7% |
| | |
|
| | |
Capital One Financial Corp. | | |
| | |
Diversified Telecommunication Services — 0.9% |
Verizon Communications, Inc. | | |
Electric Utilities — 2.7% |
| | |
| | |
| | |
Electrical Equipment — 1.0% |
| | |
| | |
|
Electronic Equipment, Instruments & Components — 0.7% |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.4% |
Alexandria Real Estate Equities, Inc. * | | |
AvalonBay Communities, Inc. | | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 3.0% |
| | |
| | |
| | |
|
Mondelez International, Inc., Class A | | |
Health Care Equipment & Supplies — 3.2% |
| | |
| | |
| | |
| | |
Health Care Providers & Services — 6.9% |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 2.2% |
| | |
| | |
| | |
Household Products — 1.3% |
Procter & Gamble Co. (The) | | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
Marsh & McLennan Cos., Inc. | | |
| | |
| | |
| | |
|
| | |
Fidelity National Information Services, Inc. | | |
International Business Machines Corp. | | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
Public Service Enterprise Group, Inc. | | |
| | |
Oil, Gas & Consumable Fuels — 8.0% |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Semiconductors & Semiconductor Equipment — 4.0% |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
|
Specialty Retail — continued |
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 0.9% |
| | |
Seagate Technology Holdings plc | | |
| | |
|
Philip Morris International, Inc. | | |
Total Common Stocks
(Cost $33,586,660) | | |
Short Term Investments — 1.5% |
Investment Companies — 1.5% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $667,488) | | |
Total Investments — 99.9%
(Cost $34,254,148) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| 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. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.7% |
| | |
| | |
| | |
Huntington Ingalls Industries, Inc. | | |
L3Harris Technologies, Inc. | | |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
Air Freight & Logistics — 0.7% |
CH Robinson Worldwide, Inc. | | |
Expeditors International of Washington, Inc. | | |
| | |
United Parcel Service, Inc., Class B | | |
| | |
|
| | |
American Airlines Group, Inc. * | | |
| | |
| | |
United Airlines Holdings, Inc. * | | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
Citizens Financial Group, Inc. | | |
| | |
| | |
| | |
Huntington Bancshares, Inc. | | |
| | |
|
|
| | |
| | |
| | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Brown-Forman Corp., Class B | | |
| | |
Constellation Brands, Inc., Class A | | |
| | |
Molson Coors Beverage Co., Class B | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
| | |
| | |
Fortune Brands Home & Security, Inc. | | |
Johnson Controls International plc | | |
| | |
| | |
| | |
|
Ameriprise Financial, Inc. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Capital Markets — continued |
Bank of New York Mellon Corp. (The) | | |
| | |
Cboe Global Markets, Inc. | | |
Charles Schwab Corp. (The) | | |
| | |
FactSet Research Systems, Inc. | | |
| | |
Goldman Sachs Group, Inc. (The) | | |
Intercontinental Exchange, Inc. | | |
| | |
MarketAxess Holdings, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Raymond James Financial, Inc. | | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
CF Industries Holdings, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
International Flavors & Fragrances, Inc. | | |
Linde plc (United Kingdom) | | |
LyondellBasell Industries NV, Class A | | |
| | |
| | |
Sherwin-Williams Co. (The) | | |
| | |
Commercial Services & Supplies — 0.5% |
| | |
| | |
| | |
| | |
|
Commercial Services & Supplies — continued |
| | |
| | |
| | |
Communications Equipment — 0.8% |
| | |
| | |
| | |
| | |
| | |
| | |
Construction & Engineering — 0.1% |
| | |
Construction Materials — 0.1% |
Martin Marietta Materials, Inc. | | |
| | |
| | |
|
| | |
Capital One Financial Corp. | | |
Discover Financial Services | | |
| | |
| | |
Containers & Packaging — 0.3% |
| | |
| | |
| | |
| | |
Packaging Corp. of America | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Diversified Financial Services — 1.5% |
Berkshire Hathaway, Inc., Class B * | | |
Diversified Telecommunication Services — 1.2% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
Diversified Telecommunication Services — continued |
| | |
Verizon Communications, Inc. | | |
| | |
Electric Utilities — 1.9% |
| | |
American Electric Power Co., Inc. | | |
Constellation Energy Corp. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pinnacle West Capital Corp. | | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.5% |
| | |
| | |
| | |
| | |
Rockwell Automation, Inc. | | |
| | |
Electronic Equipment, Instruments & Components — 0.6% |
| | |
| | |
| | |
Keysight Technologies, Inc. * | | |
TE Connectivity Ltd. (Switzerland) | | |
Teledyne Technologies, Inc. * | | |
| | |
Zebra Technologies Corp., Class A * | | |
| | |
Energy Equipment & Services — 0.3% |
| | |
| | |
|
Energy Equipment & Services — continued |
| | |
| | |
| | |
|
Activision Blizzard, Inc. | | |
| | |
Live Nation Entertainment, Inc. * | | |
| | |
Take-Two Interactive Software, Inc. * | | |
| | |
Warner Bros Discovery, Inc. * | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.8% |
Alexandria Real Estate Equities, Inc. * | | |
| | |
AvalonBay Communities, Inc. | | |
| | |
| | |
Crown Castle International Corp. | | |
Digital Realty Trust, Inc. | | |
| | |
| | |
| | |
Essex Property Trust, Inc. | | |
Extra Space Storage, Inc. | | |
| | |
Healthpeak Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
Mid-America Apartment Communities, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Simon Property Group, Inc. | | |
| | |
| | |
VICI Properties, Inc. (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
| | |
| | |
| | |
Food & Staples Retailing — 1.5% |
| | |
| | |
| | |
Walgreens Boots Alliance, Inc. | | |
| | |
| | |
|
Archer-Daniels-Midland Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Lamb Weston Holdings, Inc. | | |
McCormick & Co., Inc. (Non-Voting) | | |
Mondelez International, Inc., Class A | | |
Tyson Foods, Inc., Class A | | |
| | |
|
| | |
Health Care Equipment & Supplies — 2.7% |
| | |
| | |
| | |
Baxter International, Inc. | | |
| | |
Boston Scientific Corp. * | | |
| | |
| | |
| | |
Edwards Lifesciences Corp. * | | |
| | |
IDEXX Laboratories, Inc. * | | |
Intuitive Surgical, Inc. * | | |
| | |
| | |
|
Health Care Equipment & Supplies — continued |
| | |
| | |
| | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 3.5% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Laboratory Corp. of America Holdings | | |
| | |
Molina Healthcare, Inc. * | | |
| | |
| | |
Universal Health Services, Inc., Class B | | |
| | |
Hotels, Restaurants & Leisure — 1.8% |
| | |
Caesars Entertainment, Inc. * | | |
| | |
Chipotle Mexican Grill, Inc. * | | |
| | |
| | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
Marriott International, Inc., Class A | | |
| | |
MGM Resorts International | | |
Norwegian Cruise Line Holdings Ltd. * (b) | | |
Penn National Gaming, Inc. * | | |
Royal Caribbean Cruises Ltd. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
Hotels, Restaurants & Leisure — continued |
| | |
| | |
| | |
Household Durables — 0.3% |
| | |
| | |
| | |
Mohawk Industries, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
Household Products — 1.5% |
Church & Dwight Co., Inc. | | |
| | |
| | |
| | |
Procter & Gamble Co. (The) | | |
| | |
Independent Power and Renewable Electricity Producers — 0.0% ^ |
| | |
Industrial Conglomerates — 0.8% |
| | |
| | |
Honeywell International, Inc. | | |
| | |
|
| | |
| | |
American International Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Cincinnati Financial Corp. | | |
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
| | |
|
|
| | |
Marsh & McLennan Cos., Inc. | | |
| | |
Principal Financial Group, Inc. | | |
| | |
Prudential Financial, Inc. | | |
Travelers Cos., Inc. (The) | | |
| | |
| | |
| | |
Interactive Media & Services — 5.2% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
| | |
Meta Platforms, Inc., Class A * | | |
| | |
| | |
Internet & Direct Marketing Retail — 3.0% |
| | |
| | |
| | |
| | |
|
| | |
Akamai Technologies, Inc. * | | |
Automatic Data Processing, Inc. | | |
Broadridge Financial Solutions, Inc. | | |
Cognizant Technology Solutions Corp., Class A | | |
| | |
| | |
Fidelity National Information Services, Inc. | | |
| | |
FleetCor Technologies, Inc. * | | |
| | |
| | |
International Business Machines Corp. | | |
Jack Henry & Associates, Inc. | | |
Mastercard, Inc., Class A | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
Leisure Products — 0.0% ^ |
| | |
Life Sciences Tools & Services — 1.9% |
Agilent Technologies, Inc. | | |
Bio-Rad Laboratories, Inc., Class A * | | |
| | |
Charles River Laboratories International, Inc. * | | |
| | |
| | |
| | |
Mettler-Toledo International, Inc. * | | |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
West Pharmaceutical Services, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Illinois Tool Works, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. | | |
Westinghouse Air Brake Technologies Corp. | | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
DISH Network Corp., Class A * | | |
| | |
|
|
| | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
| | |
Paramount Global, Class B | | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Consolidated Edison, Inc. | | |
| | |
| | |
| | |
Public Service Enterprise Group, Inc. | | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 4.0% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
Occidental Petroleum Corp. | | |
| | |
| | |
Pioneer Natural Resources Co. | | |
| | |
Williams Cos., Inc. (The) | | |
| | |
|
Estee Lauder Cos., Inc. (The), Class A | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.3% |
| | |
Jacobs Engineering Group, Inc. | | |
| | |
| | |
Robert Half International, Inc. | | |
| | |
| | |
Real Estate Management & Development — 0.1% |
CBRE Group, Inc., Class A * | | |
|
| | |
JB Hunt Transport Services, Inc. | | |
| | |
Old Dominion Freight Line, Inc. | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.2% |
Advanced Micro Devices, Inc. * | | |
| | |
| | |
|
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
| | |
| | |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
Monolithic Power Systems, Inc. | | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
| | |
SolarEdge Technologies, Inc. * | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Cadence Design Systems, Inc. * | | |
Ceridian HCM Holding, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Tyler Technologies, Inc. * | | |
| | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Specialty Retail — continued |
| | |
| | |
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 6.8% |
| | |
Hewlett Packard Enterprise Co. | | |
| | |
| | |
Seagate Technology Holdings plc | | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Philip Morris International, Inc. | | |
| | |
Trading Companies & Distributors — 0.2% |
| | |
| | |
| | |
| | |
|
American Water Works Co., Inc. | | |
| | |
|
Wireless Telecommunication Services — 0.2% |
| | |
Total Common Stocks
(Cost $4,212,051) | | |
Short Term Investments — 0.7% |
Investment Companies — 0.6% |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (c) (d)
(Cost $45,597) | | |
Investment of Cash Collateral from Securities Loaned — 0.1% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (c) (d) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (c) (d) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $6,000) | | |
Total Short Term Investments
(Cost $51,597) | | |
Total Investments — 99.9%
(Cost $4,263,648) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. | |
| The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $5,442. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of June 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.4% |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 1.3% |
United Parcel Service, Inc., Class B | | |
|
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
|
| | |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Construction Materials — 0.2% |
Martin Marietta Materials, Inc. | | |
|
| | |
Containers & Packaging — 0.6% |
| | |
| | |
|
Diversified Financial Services — 1.0% |
Berkshire Hathaway, Inc., Class B * | | |
Diversified Telecommunication Services — 1.0% |
Verizon Communications, Inc. | | |
Electric Utilities — 4.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 1.2% |
| | |
Electronic Equipment, Instruments & Components — 0.5% |
Keysight Technologies, Inc. * | | |
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| | |
Mid-America Apartment Communities, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.9% |
| | |
| | |
| | |
|
Archer-Daniels-Midland Co. | | |
| | |
Mondelez International, Inc., Class A | | |
| | |
Health Care Equipment & Supplies — 0.2% |
Boston Scientific Corp. * | | |
Health Care Providers & Services — 2.6% |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Hotels, Restaurants & Leisure — 0.8% |
| | |
Household Products — 2.5% |
| | |
Procter & Gamble Co. (The) | | |
| | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 1.3% |
Alphabet, Inc., Class A * | | |
Internet & Direct Marketing Retail — 0.7% |
| | |
|
| | |
Automatic Data Processing, Inc. | | |
FleetCor Technologies, Inc. * | | |
International Business Machines Corp. | | |
Jack Henry & Associates, Inc. | | |
Mastercard, Inc., Class A | | |
| | |
| | |
Life Sciences Tools & Services — 1.6% |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
|
Multi-Utilities — continued |
| | |
Consolidated Edison, Inc. | | |
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 2.7% |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.6% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
| | |
Old Dominion Freight Line, Inc. | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 1.7% |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Technology Hardware, Storage & Peripherals — 0.1% |
| | |
Textiles, Apparel & Luxury Goods — 0.4% |
| | |
|
| | |
Philip Morris International, Inc. | | |
| | |
Wireless Telecommunication Services — 0.5% |
| | |
Total Common Stocks
(Cost $3,039,770) | | |
| | |
Equity-Linked Notes — 14.6% |
BNP Paribas, ELN, 76.60%, 7/25/2022, (linked to S&P 500 Index) (a) | | |
BNP Paribas, ELN, 79.00%, 8/5/2022, (linked to S&P 500 Index) (a) | | |
BofA Finance LLC, ELN, 81.02%, 8/1/2022, (linked to S&P 500 Index) (a) | | |
Canadian Imperial Bank of Commerce, ELN, 68.70%, 7/11/2022, (linked to S&P 500 Index) (Canada) (a) | | |
Citigroup Global Markets Holdings, Inc., ELN, 79.90%, 7/29/2022, (linked to S&P 500 Index) (a) | | |
Credit Suisse AG, ELN, 65.60%, 7/18/2022, (linked to S&P 500 Index) (Switzerland) (a) | | |
Credit Suisse AG, ELN, 67.80%, 7/8/2022, (linked to S&P 500 Index) (Switzerland) (a) | | |
| | |
|
GS Finance Corp., ELN, 84.4%, 7/22/2022, (linked to S&P 500 Index) (a) | | |
Societe Generale SA, ELN, 64.80%, 7/15/2022, (linked to S&P 500 Index) (a) | | |
UBS AG, ELN, 78.20%, 8/8/2022, (linked to S&P 500 Index) (Switzerland) (a) | | |
Total Equity-Linked Notes
(Cost $539,993) | | |
| | |
Short Term Investments — 2.2% |
Investment Companies — 2.2% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (b) (c)
(Cost $80,015) | | |
Total Investments — 99.3%
(Cost $3,659,778) | | |
Other Assets Less Liabilities — 0.7% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.3% |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 1.4% |
| | |
United Parcel Service, Inc., Class B | | |
| | |
|
| | |
|
| | |
Magna International, Inc. (Canada) | | |
| | |
|
| | |
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
Bank of America Corp. (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
|
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
| | |
|
Biotechnology — continued |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Lennox International, Inc. | | |
| | |
| | |
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Commercial Services & Supplies — 0.1% |
| | |
Communications Equipment — 0.1% |
| | |
Construction Materials — 0.3% |
Martin Marietta Materials, Inc. | | |
|
| | |
Capital One Financial Corp. | | |
| | |
Containers & Packaging — 0.2% |
| | |
Diversified Financial Services — 1.5% |
Berkshire Hathaway, Inc., Class B * (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Diversified Telecommunication Services — 0.2% |
Verizon Communications, Inc. (a) | | |
Electric Utilities — 1.9% |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.6% |
| | |
Energy Equipment & Services — 0.1% |
| | |
|
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| | |
| | |
| | |
Equity LifeStyle Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.3% |
| | |
| | |
| | |
|
| | |
Mondelez International, Inc., Class A (a) | | |
| | |
Health Care Equipment & Supplies — 2.4% |
| | |
| | |
Baxter International, Inc. | | |
| | |
|
Health Care Equipment & Supplies — continued |
Boston Scientific Corp. * (a) | | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 3.6% |
| | |
| | |
| | |
| | |
UnitedHealth Group, Inc. (a) | | |
| | |
Hotels, Restaurants & Leisure — 2.0% |
Booking Holdings, Inc. * (a) | | |
Chipotle Mexican Grill, Inc. * | | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
Royal Caribbean Cruises Ltd. * | | |
| | |
| | |
Household Durables — 0.5% |
| | |
| | |
| | |
| | |
| | |
Household Products — 1.4% |
| | |
Procter & Gamble Co. (The) (a) | | |
| | |
Industrial Conglomerates — 0.3% |
Honeywell International, Inc. (a) | | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
|
Prudential Financial, Inc. | | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 5.8% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * (a) | | |
ZoomInfo Technologies, Inc., Class A * | | |
| | |
Internet & Direct Marketing Retail — 3.1% |
| | |
|
| | |
| | |
Automatic Data Processing, Inc. | | |
FleetCor Technologies, Inc. * | | |
Mastercard, Inc., Class A (a) | | |
| | |
| | |
Life Sciences Tools & Services — 2.0% |
| | |
Thermo Fisher Scientific, Inc. (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
Charter Communications, Inc., Class A * (a) | | |
Comcast Corp., Class A (a) | | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 4.1% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pioneer Natural Resources Co. (a) | | |
| | |
|
Bristol-Myers Squibb Co. (a) | | |
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.5% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
| | |
Norfolk Southern Corp. (a) | | |
Uber Technologies, Inc. * | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.6% |
Advanced Micro Devices, Inc. * (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
Texas Instruments, Inc. (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Burlington Stores, Inc. * | | |
Home Depot, Inc. (The) (a) | | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 6.9% |
| | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
| | |
|
|
| | |
Philip Morris International, Inc. | | |
| | |
Wireless Telecommunication Services — 0.5% |
| | |
Total Common Stocks
(Cost $12,971,764) | | |
| | |
|
Put Options Purchased — 3.0% |
|
| | |
9/30/2022 at USD 3,580.00, European Style | | |
Notional Amount: USD 16,473,974 | | |
Counterparty: Exchange-Traded * (Cost $524,372) | | |
Total Put Options Purchased
(Cost $524,372) | | |
Total Options Purchased
(Cost $524,372) | | |
Total Investments — 100.6%
(Cost $13,496,136) | | |
Liabilities in Excess of Other Assets — (0.6)% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| All or a portion of the security is segregated for options written. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
Written Call Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Written Put Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Total Written Options Contracts (Premiums Received $508,009) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.2% |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 1.3% |
| | |
United Parcel Service, Inc., Class B | | |
| | |
|
| | |
|
| | |
Magna International, Inc. (Canada) | | |
| | |
|
| | |
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
|
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
| | |
|
Biotechnology — continued |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Lennox International, Inc. | | |
| | |
| | |
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Commercial Services & Supplies — 0.1% |
| | |
Communications Equipment — 0.1% |
| | |
Construction Materials — 0.2% |
Martin Marietta Materials, Inc. | | |
|
| | |
Capital One Financial Corp. | | |
| | |
Containers & Packaging — 0.2% |
| | |
Diversified Financial Services — 1.5% |
Berkshire Hathaway, Inc., Class B * | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Diversified Telecommunication Services — 0.2% |
Verizon Communications, Inc. | | |
Electric Utilities — 1.8% |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.6% |
| | |
Energy Equipment & Services — 0.1% |
| | |
|
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.6% |
| | |
| | |
| | |
Equity LifeStyle Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.2% |
| | |
| | |
| | |
|
| | |
Mondelez International, Inc., Class A | | |
| | |
Health Care Equipment & Supplies — 2.3% |
| | |
| | |
Baxter International, Inc. | | |
| | |
|
Health Care Equipment & Supplies — continued |
Boston Scientific Corp. * | | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 3.4% |
| | |
| | |
| | |
| | |
UnitedHealth Group, Inc. (a) | | |
| | |
Hotels, Restaurants & Leisure — 1.9% |
| | |
Chipotle Mexican Grill, Inc. * | | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
Royal Caribbean Cruises Ltd. * | | |
| | |
| | |
Household Durables — 0.5% |
| | |
| | |
| | |
| | |
| | |
Household Products — 1.4% |
| | |
Procter & Gamble Co. (The) | | |
| | |
Industrial Conglomerates — 0.3% |
Honeywell International, Inc. | | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
|
Prudential Financial, Inc. | | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 5.6% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * (a) | | |
ZoomInfo Technologies, Inc., Class A * | | |
| | |
Internet & Direct Marketing Retail — 3.0% |
| | |
|
| | |
| | |
Automatic Data Processing, Inc. | | |
FleetCor Technologies, Inc. * | | |
Mastercard, Inc., Class A | | |
| | |
| | |
Life Sciences Tools & Services — 1.9% |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 4.0% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pioneer Natural Resources Co. | | |
| | |
|
Bristol-Myers Squibb Co. (a) | | |
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.5% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
| | |
| | |
Uber Technologies, Inc. * | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.4% |
Advanced Micro Devices, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Burlington Stores, Inc. * | | |
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 6.7% |
| | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
|
| | |
Philip Morris International, Inc. | | |
| | |
| | |
|
Wireless Telecommunication Services — 0.5% |
| | |
Total Common Stocks
(Cost $5,921,651) | | |
| | |
|
Put Options Purchased — 4.4% |
|
| | |
7/29/2022 at USD 3,910.00, European Style | | |
Notional Amount: USD 5,357,070 | | |
Counterparty: Exchange-Traded * (Cost $195,758) | | |
Total Put Options Purchased
(Cost $195,758) | | |
Total Options Purchased
(Cost $195,758) | | |
| | |
Short Term Investments — 3.8% |
Investment Companies — 3.8% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c)
(Cost $212,012) | | |
Total Investments — 102.2%
(Cost $6,329,421) | | |
Liabilities in Excess of Other Assets — (2.2)% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| All or a portion of the security is segregated for options written. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
Written Call Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Written Put Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Total Written Options Contracts (Premiums Received $191,908) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.2% |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 1.3% |
| | |
United Parcel Service, Inc., Class B | | |
| | |
|
| | |
|
| | |
Magna International, Inc. (Canada) | | |
| | |
|
| | |
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
|
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
| | |
|
Biotechnology — continued |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Lennox International, Inc. | | |
| | |
| | |
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Commercial Services & Supplies — 0.1% |
| | |
Communications Equipment — 0.1% |
| | |
Construction Materials — 0.2% |
Martin Marietta Materials, Inc. | | |
|
| | |
Capital One Financial Corp. | | |
| | |
Containers & Packaging — 0.1% |
| | |
Diversified Financial Services — 1.5% |
Berkshire Hathaway, Inc., Class B * (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Diversified Telecommunication Services — 0.2% |
Verizon Communications, Inc. | | |
Electric Utilities — 1.8% |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.6% |
| | |
Energy Equipment & Services — 0.1% |
| | |
|
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.6% |
| | |
| | |
| | |
Equity LifeStyle Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.2% |
| | |
| | |
| | |
|
| | |
Mondelez International, Inc., Class A | | |
| | |
Health Care Equipment & Supplies — 2.2% |
| | |
| | |
Baxter International, Inc. | | |
| | |
|
Health Care Equipment & Supplies — continued |
Boston Scientific Corp. * | | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 3.4% |
| | |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 1.9% |
| | |
Chipotle Mexican Grill, Inc. * | | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
Royal Caribbean Cruises Ltd. * | | |
| | |
| | |
Household Durables — 0.5% |
| | |
| | |
| | |
| | |
| | |
Household Products — 1.3% |
| | |
Procter & Gamble Co. (The) (a) | | |
| | |
Industrial Conglomerates — 0.3% |
Honeywell International, Inc. | | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
|
Prudential Financial, Inc. | | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 5.5% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
ZoomInfo Technologies, Inc., Class A * | | |
| | |
Internet & Direct Marketing Retail — 2.9% |
| | |
|
| | |
| | |
Automatic Data Processing, Inc. | | |
FleetCor Technologies, Inc. * | | |
Mastercard, Inc., Class A | | |
| | |
| | |
Life Sciences Tools & Services — 1.9% |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 3.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pioneer Natural Resources Co. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.4% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
| | |
| | |
Uber Technologies, Inc. * | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.3% |
Advanced Micro Devices, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Burlington Stores, Inc. * | | |
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 6.6% |
| | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
|
| | |
Philip Morris International, Inc. | | |
| | |
| | |
|
Wireless Telecommunication Services — 0.5% |
| | |
Total Common Stocks
(Cost $2,946,892) | | |
| | |
|
Put Options Purchased — 5.4% |
|
| | |
8/31/2022 at USD 3,905.00, European Style | | |
Notional Amount: USD 2,692,162 | | |
Counterparty: Exchange-Traded * (Cost $93,533) | | |
Total Put Options Purchased
(Cost $93,533) | | |
Total Options Purchased
(Cost $93,533) | | |
| | |
Short Term Investments — 2.1% |
Investment Companies — 2.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c)
(Cost $60,717) | | |
Total Investments — 99.7%
(Cost $3,101,142) | | |
Other Assets Less Liabilities — 0.3% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| All or a portion of the security is segregated for options written. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
Written Call Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Written Put Options Contracts as of June 30, 2022 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Total Written Options Contracts (Premiums Received $81,615) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Air Freight & Logistics — 1.6% |
United Parcel Service, Inc., Class B | | |
|
| | |
|
| | |
|
| | |
| | |
| | |
|
| | |
Alnylam Pharmaceuticals, Inc. * | | |
| | |
| | |
| | |
Regeneron Pharmaceuticals, Inc. * | | |
| | |
| | |
|
| | |
|
| | |
Charles Schwab Corp. (The) | | |
| | |
| | |
| | |
|
Sherwin-Williams Co. (The) | | |
|
Capital One Financial Corp. | | |
Electrical Equipment — 0.7% |
Rockwell Automation, Inc. | | |
Electronic Equipment, Instruments & Components — 1.0% |
| | |
Health Care Equipment & Supplies — 1.2% |
| | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
| | |
|
Health Care Providers & Services — 6.8% |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 1.8% |
| | |
Chipotle Mexican Grill, Inc. * | | |
Marriott International, Inc., Class A | | |
| | |
Interactive Media & Services — 7.2% |
Alphabet, Inc., Class C * | | |
| | |
Meta Platforms, Inc., Class A * | | |
| | |
| | |
Internet & Direct Marketing Retail — 2.0% |
| | |
| | |
MercadoLibre, Inc. (Brazil) * | | |
Wayfair, Inc., Class A * (a) | | |
| | |
|
| | |
Cognizant Technology Solutions Corp., Class A | | |
International Business Machines Corp. | | |
| | |
Shopify, Inc., Class A (Canada) * | | |
| | |
Life Sciences Tools & Services — 0.4% |
Thermo Fisher Scientific, Inc. | | |
|
| | |
|
| | |
|
| | |
Oil, Gas & Consumable Fuels — 1.9% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
|
Estee Lauder Cos., Inc. (The), Class A | | |
|
| | |
Professional Services — 1.7% |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.7% |
Advanced Micro Devices, Inc. * | | |
ASML Holding NV (Registered), NYRS (Netherlands) | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Trade Desk, Inc. (The), Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 9.3% |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
Total Common Stocks
(Cost $24,304,559) | | |
| | |
Short Term Investments — 6.0% |
Investment Companies — 6.0% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (b) (c)
(Cost $1,876,903) | | |
Investment of Cash Collateral from Securities Loaned — 0.0% ^ |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (b) (c) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $6,439) | | |
Total Short Term Investments
(Cost $1,883,342) | | |
Total Investments — 100.0%
(Cost $26,187,901) | | |
Other Assets Less Liabilities — 0.0% ^ | | |
| | |
Percentages indicated are based on net assets. |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $5,817. | |
| 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. | |
| The rate shown is the current yield as of June 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 3.5% |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 0.2% |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Communications Equipment — 0.9% |
| | |
Diversified Financial Services — 1.0% |
Berkshire Hathaway, Inc., Class B * | | |
Electric Utilities — 3.3% |
| | |
| | |
|
Electric Utilities — continued |
| | |
| | |
| | |
Electrical Equipment — 0.4% |
Rockwell Automation, Inc. | | |
|
| | |
Equity Real Estate Investment Trusts (REITs) — 5.0% |
Equity LifeStyle Properties, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 3.3% |
BJ's Wholesale Club Holdings, Inc. * | | |
| | |
| | |
| | |
|
| | |
Lamb Weston Holdings, Inc. | | |
| | |
Health Care Equipment & Supplies — 2.8% |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 9.5% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.4% |
Royal Caribbean Cruises Ltd. * | | |
Household Durables — 0.6% |
| | |
| | |
| | |
Industrial Conglomerates — 1.1% |
Honeywell International, Inc. | | |
|
| | |
American International Group, Inc. | | |
Hartford Financial Services Group, Inc. (The) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
|
| | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 1.1% |
Alphabet, Inc., Class A * | | |
Meta Platforms, Inc., Class A * | | |
| | |
|
Fidelity National Information Services, Inc. | | |
|
| | |
| | |
| | |
| | |
|
| | |
|
| | |
|
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 10.5% |
| | |
| | |
| | |
| | |
| | |
|
| | |
Professional Services — 0.7% |
| | |
| | |
|
|
| | |
Technology Hardware, Storage & Peripherals — 1.8% |
Seagate Technology Holdings plc | | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 1.2% |
| | |
| | |
| | |
Total Common Stocks
(Cost $2,919,172) | | |
Short Term Investments — 4.1% |
Investment Companies — 4.1% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $130,466) | | |
Total Investments — 100.0%
(Cost $3,049,638) | | |
Liabilities in Excess of Other Assets — (0.0)% ^ | | |
| | |
Percentages indicated are based on net assets. |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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. | |
| The rate shown is the current yield as of June 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.8% |
| | |
|
| | |
|
| | |
| | |
Citizens Financial Group, Inc. | | |
| | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
| | |
|
| | |
|
| | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Johnson Controls International plc | | |
| | |
| | |
|
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Axalta Coating Systems Ltd. * | | |
| | |
Linde plc (United Kingdom) | | |
| | |
|
| | |
Capital One Financial Corp. | | |
| | |
| | |
Containers & Packaging — 0.5% |
Berry Global Group, Inc. * | | |
| | |
|
Diversified Financial Services — 1.1% |
Berkshire Hathaway, Inc., Class B * | | |
Diversified Telecommunication Services — 2.3% |
Verizon Communications, Inc. | | |
Electric Utilities — 4.5% |
Constellation Energy Corp. | | |
| | |
| | |
| | |
Electrical Equipment — 1.9% |
| | |
Equity Real Estate Investment Trusts (REITs) — 3.2% |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
Food & Staples Retailing — 0.7% |
| | |
|
Mondelez International, Inc., Class A | | |
Tyson Foods, Inc., Class A | | |
| | |
Health Care Equipment & Supplies — 2.3% |
| | |
| | |
| | |
Health Care Providers & Services — 4.9% |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.8% |
| | |
Royal Caribbean Cruises Ltd. * | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Household Durables — 0.7% |
| | |
| | |
| | |
Household Products — 1.5% |
Procter & Gamble Co. (The) | | |
Spectrum Brands Holdings, Inc. | | |
| | |
|
| | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 4.1% |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
| | |
|
| | |
Fidelity National Information Services, Inc. | | |
| | |
Mastercard, Inc., Class A | | |
SS&C Technologies Holdings, Inc. | | |
| | |
Life Sciences Tools & Services — 0.6% |
Agilent Technologies, Inc. | | |
|
| | |
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
| | |
|
| | |
|
| | |
| | |
|
Multi-Utilities — continued |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 8.0% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Jazz Pharmaceuticals plc * | | |
| | |
| | |
| | |
Professional Services — 0.4% |
Booz Allen Hamilton Holding Corp. | | |
Real Estate Management & Development — 0.7% |
CBRE Group, Inc., Class A * | | |
|
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 3.4% |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
| | |
|
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Technology Hardware, Storage & Peripherals — 0.2% |
| | |
|
| | |
Total Common Stocks
(Cost $173,950) | | |
Short Term Investments — 1.5% |
Investment Companies — 1.5% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $2,967) | | |
Total Investments — 99.9%
(Cost $176,917) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 2.1% |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
|
| | |
|
| | |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
Ameriprise Financial, Inc. | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Construction Materials — 0.9% |
| | |
Diversified Telecommunication Services — 2.3% |
Verizon Communications, Inc. | | |
Electric Utilities — 4.8% |
| | |
| | |
| | |
Electrical Equipment — 2.5% |
| | |
Energy Equipment & Services — 1.3% |
| | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — 3.0% |
| | |
Health Care Equipment & Supplies — 2.8% |
Boston Scientific Corp. * | | |
Intuitive Surgical, Inc. * | | |
| | |
Health Care Providers & Services — 3.1% |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 3.9% |
Marriott International, Inc., Class A | | |
| | |
| | |
|
| | |
Interactive Media & Services — 7.1% |
Alphabet, Inc., Class A * | | |
Meta Platforms, Inc., Class A * | | |
| | |
| | |
Internet & Direct Marketing Retail — 3.7% |
| | |
|
Mastercard, Inc., Class A | | |
|
| | |
|
| | |
Oil, Gas & Consumable Fuels — 1.7% |
Pioneer Natural Resources Co. | | |
|
| | |
Professional Services — 0.9% |
| | |
|
| | |
Uber Technologies, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Semiconductors & Semiconductor Equipment — 5.5% |
Advanced Micro Devices, Inc. * | | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
|
| | |
|
| | |
O'Reilly Automotive, Inc. * | | |
| | |
Technology Hardware, Storage & Peripherals — 4.7% |
| | |
Textiles, Apparel & Luxury Goods — 1.0% |
| | |
Total Common Stocks
(Cost $12,757,261) | | |
| | |
Short Term Investments — 3.2% |
Investment Companies — 3.2% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $594,247) | | |
Total Investments — 99.8%
(Cost $13,351,508) | | |
Other Assets Less Liabilities — 0.2% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. GARP Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 0.6% |
| | |
Air Freight & Logistics — 0.3% |
United Parcel Service, Inc., Class B | | |
|
Rivian Automotive, Inc., Class A * (a) | | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
|
| | |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Fortune Brands Home & Security, Inc. | | |
| | |
| | |
|
Charles Schwab Corp. (The) | | |
| | |
| | |
|
Linde plc (United Kingdom) | | |
Commercial Services & Supplies — 0.7% |
| | |
Construction & Engineering — 0.3% |
| | |
|
Capital One Financial Corp. | | |
Electronic Equipment, Instruments & Components — 0.6% |
Keysight Technologies, Inc. * | | |
| | |
|
|
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| | |
Gaming and Leisure Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
Food & Staples Retailing — 1.2% |
| | |
Performance Food Group Co. * | | |
| | |
|
| | |
Health Care Equipment & Supplies — 1.2% |
| | |
Boston Scientific Corp. * | | |
| | |
Health Care Providers & Services — 4.2% |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 2.9% |
| | |
Chipotle Mexican Grill, Inc. * | | |
| | |
| | |
Marriott International, Inc., Class A | | |
| | |
| | |
Household Durables — 0.6% |
| | |
|
| | |
Arch Capital Group Ltd. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. GARP Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Interactive Media & Services — 6.3% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
| | |
Internet & Direct Marketing Retail — 5.2% |
| | |
|
| | |
Automatic Data Processing, Inc. | | |
Fidelity National Information Services, Inc. | | |
Mastercard, Inc., Class A | | |
| | |
| | |
Life Sciences Tools & Services — 2.6% |
Agilent Technologies, Inc. | | |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
|
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 1.6% |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Real Estate Management & Development — 0.3% |
Jones Lang LaSalle, Inc. * | | |
|
| | |
Knight-Swift Transportation Holdings, Inc. | | |
| | |
| | |
Old Dominion Freight Line, Inc. | | |
Uber Technologies, Inc. * | | |
| | |
Semiconductors & Semiconductor Equipment — 6.2% |
Advanced Micro Devices, Inc. * | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
| | |
Cadence Design Systems, Inc. * | | |
Ceridian HCM Holding, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
| | |
Palo Alto Networks, Inc. * | | |
| | |
| | |
| | |
|
| | |
| | |
Burlington Stores, Inc. * | | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
Technology Hardware, Storage & Peripherals — 10.7% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Technology Hardware, Storage & Peripherals — continued |
Hewlett Packard Enterprise Co. | | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.8% |
| | |
|
Philip Morris International, Inc. | | |
Trading Companies & Distributors — 0.5% |
| | |
Total Common Stocks
(Cost $687,640) | | |
Short Term Investments — 4.0% |
Investment Companies — 3.9% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (b) (c)
(Cost $38,481) | | |
Investment of Cash Collateral from Securities Loaned — 0.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c)
(Cost $638) | | |
Total Short Term Investments
(Cost $39,119) | | |
Total Investments — 99.9%
(Cost $726,759) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $587. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
|
Aerospace & Defense — 3.3% |
| | |
Northrop Grumman Corp. (a) | | |
Raytheon Technologies Corp. | | |
| | |
Air Freight & Logistics — 0.8% |
United Parcel Service, Inc., Class B | | |
|
| | |
|
Bank of America Corp. (a) | | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
| | |
|
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
Regeneron Pharmaceuticals, Inc. * | | |
Sarepta Therapeutics, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
Ameriprise Financial, Inc. | | |
| | |
| | |
| | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
|
|
|
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Commercial Services & Supplies — 0.3% |
| | |
| | |
| | |
Communications Equipment — 0.1% |
| | |
Construction Materials — 0.6% |
Martin Marietta Materials, Inc. | | |
Diversified Financial Services — 0.2% |
| | |
Electric Utilities — 2.1% |
| | |
| | |
| | |
| | |
Electrical Equipment — 1.0% |
| | |
Electronic Equipment, Instruments & Components — 0.6% |
| | |
Keysight Technologies, Inc. * | | |
| | |
Energy Equipment & Services — 0.6% |
| | |
|
Endeavor Group Holdings, Inc., Class A * | | |
Take-Two Interactive Software, Inc. * | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 3.0% |
American Homes 4 Rent, Class A | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Long Positions — continued |
Common Stocks — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
| | |
| | |
| | |
Food & Staples Retailing — 1.1% |
| | |
|
| | |
Mondelez International, Inc., Class A (a) | | |
| | |
Health Care Equipment & Supplies — 2.7% |
| | |
Boston Scientific Corp. * (a) | | |
Intuitive Surgical, Inc. * | | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 5.7% |
| | |
| | |
| | |
UnitedHealth Group, Inc. (a) | | |
| | |
Hotels, Restaurants & Leisure — 3.8% |
| | |
Chipotle Mexican Grill, Inc. * | | |
Hilton Worldwide Holdings, Inc. | | |
Marriott International, Inc., Class A | | |
| | |
| | |
| | |
Household Durables — 0.4% |
| | |
Household Products — 0.8% |
Procter & Gamble Co. (The) (a) | | |
Industrial Conglomerates — 1.1% |
Honeywell International, Inc. | | |
|
| | |
| | |
| | |
| | |
|
|
|
| | |
Prudential Financial, Inc. | | |
| | |
Interactive Media & Services — 6.3% |
Alphabet, Inc., Class C * | | |
Alphabet, Inc., Class A * | | |
Meta Platforms, Inc., Class A * (a) | | |
| | |
| | |
Internet & Direct Marketing Retail — 4.7% |
| | |
|
Automatic Data Processing, Inc. | | |
Mastercard, Inc., Class A (a) | | |
| | |
| | |
Life Sciences Tools & Services — 2.6% |
| | |
Thermo Fisher Scientific, Inc. (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * (a) | | |
Comcast Corp., Class A (a) | | |
Liberty Media Corp.-Liberty SiriusXM, Class A * | | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Long Positions — continued |
Common Stocks — continued |
Oil, Gas & Consumable Fuels — 5.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pioneer Natural Resources Co. (a) | | |
| | |
|
Estee Lauder Cos., Inc. (The), Class A | | |
|
Bristol-Myers Squibb Co. (a) | | |
| | |
| | |
| | |
Professional Services — 1.2% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
Canadian National Railway Co. (Canada) | | |
| | |
Knight-Swift Transportation Holdings, Inc. | | |
Norfolk Southern Corp. (a) | | |
Old Dominion Freight Line, Inc. | | |
Uber Technologies, Inc. * | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 8.5% |
Advanced Micro Devices, Inc. * | | |
| | |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
|
Semiconductors & Semiconductor Equipment — continued |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
O'Reilly Automotive, Inc. * (a) | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 5.9% |
| | |
Dell Technologies, Inc., Class C | | |
Hewlett Packard Enterprise Co. | | |
Seagate Technology Holdings plc | | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.4% |
| | |
Wireless Telecommunication Services — 0.9% |
| | |
Total Common Stocks
(Cost $1,226,944) | | |
Short-Term Investments — 0.4% |
Investment Companies — 0.4% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (b) (c)(Cost $6,679) | | |
Total Long Positions
(Cost $1,233,623) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Short Positions — (22.6)% |
|
Aerospace & Defense — (0.5)% |
| | |
Huntington Ingalls Industries, Inc. | | |
| | |
Air Freight & Logistics — (0.4)% |
CH Robinson Worldwide, Inc. | | |
|
| | |
| | |
| | |
|
Huntington Bancshares, Inc. | | |
| | |
| | |
| | |
|
| | |
Building Products — (0.3)% |
| | |
| | |
Johnson Controls International plc | | |
| | |
|
Bank of New York Mellon Corp. (The) | | |
| | |
Goldman Sachs Group, Inc. (The) | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Communications Equipment — (0.3)% |
| | |
Consumer Finance — (0.5)% |
Capital One Financial Corp. | | |
| | |
|
|
Containers & Packaging — (0.4)% |
| | |
| | |
| | |
Diversified Telecommunication Services — (0.5)% |
| | |
| | |
| | |
Electric Utilities — (1.0)% |
American Electric Power Co., Inc. | | |
| | |
| | |
| | |
Pinnacle West Capital Corp. | | |
| | |
| | |
| | |
Electrical Equipment — (0.6)% |
| | |
| | |
| | |
Sensata Technologies Holding plc | | |
| | |
Energy Equipment & Services — (0.5)% |
| | |
| | |
| | |
|
AMC Entertainment Holdings, Inc., Class A * | | |
| | |
Warner Bros Discovery, Inc. * | | |
| | |
Equity Real Estate Investment Trusts (REITs) — (1.2)% |
Digital Realty Trust, Inc. | | |
| | |
National Retail Properties, Inc. | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Short Positions — continued |
Common Stocks — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
Simon Property Group, Inc. | | |
| | |
| | |
Food & Staples Retailing — (1.1)% |
Albertsons Cos., Inc., Class A | | |
| | |
Walgreens Boots Alliance, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
Health Care Equipment & Supplies — (0.3)% |
| | |
Health Care Providers & Services — (0.2)% |
| | |
Universal Health Services, Inc., Class B | | |
| | |
Household Durables — (0.2)% |
| | |
| | |
| | |
| | |
Household Products — (0.8)% |
Church & Dwight Co., Inc. | | |
| | |
| | |
| | |
Industrial Conglomerates — (1.2)% |
| | |
| | |
| | |
| | |
|
|
|
| | |
| | |
| | |
Internet & Direct Marketing Retail — (0.2)% |
| | |
|
Cognizant Technology Solutions Corp., Class A | | |
| | |
| | |
| | |
Snowflake, Inc., Class A * | | |
| | |
| | |
Life Sciences Tools & Services — (0.3)% |
| | |
|
| | |
| | |
| | |
Illinois Tool Works, Inc. | | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
Interpublic Group of Cos., Inc. (The) | | |
| | |
Paramount Global, Class B | | |
| | |
Multiline Retail — (0.0)% ^ |
| | |
|
Consolidated Edison, Inc. | | |
| | |
| | |
Oil, Gas & Consumable Fuels — (1.1)% |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Short Positions — continued |
Common Stocks — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
|
| | |
Professional Services — (0.4)% |
| | |
| | |
| | |
| | |
|
Canadian Pacific Railway Ltd. (Canada) | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — (1.3)% |
| | |
| | |
| | |
| | |
| | |
| | |
|
Ceridian HCM Holding, Inc. * | | |
| | |
Palantir Technologies, Inc., Class A * | | |
| | |
| | |
Specialty Retail — (0.1)% |
| | |
Technology Hardware, Storage & Peripherals — (0.7)% |
| | |
| | |
| | |
| | |
| | |
|
|
Textiles, Apparel & Luxury Goods — (0.1)% |
| | |
Trading Companies & Distributors — (0.3)% |
| | |
Total Common Stocks
(Proceeds $(438,133)) | | |
Total Short Positions
(Proceeds $(438,133)) | | |
Total Investments — 99.9%
(Cost $795,490) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| American Depositary Receipt |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $504,771. | |
| 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. | |
| The rate shown is the current yield as of June 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 1.3% |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 1.4% |
| | |
United Parcel Service, Inc., Class B | | |
| | |
|
| | |
|
| | |
Magna International, Inc. (Canada) | | |
| | |
|
| | |
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
|
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
Neurocrine Biosciences, Inc. * | | |
| | |
|
Biotechnology — continued |
Regeneron Pharmaceuticals, Inc. * | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
Lennox International, Inc. | | |
| | |
| | |
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
|
Air Products and Chemicals, Inc. | | |
| | |
| | |
| | |
Linde plc (United Kingdom) | | |
| | |
| | |
Commercial Services & Supplies — 0.1% |
| | |
Communications Equipment — 0.1% |
| | |
Construction Materials — 0.3% |
Martin Marietta Materials, Inc. | | |
|
| | |
Capital One Financial Corp. | | |
| | |
Containers & Packaging — 0.2% |
| | |
Diversified Financial Services — 1.5% |
Berkshire Hathaway, Inc., Class B * | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Diversified Telecommunication Services — 0.2% |
Verizon Communications, Inc. | | |
Electric Utilities — 1.9% |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.6% |
| | |
Energy Equipment & Services — 0.1% |
| | |
|
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| | |
| | |
| | |
Equity LifeStyle Properties, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.3% |
| | |
| | |
| | |
|
| | |
Mondelez International, Inc., Class A | | |
| | |
Health Care Equipment & Supplies — 2.4% |
| | |
| | |
Baxter International, Inc. | | |
| | |
|
Health Care Equipment & Supplies — continued |
Boston Scientific Corp. * | | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 3.6% |
| | |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 2.0% |
| | |
Chipotle Mexican Grill, Inc. * | | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
Royal Caribbean Cruises Ltd. * | | |
| | |
| | |
Household Durables — 0.5% |
| | |
| | |
| | |
| | |
| | |
Household Products — 1.4% |
| | |
Procter & Gamble Co. (The) | | |
| | |
Industrial Conglomerates — 0.3% |
Honeywell International, Inc. | | |
|
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
|
Prudential Financial, Inc. | | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 5.8% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
ZoomInfo Technologies, Inc., Class A * | | |
| | |
Internet & Direct Marketing Retail — 3.1% |
| | |
|
| | |
| | |
Automatic Data Processing, Inc. | | |
FleetCor Technologies, Inc. * | | |
Mastercard, Inc., Class A | | |
| | |
| | |
Life Sciences Tools & Services — 2.0% |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 4.1% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pioneer Natural Resources Co. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Professional Services — 0.5% |
Booz Allen Hamilton Holding Corp. | | |
| | |
| | |
|
| | |
| | |
Uber Technologies, Inc. * | | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 5.6% |
Advanced Micro Devices, Inc. * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Burlington Stores, Inc. * | | |
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 7.0% |
| | |
Seagate Technology Holdings plc | | |
| | |
| | |
|
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
|
| | |
Philip Morris International, Inc. | | |
| | |
Wireless Telecommunication Services — 0.5% |
| | |
Total Common Stocks
(Cost $5,216,248) | | |
Short Term Investments — 1.8% |
Investment Companies — 1.8% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $117,988) | | |
Total Investments — 99.5%
(Cost $5,334,236) | | |
Other Assets Less Liabilities — 0.5% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Sustainable Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
|
| | |
|
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
|
Intercontinental Exchange, Inc. | | |
| | |
| | |
| | |
| | |
|
Linde plc (United Kingdom) | | |
Containers & Packaging — 1.4% |
| | |
Diversified Financial Services — 1.5% |
| | |
Diversified Telecommunication Services — 1.9% |
Verizon Communications, Inc. | | |
Electric Utilities — 2.3% |
| | |
| | |
| | |
Electrical Equipment — 2.1% |
| | |
|
| | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — 3.8% |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 2.5% |
| | |
|
| | |
Health Care Equipment & Supplies — 2.9% |
Boston Scientific Corp. * | | |
| | |
| | |
Health Care Providers & Services — 2.9% |
| | |
|
Marsh & McLennan Cos., Inc. | | |
| | |
| | |
| | |
Interactive Media & Services — 3.7% |
Alphabet, Inc., Class A * | | |
Internet & Direct Marketing Retail — 0.3% |
| | |
|
| | |
Affirm Holdings, Inc. * (a) | | |
Mastercard, Inc., Class A | | |
Shopify, Inc., Class A (Canada) * | | |
| | |
Life Sciences Tools & Services — 5.8% |
Agilent Technologies, Inc. | | |
| | |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
JPMorgan U.S. Sustainable Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
|
| | |
|
| | |
|
Estee Lauder Cos., Inc. (The), Class A | | |
|
| | |
| | |
| | |
|
| | |
Semiconductors & Semiconductor Equipment — 5.5% |
Advanced Micro Devices, Inc. * | | |
| | |
| | |
NXP Semiconductors NV (China) | | |
SolarEdge Technologies, Inc. * | | |
| | |
| | |
|
| | |
Cadence Design Systems, Inc. * | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Technology Hardware, Storage & Peripherals — 6.2% |
| | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.5% |
| | |
Total Common Stocks
(Cost $185,835) | | |
Short Term Investments — 1.5% |
Investment Companies — 1.4% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (b) (c)
(Cost $2,533) | | |
Investment of Cash Collateral from Securities Loaned — 0.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c)
(Cost $198) | | |
Total Short Term Investments
(Cost $2,731) | | |
Total Investments — 98.6%
(Cost $188,566) | | |
Other Assets Less Liabilities — 1.4% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $182. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
|
Aerospace & Defense — 4.4% |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
Air Freight & Logistics — 1.3% |
United Parcel Service, Inc., Class B | | |
|
| | |
|
| | |
| | |
Citizens Financial Group, Inc. | | |
| | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
| | |
Charles Schwab Corp. (The) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
| | |
|
|
Air Products and Chemicals, Inc. | | |
Axalta Coating Systems Ltd. * | | |
| | |
Commercial Services & Supplies — 0.7% |
| | |
Construction Materials — 0.9% |
| | |
|
| | |
Capital One Financial Corp. | | |
| | |
Containers & Packaging — 0.4% |
| | |
Diversified Financial Services — 1.8% |
Berkshire Hathaway, Inc., Class B * | | |
Electric Utilities — 2.0% |
| | |
| | |
| | |
| | |
Electrical Equipment — 1.0% |
| | |
|
| | |
Equity Real Estate Investment Trusts (REITs) — 1.4% |
AvalonBay Communities, Inc. | | |
Host Hotels & Resorts, Inc. | | |
| | |
| | |
Food & Staples Retailing — 1.0% |
| | |
|
Mondelez International, Inc., Class A | | |
Health Care Equipment & Supplies — 3.4% |
| | |
Boston Scientific Corp. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| | |
Common Stocks — continued |
Health Care Providers & Services — 5.9% |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 1.7% |
| | |
| | |
| | |
Household Durables — 0.4% |
| | |
Household Products — 1.1% |
Procter & Gamble Co. (The) | | |
|
| | |
Hartford Financial Services Group, Inc. (The) | | |
| | |
Marsh & McLennan Cos., Inc. | | |
| | |
Prudential Financial, Inc. | | |
| | |
Interactive Media & Services — 1.8% |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
| | |
|
Fidelity National Information Services, Inc. | | |
International Business Machines Corp. | | |
| | |
|
| | |
| | |
| | |
|
| | |
|
| | |
| | |
|
|
| | |
Public Service Enterprise Group, Inc. | | |
| | |
Oil, Gas & Consumable Fuels — 7.5% |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Semiconductors & Semiconductor Equipment — 4.3% |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
O'Reilly Automotive, Inc. * | | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 0.4% |
| | |
Textiles, Apparel & Luxury Goods — 0.8% |
| | |
|
Philip Morris International, Inc. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Common Stocks — continued |
Wireless Telecommunication Services — 0.8% |
| | |
Total Common Stocks
(Cost $2,415,242) | | |
Short Term Investments — 2.7% |
Investment Companies — 2.7% |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b)
(Cost $76,404) | | |
Total Investments — 99.6%
(Cost $2,491,646) | | |
Other Assets Less Liabilities — 0.4% | | |
| | |
Percentages indicated are based on net assets. |
| Non-income producing security. |
| Investment in an affiliated fund, which is is managed by JP Morgan Chase Bank, N.A. |
| The rate shown is the current yield as of June 30, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022
(Amounts in thousands, except per share amounts)
| | JPMorgan
Equity Income
Fund | | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C) | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
| | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Interest from non-affiliates | | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
Securities lending income (See Note 2.C) | | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment securities purchased | | | | |
Collateral received on securities loaned (See Note 2.C) | | | | |
| | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| | JPMorgan Equity Income Fund | | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Class A — Redemption price per share | | | | |
Class C — Offering price per share (b) | | | | |
Class I — Offering and redemption price per share | | | | |
Class R2 — Offering and redemption price per share | | | | |
Class R3 — Offering and redemption price per share | | | | |
Class R4 — Offering and redemption price per share | | | | |
Class R5 — Offering and redemption price per share | | | | |
Class R6 — Offering and redemption price per share | | | | |
Class A maximum sales charge | | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
| | | | |
Investment securities on loan, at value (See Note 2.C) | | | | |
Cost of investment of cash collateral (See Note 2.C) | | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are held.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan
Hedged
Equity Fund | JP Morgan
Hedged
Equity 2 Fund | JP Morgan
Hedged
Equity 3 Fund | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C) | | | | |
Options purchased, at value | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
Securities lending income (See Note 2.C) | | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
Investment securities purchased | | | | |
Collateral received on securities loaned (See Note 2.C) | | | | |
| | | | |
| | | | |
Variation margin on futures contracts | | | | |
Outstanding options written, at fair value | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Hedged Equity Fund | JP Morgan Hedged Equity 2 Fund | JP Morgan Hedged Equity 3 Fund | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Class A — Redemption price per share | | | | |
Class C — Offering price per share (b) | | | | |
Class I — Offering and redemption price per share | | | | |
Class R2 — Offering and redemption price per share | | | | |
Class R3 — Offering and redemption price per share | | | | |
Class R4 — Offering and redemption price per share | | | | |
Class R5 — Offering and redemption price per share | | | | |
Class R6 — Offering and redemption price per share | | | | |
Class A maximum sales charge | | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
Cost of options purchased | | | | |
| | | | |
Investment securities on loan, at value (See Note 2.C) | | | | |
Cost of investment of cash collateral (See Note 2.C) | | | | |
Premiums received from options written | | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are held.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan
Large Cap
Value Fund | JPMorgan
U.S. Applied
Data Science
Value Fund
(formerly known as
JPMorgan Intrepid
Value Fund) | | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C) | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
Securities lending income (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
Investment securities purchased | | | | |
Collateral received on securities loaned (See Note 2.C) | | | | |
| | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Class A — Redemption price per share | | | | |
Class C — Offering price per share (b) | | | | |
Class I — Offering and redemption price per share | | | | |
Class L — Offering and redemption price per share | | | | |
Class R2 — Offering and redemption price per share | | | | |
Class R3 — Offering and redemption price per share | | | | |
Class R4 — Offering and redemption price per share | | | | |
Class R5 — Offering and redemption price per share | | | | |
Class R6 — Offering and redemption price per share | | | | |
Class A maximum sales charge | | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
| | | | |
Investment securities on loan, at value (See Note 2.C) | | | | |
Cost of investment of cash collateral (See Note 2.C) | | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are held.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan
U.S. Large
Cap Core
Plus Fund | JPMorgan
U.S. Research
Enhanced
Equity Fund | JPMorgan
U.S. Sustainable
Leaders Fund | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C) | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
Securities lending income (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
Securities sold short, at value | | | | |
Dividend expense to non-affiliates on securities sold short | | | | |
Investment securities purchased | | | | |
Interest expense to non-affiliates on securities sold short | | | | |
Collateral received on securities loaned (See Note 2.C) | | | | |
| | | | |
Variation margin on futures contracts | | | | |
Due to broker for securities sold short | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund | JPMorgan U.S. Sustainable Leaders Fund | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Class A — Redemption price per share | | | | |
Class C — Offering price per share (b) | | | | |
Class I — Offering and redemption price per share | | | | |
Class R2 — Offering and redemption price per share | | | | |
Class R3 — Offering and redemption price per share | | | | |
Class R4 — Offering and redemption price per share | | | | |
Class R5 — Offering and redemption price per share | | | | |
Class R6 — Offering and redemption price per share | | | | |
Class A maximum sales charge | | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
| | | | |
Investment securities on loan, at value | | | | |
Cost of investment of cash collateral (See Note 2.C) | | | | |
Proceeds from securities sold short | | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are held.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022
(Amounts in thousands)
| | JPMorgan
Equity Income
Fund | | |
| | | | |
Interest income from non-affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Interest expense to affiliates | | | | |
| | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
Printing and mailing costs | | | | |
Registration and filing fees | | | | |
Transfer agency fees (See Note 2.M) | | | | |
| | | | |
| | | | |
| | | | |
Less expense reimbursements | | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022 (continued)
(Amounts in thousands)
| JPMorgan
Hedged
Equity Fund | JP Morgan
Hedged
Equity 2 Fund | JP Morgan
Hedged
Equity 3 Fund | |
| | | | |
Interest income from non-affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Interest expense to affiliates | | | | |
| | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
Printing and mailing costs | | | | |
Registration and filing fees | | | | |
Transfer agency fees (See Note 2.M) | | | | |
Offering costs (See Note 2.K) | | | | |
| | | | |
| | | | |
| | | | |
Less expense reimbursements | | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan
Large Cap
Value Fund | JPMorgan
U.S. Applied
Data Science
Value Fund
(formerly known as
JPMorgan Intrepid
Value Fund) | | |
| | | | |
Interest income from non-affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Interest expense to affiliates | | | | |
| | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
Printing and mailing costs | | | | |
Registration and filing fees | | | | |
Transfer agency fees (See Note 2.M) | | | | |
| | | | |
| | | | |
| | | | |
Less expense reimbursements | | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022 (continued)
(Amounts in thousands)
| JPMorgan
U.S. Large
Cap Core
Plus Fund | JPMorgan
U.S. Research
Enhanced
Equity Fund | JPMorgan
U.S. Sustainable
Leaders Fund | |
| | | | |
Interest income from non-affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.C) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Interest expense to affiliates | | | | |
| | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
Printing and mailing costs | | | | |
Registration and filing fees | | | | |
Transfer agency fees (See Note 2.M) | | | | |
Dividend expense to non-affiliates on securities sold short | | | | |
Interest expense to non-affiliates on securities sold short | | | | |
| | | | |
| | | | |
| | | | |
Less expense reimbursements | | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Index Fund | JPMorgan Equity Premium
Income Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Hedged Equity Fund | JPMorgan Hedged Equity 2 Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Commencement of operations was February 26, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Hedged Equity 3 Fund | JPMorgan Large Cap Growth Fund |
| | Period Ended
June 30, 2021 (a) | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Commencement of operations was February 26, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund) |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research
Enhanced Equity Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Sustainable Leaders Fund | |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund |
| | | | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Equity Index Fund | JPMorgan Equity Premium
Income Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Equity Index Fund | JPMorgan Equity Premium Income Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Hedged Equity Fund | JPMorgan Hedged Equity 2 Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Commencement of operations was February 26, 2021.
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Hedged Equity Fund | JPMorgan Hedged Equity 2 Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Commencement of operations was February 26, 2021.
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Hedged Equity 3 Fund | JPMorgan Large Cap Growth Fund |
| | Period Ended June 30, 2021(a) | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
(a)
Commencement of operations was February 26, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Hedged Equity 3 Fund | JPMorgan Large Cap Growth Fund |
| | Period Ended June 30, 2021(a) | | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
(a)
Commencement of operations was February 26, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Hedged Equity 3 Fund | JPMorgan Large Cap Growth Fund |
| | Period Ended June 30, 2021(a) | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Commencement of operations was February 26, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund) |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) |
| | | | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan Large Cap Value Fund | JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class L capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund |
| | | | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research
Enhanced Equity Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
| | | | |
Conversion from Class L Shares | | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Conversion to Class I Shares | | | | |
Change in net assets resulting from Class L capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
(a)
On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Large Cap Core Plus Fund | JPMorgan U.S. Research Enhanced Equity Fund |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Conversion from Class L Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Conversion to Class I Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan U.S. Sustainable Leaders Fund | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan U.S. Sustainable Leaders Fund | |
| | | | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
(a)
Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund.
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| JPMorgan U.S. Sustainable Leaders Fund | |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
(b)
Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED June 30, 2022
(Amounts in thousands)
| JPMorgan
U.S. Large
Cap Core
Plus Fund |
INCREASE (DECREASE) IN CASH | |
Cash flows provided (used) by operating activities: | |
Net decrease in net assets resulting from operations | |
Adjustments to reconcile net increase/decrease in net assets resulting
from operations to net cash provided (used) by operating activities: | |
Purchases of investment securities | |
Proceeds from disposition of investment securities | |
Covers of investment securities sold short | |
Proceeds from investment securities sold short | |
Purchases of short-term investments — affiliates, net | |
Change in unrealized (appreciation)/depreciation on investments in non-affiliates | |
Change in unrealized (appreciation)/depreciation on investment securities sold short | |
Net realized (gain)/loss on investments in non-affiliates | |
Net realized (gain)/loss on investments in affiliates | |
Net realized (gain)/loss on securities sold short | |
Decrease in dividends receivable from non-affiliates | |
Decrease in dividend expense to non-affiliates on securities sold short | |
Decrease in Interest expense to non-affiliates on securities sold short | |
Decrease in due to broker for securities sold short | |
Decrease in investment advisory fees payable | |
Decrease in administration fees payable | |
Decrease in distribution fees payable | |
Decrease in service fees payable | |
Decrease in custodian and accounting fees payable | |
Decrease in other accrued expenses payable | |
Net cash provided (used) by operating activities | |
Cash flows provided (used) by financing activities: | |
| |
Proceeds from shares issued | |
Payment for shares redeemed | |
Cash distributions paid to shareholders (net of reinvestments of $569,440) | |
Net cash provided (used) by financing activities | |
| |
Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker | |
Restricted and unrestricted cash and foreign currency at beginning of period | |
Restricted and unrestricted cash and foreign currency at end of year | |
Supplemental disclosure of cash flow information:For the year ended June 30, 2022 the Fund paid approximately $3,386 in interest expense.
For purposes of reporting the Statement of Cash Flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents.
Reconciliation of restricted and unrestricted cash and foreign currency at the end of period to the Statement of Assets and Liabilities:
| | |
| | |
Foreign currency, at value | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Equity Focus Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
October 1, 2018 (f) through June 30, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Equity Income Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
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| | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Equity Income Fund (continued) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Equity Index Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Net expenses for Class R6 Shares are 0.045% for the year ended June 30, 2022, 0.044% for the year ended June 30, 2021, 0.044% for the year ended June 30, 2020, 0.043% for the year ended June 30, 2019 and 0.042% for the year ended June 30, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | Net asset
value,
end of
period |
JPMorgan Equity Premium Income Fund | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
August 31, 2018 (f) through June 30, 2019 | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
August 31, 2018 (f) through June 30, 2019 | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
August 31, 2018 (f) through June 30, 2019 | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
August 31, 2018 (f) through June 30, 2019 | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
August 31, 2018 (f) through June 30, 2019 | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Commencement of operations. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
|
| | Ratios to average net assets(a) |
Total return
(excludes
sales charge) (c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
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| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Hedged Equity Fund | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Hedged Equity 2 Fund | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| Commencement of operations. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Hedged Equity 3 Fund | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
| | | | | |
| | | | | |
February 26, 2021 (f) through June 30, 2021 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| Commencement of operations. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Large Cap Growth Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Large Cap Growth Fund (continued) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Large Cap Value Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
October 1, 2018 (g) through June 30, 2019 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
October 1, 2018 (g) through June 30, 2019 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Large Cap Value Fund (continued) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Amount rounds to less than $0.005. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | | | | | | | |
| | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Reflects special dividends paid out during the year by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.46, $0.30, $0.53, $0.38, $0.57 and $0.60 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 1.56%, 1.05%, 1.70%, 1.30%, 1.85% and 2.04% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Equity Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
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| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Equity Fund (continued) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. GARP Equity Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Reflects special dividends paid out during the year by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.27, $(0.01), $0.41, $0.13, $0.49 and $0.55 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 0.48%, (0.02)%, 0.73%, 0.23%, 0.88% and 0.99% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | | Net asset
value,
end of
period |
JPMorgan U.S. Large Cap Core Plus Fund | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
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| | | | | | | | |
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| | | | | | | | |
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| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
|
| | Ratios to average net assets(a) |
Total return
(excludes
sales charge) (c)(d) | Net assets,
end of
period
(000's) | Net
expenses
(including dividend
and interest expense
for securities sold
short)(e)(f) | Net
investment
income
(loss) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(c) | Portfolio
turnover rate
(including securities
sold short)(c) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | | Net asset
value,
end of
period |
JPMorgan U.S. Large Cap Core Plus Fund (continued) | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
November 1, 2017 (j) through June 30, 2018 | | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| |
| | | | | |
Net expenses (excluding dividend and interest expense for securities sold short) | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| Interest expense on securities sold short is 0.62%. |
| Interest expense on securities sold short is 0.16%. |
| Amount rounds to less than $0.005. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
|
| | Ratios to average net assets(a) |
Total return
(excludes
sales charge) (c)(d) | Net assets,
end of
period
(000's) | Net
expenses
(including dividend
and interest expense
for securities sold
short)(e)(f) | Net
investment
income
(loss) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(c) | Portfolio
turnover rate
(including securities
sold short)(c) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Research Enhanced Equity Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(b) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Sustainable Leaders Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
September 30, 2020 (f) through June 30, 2021 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
| | | | | | | |
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July 31, 2017 (f) through June 30, 2018 | | | | | | | |
| | | | | | | |
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July 31, 2017 (f) through June 30, 2018 | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan U.S. Value Fund (continued) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(c)(d) | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 16 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| | | Diversification Classification |
JPMorgan Equity Focus Fund | Class A, Class C, Class I and Class R6 | | |
JPMorgan Equity Income Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | |
JPMorgan Equity Index Fund | Class A, Class C, Class I and Class R6 | | |
JPMorgan Equity Premium Income Fund | Class A, Class C, Class I, Class R5 and Class R6 | | |
JPMorgan Hedged Equity Fund | Class A, Class C, Class I, Class R5 and Class R6 | | |
JPMorgan Hedged Equity 2 Fund | Class A, Class C, Class I, Class R5 and Class R6 | | |
JPMorgan Hedged Equity 3 Fund | Class A, Class C, Class I, Class R5 and Class R6 | | |
JPMorgan Large Cap Growth Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | |
JPMorgan Large Cap Value Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | |
JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund)(1) | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | |
JPMorgan U.S. Equity Fund | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | | |
JPMorgan U.S. GARP Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | |
JPMorgan U.S. Large Cap Core Plus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | |
JPMorgan U.S. Research Enhanced Equity Fund | Class A, Class I, Class L and Class R6 | | |
JPMorgan U.S. Sustainable Leaders Fund | Class A, Class C, Class I and Class R6 | | |
| Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | | |
|
| Effective July 1, 2021, JPMorgan Intrepid Value Fund changed its name to JPMorgan U.S. Applied Data Science Value Fund. |
The investment objective of JPMorgan Equity Focus Fund (“Equity Focus Fund”) and JPMorgan Large Cap Growth Fund (“Large Cap Growth Fund”) is to seek long-term capital appreciation.
The investment objective of JPMorgan Equity Income Fund (“Equity Income Fund”) is to seek capital appreciation and current income.
The investment objective of JPMorgan Equity Index Fund ("Equity Index Fund") is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor's 500 Composite Stock Price Index.
The investment objective of JPMorgan Equity Premium Income Fund (“Equity Premium Income Fund”) is to seek current income while maintaining prospects for capital appreciation.
The investment objective of JPMorgan Hedged Equity Fund (“Hedged Equity Fund”), JPMorgan Hedged Equity 2 Fund (“Hedged Equity 2 Fund”) and JPMorgan Hedged Equity 3 Fund (“Hedged Equity 3 Fund”) is to seek to provide capital appreciation.
The investment objective of JPMorgan Large Cap Value Fund (“Large Cap Value Fund”) is to seek capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
The investment objective of JPMorgan U.S. Applied Data Science Value Fund (“U.S. Applied Data Science Value Fund”) and JPMorgan U.S. Sustainable Leaders Fund (“U.S. Sustainable Leaders Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan U.S. Equity Fund (“U.S. Equity Fund”) is to seek to provide high total return from a portfolio of selected equity securities.
The investment objective of JPMorgan U.S. GARP Equity Fund (“U.S. GARP Equity Fund”) is to seek to provide long-term capital growth.
| J.P. Morgan Large Cap Funds | |
The investment objective of JPMorgan U.S. Large Cap Core Plus Fund (“U.S. Large Cap Core Plus Fund”) is to seek to provide a high total return from a portfolio of selected equity securities.
The investment objective of JPMorgan U.S. Research Enhanced Equity Fund (“U.S. Research Enhanced Equity Fund”) is to seek to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard and Poor’s 500 Composite Stock Price Index.
The investment objective of JPMorgan U.S. Value Fund (“U.S. Value Fund”) is to seek to provide capital growth over the long-term and to earn income from dividends.
Class L Shares of U.S. Equity Fund and Class A Shares of U.S. Research Enhanced Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of the Funds unless they meet certain requirements as described in the Funds’ prospectus.
All share classes of Hedged Equity Fund are publicly offered on a limited basis. JPMorgan Equity Income Fund is offered on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the "Boards"), 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 Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds' investments. The Administrator implements the valuation policies of the Funds' investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
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 Funds 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.
Futures contracts and options are generally valued on the basis of available market quotations.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
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 Funds' 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 tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
Equity Premium Income Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| J.P. Morgan Large Cap Funds | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
U.S. Applied Data Science Value Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| J.P. Morgan Large Cap Funds | |
U.S. Large Cap Core Plus Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Total Liabilities in Securities Sold Short (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
U.S. Research Enhanced Equity Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
U.S. Sustainable Leaders Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of June 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
C. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund, the Class IM Shares of the JPMorgan Prime Money Market Fund, and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of June 30, 2022.
| Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
| | | |
| | | |
| | | |
U.S. Sustainable Leaders Fund | | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
| J.P. Morgan Large Cap Funds | |
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended June 30, 2022, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| |
| |
Equity Premium Income Fund | |
| |
| |
U.S. Applied Data Science Value Fund | |
| |
| |
U.S. Sustainable Leaders Fund | |
| |
|
| Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
Equity Focus Fund, Equity Income Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, Large Cap Value Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Value Fund did not have any securities out on loan at June 30, 2022. Equity Focus Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund did not lend out any securities during the year ended June 30, 2022.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds and ETFs, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ and ETFs' distributions may be reinvested into such Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
| | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (b) (c) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (b) (c) | | | | | | | | | |
| | | | | | | | | |
|
| Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. |
| 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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Equity Premium Income Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| J.P. Morgan Large Cap Funds | |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
Large Cap Growth Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
U.S. Applied Data Science Value Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
| J.P. Morgan Large Cap Funds | |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
U.S. Large Cap Core Plus Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
U.S. Research Enhanced Equity Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount rounds to less than one thousand. |
U.S. Sustainable Leaders Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | | | | | | | | | |
|
| Investment in an affiliated fund, which is is managed by JP Morgan Chase Bank, N.A. |
| The rate shown is the current yield as of June 30, 2022. |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations.
| J.P. Morgan Large Cap Funds | |
Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Options — Hedged Equity Fund, Hedged Equity 2 Fund and Hedged Equity 3 Fund purchased and sold (“wrote”) put and call options on various instruments including options on indices to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased— Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written— Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
The Funds pledge collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted on the SOIs.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Funds’ exchange-traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
G. Futures Contracts — Equity Index Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Sustainable Leaders Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
H. Summary of Derivatives Information
Derivatives Volume
The table below discloses the volume of the Funds’ options and futures contracts activity during the year ended June 30, 2022. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | Equity Premium
Income Fund |
| | |
Average Notional Balance Long | | |
Average Notional Balance Short | | |
Ending Notional Balance Long | | |
| | | |
| | | |
Average Notional Balance Long | | | |
Ending Notional Balance Long | | | |
| | | |
Average Number of Contracts Purchased | | | |
Average Number of Contracts Written | | | |
Ending Number of Contracts Purchased | | | |
Ending Number of Contracts Written | | | |
| U.S.
Applied Data
Science
Value Fund | | |
| | | |
Average Notional Balance Long | | | |
Ending Notional Balance Long | | | |
| U.S.
Large Cap
Core Plus
Fund | U.S.
Research
Enhanced
Equity
Fund | U.S.
Sustainable
Leaders
Fund |
| | | |
Average Notional Balance Long | | | |
Ending Notional Balance Long | | | |
The Funds' derivatives contracts held at June 30, 2022 are not accounted for as hedging instruments under GAAP.
I. Equity-Linked Notes — Equity Premium Income Fund invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs' values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publicly listed or traded on an exchange. ELNs are valued daily, under procedures adopted by the Board IV, based on values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as interest income on the Statements of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statements of Operations. The Fund realizes a gain or loss when an ELN is sold or matures, which is recorded as Net realized gain (loss) on transactions from investments in non-affiliates on the Statements of Operations.
As of June 30, 2022, Equity Premium Income Fund had outstanding ELNs as listed on the SOIs.
J. Short Sales — U.S. Large Cap Core Plus Fund engaged in short sales as part of their normal investment activities. In a short sale, the Fund sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as Deposits at broker for securities
| J.P. Morgan Large Cap Funds | |
sold short, while cash collateral deposited at the Fund's custodian for the benefit of the broker is recorded as Restricted cash for securities sold short on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. The Fund is obligated to pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statements of Operations. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.
As of June 30, 2022, U.S. Large Cap Core Plus Fund had outstanding short sales as listed on their SOIs.
K. Offering and Organization Costs — Total offering costs of $104 and $104 incurred/paid in connection with the offering of shares of Hedged Equity 2 Fund and Hedged Equity 3 Fund, respectively, are amortized on a straight line basis over 12 months from the date the Funds commenced operations. Costs paid in connection with the organization of the Funds, if any, are/were recorded as an expense at the time the Funds commenced operations. For the year ended ended June 30, 2022, total offering costs amortized were $104 and $104 for the Funds, respectively.
L. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income and dividend expense on securities sold short, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
M. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2022 are as follows:
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Equity Premium Income Fund | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
U.S. Applied Data Science Value Fund | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
U.S. Large Cap Core Plus Fund | | | | | | | | | | |
| | | | | | | | | | |
U.S. Research Enhanced Equity Fund | | | | | | | | | | |
| | | | | | | | | | |
U.S. Sustainable Leaders Fund | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
|
| Amount rounds to less than one thousand. |
Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of June 30, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
| J.P. Morgan Large Cap Funds | |
N. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly, except for Equity Focus Fund, Large Cap Growth Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Sustainable Leaders Fund, for which distributions are generally declared and paid at least annually, Equity Income Fund, for which distributions are generally declared and paid at least monthly, and Equity Premium Income Fund, for which distributions are generally declared daily and paid at least monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
| | | |
| | | |
| | | |
Equity Premium Income Fund | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
U.S. Applied Data Science Value Fund | | | |
| | | |
| | | |
U.S. Large Cap Core Plus Fund | | | |
U.S. Research Enhanced Equity Fund | | | |
U.S. Sustainable Leaders Fund | | | |
| | | |
The reclassifications for the Funds relate primarily to tax reclassifications on certain investments, tax equalization, redesignation of dividends and net operating losses.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
| |
| |
| |
| |
Equity Premium Income Fund | |
| |
| |
| |
| |
| |
U.S. Applied Data Science Value Fund | |
| |
| |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| |
U.S. Large Cap Core Plus Fund | |
U.S. Research Enhanced Equity Fund | |
U.S. Sustainable Leaders Fund | |
| |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund's respective average daily net assets in excess of $25 billion. For the year ended June 30, 2022, the effective rate for Equity Focus Fund, Equity Income Fund, Equity Index Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund, U.S. Sustainable Leaders Fund and U.S. Value Fund was 0.075%, 0.03%, 0.075%, 0.075%, 0.06%, 0.075%, 0.075%, 0.04%, 0.075%, 0.075%, 0.06%, 0.075%, 0.075%, 0.075%, 0.075% and 0.075%, respectively, of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, Fund pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | |
| | | | |
| | | | |
| | | | |
Equity Premium Income Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Applied Data Science Value Fund | | | | |
| | | | |
| | | | |
U.S. Large Cap Core Plus Fund | | | | |
U.S. Research Enhanced Equity Fund | | | | |
U.S. Sustainable Leaders Fund | | | | |
| | | | |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2022, JPMDS retained the following:
| | |
| | |
| | |
| | |
Equity Premium Income Fund | | |
| J.P. Morgan Large Cap Funds | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Applied Data Science Value Fund | | |
| | |
| | |
U.S. Large Cap Core Plus Fund | | |
U.S. Research Enhanced Equity Fund | | |
U.S. Sustainable Leaders Fund | | |
| | |
|
| Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
Equity Premium Income Fund | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
U.S. Applied Data Science Value Fund | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
U.S. Large Cap Core Plus Fund | | | | | | | | |
U.S. Research Enhanced Equity Fund | | | | | | | | |
U.S. Sustainable Leaders Fund | | | | | | | | |
| | | | | | | | |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds' respective average daily net assets as shown in the table below:
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Equity Premium Income Fund | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. Applied Data Science Value Fund | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. Large Cap Core Plus Fund | | | | | | | | | |
U.S. Research Enhanced Equity Fund | | | | | | | | | |
U.S. Sustainable Leaders Fund | | | | | | | | | |
| | | | | | | | | |
The expense limitation agreements were in effect for the year ended June 30, 2022 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2022.
For the year ended June 30, 2022, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | |
| | | | | Contractual
Reimbursements |
| | | | | |
| | | | | |
| | | | | |
Equity Premium Income Fund | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Applied Data Science Value Fund | | | | | |
| | | | | |
| | | | | |
U.S. Large Cap Core Plus Fund | | | | | |
U.S. Research Enhanced Equity Fund | | | | | |
U.S. Sustainable Leaders Fund | | | | | |
| | | | | |
For the year ended June 30, 2022, the Hedged Equity Fund's service providers did not have any waived fees or reimbursed expenses.
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
| J.P. Morgan Large Cap Funds | |
The amounts of these waivers resulting from investments in these money market funds for the year ended June 30, 2022 were as follows:
| |
| |
| |
| |
Equity Premium Income Fund | |
| |
| |
| |
| |
| |
U.S. Applied Data Science Value Fund | |
| |
| |
U.S. Large Cap Core Plus Fund | |
U.S. Research Enhanced Equity Fund | |
U.S. Sustainable Leaders Fund | |
| |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through June 30, 2022 the amount of these waivers were as follows:
| |
| |
| |
| |
Equity Premium Income Fund | |
| |
| |
| |
| |
| |
U.S. Applied Data Science Value Fund | |
| |
| |
U.S. Large Cap Core Plus Fund | |
U.S. Research Enhanced Equity Fund | |
U.S. Sustainable Leaders Fund | |
| |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2022, Hedged Equity Fund, Hedged Equity 2 Fund, Large Cap Growth Fund, U.S. Equity Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Sustainable Leaders Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
4. Investment Transactions
During the year ended June 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | | Covers on
Securities
Sold Short |
| | | | |
| | | | |
| | | | |
Equity Premium Income Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Applied Data Science Value Fund | | | | |
| | | | |
| | | | |
U.S. Large Cap Core Plus Fund | | | | |
U.S. Research Enhanced Equity Fund | | | | |
U.S. Sustainable Leaders Fund | | | | |
| | | | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2022 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
Equity Premium Income Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Applied Data Science Value Fund | | | | |
| | | | |
| | | | |
U.S. Large Cap Core Plus Fund * | | | | |
U.S. Research Enhanced Equity Fund | | | | |
U.S. Sustainable Leaders Fund | | | | |
| | | | |
|
| The tax cost includes the proceeds from short sales which may result in a net negative cost. |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain investments, certain derivatives and wash sale loss deferrals.
| J.P. Morgan Large Cap Funds | |
The tax character of distributions paid during the year ended June 30, 2022 was as follows:
| | Net
Long-Term
Capital Gains | |
| | | |
| | | |
| | | |
Equity Premium Income Fund | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
U.S. Applied Data Science Value Fund | | | |
| | | |
| | | |
U.S. Large Cap Core Plus Fund | | | |
U.S. Research Enhanced Equity Fund | | | |
U.S. Sustainable Leaders Fund | | | |
| | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
| | Net
Long-Term
Capital Gains | |
| | | |
| | | |
| | | |
Equity Premium Income Fund | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
U.S. Applied Data Science Value Fund | | | |
| | | |
| | | |
U.S. Large Cap Core Plus Fund | | | |
U.S. Research Enhanced Equity Fund | | | |
U.S. Sustainable Leaders Fund | | | |
| | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
As of June 30, 2022, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | Unrealized
Appreciation
(Depreciation) |
| | | |
| | | |
| | | |
Equity Premium Income Fund | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
U.S. Applied Data Science Value Fund | | | |
| | | |
| | | |
U.S. Large Cap Core Plus Fund | | | |
U.S. Research Enhanced Equity Fund | | | |
U.S. Sustainable Leaders Fund | | | |
| | | |
The cumulative timing differences primarily consist of tax adjustments on certain investments, certain derivatives, post-October capital loss deferrals and wash sale loss deferrals.
At June 30, 2022, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
Equity Premium Income Fund | | |
| | |
| | |
|
| Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Net capital losses (gains) and specified ordinary losses incurred after October 31 and late year ordinary losses incurred after December 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended June 30, 2022, the following Funds deferred to July 1, 2022 the following net capital losses (gains), specified ordinary losses and late year ordinary losses of:
| Net Capital Losses (Gains) |
| | |
| | |
| | |
Equity Premium Income Fund | | |
| | |
| | |
| | |
| | |
U.S. Large Cap Core Plus Fund | | |
U.S. Research Enhanced Equity Fund | | |
U.S. Sustainable Leaders Fund | | |
| J.P. Morgan Large Cap Funds | |
During the year ended June 30, 2022, the following Funds utilized capital loss carryforwards as follows:
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds, except for Hedged Equity Fund, had no borrowings outstanding from another fund, or loans outstanding to another fund, at June 30, 2022. Average borrowings from the Facility during the year ended June 30, 2022 were as follows:
|
| Amount rounds to less than one thousand. |
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2022.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% (the "Applicable Margin"), plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 9, 2022, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a change in the interest associated with any borrowing to the higher, on the day of the borrowing, of (a) the federal funds effective rate, or (b) the one-month Adjusted SOFR Rate plus Applicable Margin.
The Funds did not utilize the Credit Facility during the year ended June 30, 2022.
| J.P. Morgan Large Cap Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of June 30, 2022, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund's outstanding shares as follows:
| Number of
Individual Shareholder
and/or Affiliated
Omnibus Accounts | | Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts | |
| | | | |
| | | | |
Equity Premium Income Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Applied Data Science Value Fund | | | | |
| | | | |
| | | | |
U.S. Large Cap Core Plus Fund | | | | |
U.S. Research Enhanced Equity Fund | | | | |
U.S. Sustainable Leaders Fund | | | | |
| | | | |
As of June 30, 2022, J.P. Morgan Investor Funds, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| | JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
| | | |
| | | |
| | | |
| | | |
U.S. Research Enhanced Equity Fund | | | |
Equity Premium Income Fund’s investments in ELNs entail varying degrees of risks. The Fund is subject to loss of their full principal amount. In addition, the ELNs are subject to a stated maximum return which may limit the payment at maturity. The Fund may also be exposed to additional risks associated with structured notes including: counterparty credit risk related to the issuer’s ability to make payment at maturity; liquidity risk related to a lack of liquid market for these notes, preventing the Fund from trading or selling the notes easily; and a greater degree of market risk than other types of debt securities because the investor bears the risk associated with the underlying financial instruments.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private
| J.P. Morgan Large Cap Funds | |
sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Large Cap Funds | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I, JPMorgan Trust II and JPMorgan Trust IV and Shareholders of JPMorgan Equity Focus Fund, JPMorgan Equity Income Fund, JPMorgan Equity Index Fund, JPMorgan Equity Premium Income Fund, JPMorgan Hedged Equity Fund, JPMorgan Hedged Equity 2 Fund, JPMorgan Hedged Equity 3 Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan U.S. Applied Data Science Value Fund, JPMorgan U.S. Equity Fund, JPMorgan U.S. GARP Equity Fund, JPMorgan U.S. Large Cap Core Plus Fund, JPMorgan U.S. Research Enhanced Equity Fund, JPMorgan U.S. Sustainable Leaders Fund and JPMorgan U.S. Value Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Equity Focus Fund, JPMorgan Hedged Equity Fund, JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund), JPMorgan U.S. Equity Fund, JPMorgan U.S. GARP Equity Fund, JPMorgan U.S. Large Cap Core Plus Fund, JPMorgan U.S. Research Enhanced Equity Fund, JPMorgan U.S. Sustainable Leaders Fund and JPMorgan U.S. Value Fund (nine of the funds constituting JPMorgan Trust I), JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund and JPMorgan Equity Index Fund (four of the funds constituting JPMorgan Trust II) and JPMorgan Equity Premium Income Fund, JPMorgan Hedged Equity 2 Fund and JPMorgan Hedged Equity 3 Fund (three of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of June 30, 2022, the related statements of operations, the statement of cash flows for JPMorgan U.S. Large Cap Core Plus Fund and statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2022, the results of each of their operations, its cash flows for JPMorgan U.S. Large Cap Core Plus Fund and the changes in each of their net assets for each of the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Fund
JPMorgan Equity Focus Fund* |
JPMorgan Equity Income Fund* |
JPMorgan Equity Index Fund* |
JPMorgan Equity Premium Income Fund* |
JPMorgan Hedged Equity Fund* |
JPMorgan Hedged Equity 2 Fund** |
JPMorgan Hedged Equity 3 Fund** |
JPMorgan Large Cap Growth Fund* |
JPMorgan Large Cap Value Fund* |
JPMorgan U.S. Applied Data Science Value Fund* |
JPMorgan U.S. Equity Fund* |
JPMorgan U.S. GARP Equity Fund* |
JPMorgan U.S. Large Cap Core Plus Fund*** |
JPMorgan U.S. Research Enhanced Equity Fund* |
JPMorgan U.S. Sustainable Leaders Fund* |
JPMorgan U.S. Value Fund* |
| Statement of operations for the year ended June 30, 2022 and statement of changes in net assets for the years ended June 30, 2022 and 2021 |
| Statement of operations for the year ended June 30, 2022 and statement of changes in net assets for the year ended June 30, 2022 and for the period February 26, 2021 (commencement of operations) through June 30, 2021 |
| Statement of operations and statement of cash flows for the year ended June 30, 2022 and statement of changes in net assets for the years ended June 30, 2022 and 2021 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
| J.P. Morgan Large Cap Funds | |
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 29, 2022
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| J.P. Morgan Large Cap Funds | |
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present) |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered brokerdealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America U.S. Holdings (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
| J.P. Morgan Large Cap Funds | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
| J.P. Morgan Large Cap Funds | |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of the Global ETF Business for JPMorgan Asset Management (2013-2017); Head of the Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the Mutual Fund Board, the ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | | |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (167 J.P. Morgan Funds). | | |
| J.P. Morgan Large Cap Funds | |
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | | |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | | |
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | | |
| J.P. Morgan Large Cap Funds | |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2019) (formerly Assistant
Secretary 2010-2019)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 to June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)*** | Vice President and Assistant General Counsel, JPMorgan Chase since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. |
Max Vogel (1990),
Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021; Associate, Stroock & Stroock & Lavan LLP (law firm) from October 2015 to March 2017. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963),
Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
| J.P. Morgan Large Cap Funds | |
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| J.P. Morgan Large Cap Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2022, and continued to hold your shares at the end of the reporting period, June 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning
Account Value
January 1, 2022 | Ending
Account Value
June 30, 2022 | Expenses
Paid During
the Period* | |
JPMorgan Equity Focus Fund | | | | |
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JPMorgan Equity Income Fund | | | | |
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| J.P. Morgan Large Cap Funds | |
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan Equity Income Fund (continued) | | | | |
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JPMorgan Equity Index Fund | | | | |
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JPMorgan Equity Premium Income Fund | | | | |
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JPMorgan Hedged Equity Fund | | | | |
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| J.P. Morgan Large Cap Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan Hedged Equity Fund (continued) | | | | |
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JPMorgan Hedged Equity 2 Fund | | | | |
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JPMorgan Hedged Equity 3 Fund | | | | |
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JPMorgan Large Cap Growth Fund | | | | |
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| J.P. Morgan Large Cap Funds | |
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan Large Cap Growth Fund (continued) | | | | |
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JPMorgan Large Cap Value Fund | | | | |
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JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | | | | |
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| J.P. Morgan Large Cap Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) (continued) | | | | |
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JPMorgan U.S. Equity Fund | | | | |
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JPMorgan U.S. GARP Equity Fund | | | | |
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| J.P. Morgan Large Cap Funds | |
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan U.S. GARP Equity Fund (continued) | | | | |
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JPMorgan U.S. Large Cap Core Plus Fund | | | | |
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JPMorgan U.S. Research Enhanced Equity Fund | | | | |
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JPMorgan U.S. Sustainable Leaders Fund | | | | |
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| J.P. Morgan Large Cap Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan U.S. Value Fund (continued) | | | | |
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| Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| J.P. Morgan Large Cap Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| J.P. Morgan Large Cap Funds | |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2022. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2022. The information necessary to complete your income tax returns for the calendar year ending December 31, 2022 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2022:
| Dividends
Received
Deduction |
JPMorgan Equity Focus Fund | |
JPMorgan Equity Income Fund | |
JPMorgan Equity Index Fund | |
JPMorgan Equity Premium Income Fund | |
JPMorgan Hedged Equity Fund | |
JPMorgan Hedged Equity 2 Fund | |
JPMorgan Hedged Equity 3 Fund | |
JPMorgan Large Cap Growth Fund | |
JPMorgan Large Cap Value Fund | |
JPMorgan U.S. Applied Data Science Value Fund | |
JPMorgan U.S. Equity Fund | |
JPMorgan U.S. GARP Equity Fund | |
JPMorgan U.S. Large Cap Core Plus Fund | |
JPMorgan U.S. Research Enhanced Equity Fund | |
JPMorgan U.S. Sustainable Leaders Fund | |
| |
Long Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2022:
| Long-Term
Capital Gain
Distribution |
JPMorgan Equity Focus Fund | |
JPMorgan Equity Income Fund | |
JPMorgan Equity Index Fund | |
JPMorgan Large Cap Growth Fund | |
JPMorgan Large Cap Value Fund | |
JPMorgan U.S. Applied Data Science Value Fund | |
JPMorgan U.S. Equity Fund | |
JPMorgan U.S. GARP Equity Fund | |
JPMorgan U.S. Large Cap Core Plus Fund | |
| Long-Term Capital Gain Distribution |
JPMorgan U.S. Research Enhanced Equity Fund | |
JPMorgan U.S. Sustainable Leaders Fund | |
| |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2022:
| |
JPMorgan Equity Focus Fund | |
JPMorgan Equity Income Fund | |
JPMorgan Equity Index Fund | |
JPMorgan Equity Premium Income Fund | |
JPMorgan Hedged Equity Fund | |
JPMorgan Hedged Equity 2 Fund | |
JPMorgan Hedged Equity 3 Fund | |
JPMorgan Large Cap Growth Fund | |
JPMorgan Large Cap Value Fund | |
JPMorgan U.S. Applied Data Science Value Fund | |
JPMorgan U.S. Equity Fund | |
JPMorgan U.S. GARP Equity Fund | |
JPMorgan U.S. Large Cap Core Plus Fund | |
JPMorgan U.S. Research Enhanced Equity Fund | |
JPMorgan U.S. Sustainable Leaders Fund | |
| |
| J.P. Morgan Large Cap Funds | |
Rev. January 2011
| WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
| ◾Social Security number and account balances |
| ◾transaction history and account transactions |
| ◾checking account information and wire transfer instructions |
| When you are no longer our customer, we continue to share your information as described in this notice. |
| All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan
Funds share? | Can you limit this
sharing? |
For our everyday business purposes —
such as to process your transactions, maintain your account(s),respond to court orders and legal investigations, or report to credit bureaus | | |
For marketing purposes —
to offer our products and services to you | | |
For joint marketing with other financial companies | | |
For our affiliates’ everyday business purposes —
information about your transactions and experiences | | |
For our affiliates’ everyday business purposes —
information about your creditworthiness | | |
For nonaffiliates to market to you | | |
| Call 1-800-480-4111 or go to www.jpmorganfunds.com |
|
Who is providing this notice? | |
|
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds protect my personal information? | We collect your personal information, for example, when you: |
◾open an account or provide contact information |
◾give us your account information or pay us by check |
|
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only |
◾sharing for affiliates’ everyday business purposes – information about your creditworthiness |
◾affiliates from using your information to market to you |
◾sharing for nonaffiliates to market to you |
State laws and individual companies may give you additional rights to limit sharing. |
|
| Companies related by common ownership or control. They can be financial and nonfinancial companies. |
| ◾J.P. Morgan Funds does not share with our affiliates. |
| Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
| ◾J.P. Morgan Funds does not share with nonaffiliates so they can market to you. |
| A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
| ◾J.P. Morgan Funds doesn’t jointly market. |
THIS PAGE IS INTENTIONALLY LEFT BLANK
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of each Funds' holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022.
AN-LCE-622
Annual Report
JPMorgan SmartRetirement® Blend Funds
June 30, 2022
JPMorgan SmartRetirement® Blend Income Fund |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund) |
JPMorgan SmartRetirement® Blend 2020 Fund |
JPMorgan SmartRetirement® Blend 2025 Fund |
JPMorgan SmartRetirement® Blend 2030 Fund |
JPMorgan SmartRetirement® Blend 2035 Fund |
JPMorgan SmartRetirement® Blend 2040 Fund |
JPMorgan SmartRetirement® Blend 2045 Fund |
JPMorgan SmartRetirement® Blend 2050 Fund |
JPMorgan SmartRetirement® Blend 2055 Fund |
JPMorgan SmartRetirement® Blend 2060 Fund |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
August 8, 2022 (Unaudited)
Dear Shareholder,
|
“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher
|
The global economic rebound that marked 2021 has been sapped of much of its strength in 2022 by accelerating inflation and rising interest rates, the conflict in Ukraine and the ongoing global impacts of the pandemic. The uncertain economic picture has proven to be particularly challenging for investors.
U.S. equity prices, which had largely led a decade-long rally in global equity, fell sharply in 2022 and turned in their worst first-half performance since 1970. In general, only select U.S. Treasury bonds and U.S. core fixed income saw increased investor demand amid the sell-off in equities.
In response to rising consumer and producer prices and tight labor markets, the U.S. Federal Reserve (the “Fed”) adopted an increasingly aggressive policy stance in 2022, raising its benchmark interest rate by 25 basis points in March, then by 50 basis points in May and by 75 basis points each in June and July. Meanwhile, U.S. gross domestic product fell by 1.6% in the first quarter of 2022 and by an estimated 0.9% in the second quarter.
However, corporate earnings and revenues have largely outpaced certain investor expectations in 2022 amid sustained strength in consumer demand and management efforts to hold down expenses and pass along higher input costs. Further economic resilience was seen in labor markets, where the jobless rate remained at 3.6% from February through June.
In 2022, investors are now facing economic and market circumstances unseen in decades. In the U.S., the highest inflation rate in 40 years and the Fed’s policy response have rattled both equity and fixed income markets. Concurrently, the conflict in Ukraine has constrained both energy supplies to Europe and grain shipments to a range of nations already under economic strain. The Fed and other leading central banks have acknowledged the risks of runaway inflation and have generally pledged to employ a flexible approach to counter those risks without squelching economic growth.
It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions, while cultivating long-term opportunities. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Funds
FUND FACTS
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
| | Broad Based
Securities
Market Index
Return | Broad Based Securities Market Index Name | Fund Net
Assets as of
June 30, 2022 ($000) |
JPMorgan SmartRetirement® Blend Income Fund | | | S&P Target Date Retirement Income Index | |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund) | | | S&P Target Date 2015 Index | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | S&P Target Date 2020 Index | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | S&P Target Date 2025 Index | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | S&P Target Date 2030 Index | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | S&P Target Date 2035 Index | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | S&P Target Date 2040 Index | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | S&P Target Date 2045 Index | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | S&P Target Date 2050 Index | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | S&P Target Date 2055 Index | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | S&P Target Date 2060+ Index | |
| Returns for all Funds are based on Class R6 Shares. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
Mortgage-Backed Securities | |
U.S. Treasury Obligations | |
Collateralized Mortgage Obligations | |
Others (each less than 1.0%) | |
| |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
U.S. Treasury Obligations | |
| |
Mortgage-Backed Securities | |
| |
Others (each less than 1.0%) | |
| |
JPMorgan SmartRetirement® Blend 2020 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
Mortgage-Backed Securities | |
U.S. Treasury Obligations | |
Collateralized Mortgage Obligations | |
Others (each less than 1.0%) | |
| |
JPMorgan SmartRetirement® Blend 2025 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
Mortgage-Backed Securities | |
| |
U.S. Treasury Obligations | |
Collateralized Mortgage Obligations | |
Others (each less than 1.0%) | |
| |
JPMorgan SmartRetirement® Blend 2030 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
U.S. Treasury Obligations | |
| |
Mortgage-Backed Securities | |
Others (each less than 1.0%) | |
| |
JPMorgan SmartRetirement® Blend 2035 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
U.S. Treasury Obligations | |
| |
Others (each less than 1.0%) | |
| |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Funds
FUND FACTS
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
JPMorgan SmartRetirement® Blend 2040 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
U.S. Treasury Obligations | |
| |
JPMorgan SmartRetirement® Blend 2045 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
U.S. Treasury Obligations | |
| |
JPMorgan SmartRetirement® Blend 2050 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
U.S. Treasury Obligations | |
| |
JPMorgan SmartRetirement® Blend 2055 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
U.S. Treasury Obligations | |
| |
JPMorgan SmartRetirement® Blend 2060 Fund
PORTFOLIO COMPOSITION BY ASSET CLASS
AS OF June 30, 2022 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
U.S. Treasury Obligations | |
| |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Funds
FUNDS COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
INVESTMENT OBJECTIVES*
The JPMorgan SmartRetirement® Blend Income Fund seeks current income and some capital appreciation. The JPMorgan SmartRetirement® Blend 2015 Fund seeks to provide total return consisting of current income and some capital appreciation. The remaining JPMorgan SmartRetirement® Blend Funds each seek high total return with a shift to current income and some capital appreciation over time as each Fund approaches and passes its respective target retirement date.
HOW DID THE MARKET PERFORM?
Equity markets rallied in the second half of 2021 on the back of low interest rates, record corporate earnings and a global economic rebound. However, equity markets in 2022 rendered their worst first-half performance since 1970, amid slowing growth, rapidly rising inflation and the outbreak of military conflict in Ukraine.
By the end of June 2022, the S&P 500 had slumped into bear market territory – generally defined as a 20% or more decline since the last closing high. While bond markets largely underperformed equity markets throughout most of the twelve month period, investor demand for U.S. Treasury bonds bolstered the Bloomberg U.S. Aggregate Index in the second half of the period.
U.S. equity generated positive returns and led developed markets equity to outperform both emerging markets equity and fixed income markets during the second half of 2021. U.S. equity prices were bolstered by continued monetary and fiscal support as well as strong consumer spending and record corporate profits.
International developed markets equity also provided positive returns though the strength of the economic rebound from 2020 was tempered in some regions by the inflationary pressures, supply chain bottlenecks and mixed success in battling the pandemic. Emerging markets equity prices fell during the period, partly driven by investor concerns about the outlook for inflation and interest rates, as well increased scrutiny of large technology companies by regulators in China.
A resurgence in the pandemic, particularly the emergence of the Omicron variant of Covid-19, in late 2021 and early 2022 failed to dent the U.S. economy. However, a number of nations reinstated social restrictions and China enacted a “Zero Covid” policy that led to severe lockdowns in several large cities, including Shanghai. The result was a sharp drop in manufacturing and other economic activity across China, which further strained on global supply chains and became a drag on the economies of other emerging market nations..
The S&P 500 reached a new closing high on January 3, 2022, bolstered by record high corporate earnings, sales, cash flows,
share repurchases and dividends. However, investor sentiment began to sour as accelerating inflation started to erode consumer confidence and raise expectations for an increase in benchmark interest rates by the U.S. Federal Reserve.
Russia’s invasion of Ukraine at the end of February 2022 initiated a sell-off in global financial markets that was further fueled by the highest U.S. inflation rate in more than 40 years. Equity prices recovered somewhat in March 2022 amid better-than-expected corporate earnings. However, the general trend in global financial markets was downward.
While the S&P 500 had a positive total return of 11.67% in the second half of 2021, the index plummeted in the first half of 2022 and its total return for the twelve-month period was -10.62%. Within U.S. equity markets, prices for small cap stocks declined the most, followed by large cap and mid cap stocks, and growth stocks largely underperformed value stocks.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Class R6 Shares of the SmartRetirement Blend Income Fund and all ten SmartRetirement Blend Funds underperformed their respective S&P Target Date Indexes (the “Benchmarks”) for the twelve months ended June 30, 2022.
In terms of manager selection, the Fund’s investments in the JPMorgan Emerging Markets Research Enhanced Equity Fund and JPMorgan Emerging Markets Debt Fund, and in the JPMorgan Inflation Managed Bond ETF were leading detractors from performance. The Fund’s investments in JPMorgan Core Bond Fund, JPMorgan High Yield Bond Fund and JPMorgan Income Fund were leading contributors to relative performance.
From a strategic perspective, the Funds’ larger allocations to equities over fixed income, particularly in the longer-dated Funds, detracted from relative performance. The Funds’ diversification within fixed income, particularly their overweight allocations to emerging markets debt and U.S. high yield bonds, detracted from relative performance. Within equities, the Funds’ overweight allocations to real estate investment trusts contributed to relative performance.
From an active asset allocation perspective, the Funds’ larger allocations to U.S. large cap equity over bonds was a leading detractor from relative performance amid rising geopolitical uncertainty, inflationary pressure and risks to economic growth. The portfolio managers responded to the above factors via a diversified underweight position across equities and credit, which helped relative performance.
Strategic asset allocation involves setting long-term target allocations to various asset classes and periodically rebalancing
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Funds
FUNDS COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited) (continued)
the portfolio in accordance with those targets. Active asset allocation generally involves a more active trading approach and seeks to take advantage of short-to-intermediate term investment opportunities.
HOW WAS THE PORTFOLIO POSITIONED?
The Funds invested in underlying J.P. Morgan Funds (the “underlying funds”) to implement the Funds’ portfolio managers’ asset allocation decisions. The Funds’ portfolio managers used a systematic screening and selection process to choose the underlying funds in their construction of the portfolios. Relative to their respective Benchmarks, the Funds invested across a broader range of asset classes.
The Funds’ portfolio managers believed that this diversification would help manage market volatility and contribute to the Funds’ long-term risk-adjusted returns. In addition, the portfolio managers sought to invest in asset classes that they believed have had historically lower correlations to the broader fixed income and equity markets. The Funds’ portfolio managers also used futures contracts to help manage cash flows and implement active asset allocations.
*
The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend Income Fund and the S&P Target Date Retirement Income Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date Retirement Income Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date Retirement Income Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date Retirement Income Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date Retirement Income Index was discontinued. As a result, performance for the S&P Target Date Retirement Income Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2015 Fund
(formerly known as JPMorgan SmartSpendingSM 2015 Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (12/30/16 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on December 30, 2016.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2015 Fund and the S&P Target Date 2015 Index from December 30, 2016 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2015 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2015 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the
impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2015 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2015 Index was discontinued. As a result, performance for the S&P Target Date 2015 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2020 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2020 Fund and the S&P Target Date 2020 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2020 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2020 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2020 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2020 Index was discontinued. As a result, performance for the S&P Target Date 2020 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2025 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2025 Fund and the S&P Target Date 2025 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2025 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2025 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2025 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2025 Index was discontinued. As a result, performance for the S&P Target Date 2025 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2030 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2030 Fund and the S&P Target Date 2030 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2030 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2030 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2030 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2030 Index was discontinued. As a result, performance for the S&P Target Date 2030 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2035 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2035 Fund and the S&P Target Date 2035 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2035 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2035 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2035 Index is comprised of underlying indices of securities. Effective May 31, 2017, prior version of the S&P Target Date 2035 Index was discontinued. As a result, performance for the S&P Target Date 2035 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2040 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2040 Fund and the S&P Target Date 2040 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2040 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2040 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2040 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2040 Index was discontinued. As a result, performance for the S&P Target Date 2040 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2045 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2045 Fund and the S&P Target Date 2045 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2045 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2045 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2045 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2045 Index was discontinued. As a result, performance for the S&P Target Date 2045 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2050 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2050 Fund and the S&P Target Date 2050 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2050 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. Effective June 1, 2017, the S&P Target Date 2050 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). The S&P Target Date 2050 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2050 Index was discontinued. As a result, performance for the S&P Target Date 2050 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2055 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (7/2/12 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 2, 2012.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2055 Fund and the S&P Target Date 2055 Index from July 2, 2012 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2055 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2055 Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, the S&P Target Date 2055 Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2055 Index was discontinued. As a result, performance for the S&P Target Date 2055 Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend 2060 Fund
FUND COMMENTARY
TWELVE MONTHS ENDED June 30, 2022 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF June 30, 2022
LIFE OF FUND PERFORMANCE (8/31/16 TO 6/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on August 31, 2016.
Returns shown for Class R3 and Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses as Class I Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan SmartRetirement® Blend 2060 Fund and the S&P Target Date 2060+ Index from August 31, 2016 to June 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P Target Date 2060+ Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the broad based securities market index, if applicable. On June 1, 2017, S&P Dow Jones Indices, the company that establishes the
broad-based securities market index used by the Fund, changed the methodology used to calculate the S&P Target Date Retirement Indices. The S&P Target Date 2060+ Index was comprised of exchange-traded funds (ETFs), adjusted to remove the impact of ETF fees (i.e., gross return). Effective June 1, 2017, S&P Target Date 2060+ Index is comprised of underlying indices of securities. Effective May 31, 2017, the prior version of the S&P Target Date 2060+ Index was discontinued. As a result, performance for the S&P Target Date 2060+ Index prior to June 1, 2017 was linked to an S&P Target Date Retirement Index that was comprised of ETFs and that was not adjusted to remove the impact of ETF fees (i.e., total return). The name of the Fund’s S&P Target Date Retirement Index did not change and there is no change in the Fund’s investment strategies as a result of the change. Investors cannot directly invest in an index.
Class R6 Shares generally have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 40.1% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 4.7% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $230,269) | | |
Exchange-Traded Funds — 30.0% |
Alternative Assets — 1.5% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan Inflation Managed Bond ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 9.3% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $179,001) | | |
| | |
|
Aerospace & Defense — 0.2% |
| | |
| | |
| | |
| | |
| | |
|
Aerospace & Defense — continued |
| | |
| | |
| | |
| | |
| | |
Raytheon Technologies Corp. 2.25%, 7/1/2030 | | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
General Motors Co. 6.80%, 10/1/2027 | | |
| | |
| | |
| | |
| | |
|
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) | | |
Banco Santander SA (Spain) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (c) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (c) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) | | |
(SOFR + 1.33%), 2.97%, 2/4/2033 (c) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | | |
Bank of Ireland Group plc (Ireland) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Barclays plc (United Kingdom) 4.34%, 1/10/2028 | | |
BNP Paribas SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | | |
| | |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
|
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | | |
Credit Agricole SA (France) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
Intesa Sanpaolo SpA (Italy) Series XR, 3.25%, 9/23/2024 (b) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | | |
NatWest Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | | |
Societe Generale SA (France) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) | | |
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 1.32%, 10/14/2023 (b) (c) | | |
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
| | |
| | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (c) | | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
Amgen, Inc. 3.15%, 2/21/2040 | | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Brookfield Finance, Inc. (Canada) 3.50%, 3/30/2051 | | |
Credit Suisse AG (Switzerland) 3.70%, 2/21/2025 | | |
Credit Suisse Group AG (Switzerland) | | |
(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c) | | |
| | |
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | |
Macquarie Group Ltd. (Australia) | | |
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | | |
(SOFR + 1.53%), 2.87%, 1/14/2033 (b) (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | | |
Park Aerospace Holdings Ltd. (Ireland) | | |
| | |
| | |
| | |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Diversified Financial Services — 0.0% ^ |
Shell International Finance BV (Netherlands) 3.13%, 11/7/2049 | | |
Diversified Telecommunication Services — 0.1% |
| | |
| | |
| | |
| | |
|
Diversified Telecommunication Services — continued |
| | |
Verizon Communications, Inc. 2.65%, 11/20/2040 | | |
| | |
Electric Utilities — 0.4% |
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049 | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Arkansas LLC 2.65%, 6/15/2051 | | |
| | |
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | | |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (b) | | |
| | |
| | |
| | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PacifiCorp 4.15%, 2/15/2050 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Southern California Edison Co. | | |
Series 20C, 1.20%, 2/1/2026 | | |
Series C, 4.13%, 3/1/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | | |
| | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
Walt Disney Co. (The) 3.50%, 5/13/2040 | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.4% |
American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 | | |
| | |
| | |
| | |
Brixmor Operating Partnership LP | | |
| | |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust 2.40%, 2/1/2027 | | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Realty Income Corp. 1.80%, 3/15/2033 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.0% ^ |
| | |
| | |
| | |
| | |
|
Food & Staples Retailing — continued |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
CVS Pass-Through Trust Series 2014, 4.16%, 8/11/2036 (b) | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | | |
| | |
|
Atmos Energy Corp. 2.85%, 2/15/2052 | | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Boston Scientific Corp. 4.55%, 3/1/2039 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
| | |
Health Care Providers & Services — 0.2% |
Banner Health 1.90%, 1/1/2031 | | |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
| | |
| | |
| | |
| | |
Elevance Health, Inc. 2.25%, 5/15/2030 | | |
| | |
| | |
| | |
| | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
PeaceHealth Obligated Group Series 2020, 3.22%, 11/15/2050 | | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
Lennar Corp. 4.50%, 4/30/2024 | | |
Independent Power and Renewable Electricity Producers — 0.1% |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
Industrial Conglomerates — 0.1% |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | |
|
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. 3.85%, 4/5/2029 (b) | | |
Empower Finance 2020 LP (Canada) 3.08%, 9/17/2051 (b) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (b) | | |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (b) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
|
Global Payments, Inc. 3.20%, 8/15/2029 | | |
|
Otis Worldwide Corp. 3.11%, 2/15/2040 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (b) | | |
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
Berkshire Hathaway Energy Co. 2.85%, 5/15/2051 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 0.4% |
Boardwalk Pipelines LP 4.45%, 7/15/2027 | | |
BP Capital Markets America, Inc. 2.77%, 11/10/2050 | | |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
| | |
| | |
| | |
Enterprise Products Operating LLC 4.45%, 2/15/2043 | | |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (b) | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Targa Resources Corp. 4.20%, 2/1/2033 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
| | |
Personal Products — 0.0% ^ |
GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 (b) | | |
|
AstraZeneca plc (United Kingdom) 6.45%, 9/15/2037 | | |
| | |
| | |
| | |
Merck & Co., Inc. 2.35%, 6/24/2040 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | | |
| | |
| | |
| | |
| | |
|
CSX Corp. 3.80%, 11/1/2046 | | |
Kansas City Southern 4.70%, 5/1/2048 | | |
Norfolk Southern Corp. 3.05%, 5/15/2050 | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (b) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.1% |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
Microchip Technology, Inc. | | |
| | |
| | |
|
Semiconductors & Semiconductor Equipment — continued |
| | |
NXP BV (China) 3.25%, 5/11/2041 | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
| | |
| | |
| | |
| | |
Specialty Retail — 0.0% ^ |
Lowe's Cos., Inc. 3.70%, 4/15/2046 | | |
Technology Hardware, Storage & Peripherals — 0.1% |
Apple, Inc. 3.45%, 2/9/2045 | | |
Dell International LLC 6.20%, 7/15/2030 | | |
| | |
Thrifts & Mortgage Finance — 0.0% ^ |
BPCE SA (France) (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.0% ^ |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | | |
Total Corporate Bonds
(Cost $41,106) | | |
Asset-Backed Securities — 4.6% |
| | |
Series 2021-A, Class A, 1.08%, 4/15/2027 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-A, Class B, 1.79%, 4/15/2027 (b) | | |
ACC Trust Series 2021-1, Class B, 1.43%, 7/22/2024 (b) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (b) | | |
Affirm Asset Securitization Trust Series 2021-A, Class A, 0.88%, 8/15/2025 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (b) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class E2, 2.58%, 8/17/2038 ‡ (b) | | |
Aqua Finance Trust Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (b) | | |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (b) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (b) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | | |
BXG Receivables Note Trust Series 2020-A, Class A, 1.55%, 2/28/2036 (b) | | |
Carvana Auto Receivables Trust | | |
Series 2019-4A, Class D, 3.07%, 7/15/2025 (b) | | |
Series 2020-P1, Class C, 1.32%, 11/9/2026 | | |
CPS Auto Receivables Trust | | |
Series 2021-A, Class B, 0.61%, 2/18/2025 (b) | | |
Series 2021-B, Class C, 1.23%, 3/15/2027 (b) | | |
| | |
|
Credit Acceptance Auto Loan Trust Series 2020-2A, Class C, 2.73%, 11/15/2029 (b) | | |
Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (b) | | |
| | |
Series 2021-A, Class A2, 0.82%, 3/20/2024 (b) | | |
Series 2021-A, Class B, 1.12%, 6/20/2025 ‡ (b) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | | |
Delta Air Lines Pass-Through Trust Series 2020-1, Class A, 2.50%, 6/10/2028 | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (b) | | |
Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (b) | | |
Drive Auto Receivables Trust Series 2020-1, Class D, 2.70%, 5/17/2027 | | |
| | |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (b) | | |
Series 2021-2A, Class C, 1.10%, 2/16/2027 (b) | | |
Series 2022-2A, Class D, 5.46%, 3/15/2028 (b) | | |
Elara HGV Timeshare Issuer LLC Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (b) | | |
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | | |
FHF Trust Series 2021-1A, Class A, 1.27%, 3/15/2027 (b) | | |
First Investors Auto Owner Trust Series 2021-1A, Class B, 0.89%, 3/15/2027 (b) | | |
| | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (b) | | |
Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 (b) | | |
Flagship Credit Auto Trust | | |
Series 2018-1, Class D, 3.86%, 4/15/2024 (b) | | |
Series 2021-1, Class B, 0.68%, 2/16/2027 (b) | | |
Series 2020-4, Class C, 1.28%, 2/16/2027 (b) | | |
FMC GMSR Issuer Trust Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (e) | | |
FREED ABS Trust Series 2021-2, Class B, 1.03%, 6/19/2028 ‡ (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
Genesis Sales Finance Master Trust Series 2020-AA, Class A, 1.65%, 9/22/2025 (b) | | |
GLS Auto Receivables Issuer Trust Series 2020-4A, Class B, 0.87%, 12/16/2024 (b) | | |
Home Partners of America Trust | | |
Series 2021-2, Class C, 2.40%, 12/17/2026 ‡ (b) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (b) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class A, 1.00%, 12/15/2028 (b) | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 ‡ (b) | | |
Series 2021-B, Class A, 1.11%, 2/15/2029 (b) | | |
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (b) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (b) | | |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (b) | | |
| | |
Series 2021-1A, Class A, 0.60%, 6/16/2031 (b) | | |
Series 2021-1A, Class B, 1.00%, 6/16/2031 ‡ (b) | | |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | | |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (b) | | |
MVW LLC Series 2021-2A, Class C, 2.23%, 5/20/2039 ‡ (b) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (b) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | | |
| | |
|
Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027 (b) | | |
OneMain Financial Issuance Trust Series 2020-2A, Class D, 3.45%, 9/14/2035 ‡ (b) | | |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (b) | | |
Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | | |
Orange Lake Timeshare Trust Series 2016-A, Class A, 2.61%, 3/8/2029 (b) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (b) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (b) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (b) | | |
PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (e) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (b) (d) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (b) (d) | | |
Progress Residential Trust | | |
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (b) | | |
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 ‡ (b) | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (b) | | |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (b) | | |
Republic Finance Issuance Trust | | |
Series 2020-A, Class A, 2.47%, 11/20/2030 (b) | | |
Series 2021-A, Class A, 2.30%, 12/22/2031 (b) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (b) | | |
Sierra Timeshare Receivables Funding LLC Series 2021-2A, Class B, 1.80%, 9/20/2038 ‡ (b) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | | |
Tricolor Auto Securitization Trust | | |
Series 2021-1A, Class B, 1.00%, 6/17/2024 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-1A, Class C, 1.33%, 9/16/2024 (b) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | | |
Upstart Securitization Trust | | |
Series 2020-3, Class A, 1.70%, 11/20/2030 (b) | | |
Series 2021-1, Class A, 0.87%, 3/20/2031 (b) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (b) | | |
| | |
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (b) (d) | | |
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (b) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (d) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (b) (d) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (d) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (b) (d) | | |
Westgate Resorts LLC Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (b) | | |
Westlake Automobile Receivables Trust Series 2020-3A, Class C, 1.24%, 11/17/2025 (b) | | |
Total Asset-Backed Securities
(Cost $28,424) | | |
Mortgage-Backed Securities — 4.3% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QB4026 2.50%, 10/1/2050 | | |
Pool # QB4045 2.50%, 10/1/2050 | | |
| | |
|
Pool # QB4484 2.50%, 10/1/2050 | | |
Pool # QB4542 2.50%, 10/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QD5778 3.00%, 1/1/2052 | | |
Pool # QE1637 4.00%, 5/1/2052 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
| | |
Pool # CA2826 5.50%, 12/1/2048 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BQ2894 3.00%, 9/1/2050 | | |
Pool # BQ3996 2.50%, 10/1/2050 | | |
Pool # BQ5243 3.50%, 10/1/2050 | | |
Pool # CA7398 3.50%, 10/1/2050 | | |
Pool # CA8637 4.00%, 1/1/2051 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
Pool # BV9515 6.00%, 6/1/2052 | | |
| | |
Pool # AM3010 5.07%, 3/1/2028 | | |
Pool # BL8639 1.09%, 4/1/2028 | | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS0448 1.27%, 12/1/2029 | | |
Pool # BL9748 1.60%, 12/1/2029 | | |
Pool # AN7593 2.99%, 12/1/2029 | | |
Pool # AN8285 3.11%, 3/1/2030 | | |
Pool # AM8544 3.08%, 4/1/2030 | | |
Pool # BL9251 1.45%, 10/1/2030 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BL9891 1.37%, 12/1/2030 | | |
Pool # BS5580 3.68%, 1/1/2032 | | |
Pool # AN6149 3.14%, 7/1/2032 | | |
Pool # BM3226 3.44%, 10/1/2032 (e) | | |
Pool # AN7923 3.33%, 1/1/2033 | | |
Pool # BS5357 3.41%, 3/1/2033 | | |
Pool # AN9067 3.51%, 5/1/2033 | | |
Pool # AN9752 3.65%, 7/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BS5127 3.15%, 9/1/2033 | | |
Pool # BL1012 4.03%, 12/1/2033 | | |
Pool # BL0900 4.08%, 2/1/2034 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # AN4430 3.61%, 1/1/2037 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
| | |
Pool # BY3432 3.50%, 9/20/2050 | | |
Pool # BR3929 3.50%, 10/20/2050 | | |
Pool # BW1726 3.50%, 10/20/2050 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # BR3928 3.00%, 12/20/2050 | | |
Pool # BU7538 3.00%, 12/20/2050 | | |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8726 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC0088 4.00%, 3/20/2051 | | |
Pool # CC0092 4.00%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2660 3.00%, 2/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
GNMA II, Other Pool # 785183 2.94%, 10/20/2070 (e) | | |
Total Mortgage-Backed Securities
(Cost $27,448) | | |
U.S. Treasury Obligations — 4.0% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury STRIPS Bonds | | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $26,634) | | |
Collateralized Mortgage Obligations — 1.1% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (b) (d) | | |
Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | | |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (b) | | |
| | |
Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (e) | | |
Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (e) | | |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (e) | | |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
| | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
| | |
Series 2015-H11, Class FC, 1.35%, 5/20/2065 (e) | | |
Series 2021-H14, Class YD, 8.30%, 6/20/2071 (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Collateralized Mortgage Obligations — continued |
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (d) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (e) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (b) (e) | | |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (d) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | | |
Toorak Mortgage Corp. Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (b) (d) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (e) | | |
Total Collateralized Mortgage Obligations
(Cost $6,987) | | |
Commercial Mortgage-Backed Securities — 0.6% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (b) (e) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (b) (e) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (b) (e) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (b) (e) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K-1511, Class A1, 3.28%, 10/25/2030 | | |
Series K-1510, Class A2, 3.72%, 1/25/2031 | | |
| | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (e) | | |
FNMA, Other 3.08%, 1/1/2029 (h) | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (b) (e) | | |
| | |
|
Series 2015-K48, Class C, 3.77%, 8/25/2048 (b) (e) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (b) (e) | | |
Series 2017-K728, Class C, 3.76%, 11/25/2050 (b) (e) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class B, 2.12%, 12/15/2037 ‡ (b) (e) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $3,605) | | |
Foreign Government Securities — 0.2% |
Republic of Chile (Chile) 2.55%, 1/27/2032 | | |
Republic of Panama (Panama) 3.16%, 1/23/2030 | | |
Republic of Peru (Peru) 2.78%, 12/1/2060 | | |
United Mexican States (Mexico) | | |
| | |
| | |
Total Foreign Government Securities
(Cost $1,103) | | |
| | |
Short Term Investments — 7.9% |
Investment Companies — 7.9% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (i)
(Cost $45,463) | | |
Total Investments — 98.8%
(Cost $590,040) | | |
Other Assets Less Liabilities — 1.2% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| 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 June 30, 2022. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 39.2% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 4.7% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $10,902) | | |
Exchange-Traded Funds — 29.9% |
Alternative Assets — 1.4% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan Inflation Managed Bond ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 9.3% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
| | |
iShares Russell Mid-Cap ETF | | |
| | |
Total Exchange-Traded Funds
(Cost $8,313) | | |
| | |
U.S. Treasury Obligations — 6.8% |
| | |
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|
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U.S. Treasury STRIPS Bonds | | |
| | |
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| | |
Total U.S. Treasury Obligations
(Cost $2,001) | | |
|
Aerospace & Defense — 0.2% |
| | |
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Northrop Grumman Corp. 3.85%, 4/15/2045 | | |
Raytheon Technologies Corp. 2.25%, 7/1/2030 | | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
General Motors Co. 6.80%, 10/1/2027 | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
| | |
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|
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (e) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (e) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (e) | | |
(SOFR + 1.21%), 2.57%, 10/20/2032 (e) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (e) | | |
| | |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (e) | | |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (e) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (e) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (e) | | |
HSBC Holdings plc (United Kingdom) 6.10%, 1/14/2042 | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.74%, 3/7/2029 | | |
| | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (e) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (e) | | |
Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 | | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.20%, 5/1/2030 | | |
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|
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Amgen, Inc. 3.15%, 2/21/2040 | | |
| | |
|
Biotechnology — continued |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.67%, 3/8/2024 | | |
| | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (e) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (e) | | |
Macquarie Group Ltd. (Australia) (SOFR + 1.07%), 1.34%, 1/12/2027 (d) (e) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (e) | | |
| | |
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|
International Flavors & Fragrances, Inc. 3.47%, 12/1/2050 (d) | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
Construction Materials — 0.0% ^ |
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | | |
|
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
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Capital One Financial Corp. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Consumer Finance — continued |
(SOFR + 1.27%), 2.62%, 11/2/2032 (e) | | |
General Motors Financial Co., Inc. | | |
| | |
| | |
Park Aerospace Holdings Ltd. (Ireland) 4.50%, 3/15/2023 (d) | | |
| | |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (d) | | |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Diversified Financial Services — 0.0% ^ |
Shell International Finance BV (Netherlands) | | |
| | |
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Diversified Telecommunication Services — 0.1% |
| | |
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Verizon Communications, Inc. | | |
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Electric Utilities — 0.5% |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Indiana Michigan Power Co. 3.25%, 5/1/2051 | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (d) | | |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (d) | | |
| | |
| | |
| | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
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|
Electric Utilities — continued |
| | |
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PacifiCorp 4.15%, 2/15/2050 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Southern California Edison Co. Series 20C, 1.20%, 2/1/2026 | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (d) | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (d) | | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
Walt Disney Co. (The) 3.50%, 5/13/2040 | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.6% |
| | |
| | |
| | |
| | |
| | |
Brixmor Operating Partnership LP | | |
| | |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
CubeSmart LP 2.00%, 2/15/2031 | | |
Digital Realty Trust LP 3.70%, 8/15/2027 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
Federal Realty OP LP 1.25%, 2/15/2026 | | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust 2.40%, 2/1/2027 | | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Public Storage 1.95%, 11/9/2028 | | |
Realty Income Corp. 1.80%, 3/15/2033 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (d) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.2% |
| | |
| | |
| | |
| | |
| | |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
Kroger Co. (The) 4.45%, 2/1/2047 | | |
Sysco Corp. 2.40%, 2/15/2030 | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (d) | | |
| | |
|
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Providers & Services — 0.2% |
Banner Health 1.90%, 1/1/2031 | | |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
| | |
|
Health Care Providers & Services — continued |
Elevance Health, Inc. 2.25%, 5/15/2030 | | |
HCA, Inc. 5.25%, 6/15/2026 | | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
Universal Health Services, Inc. 2.65%, 10/15/2030 (d) | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
Lennar Corp. 4.50%, 4/30/2024 | | |
Independent Power and Renewable Electricity Producers — 0.2% |
Alexander Funding Trust 1.84%, 11/15/2023 (d) | | |
Constellation Energy Generation LLC 3.25%, 6/1/2025 | | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
|
American International Group, Inc. 4.38%, 6/30/2050 | | |
| | |
| | |
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. 3.85%, 4/5/2029 (d) | | |
Empower Finance 2020 LP (Canada) 3.08%, 9/17/2051 (d) | | |
F&G Global Funding 1.75%, 6/30/2026 (d) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (d) | | |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (d) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (d) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
|
Global Payments, Inc. 3.20%, 8/15/2029 | | |
|
Otis Worldwide Corp. 3.11%, 2/15/2040 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (d) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
Oil, Gas & Consumable Fuels — 0.4% |
Boardwalk Pipelines LP 4.45%, 7/15/2027 | | |
BP Capital Markets America, Inc. | | |
| | |
| | |
Coterra Energy, Inc. 3.90%, 5/15/2027 (d) | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
Energy Transfer LP 5.00%, 5/15/2044 (f) | | |
Enterprise Products Operating LLC 4.45%, 2/15/2043 | | |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
HF Sinclair Corp. 2.63%, 10/1/2023 (d) | | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (d) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (d) | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
| | |
|
| | |
| | |
| | |
Merck & Co., Inc. 2.35%, 6/24/2040 | | |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | | |
Viatris, Inc. 3.85%, 6/22/2040 | | |
| | |
|
CSX Corp. 3.80%, 11/1/2046 | | |
Kansas City Southern 4.70%, 5/1/2048 | | |
Norfolk Southern Corp. 3.05%, 5/15/2050 | | |
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (d) | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (d) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.2% |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
Broadcom, Inc. 1.95%, 2/15/2028 (d) | | |
KLA Corp. 3.30%, 3/1/2050 | | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP BV (China) 3.25%, 5/11/2041 | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
AutoZone, Inc. 3.63%, 4/15/2025 | | |
Lowe's Cos., Inc. 3.70%, 4/15/2046 | | |
Tractor Supply Co. 1.75%, 11/1/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
Dell International LLC 6.20%, 7/15/2030 | | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.1% |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (d) | | |
T-Mobile USA, Inc. 2.55%, 2/15/2031 | | |
| | |
Total Corporate Bonds
(Cost $1,915) | | |
Mortgage-Backed Securities — 5.1% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QB4026 2.50%, 10/1/2050 | | |
Pool # QB4045 2.50%, 10/1/2050 | | |
Pool # QB4484 2.50%, 10/1/2050 | | |
Pool # QB4542 2.50%, 10/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
| | |
Pool # CA2826 5.50%, 12/1/2048 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BQ2894 3.00%, 9/1/2050 | | |
Pool # BQ3996 2.50%, 10/1/2050 | | |
| | |
|
Pool # BQ5243 3.50%, 10/1/2050 | | |
Pool # CA7398 3.50%, 10/1/2050 | | |
Pool # CA8637 4.00%, 1/1/2051 | | |
Pool # BU1805 2.50%, 12/1/2051 | | |
Pool # CB2637 2.50%, 1/1/2052 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # CB2670 3.00%, 1/1/2052 | | |
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV3950 4.00%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
| | |
Pool # AN2009 2.70%, 7/1/2026 | | |
Pool # AM3010 5.07%, 3/1/2028 | | |
Pool # BL8639 1.09%, 4/1/2028 | | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS4290 1.95%, 10/1/2029 | | |
Pool # BS0448 1.27%, 12/1/2029 | | |
Pool # BL9748 1.60%, 12/1/2029 | | |
Pool # AN7593 2.99%, 12/1/2029 | | |
Pool # AN8285 3.11%, 3/1/2030 | | |
Pool # AM8544 3.08%, 4/1/2030 | | |
Pool # BL9251 1.45%, 10/1/2030 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BL9891 1.37%, 12/1/2030 | | |
Pool # AN6149 3.14%, 7/1/2032 | | |
Pool # BM3226 3.44%, 10/1/2032 (g) | | |
Pool # AN7923 3.33%, 1/1/2033 | | |
Pool # AN9067 3.51%, 5/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BL1012 4.03%, 12/1/2033 | | |
Pool # BL0900 4.08%, 2/1/2034 | | |
Pool # AN4430 3.61%, 1/1/2037 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
| | |
Pool # BY3432 3.50%, 9/20/2050 | | |
Pool # BR3929 3.50%, 10/20/2050 | | |
Pool # BW1726 3.50%, 10/20/2050 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # BR3928 3.00%, 12/20/2050 | | |
Pool # BU7538 3.00%, 12/20/2050 | | |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
GNMA II, Other Pool # 785183 2.94%, 10/20/2070 (g) | | |
Total Mortgage-Backed Securities
(Cost $1,506) | | |
Asset-Backed Securities — 3.1% |
ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (d) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (d) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
AmeriCredit Automobile Receivables Trust Series 2018-3, Class D, 4.04%, 11/18/2024 | | |
Business Jet Securities LLC Series 2021-1A, Class A, 2.16%, 4/15/2036 (d) | | |
CarMax Auto Owner Trust Series 2019-3, Class C, 2.60%, 6/16/2025 | | |
Carvana Auto Receivables Trust | | |
Series 2019-4A, Class D, 3.07%, 7/15/2025 (d) | | |
Series 2020-P1, Class C, 1.32%, 11/9/2026 | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (d) | | |
Delta Air Lines Pass-Through Trust Series 2020-1, Class A, 2.50%, 6/10/2028 | | |
Drive Auto Receivables Trust Series 2020-1, Class D, 2.70%, 5/17/2027 | | |
| | |
|
| | |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (d) | | |
Series 2021-2A, Class C, 1.10%, 2/16/2027 (d) | | |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (d) | | |
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | | |
FHF Trust Series 2021-1A, Class A, 1.27%, 3/15/2027 (d) | | |
First Investors Auto Owner Trust Series 2021-1A, Class B, 0.89%, 3/15/2027 (d) | | |
Flagship Credit Auto Trust | | |
Series 2021-1, Class B, 0.68%, 2/16/2027 (d) | | |
Series 2020-4, Class C, 1.28%, 2/16/2027 (d) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2020-4A, Class B, 0.87%, 12/16/2024 (d) | | |
Series 2021-2A, Class B, 0.77%, 9/15/2025 (d) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (d) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (d) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (d) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (d) | | |
Santander Drive Auto Receivables Trust Series 2019-3, Class D, 2.68%, 10/15/2025 | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (d) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (d) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (d) (f) | | |
Westlake Automobile Receivables Trust Series 2020-3A, Class C, 1.24%, 11/17/2025 (d) | | |
Total Asset-Backed Securities
(Cost $882) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — 0.8% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (d) (g) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (d) (g) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (d) (g) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (d) (g) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K-1511, Class A1, 3.28%, 10/25/2030 | | |
Series K-1510, Class A2, 3.72%, 1/25/2031 | | |
| | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (g) | | |
FNMA, Other 3.08%, 1/1/2029 | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (d) (g) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (d) (g) | | |
Series 2016-K58, Class B, 3.87%, 9/25/2049 (d) (g) | | |
Series 2017-K728, Class C, 3.76%, 11/25/2050 (d) (g) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class B, 2.12%, 12/15/2037 ‡ (d) (g) | | |
Total Commercial Mortgage-Backed Securities
(Cost $219) | | |
Collateralized Mortgage Obligations — 0.6% |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
| | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
| | |
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡ | | |
Total Collateralized Mortgage Obligations
(Cost $161) | | |
| | |
Short Term Investments — 8.6% |
Investment Companies — 8.6% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (h)
(Cost $2,278) | | |
Total Investments — 100.1%
(Cost $28,177) | | |
Liabilities in Excess of Other Assets — (0.1)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| Value determined using significant unobservable inputs. | |
| 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. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| 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 June 30, 2022. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
| Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 40.3% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 4.7% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $417,458) | | |
Exchange-Traded Funds — 29.8% |
Alternative Assets — 1.3% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan Inflation Managed Bond ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 9.3% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $320,627) | | |
| | |
|
Aerospace & Defense — 0.2% |
| | |
| | |
| | |
| | |
|
Aerospace & Defense — continued |
| | |
| | |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | | |
| | |
| | |
| | |
Raytheon Technologies Corp. 2.25%, 7/1/2030 | | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
General Motors Co. 6.80%, 10/1/2027 | | |
| | |
| | |
| | |
Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (b) | | |
| | |
|
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) | | |
Banco Santander SA (Spain) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | | |
Bank of Ireland Group plc (Ireland) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Barclays plc (United Kingdom) 4.34%, 1/10/2028 | | |
BNP Paribas SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | | |
Citigroup, Inc. (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | | |
Credit Agricole SA (France) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
Intesa Sanpaolo SpA (Italy) Series XR, 3.25%, 9/23/2024 (b) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | | |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | | |
NatWest Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | | |
Societe Generale SA (France) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) | | |
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
| | |
| | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (c) | | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
| | |
| | |
|
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
| | |
|
| | |
| | |
| | |
| | |
Amgen, Inc. 3.15%, 2/21/2040 | | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Brookfield Finance, Inc. (Canada) 3.50%, 3/30/2051 | | |
Credit Suisse AG (Switzerland) 3.70%, 2/21/2025 | | |
Credit Suisse Group AG (Switzerland) | | |
(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c) | | |
| | |
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(SOFR + 1.11%), 2.64%, 2/24/2028 | | |
Macquarie Group Ltd. (Australia) | | |
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | | |
(SOFR + 1.53%), 2.87%, 1/14/2033 (b) (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | | |
| | |
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
International Flavors & Fragrances, Inc. 3.47%, 12/1/2050 (b) | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | | |
Park Aerospace Holdings Ltd. (Ireland) | | |
| | |
| | |
| | |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
| | |
|
Diversified Financial Services — 0.0% ^ |
Shell International Finance BV (Netherlands) 3.13%, 11/7/2049 | | |
Diversified Telecommunication Services — 0.1% |
| | |
| | |
| | |
| | |
Verizon Communications, Inc. 2.65%, 11/20/2040 | | |
| | |
Electric Utilities — 0.5% |
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049 | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Arkansas LLC 2.65%, 6/15/2051 | | |
| | |
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | | |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (b) | | |
| | |
| | |
| | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
| | |
PacifiCorp 4.15%, 2/15/2050 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Southern California Edison Co. | | |
Series 20C, 1.20%, 2/1/2026 | | |
Series C, 4.13%, 3/1/2048 | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | | |
| | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
Walt Disney Co. (The) 3.50%, 5/13/2040 | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.4% |
American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 | | |
| | |
| | |
| | |
Brixmor Operating Partnership LP | | |
| | |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust 2.40%, 2/1/2027 | | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Realty Income Corp. 1.80%, 3/15/2033 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (b) | | |
| | |
| | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — continued |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.0% ^ |
| | |
| | |
| | |
Alimentation Couche-Tard, Inc. (Canada) 3.63%, 5/13/2051 (b) | | |
CVS Pass-Through Trust Series 2014, 4.16%, 8/11/2036 (b) | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | | |
| | |
|
Atmos Energy Corp. 2.85%, 2/15/2052 | | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Boston Scientific Corp. 4.55%, 3/1/2039 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
| | |
Health Care Providers & Services — 0.2% |
Banner Health 1.90%, 1/1/2031 | | |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
| | |
| | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
PeaceHealth Obligated Group Series 2020, 3.22%, 11/15/2050 | | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
Lennar Corp. 4.50%, 4/30/2024 | | |
Independent Power and Renewable Electricity Producers — 0.1% |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
Industrial Conglomerates — 0.1% |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | |
|
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. 3.85%, 4/5/2029 (b) | | |
Empower Finance 2020 LP (Canada) 3.08%, 9/17/2051 (b) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (b) | | |
| | |
|
|
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (b) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
|
CGI, Inc. (Canada) 1.45%, 9/14/2026 | | |
Global Payments, Inc. 3.20%, 8/15/2029 | | |
| | |
|
Otis Worldwide Corp. 3.11%, 2/15/2040 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (b) | | |
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
Berkshire Hathaway Energy Co. 2.85%, 5/15/2051 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 0.4% |
Boardwalk Pipelines LP 4.45%, 7/15/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
BP Capital Markets America, Inc. 2.77%, 11/10/2050 | | |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC 4.45%, 2/15/2043 | | |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | | |
| | |
| | |
| | |
HF Sinclair Corp. 5.88%, 4/1/2026 (b) | | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (b) | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Targa Resources Corp. 4.20%, 2/1/2033 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
| | |
Personal Products — 0.0% ^ |
GSK Consumer Healthcare Capital US LLC 4.00%, 3/24/2052 (b) | | |
|
AstraZeneca plc (United Kingdom) 6.45%, 9/15/2037 | | |
Bristol-Myers Squibb Co. 4.13%, 6/15/2039 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | | |
Viatris, Inc. 4.00%, 6/22/2050 | | |
| | |
|
CSX Corp. 3.80%, 11/1/2046 | | |
Kansas City Southern 4.70%, 5/1/2048 | | |
Norfolk Southern Corp. 3.05%, 5/15/2050 | | |
| | |
|
|
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (b) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.2% |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP BV (China) 3.25%, 5/11/2041 | | |
TSMC Global Ltd. (Taiwan) 1.38%, 9/28/2030 (b) | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
| | |
| | |
| | |
| | |
Specialty Retail — 0.0% ^ |
Lowe's Cos., Inc. 3.70%, 4/15/2046 | | |
Technology Hardware, Storage & Peripherals — 0.1% |
Dell International LLC 6.20%, 7/15/2030 | | |
Thrifts & Mortgage Finance — 0.1% |
BPCE SA (France) (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Trading Companies & Distributors — continued |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.0% ^ |
America Movil SAB de CV (Mexico) 2.88%, 5/7/2030 | | |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | | |
| | |
Total Corporate Bonds
(Cost $73,995) | | |
Asset-Backed Securities — 4.9% |
| | |
Series 2021-A, Class A, 1.08%, 4/15/2027 (b) | | |
Series 2021-A, Class B, 1.79%, 4/15/2027 (b) | | |
ACC Trust Series 2021-1, Class B, 1.43%, 7/22/2024 (b) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (b) | | |
Affirm Asset Securitization Trust Series 2021-A, Class A, 0.88%, 8/15/2025 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (b) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class E2, 2.58%, 8/17/2038 ‡ (b) | | |
Aqua Finance Trust Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (b) | | |
| | |
|
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (b) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (b) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | | |
BXG Receivables Note Trust Series 2020-A, Class A, 1.55%, 2/28/2036 (b) | | |
Carvana Auto Receivables Trust Series 2020-P1, Class C, 1.32%, 11/9/2026 | | |
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) | | |
CPS Auto Receivables Trust | | |
Series 2021-A, Class B, 0.61%, 2/18/2025 (b) | | |
Series 2021-B, Class C, 1.23%, 3/15/2027 (b) | | |
Credit Acceptance Auto Loan Trust Series 2020-2A, Class C, 2.73%, 11/15/2029 (b) | | |
Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (b) | | |
Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (b) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | | |
Delta Air Lines Pass-Through Trust | | |
Series 2015-1, Class B, 4.25%, 7/30/2023 | | |
Series 2020-1, Class A, 2.50%, 6/10/2028 | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (b) | | |
Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (b) | | |
| | |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (b) | | |
Series 2022-2A, Class D, 5.46%, 3/15/2028 (b) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-A, Class C, 2.09%, 8/27/2035 ‡ (b) | | |
FHF Trust Series 2021-1A, Class A, 1.27%, 3/15/2027 (b) | | |
| | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (b) | | |
Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 ‡ (b) | | |
Flagship Credit Auto Trust Series 2021-1, Class B, 0.68%, 2/16/2027 (b) | | |
FMC GMSR Issuer Trust Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (e) | | |
FREED ABS Trust Series 2021-2, Class B, 1.03%, 6/19/2028 ‡ (b) | | |
GLS Auto Receivables Issuer Trust Series 2020-4A, Class B, 0.87%, 12/16/2024 (b) | | |
Home Partners of America Trust | | |
Series 2021-2, Class C, 2.40%, 12/17/2026 ‡ (b) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (b) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class A, 1.00%, 12/15/2028 (b) | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 ‡ (b) | | |
Series 2021-B, Class A, 1.11%, 2/15/2029 (b) | | |
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (b) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (b) | | |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (b) | | |
| | |
Series 2021-1A, Class A, 0.60%, 6/16/2031 (b) | | |
Series 2021-1A, Class B, 1.00%, 6/16/2031 ‡ (b) | | |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | | |
| | |
|
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (b) | | |
MVW LLC Series 2021-2A, Class C, 2.23%, 5/20/2039 ‡ (b) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (b) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | | |
Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027 (b) | | |
OneMain Financial Issuance Trust Series 2020-2A, Class D, 3.45%, 9/14/2035 ‡ (b) | | |
Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | | |
Orange Lake Timeshare Trust Series 2016-A, Class A, 2.61%, 3/8/2029 (b) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (b) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (b) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (b) | | |
PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (e) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (b) (d) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (b) (d) | | |
Progress Residential Trust | | |
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (b) | | |
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 ‡ (b) | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (b) | | |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
Republic Finance Issuance Trust | | |
Series 2020-A, Class A, 2.47%, 11/20/2030 (b) | | |
Series 2021-A, Class A, 2.30%, 12/22/2031 (b) | | |
Sierra Timeshare Receivables Funding LLC Series 2021-2A, Class B, 1.80%, 9/20/2038 ‡ (b) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | | |
Tricolor Auto Securitization Trust | | |
Series 2021-1A, Class B, 1.00%, 6/17/2024 (b) | | |
Series 2021-1A, Class C, 1.33%, 9/16/2024 (b) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | | |
Upstart Securitization Trust | | |
Series 2020-3, Class A, 1.70%, 11/20/2030 (b) | | |
Series 2021-1, Class A, 0.87%, 3/20/2031 (b) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (b) | | |
| | |
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (b) (d) | | |
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (b) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (d) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (b) (d) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (d) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
| | |
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (b) (d) | | |
Westgate Resorts LLC Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (b) | | |
Total Asset-Backed Securities
(Cost $54,491) | | |
Mortgage-Backed Securities — 4.6% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QB4026 2.50%, 10/1/2050 | | |
Pool # QB4045 2.50%, 10/1/2050 | | |
Pool # QB4484 2.50%, 10/1/2050 | | |
Pool # QB4542 2.50%, 10/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QE1637 4.00%, 5/1/2052 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
| | |
Pool # CA2826 5.50%, 12/1/2048 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BQ2894 3.00%, 9/1/2050 | | |
Pool # BQ3996 2.50%, 10/1/2050 | | |
Pool # BQ5243 3.50%, 10/1/2050 | | |
Pool # CA7398 3.50%, 10/1/2050 | | |
Pool # CA8637 4.00%, 1/1/2051 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
Pool # BV9515 6.00%, 6/1/2052 | | |
| | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS4290 1.95%, 10/1/2029 | | |
Pool # BS0448 1.27%, 12/1/2029 | | |
Pool # BL9748 1.60%, 12/1/2029 | | |
Pool # AN7593 2.99%, 12/1/2029 | | |
Pool # AN8285 3.11%, 3/1/2030 | | |
Pool # AM8544 3.08%, 4/1/2030 | | |
Pool # BL9251 1.45%, 10/1/2030 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BL9891 1.37%, 12/1/2030 | | |
Pool # BS5580 3.68%, 1/1/2032 | | |
Pool # AN6149 3.14%, 7/1/2032 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # AN7923 3.33%, 1/1/2033 | | |
Pool # BS5357 3.41%, 3/1/2033 | | |
Pool # AN9067 3.51%, 5/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BS5127 3.15%, 9/1/2033 | | |
Pool # BL1012 4.03%, 12/1/2033 | | |
Pool # BL0900 4.08%, 2/1/2034 | | |
Pool # AN4430 3.61%, 1/1/2037 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
| | |
Pool # BY3432 3.50%, 9/20/2050 | | |
Pool # BR3929 3.50%, 10/20/2050 | | |
Pool # BW1726 3.50%, 10/20/2050 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # BR3928 3.00%, 12/20/2050 | | |
Pool # BU7538 3.00%, 12/20/2050 | | |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8726 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC0088 4.00%, 3/20/2051 | | |
Pool # CC0092 4.00%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
Pool # CN3557 4.50%, 5/20/2052 | | |
GNMA II, Other Pool # 785183 2.94%, 10/20/2070 (e) | | |
Total Mortgage-Backed Securities
(Cost $53,207) | | |
| | |
U.S. Treasury Obligations — 3.2% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury STRIPS Bonds
1.14%, 5/15/2027 (g) | | |
Total U.S. Treasury Obligations
(Cost $38,395) | | |
Collateralized Mortgage Obligations — 1.4% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (b) (d) | | |
Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | | |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (b) | | |
| | |
Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (e) | | |
Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (e) | | |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (e) | | |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
| | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Collateralized Mortgage Obligations — continued |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
| | |
Series 2015-H11, Class FC, 1.35%, 5/20/2065 (e) | | |
Series 2021-H14, Class YD, 8.30%, 6/20/2071 (e) | | |
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (d) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (e) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (b) (e) | | |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (d) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡ | | |
Toorak Mortgage Corp. Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (b) (d) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (e) | | |
Total Collateralized Mortgage Obligations
(Cost $15,600) | | |
Commercial Mortgage-Backed Securities — 0.7% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (b) (e) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (b) (e) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (b) (e) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (b) (e) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K-1511, Class A1, 3.28%, 10/25/2030 | | |
Series K152, Class A2, 3.08%, 1/25/2031 | | |
| | |
|
Series K-1510, Class A2, 3.72%, 1/25/2031 | | |
| | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (e) | | |
FNMA, Other 3.08%, 1/1/2029 | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (b) (e) | | |
Series 2015-K48, Class C, 3.77%, 8/25/2048 (b) (e) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (b) (e) | | |
Series 2017-K728, Class C, 3.76%, 11/25/2050 (b) (e) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class B, 2.12%, 12/15/2037 ‡ (b) (e) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $7,161) | | |
Foreign Government Securities — 0.1% |
Republic of Panama (Panama) 3.16%, 1/23/2030 | | |
Republic of Peru (Peru) 2.78%, 12/1/2060 | | |
United Mexican States (Mexico) | | |
| | |
| | |
Total Foreign Government Securities
(Cost $1,612) | | |
| | |
Short Term Investments — 8.0% |
Investment Companies — 8.0% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (h)
(Cost $83,356) | | |
Total Investments — 99.0%
(Cost $1,065,902) | | |
Other Assets Less Liabilities — 1.0% | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| 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 June 30, 2022. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 44.4% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 5.8% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $786,854) | | |
Exchange-Traded Funds — 30.0% |
Alternative Assets — 2.0% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan Inflation Managed Bond ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 11.8% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $571,650) | | |
| | |
|
Aerospace & Defense — 0.2% |
| | |
| | |
| | |
| | |
|
Aerospace & Defense — continued |
| | |
| | |
| | |
| | |
| | |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | | |
| | |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
General Motors Co. 6.80%, 10/1/2027 | | |
| | |
| | |
| | |
| | |
| | |
Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (b) | | |
| | |
|
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) | | |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) | | |
Banco Santander SA (Spain) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (c) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) | | |
(SOFR + 1.33%), 2.97%, 2/4/2033 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | | |
Bank of Ireland Group plc (Ireland) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Banque Federative du Credit Mutuel SA (France) 1.60%, 10/4/2026 (b) | | |
Barclays plc (United Kingdom) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | | |
| | |
(SOFR + 1.61%), 1.90%, 9/30/2028 (b) (c) | | |
(SOFR + 1.22%), 2.16%, 9/15/2029 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | | |
| | |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | | |
Credit Agricole SA (France) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | | |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) | | |
Intesa Sanpaolo SpA (Italy) Series XR, 3.25%, 9/23/2024 (b) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.74%, 3/7/2029 | | |
| | |
|
|
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | | |
NatWest Group plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | | |
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | | |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (b) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | | |
Societe Generale SA (France) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) | | |
Standard Chartered plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 1.32%, 10/14/2023 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | | |
| | |
| | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (c) | | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Amgen, Inc. 3.15%, 2/21/2040 | | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Brookfield Finance, Inc. (Canada) 3.50%, 3/30/2051 | | |
Credit Suisse AG (Switzerland) 3.70%, 2/21/2025 | | |
Credit Suisse Group AG (Switzerland) | | |
(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c) | | |
| | |
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.67%, 3/8/2024 | | |
| | |
Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (c) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | |
Macquarie Group Ltd. (Australia) | | |
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | | |
(SOFR + 1.53%), 2.87%, 1/14/2033 (b) (c) | | |
| | |
| | |
| | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (c) | | |
| | |
|
Capital Markets — continued |
| | |
| | |
| | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | | |
| | |
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
International Flavors & Fragrances, Inc. 3.47%, 12/1/2050 (b) | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
Nutrien Ltd. (Canada) 5.00%, 4/1/2049 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. | | |
| | |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | | |
Park Aerospace Holdings Ltd. (Ireland) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Diversified Financial Services — 0.0% ^ |
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) | | |
Shell International Finance BV (Netherlands) 3.13%, 11/7/2049 | | |
| | |
Diversified Telecommunication Services — 0.1% |
| | |
| | |
| | |
| | |
Verizon Communications, Inc. 2.65%, 11/20/2040 | | |
| | |
Electric Utilities — 0.4% |
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049 | | |
Duke Energy Progress LLC 2.90%, 8/15/2051 | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Arkansas LLC 2.65%, 6/15/2051 | | |
| | |
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | | |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (b) | | |
| | |
|
Electric Utilities — continued |
| | |
| | |
| | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PacifiCorp 4.15%, 2/15/2050 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Southern California Edison Co. | | |
Series 20C, 1.20%, 2/1/2026 | | |
Series C, 4.13%, 3/1/2048 | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (b) | | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
| | |
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.3% |
American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 | | |
| | |
| | |
| | |
Brixmor Operating Partnership LP | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
CubeSmart LP 2.00%, 2/15/2031 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust 2.40%, 2/1/2027 | | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Realty Income Corp. 1.80%, 3/15/2033 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.1% |
| | |
| | |
| | |
| | |
| | |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
CVS Pass-Through Trust Series 2014, 4.16%, 8/11/2036 (b) | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
|
Food Products — continued |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | | |
| | |
|
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Boston Scientific Corp. 4.55%, 3/1/2039 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
| | |
Health Care Providers & Services — 0.2% |
Banner Health 1.90%, 1/1/2031 | | |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | | |
| | |
| | |
| | |
| | |
Elevance Health, Inc. 2.25%, 5/15/2030 | | |
| | |
| | |
| | |
| | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
PeaceHealth Obligated Group Series 2020, 3.22%, 11/15/2050 | | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
Lennar Corp. 4.50%, 4/30/2024 | | |
MDC Holdings, Inc. 3.97%, 8/6/2061 | | |
| | |
Independent Power and Renewable Electricity Producers — 0.1% |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | | |
Constellation Energy Generation LLC | | |
| | |
| | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
Industrial Conglomerates — 0.0% ^ |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | |
|
| | |
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. 3.85%, 4/5/2029 (b) | | |
Empower Finance 2020 LP (Canada) 3.08%, 9/17/2051 (b) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (b) | | |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (b) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
|
CGI, Inc. (Canada) 1.45%, 9/14/2026 | | |
Global Payments, Inc. 3.20%, 8/15/2029 | | |
| | |
| | |
|
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (b) | | |
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
Berkshire Hathaway Energy Co. 2.85%, 5/15/2051 | | |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
San Diego Gas & Electric Co. 2.95%, 8/15/2051 | | |
Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 0.4% |
Boardwalk Pipelines LP 4.45%, 7/15/2027 | | |
BP Capital Markets America, Inc. | | |
| | |
| | |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
| | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC 4.45%, 2/15/2043 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (b) | | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (b) | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Targa Resources Corp. 4.20%, 2/1/2033 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
| | |
Personal Products — 0.0% ^ |
GSK Consumer Healthcare Capital US LLC 4.00%, 3/24/2052 (b) | | |
|
AstraZeneca plc (United Kingdom) 6.45%, 9/15/2037 | | |
| | |
| | |
| | |
Merck & Co., Inc. 2.35%, 6/24/2040 | | |
Royalty Pharma plc 2.15%, 9/2/2031 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | | |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | | |
| | |
| | |
| | |
| | |
|
CSX Corp. 3.80%, 11/1/2046 | | |
Kansas City Southern 4.70%, 5/1/2048 | | |
| | |
|
|
Norfolk Southern Corp. 3.05%, 5/15/2050 | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (b) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.1% |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP BV (China) 3.25%, 5/11/2041 | | |
TSMC Global Ltd. (Taiwan) 1.38%, 9/28/2030 (b) | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Tractor Supply Co. 1.75%, 11/1/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
| | |
| | |
| | |
Dell International LLC 6.20%, 7/15/2030 | | |
| | |
Thrifts & Mortgage Finance — 0.1% |
BPCE SA (France) (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.0% ^ |
America Movil SAB de CV (Mexico) 2.88%, 5/7/2030 | | |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | | |
| | |
Total Corporate Bonds
(Cost $126,723) | | |
Mortgage-Backed Securities — 4.3% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QB4026 2.50%, 10/1/2050 | | |
Pool # QB4045 2.50%, 10/1/2050 | | |
Pool # QB4484 2.50%, 10/1/2050 | | |
Pool # QB4542 2.50%, 10/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QD4686 4.00%, 1/1/2052 | | |
Pool # QE1637 4.00%, 5/1/2052 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
| | |
Pool # CA2826 5.50%, 12/1/2048 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BQ2894 3.00%, 9/1/2050 | | |
Pool # BQ3996 2.50%, 10/1/2050 | | |
Pool # BQ5243 3.50%, 10/1/2050 | | |
Pool # CA7398 3.50%, 10/1/2050 | | |
Pool # BR4318 3.00%, 1/1/2051 | | |
Pool # CA8637 4.00%, 1/1/2051 | | |
| | |
|
Pool # CB2637 2.50%, 1/1/2052 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # CB2670 3.00%, 1/1/2052 | | |
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV3950 4.00%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
| | |
Pool # AM3010 5.07%, 3/1/2028 | | |
Pool # BL8639 1.09%, 4/1/2028 | | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS0448 1.27%, 12/1/2029 | | |
Pool # BL9748 1.60%, 12/1/2029 | | |
Pool # AN7593 2.99%, 12/1/2029 | | |
Pool # AN8285 3.11%, 3/1/2030 | | |
Pool # AM8544 3.08%, 4/1/2030 | | |
Pool # BL9251 1.45%, 10/1/2030 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BL9891 1.37%, 12/1/2030 | | |
Pool # BS5580 3.68%, 1/1/2032 | | |
Pool # AN6149 3.14%, 7/1/2032 | | |
Pool # BM3226 3.44%, 10/1/2032 (e) | | |
Pool # AN7923 3.33%, 1/1/2033 | | |
Pool # BS5357 3.41%, 3/1/2033 | | |
Pool # AN9067 3.51%, 5/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BS5127 3.15%, 9/1/2033 | | |
Pool # BL1012 4.03%, 12/1/2033 | | |
Pool # BL0900 4.08%, 2/1/2034 | | |
Pool # BL7124 1.93%, 6/1/2035 | | |
Pool # AN4430 3.61%, 1/1/2037 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 3.50%, 7/25/2052 (f) | | |
TBA, 4.00%, 7/25/2052 (f) | | |
TBA, 4.50%, 7/25/2052 (f) | | |
| | |
Pool # BY3432 3.50%, 9/20/2050 | | |
Pool # BR3929 3.50%, 10/20/2050 | | |
Pool # BW1726 3.50%, 10/20/2050 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # BR3928 3.00%, 12/20/2050 | | |
Pool # BU7538 3.00%, 12/20/2050 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
Pool # CA9005 3.00%, 2/20/2051 | | |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8726 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC0088 4.00%, 3/20/2051 | | |
Pool # CC0092 4.00%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # MA7534 2.50%, 8/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
GNMA II, Other Pool # 785183 2.94%, 10/20/2070 (e) | | |
Total Mortgage-Backed Securities
(Cost $88,352) | | |
Asset-Backed Securities — 4.2% |
| | |
Series 2021-A, Class A, 1.08%, 4/15/2027 (b) | | |
Series 2021-A, Class B, 1.79%, 4/15/2027 (b) | | |
ACC Trust Series 2021-1, Class B, 1.43%, 7/22/2024 (b) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (b) | | |
Affirm Asset Securitization Trust Series 2021-A, Class A, 0.88%, 8/15/2025 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
| | |
|
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (b) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class E2, 2.58%, 8/17/2038 ‡ (b) | | |
Aqua Finance Trust Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (b) | | |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (b) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (b) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | | |
BXG Receivables Note Trust Series 2020-A, Class A, 1.55%, 2/28/2036 (b) | | |
Carvana Auto Receivables Trust Series 2020-P1, Class C, 1.32%, 11/9/2026 | | |
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) | | |
CPS Auto Receivables Trust | | |
Series 2021-A, Class B, 0.61%, 2/18/2025 (b) | | |
Series 2021-B, Class C, 1.23%, 3/15/2027 (b) | | |
Credit Acceptance Auto Loan Trust Series 2020-2A, Class C, 2.73%, 11/15/2029 (b) | | |
Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (b) | | |
Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (b) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Delta Air Lines Pass-Through Trust | | |
Series 2015-1, Class B, 4.25%, 7/30/2023 | | |
Series 2020-1, Class A, 2.50%, 6/10/2028 | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (b) | | |
Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (b) | | |
| | |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (b) | | |
Series 2021-2A, Class C, 1.10%, 2/16/2027 (b) | | |
Series 2022-2A, Class D, 5.46%, 3/15/2028 (b) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (b) | | |
Series 2021-A, Class C, 2.09%, 8/27/2035 ‡ (b) | | |
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | | |
| | |
Series 2021-2A, Class A, 0.83%, 12/15/2026 (b) | | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (b) | | |
First Investors Auto Owner Trust Series 2021-1A, Class B, 0.89%, 3/15/2027 (b) | | |
| | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (b) | | |
Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 ‡ (b) | | |
Flagship Credit Auto Trust | | |
Series 2021-1, Class B, 0.68%, 2/16/2027 (b) | | |
Series 2020-4, Class C, 1.28%, 2/16/2027 (b) | | |
FMC GMSR Issuer Trust Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (e) | | |
FREED ABS Trust Series 2021-2, Class B, 1.03%, 6/19/2028 ‡ (b) | | |
Genesis Sales Finance Master Trust Series 2020-AA, Class A, 1.65%, 9/22/2025 (b) | | |
GLS Auto Receivables Issuer Trust Series 2020-4A, Class B, 0.87%, 12/16/2024 (b) | | |
| | |
|
Home Partners of America Trust | | |
Series 2021-2, Class C, 2.40%, 12/17/2026 ‡ (b) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (b) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class A, 1.00%, 12/15/2028 (b) | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 ‡ (b) | | |
Series 2021-B, Class A, 1.11%, 2/15/2029 (b) | | |
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (b) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (b) | | |
Mariner Finance Issuance Trust | | |
Series 2019-AA, Class A, 2.96%, 7/20/2032 (b) | | |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (b) | | |
| | |
Series 2021-1A, Class A, 0.60%, 6/16/2031 (b) | | |
Series 2021-1A, Class B, 1.00%, 6/16/2031 ‡ (b) | | |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | | |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (b) | | |
| | |
Series 2021-2A, Class C, 2.23%, 5/20/2039 ‡ (b) | | |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 ‡ (b) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (b) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | | |
Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027 (b) | | |
OneMain Financial Issuance Trust Series 2020-2A, Class D, 3.45%, 9/14/2035 ‡ (b) | | |
Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | | |
Orange Lake Timeshare Trust Series 2016-A, Class A, 2.61%, 3/8/2029 (b) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (b) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (b) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (b) | | |
PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (e) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (b) (d) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (b) (d) | | |
Progress Residential Trust | | |
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (b) | | |
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 ‡ (b) | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (b) | | |
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (b) | | |
Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (b) | | |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (b) | | |
Republic Finance Issuance Trust | | |
Series 2020-A, Class A, 2.47%, 11/20/2030 (b) | | |
Series 2021-A, Class A, 2.30%, 12/22/2031 (b) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (b) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (b) | | |
| | |
|
Series 2021-2A, Class B, 1.80%, 9/20/2038 ‡ (b) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | | |
Tricolor Auto Securitization Trust | | |
Series 2021-1A, Class B, 1.00%, 6/17/2024 (b) | | |
Series 2021-1A, Class C, 1.33%, 9/16/2024 (b) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-1, Class A, 3.45%, 7/7/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | | |
Upstart Securitization Trust | | |
Series 2020-3, Class A, 1.70%, 11/20/2030 (b) | | |
Series 2021-1, Class A, 0.87%, 3/20/2031 (b) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (b) | | |
| | |
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (b) (d) | | |
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (b) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (d) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (b) (d) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (d) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (b) (d) | | |
Westgate Resorts LLC Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Westlake Automobile Receivables Trust Series 2020-3A, Class C, 1.24%, 11/17/2025 (b) | | |
Total Asset-Backed Securities
(Cost $81,792) | | |
U.S. Treasury Obligations — 3.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury STRIPS Bonds | | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $82,578) | | |
Collateralized Mortgage Obligations — 1.1% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (b) (d) | | |
Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | | |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (b) | | |
| | |
Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (e) | | |
| | |
|
Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (e) | | |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (e) | | |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
| | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
| | |
Series 2015-H11, Class FC, 1.35%, 5/20/2065 (e) | | |
Series 2021-H14, Class YD, 8.30%, 6/20/2071 (e) | | |
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (d) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (e) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (b) (e) | | |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (d) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡ | | |
Toorak Mortgage Corp. Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (b) (d) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (e) | | |
Total Collateralized Mortgage Obligations
(Cost $21,665) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Commercial Mortgage-Backed Securities — 0.5% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (b) (e) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (b) (e) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (b) (e) | | |
FHLMC, Multi-Family Structured Credit Risk | | |
Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (b) (e) | | |
Series 2021-MN1, Class M1, 2.93%, 1/25/2051 (b) (e) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K-1511, Class A1, 3.28%, 10/25/2030 | | |
Series K-1510, Class A2, 3.72%, 1/25/2031 | | |
| | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (e) | | |
FNMA, Other 3.08%, 1/1/2029 | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (b) (e) | | |
Series 2015-K48, Class C, 3.77%, 8/25/2048 (b) (e) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (b) (e) | | |
Series 2017-K728, Class C, 3.76%, 11/25/2050 (b) (e) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class B, 2.12%, 12/15/2037 ‡ (b) (e) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $10,031) | | |
Foreign Government Securities — 0.1% |
Kingdom of Saudi Arabia (Saudi Arabia) 2.25%, 2/2/2033 (b) | | |
Republic of Panama (Panama) 3.16%, 1/23/2030 | | |
Republic of Peru (Peru) 2.78%, 12/1/2060 | | |
| | |
|
United Mexican States (Mexico) | | |
| | |
| | |
Total Foreign Government Securities
(Cost $2,444) | | |
| | |
Short Term Investments — 4.7% |
Investment Companies — 4.7% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (i)
(Cost $86,271) | | |
Total Investments — 99.0%
(Cost $1,858,360) | | |
Other Assets Less Liabilities — 1.0% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2025 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| Value determined using significant unobservable inputs. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| 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 June 30, 2022. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 48.8% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 7.5% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $1,014,378) | | |
Exchange-Traded Funds — 30.2% |
Alternative Assets — 2.5% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan Inflation Managed Bond ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 14.8% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $686,313) | | |
| | |
|
Aerospace & Defense — 0.2% |
| | |
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| | |
| | |
| | |
|
Aerospace & Defense — continued |
| | |
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| | |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | | |
| | |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
General Motors Co. 6.80%, 10/1/2027 | | |
| | |
| | |
| | |
| | |
| | |
Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025 (b) | | |
| | |
|
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) | | |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) | | |
Banco Santander SA (Spain) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (c) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) | | |
(SOFR + 1.33%), 2.97%, 2/4/2033 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | | |
Bank of Ireland Group plc (Ireland) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Banque Federative du Credit Mutuel SA (France) 1.60%, 10/4/2026 (b) | | |
Barclays plc (United Kingdom) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | | |
| | |
(SOFR + 1.61%), 1.90%, 9/30/2028 (b) (c) | | |
(SOFR + 1.22%), 2.16%, 9/15/2029 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | | |
| | |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | | |
Credit Agricole SA (France) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | | |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) | | |
Intesa Sanpaolo SpA (Italy) Series XR, 3.25%, 9/23/2024 (b) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.74%, 3/7/2029 | | |
| | |
|
|
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | | |
NatWest Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | | |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (b) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | | |
Societe Generale SA (France) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) | | |
Standard Chartered plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 1.32%, 10/14/2023 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | | |
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
| | |
| | |
(SOFR + 2.10%), 2.39%, 6/2/2028 (c) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (c) | | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Brookfield Finance, Inc. (Canada) 3.50%, 3/30/2051 | | |
Credit Suisse AG (Switzerland) 3.70%, 2/21/2025 | | |
Credit Suisse Group AG (Switzerland) | | |
(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c) | | |
| | |
Deutsche Bank AG (Germany) | | |
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | | |
(SOFR + 1.72%), 3.04%, 5/28/2032 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.67%, 3/8/2024 | | |
| | |
Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (c) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | |
Macquarie Group Ltd. (Australia) | | |
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | | |
(SOFR + 1.53%), 2.87%, 1/14/2033 (b) (c) | | |
| | |
| | |
| | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (c) | | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (c) | | |
| | |
| | |
| | |
|
Capital Markets — continued |
| | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | | |
| | |
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
International Flavors & Fragrances, Inc. 3.47%, 12/1/2050 (b) | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
Nutrien Ltd. (Canada) 5.00%, 4/1/2049 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. | | |
| | |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | | |
Park Aerospace Holdings Ltd. (Ireland) | | |
| | |
| | |
| | |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Diversified Financial Services — 0.0% ^ |
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) | | |
Shell International Finance BV (Netherlands) 3.13%, 11/7/2049 | | |
| | |
Diversified Telecommunication Services — 0.1% |
| | |
| | |
| | |
| | |
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (b) | | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
| | |
Electric Utilities — 0.3% |
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049 | | |
Duke Energy Progress LLC 2.90%, 8/15/2051 | | |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b) | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Arkansas LLC 2.65%, 6/15/2051 | | |
| | |
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Indiana Michigan Power Co. 3.25%, 5/1/2051 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | | |
| | |
|
Electric Utilities — continued |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (b) | | |
| | |
| | |
| | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Ohio Power Co. Series R, 2.90%, 10/1/2051 | | |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PacifiCorp 4.15%, 2/15/2050 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Public Service Co. of Oklahoma Series K, 3.15%, 8/15/2051 | | |
Southern California Edison Co. | | |
Series 20C, 1.20%, 2/1/2026 | | |
Series C, 4.13%, 3/1/2048 | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (b) | | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
| | |
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.3% |
American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
| | |
| | |
| | |
Brixmor Operating Partnership LP | | |
| | |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
CubeSmart LP 2.00%, 2/15/2031 | | |
| | |
| | |
| | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust | | |
| | |
| | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Realty Income Corp. 1.80%, 3/15/2033 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.1% |
| | |
| | |
| | |
| | |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
|
Food & Staples Retailing — continued |
| | |
CVS Pass-Through Trust Series 2014, 4.16%, 8/11/2036 (b) | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | | |
| | |
|
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Boston Scientific Corp. 4.55%, 3/1/2039 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
| | |
Health Care Providers & Services — 0.2% |
Banner Health 1.90%, 1/1/2031 | | |
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | | |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | | |
| | |
| | |
| | |
| | |
Elevance Health, Inc. 2.25%, 5/15/2030 | | |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | | |
| | |
| | |
| | |
| | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
PeaceHealth Obligated Group Series 2020, 3.22%, 11/15/2050 | | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
Lennar Corp. 4.50%, 4/30/2024 | | |
Independent Power and Renewable Electricity Producers — 0.1% |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | | |
Constellation Energy Generation LLC | | |
| | |
| | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
Industrial Conglomerates — 0.0% ^ |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | |
|
| | |
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. 3.85%, 4/5/2029 (b) | | |
Empower Finance 2020 LP (Canada) 3.08%, 9/17/2051 (b) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (b) | | |
| | |
|
|
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (b) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
|
CGI, Inc. (Canada) 1.45%, 9/14/2026 | | |
Global Payments, Inc. 3.20%, 8/15/2029 | | |
| | |
|
Otis Worldwide Corp. 3.11%, 2/15/2040 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (b) | | |
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
Berkshire Hathaway Energy Co. 2.85%, 5/15/2051 | | |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
Puget Energy, Inc. 2.38%, 6/15/2028 | | |
San Diego Gas & Electric Co. 2.95%, 8/15/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 0.3% |
Boardwalk Pipelines LP 4.45%, 7/15/2027 | | |
BP Capital Markets America, Inc. | | |
| | |
| | |
| | |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | | |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
| | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC 4.45%, 2/15/2043 | | |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (b) | | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (b) | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Targa Resources Corp. 4.20%, 2/1/2033 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
| | |
| | |
|
Personal Products — 0.0% ^ |
GSK Consumer Healthcare Capital US LLC 4.00%, 3/24/2052 (b) | | |
|
AstraZeneca plc (United Kingdom) 6.45%, 9/15/2037 | | |
| | |
| | |
| | |
Merck & Co., Inc. 2.35%, 6/24/2040 | | |
Royalty Pharma plc 2.15%, 9/2/2031 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | | |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | | |
| | |
| | |
| | |
| | |
|
CSX Corp. 3.80%, 11/1/2046 | | |
Kansas City Southern 4.70%, 5/1/2048 | | |
Norfolk Southern Corp. 3.05%, 5/15/2050 | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (b) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.1% |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP BV (China) 3.25%, 5/11/2041 | | |
TSMC Global Ltd. (Taiwan) 1.38%, 9/28/2030 (b) | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
Specialty Retail — 0.0% ^ |
| | |
| | |
| | |
Tractor Supply Co. 1.75%, 11/1/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
| | |
| | |
| | |
Dell International LLC 6.20%, 7/15/2030 | | |
| | |
Thrifts & Mortgage Finance — 0.0% ^ |
BPCE SA (France) (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.0% ^ |
America Movil SAB de CV (Mexico) 2.88%, 5/7/2030 | | |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | | |
| | |
Total Corporate Bonds
(Cost $119,406) | | |
| | |
U.S. Treasury Obligations — 3.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury STRIPS Bonds
1.04%, 8/15/2026 (e) | | |
Total U.S. Treasury Obligations
(Cost $95,415) | | |
Asset-Backed Securities — 3.4% |
| | |
Series 2021-A, Class A, 1.08%, 4/15/2027 (b) | | |
Series 2021-A, Class B, 1.79%, 4/15/2027 (b) | | |
ACC Trust Series 2021-1, Class B, 1.43%, 7/22/2024 (b) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
Affirm Asset Securitization Trust Series 2021-A, Class A, 0.88%, 8/15/2025 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
American Credit Acceptance Receivables Trust Series 2021-1, Class B, 0.61%, 3/13/2025 (b) | | |
AmeriCredit Automobile Receivables Trust | | |
Series 2020-3, Class B, 0.76%, 12/18/2025 | | |
Series 2020-3, Class C, 1.06%, 8/18/2026 | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (b) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (b) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (b) | | |
Series 2021-SFR2, Class E2, 2.58%, 8/17/2038 ‡ (b) | | |
Aqua Finance Trust Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (b) | | |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (b) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (b) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | | |
BXG Receivables Note Trust Series 2020-A, Class A, 1.55%, 2/28/2036 (b) | | |
CarMax Auto Owner Trust Series 2020-4, Class C, 1.30%, 8/17/2026 | | |
Carvana Auto Receivables Trust Series 2020-P1, Class C, 1.32%, 11/9/2026 | | |
| | |
|
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) | | |
CPS Auto Receivables Trust | | |
Series 2021-A, Class B, 0.61%, 2/18/2025 (b) | | |
Series 2021-B, Class C, 1.23%, 3/15/2027 (b) | | |
Credit Acceptance Auto Loan Trust Series 2020-2A, Class C, 2.73%, 11/15/2029 (b) | | |
Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (b) | | |
Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (b) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | | |
Delta Air Lines Pass-Through Trust | | |
Series 2015-1, Class B, 4.25%, 7/30/2023 | | |
Series 2020-1, Class A, 2.50%, 6/10/2028 | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (b) | | |
Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (b) | | |
| | |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (b) | | |
Series 2021-2A, Class C, 1.10%, 2/16/2027 (b) | | |
Series 2022-2A, Class D, 5.46%, 3/15/2028 (b) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (b) | | |
Series 2021-A, Class C, 2.09%, 8/27/2035 ‡ (b) | | |
Exeter Automobile Receivables Trust Series 2021-2A, Class C, 0.98%, 6/15/2026 | | |
| | |
Series 2021-2A, Class A, 0.83%, 12/15/2026 (b) | | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (b) | | |
First Investors Auto Owner Trust Series 2021-1A, Class B, 0.89%, 3/15/2027 (b) | | |
| | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 ‡ (b) | | |
Flagship Credit Auto Trust | | |
Series 2021-1, Class B, 0.68%, 2/16/2027 (b) | | |
Series 2020-4, Class C, 1.28%, 2/16/2027 (b) | | |
FMC GMSR Issuer Trust Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f) | | |
FREED ABS Trust Series 2021-2, Class B, 1.03%, 6/19/2028 ‡ (b) | | |
Genesis Sales Finance Master Trust Series 2020-AA, Class A, 1.65%, 9/22/2025 (b) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2020-4A, Class B, 0.87%, 12/16/2024 (b) | | |
Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) | | |
Home Partners of America Trust | | |
Series 2021-2, Class C, 2.40%, 12/17/2026 ‡ (b) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (b) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class A, 1.00%, 12/15/2028 (b) | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 ‡ (b) | | |
Series 2021-B, Class A, 1.11%, 2/15/2029 (b) | | |
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (b) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (b) | | |
Mariner Finance Issuance Trust | | |
Series 2019-AA, Class A, 2.96%, 7/20/2032 (b) | | |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (b) | | |
| | |
Series 2021-1A, Class A, 0.60%, 6/16/2031 (b) | | |
| | |
|
Series 2021-1A, Class B, 1.00%, 6/16/2031 ‡ (b) | | |
Mercury Financial Credit Card Master Trust | | |
Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | | |
Series 2021-1A, Class B, 2.33%, 3/20/2026 (b) | | |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (b) | | |
| | |
Series 2021-2A, Class C, 2.23%, 5/20/2039 ‡ (b) | | |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 ‡ (b) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (b) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | | |
Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027 (b) | | |
OneMain Financial Issuance Trust Series 2020-2A, Class D, 3.45%, 9/14/2035 ‡ (b) | | |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (b) | | |
Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | | |
Orange Lake Timeshare Trust Series 2016-A, Class A, 2.61%, 3/8/2029 (b) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (b) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (b) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (b) | | |
Prestige Auto Receivables Trust Series 2020-1A, Class C, 1.31%, 11/16/2026 (b) | | |
PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (f) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (b) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (b) (d) | | |
Progress Residential Trust | | |
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (b) | | |
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 ‡ (b) | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (b) | | |
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (b) | | |
Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (b) | | |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (b) | | |
Republic Finance Issuance Trust | | |
Series 2020-A, Class A, 2.47%, 11/20/2030 (b) | | |
Series 2021-A, Class A, 2.30%, 12/22/2031 (b) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (b) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (b) | | |
Series 2021-2A, Class B, 1.80%, 9/20/2038 ‡ (b) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | | |
Tricolor Auto Securitization Trust | | |
Series 2021-1A, Class B, 1.00%, 6/17/2024 (b) | | |
Series 2021-1A, Class C, 1.33%, 9/16/2024 (b) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | | |
Upstart Securitization Trust | | |
Series 2020-3, Class A, 1.70%, 11/20/2030 (b) | | |
Series 2021-1, Class A, 0.87%, 3/20/2031 (b) | | |
| | |
|
Series 2021-4, Class A, 0.84%, 9/20/2031 (b) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (b) | | |
| | |
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (b) (d) | | |
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (b) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (d) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (b) (d) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (b) (d) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (d) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (b) (d) | | |
Westgate Resorts LLC Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (b) | | |
Westlake Automobile Receivables Trust Series 2020-3A, Class C, 1.24%, 11/17/2025 (b) | | |
Total Asset-Backed Securities
(Cost $79,130) | | |
Mortgage-Backed Securities — 3.3% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QA6772 3.50%, 1/1/2050 | | |
Pool # QB4026 2.50%, 10/1/2050 | | |
Pool # QB4045 2.50%, 10/1/2050 | | |
Pool # QB4484 2.50%, 10/1/2050 | | |
Pool # QB4542 2.50%, 10/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QD5778 3.00%, 1/1/2052 | | |
Pool # QD4686 4.00%, 1/1/2052 | | |
Pool # QE1637 4.00%, 5/1/2052 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Mortgage-Backed Securities — continued |
| | |
Pool # CA2826 5.50%, 12/1/2048 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BQ2894 3.00%, 9/1/2050 | | |
Pool # BQ3996 2.50%, 10/1/2050 | | |
Pool # BQ5243 3.50%, 10/1/2050 | | |
Pool # CA7398 3.50%, 10/1/2050 | | |
Pool # BR4318 3.00%, 1/1/2051 | | |
Pool # CA8637 4.00%, 1/1/2051 | | |
Pool # CB2637 2.50%, 1/1/2052 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # CB2670 3.00%, 1/1/2052 | | |
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV3950 4.00%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
Pool # BV9515 6.00%, 6/1/2052 | | |
| | |
Pool # AM3010 5.07%, 3/1/2028 | | |
Pool # BL8639 1.09%, 4/1/2028 | | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS0448 1.27%, 12/1/2029 | | |
Pool # BL9748 1.60%, 12/1/2029 | | |
Pool # AN7593 2.99%, 12/1/2029 | | |
Pool # AN8285 3.11%, 3/1/2030 | | |
Pool # AM8544 3.08%, 4/1/2030 | | |
Pool # BL9251 1.45%, 10/1/2030 | | |
Pool # BS5985 IO, 3.99%, 11/1/2030 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BL9891 1.37%, 12/1/2030 | | |
Pool # BS5580 3.68%, 1/1/2032 | | |
Pool # AN6149 3.14%, 7/1/2032 | | |
Pool # BM3226 3.44%, 10/1/2032 (f) | | |
Pool # AN7923 3.33%, 1/1/2033 | | |
Pool # BS5357 3.41%, 3/1/2033 | | |
Pool # AN9067 3.51%, 5/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BS5127 3.15%, 9/1/2033 | | |
Pool # BL1012 4.03%, 12/1/2033 | | |
Pool # BL0900 4.08%, 2/1/2034 | | |
Pool # BL7124 1.93%, 6/1/2035 | | |
Pool # AN4430 3.61%, 1/1/2037 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
| | |
|
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 3.50%, 7/25/2052 (g) | | |
TBA, 4.00%, 7/25/2052 (g) | | |
TBA, 4.50%, 7/25/2052 (g) | | |
| | |
Pool # BY3432 3.50%, 9/20/2050 | | |
Pool # BR3929 3.50%, 10/20/2050 | | |
Pool # BW1726 3.50%, 10/20/2050 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # BR3928 3.00%, 12/20/2050 | | |
Pool # BU7538 3.00%, 12/20/2050 | | |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
Pool # CA9005 3.00%, 2/20/2051 | | |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8726 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC0088 4.00%, 3/20/2051 | | |
Pool # CC0092 4.00%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # MA7534 2.50%, 8/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2660 3.00%, 2/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
Pool # CN3557 4.50%, 5/20/2052 | | |
GNMA II, Other Pool # 785183 2.94%, 10/20/2070 (f) | | |
Total Mortgage-Backed Securities
(Cost $80,613) | | |
Collateralized Mortgage Obligations — 0.9% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (b) (d) | | |
Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (b) | | |
| | |
Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (f) | | |
Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (f) | | |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (f) | | |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
| | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
| | |
Series 2015-H11, Class FC, 1.35%, 5/20/2065 (f) | | |
Series 2021-H14, Class YD, 8.30%, 6/20/2071 (f) | | |
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (d) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (f) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (b) (f) | | |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (d) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡ | | |
Toorak Mortgage Corp. Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (b) (d) | | |
| | |
|
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) | | |
Total Collateralized Mortgage Obligations
(Cost $20,315) | | |
Commercial Mortgage-Backed Securities — 0.4% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (b) (f) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (b) (f) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (b) (f) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (b) (f) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K-1511, Class A1, 3.28%, 10/25/2030 | | |
Series K-1510, Class A2, 3.72%, 1/25/2031 | | |
| | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (f) | | |
FNMA, Other 3.08%, 1/1/2029 | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (b) (f) | | |
Series 2015-K48, Class C, 3.77%, 8/25/2048 (b) (f) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (b) (f) | | |
Series 2016-K58, Class B, 3.87%, 9/25/2049 (b) (f) | | |
Series 2017-K728, Class C, 3.76%, 11/25/2050 (b) (f) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class B, 2.12%, 12/15/2037 ‡ (b) (f) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $9,788) | | |
Foreign Government Securities — 0.1% |
Kingdom of Saudi Arabia (Saudi Arabia) 2.25%, 2/2/2033 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Foreign Government Securities — continued |
Republic of Panama (Panama) 3.16%, 1/23/2030 | | |
Republic of Peru (Peru) 2.78%, 12/1/2060 | | |
United Mexican States (Mexico) | | |
| | |
| | |
Total Foreign Government Securities
(Cost $2,302) | | |
| | |
Short Term Investments — 3.6% |
Investment Companies — 3.6% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (h)
(Cost $78,148) | | |
Total Investments — 99.1%
(Cost $2,185,808) | | |
Other Assets Less Liabilities — 0.9% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| 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 June 30, 2022. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 57.7% |
|
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 8.9% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $1,155,531) | | |
Exchange-Traded Funds — 33.3% |
Alternative Assets — 3.0% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 17.7% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $720,350) | | |
| | |
U.S. Treasury Obligations — 1.2% |
| | |
| | |
| | |
| | |
| | |
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|
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| | |
U.S. Treasury STRIPS Bonds
1.14%, 5/15/2027 (c) | | |
Total U.S. Treasury Obligations
(Cost $27,579) | | |
|
Aerospace & Defense — 0.1% |
Boeing Co. (The) 2.70%, 2/1/2027 | | |
| | |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
|
AIB Group plc (Ireland) 4.75%, 10/12/2023 (d) | | |
Banco Santander SA (Spain) 2.75%, 12/3/2030 | | |
| | |
(SOFR + 1.33%), 3.38%, 4/2/2026 | | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (e) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (e) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (e) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (e) | | |
BNP Paribas SA (France) (SOFR + 1.61%), 1.90%, 9/30/2028 (d) (e) | | |
| | |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (e) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (e) | | |
Credit Agricole SA (France) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (d) (e) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (e) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (e) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (e) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.74%, 3/7/2029 | | |
NatWest Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (e) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 1.22%), 2.47%, 1/11/2028 (e) | | |
Societe Generale SA (France) 4.25%, 4/14/2025 (d) | | |
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 1.32%, 10/14/2023 (d) (e) | | |
| | |
| | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (e) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (e) | | |
| | |
|
|
Westpac Banking Corp. (Australia) | | |
| | |
| | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 3.75%, 7/15/2042 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
| | |
|
| | |
| | |
| | |
Amgen, Inc. 3.15%, 2/21/2040 | | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Building Products — 0.0% ^ |
Masco Corp. 2.00%, 10/1/2030 | | |
|
Brookfield Finance, Inc. (Canada) 3.50%, 3/30/2051 | | |
Credit Suisse Group AG (Switzerland) 4.28%, 1/9/2028 (d) | | |
Deutsche Bank AG (Germany) | | |
(SOFR + 1.87%), 2.13%, 11/24/2026 (e) | | |
(SOFR + 1.32%), 2.55%, 1/7/2028 (e) | | |
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.67%, 3/8/2024 | | |
| | |
(SOFR + 0.80%), 1.43%, 3/9/2027 (e) | | |
Macquarie Group Ltd. (Australia) (SOFR + 1.53%), 2.87%, 1/14/2033 (d) (e) | | |
| | |
| | |
| | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (e) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Capital Markets — continued |
| | |
UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (d) (e) | | |
| | |
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
International Flavors & Fragrances, Inc. 3.47%, 12/1/2050 (d) | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
RPM International, Inc. 2.95%, 1/15/2032 | | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
|
AerCap Ireland Capital DAC (Ireland) 4.63%, 10/15/2027 | | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
Capital One Financial Corp. | | |
| | |
(SOFR + 1.27%), 2.62%, 11/2/2032 (e) | | |
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | | |
| | |
Containers & Packaging — 0.0% ^ |
Graphic Packaging International LLC 1.51%, 4/15/2026 (d) | | |
Diversified Consumer Services — 0.0% ^ |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Diversified Financial Services — 0.0% ^ |
Hutchison Whampoa International 14 Ltd. (United Kingdom) 3.63%, 10/31/2024 (d) | | |
Shell International Finance BV (Netherlands) 3.13%, 11/7/2049 | | |
| | |
Diversified Telecommunication Services — 0.0% ^ |
| | |
| | |
| | |
|
Diversified Telecommunication Services — continued |
| | |
| | |
| | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Electric Utilities — 0.1% |
American Electric Power Co., Inc. 2.03%, 3/15/2024 | | |
Duke Energy Progress LLC 2.90%, 8/15/2051 | | |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (d) | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Louisiana LLC 4.00%, 3/15/2033 | | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (d) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (d) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Indiana Michigan Power Co. 3.25%, 5/1/2051 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (d) | | |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (d) | | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (d) | | |
New England Power Co. (United Kingdom) 2.81%, 10/6/2050 (d) | | |
NRG Energy, Inc. 2.45%, 12/2/2027 (d) | | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Southern California Edison Co. | | |
Series 20C, 1.20%, 2/1/2026 | | |
Series C, 4.13%, 3/1/2048 | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (d) | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (d) | | |
|
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
| | |
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.1% |
American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 | | |
American Tower Corp. 1.88%, 10/15/2030 | | |
Brixmor Operating Partnership LP | | |
| | |
| | |
Corporate Office Properties LP 2.75%, 4/15/2031 | | |
Crown Castle International Corp. 3.10%, 11/15/2029 | | |
CubeSmart LP 2.00%, 2/15/2031 | | |
Digital Realty Trust LP 3.70%, 8/15/2027 | | |
| | |
| | |
| | |
Federal Realty OP LP 1.25%, 2/15/2026 | | |
Healthcare Trust of America Holdings LP 2.00%, 3/15/2031 | | |
Healthpeak Properties, Inc. 2.13%, 12/1/2028 | | |
Life Storage LP 2.40%, 10/15/2031 | | |
Office Properties Income Trust | | |
| | |
| | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — continued |
Public Storage 1.95%, 11/9/2028 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Scentre Group Trust 1 (Australia) 3.63%, 1/28/2026 (d) | | |
UDR, Inc. 2.10%, 8/1/2032 | | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.0% ^ |
7-Eleven, Inc. 0.63%, 2/10/2023 (d) | | |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
| | |
| | |
| | |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (d) | | |
| | |
|
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 1.75%, 10/1/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Boston Scientific Corp. 4.55%, 3/1/2039 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
| | |
Health Care Providers & Services — 0.1% |
Banner Health 1.90%, 1/1/2031 | | |
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | | |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
CommonSpirit Health 2.78%, 10/1/2030 | | |
CVS Health Corp. 2.70%, 8/21/2040 | | |
Elevance Health, Inc. 2.25%, 5/15/2030 | | |
| | |
| | |
| | |
| | |
Piedmont Healthcare, Inc. 2.86%, 1/1/2052 | | |
Universal Health Services, Inc. 2.65%, 10/15/2030 (d) | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Household Durables — 0.0% ^ |
MDC Holdings, Inc. 3.97%, 8/6/2061 | | |
Independent Power and Renewable Electricity Producers — 0.0% ^ |
Alexander Funding Trust 1.84%, 11/15/2023 (d) | | |
Constellation Energy Generation LLC | | |
| | |
| | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
|
Athene Global Funding 2.75%, 6/25/2024 (d) | | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
Brown & Brown, Inc. 2.38%, 3/15/2031 | | |
Corebridge Financial, Inc. | | |
| | |
| | |
F&G Global Funding 1.75%, 6/30/2026 (d) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (d) | | |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (d) | | |
Teachers Insurance & Annuity Association of America 3.30%, 5/15/2050 (d) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
Amazon.com, Inc. 3.95%, 4/13/2052 | | |
| | |
|
|
| | |
| | |
| | |
Global Payments, Inc. 3.20%, 8/15/2029 | | |
| | |
|
Otis Worldwide Corp. 3.11%, 2/15/2040 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
Comcast Corp. 3.25%, 11/1/2039 | | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (d) | | |
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (d) | | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
Multiline Retail — 0.0% ^ |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
Berkshire Hathaway Energy Co. 2.85%, 5/15/2051 | | |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
Puget Energy, Inc. 2.38%, 6/15/2028 | | |
San Diego Gas & Electric Co. 2.95%, 8/15/2051 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 0.1% |
BP Capital Markets America, Inc. | | |
| | |
| | |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | | |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
| | |
| | |
Exxon Mobil Corp. 3.00%, 8/16/2039 | | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (d) | | |
| | |
| | |
| | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (d) | | |
Phillips 66 Co. 3.55%, 10/1/2026 (d) | | |
Plains All American Pipeline LP 4.65%, 10/15/2025 | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Targa Resources Corp. 4.20%, 2/1/2033 | | |
TotalEnergies Capital International SA (France) 2.99%, 6/29/2041 | | |
TransCanada PipeLines Ltd. (Canada) 4.10%, 4/15/2030 | | |
| | |
|
Bristol-Myers Squibb Co. 2.35%, 11/13/2040 | | |
Royalty Pharma plc 2.15%, 9/2/2031 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | | |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | | |
Viatris, Inc. 3.85%, 6/22/2040 | | |
| | |
|
Kansas City Southern 4.70%, 5/1/2048 | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (d) | | |
Union Pacific Corp. 3.55%, 8/15/2039 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.0% ^ |
Analog Devices, Inc. 2.80%, 10/1/2041 | | |
Broadcom, Inc. 3.19%, 11/15/2036 (d) | | |
KLA Corp. 3.30%, 3/1/2050 | | |
| | |
|
Semiconductors & Semiconductor Equipment — continued |
Microchip Technology, Inc. 0.98%, 9/1/2024 | | |
| | |
| | |
| | |
QUALCOMM, Inc. 4.50%, 5/20/2052 | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Oracle Corp. 3.80%, 11/15/2037 | | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
| | |
| | |
| | |
Workday, Inc. 3.50%, 4/1/2027 | | |
| | |
Specialty Retail — 0.0% ^ |
| | |
| | |
| | |
Tractor Supply Co. 1.75%, 11/1/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.0% ^ |
| | |
| | |
| | |
Dell International LLC 6.20%, 7/15/2030 | | |
| | |
Thrifts & Mortgage Finance — 0.0% ^ |
BPCE SA (France) (SOFR + 1.52%), 1.65%, 10/6/2026 (d) (e) | | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Corporate Bonds — continued |
Trading Companies & Distributors — 0.0% ^ |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.0% ^ |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (d) | | |
Total Corporate Bonds
(Cost $27,012) | | |
Asset-Backed Securities — 0.8% |
| | |
Series 2021-A, Class A, 1.08%, 4/15/2027 (d) | | |
Series 2021-A, Class B, 1.79%, 4/15/2027 (d) | | |
ACC Trust Series 2021-1, Class B, 1.43%, 7/22/2024 (d) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (d) | | |
Affirm Asset Securitization Trust Series 2021-A, Class A, 0.88%, 8/15/2025 (d) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (d) | | |
American Airlines Pass-Through Trust | | |
Series 2016-2, Class AA, 3.20%, 6/15/2028 | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (d) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (d) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (d) | | |
Series 2021-SFR2, Class E2, 2.58%, 8/17/2038 ‡ (d) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 (d) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (d) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (d) | | |
| | |
|
Series 2022-1A, Class A, 4.46%, 6/15/2037 (d) | | |
CarNow Auto Receivables Trust Series 2021-1A, Class A, 0.97%, 10/15/2024 (d) | | |
CPS Auto Receivables Trust | | |
Series 2021-A, Class B, 0.61%, 2/18/2025 (d) | | |
Series 2021-A, Class C, 0.83%, 9/15/2026 (d) | | |
Series 2021-B, Class C, 1.23%, 3/15/2027 (d) | | |
Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (d) | | |
| | |
Series 2021-A, Class A2, 0.82%, 3/20/2024 (d) | | |
Series 2021-A, Class B, 1.12%, 6/20/2025 ‡ (d) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (d) | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (d) | | |
Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (d) | | |
| | |
Series 2021-2A, Class C, 1.10%, 2/16/2027 (d) | | |
Series 2022-2A, Class D, 5.46%, 3/15/2028 (d) | | |
Elara HGV Timeshare Issuer LLC Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (d) | | |
Exeter Automobile Receivables Trust | | |
Series 2021-1A, Class C, 0.74%, 1/15/2026 | | |
Series 2021-2A, Class C, 0.98%, 6/15/2026 | | |
FHF Trust Series 2021-1A, Class A, 1.27%, 3/15/2027 (d) | | |
| | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (d) | | |
Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 ‡ (d) | | |
Flagship Credit Auto Trust Series 2021-1, Class B, 0.68%, 2/16/2027 (d) | | |
FMC GMSR Issuer Trust Series 2021-GT2, Class A, 3.85%, 10/25/2026 (d) (g) | | |
FREED ABS Trust Series 2021-2, Class B, 1.03%, 6/19/2028 ‡ (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Asset-Backed Securities — continued |
GLS Auto Receivables Issuer Trust Series 2021-2A, Class B, 0.77%, 9/15/2025 (d) | | |
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (d) | | |
Home Partners of America Trust | | |
Series 2021-2, Class C, 2.40%, 12/17/2026 ‡ (d) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (d) | | |
JetBlue Pass-Through Trust Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (d) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class A, 1.00%, 12/15/2028 (d) | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 ‡ (d) | | |
Series 2021-B, Class A, 1.11%, 2/15/2029 (d) | | |
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (d) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (d) | | |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (d) | | |
| | |
Series 2021-1A, Class A, 0.60%, 6/16/2031 (d) | | |
Series 2021-1A, Class B, 1.00%, 6/16/2031 ‡ (d) | | |
Mercury Financial Credit Card Master Trust | | |
Series 2021-1A, Class A, 1.54%, 3/20/2026 (d) | | |
Series 2021-1A, Class B, 2.33%, 3/20/2026 (d) | | |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (d) | | |
MVW LLC Series 2021-2A, Class C, 2.23%, 5/20/2039 ‡ (d) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (d) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (d) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (d) | | |
| | |
|
Octane Receivables Trust Series 2021-1A, Class A, 0.93%, 3/22/2027 (d) | | |
| | |
Series 2021-A, Class A, 1.21%, 3/8/2028 (d) | | |
Series 2021-A, Class B, 1.76%, 3/8/2028 ‡ (d) | | |
Oportun Issuance Trust Series 2021-B, Class A, 1.47%, 5/8/2031 (d) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (d) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (d) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (d) | | |
PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (d) (g) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (d) (f) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (d) (f) | | |
Progress Residential Trust | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (d) | | |
Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (d) | | |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (d) | | |
Republic Finance Issuance Trust Series 2021-A, Class A, 2.30%, 12/22/2031 (d) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (d) | | |
Series 2021-2A, Class B, 1.80%, 9/20/2038 ‡ (d) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (d) | | |
Tricolor Auto Securitization Trust | | |
Series 2021-1A, Class B, 1.00%, 6/17/2024 (d) | | |
Series 2021-1A, Class C, 1.33%, 9/16/2024 (d) | | |
United Airlines Pass-Through Trust | | |
Series 2019-2, Class B, 3.50%, 5/1/2028 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Asset-Backed Securities — continued |
United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (d) | | |
Upstart Securitization Trust Series 2021-1, Class A, 0.87%, 3/20/2031 (d) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (d) | | |
VCAT LLC Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (d) (f) | | |
Veros Auto Receivables Trust Series 2021-1, Class A, 0.92%, 10/15/2026 (d) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (d) (f) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (d) (f) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (d) (f) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (d) (f) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (d) (f) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (d) (f) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (d) (f) | | |
Total Asset-Backed Securities
(Cost $16,340) | | |
Mortgage-Backed Securities — 0.7% |
| | |
Pool # ZL3032 3.50%, 5/1/2042 | | |
Pool # QA6772 3.50%, 1/1/2050 | | |
Pool # RA4224 3.00%, 11/1/2050 | | |
Pool # QB8503 2.50%, 2/1/2051 | | |
Pool # QC4789 3.00%, 7/1/2051 | | |
Pool # QE1637 4.00%, 5/1/2052 | | |
Pool # QE1832 4.50%, 5/1/2052 | | |
| | |
Pool # BO1362 4.00%, 6/1/2049 | | |
Pool # FM3118 3.00%, 5/1/2050 | | |
Pool # BR4318 3.00%, 1/1/2051 | | |
Pool # BQ8009 4.00%, 2/1/2051 | | |
Pool # BQ8010 4.00%, 2/1/2051 | | |
Pool # BU1805 2.50%, 12/1/2051 | | |
Pool # CB2637 2.50%, 1/1/2052 | | |
Pool # BU3079 3.00%, 1/1/2052 | | |
Pool # BV0273 3.00%, 1/1/2052 | | |
Pool # CB2670 3.00%, 1/1/2052 | | |
| | |
|
Pool # BV4831 3.00%, 2/1/2052 | | |
Pool # BV0295 3.50%, 2/1/2052 | | |
Pool # BV6743 4.50%, 5/1/2052 | | |
Pool # BV9515 6.00%, 6/1/2052 | | |
| | |
Pool # AM4660 3.77%, 12/1/2025 | | |
Pool # BL2588 2.97%, 8/1/2026 | | |
Pool # AM3010 5.07%, 3/1/2028 | | |
Pool # AM5319 4.34%, 1/1/2029 | | |
Pool # BS4290 1.95%, 10/1/2029 | | |
Pool # AM4789 4.18%, 11/1/2030 | | |
Pool # BS6024 IO, 3.96%, 2/1/2031 (h) | | |
Pool # BL3774 2.77%, 8/1/2031 | | |
Pool # BL3648 2.85%, 8/1/2031 | | |
Pool # BL3700 2.92%, 8/1/2031 | | |
Pool # BS5580 3.68%, 1/1/2032 | | |
Pool # BS5357 3.41%, 3/1/2033 | | |
Pool # AN9752 3.65%, 7/1/2033 | | |
Pool # BS5511 3.45%, 8/1/2033 | | |
Pool # BS5127 3.15%, 9/1/2033 | | |
Pool # BL7124 1.93%, 6/1/2035 | | |
Pool # BF0230 5.50%, 1/1/2058 | | |
Pool # BF0497 3.00%, 7/1/2060 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 4.50%, 7/25/2052 (h) | | |
| | |
Pool # 783525 4.50%, 12/20/2031 | | |
Pool # 784602 4.00%, 5/20/2038 | | |
Pool # BS8546 2.50%, 12/20/2050 | | |
Pool # 785294 3.50%, 1/20/2051 | | |
Pool # CA8452 3.00%, 2/20/2051 | | |
Pool # CA9005 3.00%, 2/20/2051 | | |
Pool # CB1543 3.00%, 2/20/2051 | | |
Pool # CA3588 3.50%, 2/20/2051 | | |
Pool # CB1536 3.50%, 2/20/2051 | | |
Pool # CB1542 3.00%, 3/20/2051 | | |
Pool # CB4433 3.00%, 3/20/2051 | | |
Pool # CC0070 3.00%, 3/20/2051 | | |
Pool # CC8726 3.00%, 3/20/2051 | | |
Pool # CC8738 3.00%, 3/20/2051 | | |
Pool # CC8723 3.50%, 3/20/2051 | | |
Pool # CC0088 4.00%, 3/20/2051 | | |
Pool # CC0092 4.00%, 3/20/2051 | | |
Pool # CC8727 3.00%, 4/20/2051 | | |
Pool # CC8739 3.00%, 4/20/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # CC8740 3.00%, 4/20/2051 | | |
Pool # CC8751 3.00%, 4/20/2051 | | |
Pool # CE9911 3.00%, 7/20/2051 | | |
Pool # CE9913 3.00%, 7/20/2051 | | |
Pool # CE9914 3.00%, 7/20/2051 | | |
Pool # CE9915 3.00%, 7/20/2051 | | |
Pool # CA3563 3.50%, 7/20/2051 | | |
Pool # CE2586 3.50%, 7/20/2051 | | |
Pool # CK1527 3.50%, 12/20/2051 | | |
Pool # CJ8184 3.50%, 1/20/2052 | | |
Pool # CK2716 3.50%, 2/20/2052 | | |
Pool # CN3557 4.50%, 5/20/2052 | | |
Total Mortgage-Backed Securities
(Cost $16,621) | | |
Collateralized Mortgage Obligations — 0.3% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (d) (f) | | |
Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | | |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (d) | | |
CFMT LLC Series 2021-HB5, Class A, 0.80%, 2/25/2031 (d) (g) | | |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (d) (g) | | |
FNMA Trust, Whole Loan Series 2002-W8, Class A1, 6.50%, 6/25/2042 | | |
FNMA, Grantor Trust, Whole Loan | | |
Series 2001-T12, Class A1, 6.50%, 8/25/2041 | | |
Series 2002-T4, Class A1, 6.50%, 12/25/2041 | | |
| | |
Series 2017-35, Class VA, 4.00%, 7/25/2028 | | |
Series 2018-72, Class VB, 3.50%, 10/25/2031 | | |
Series 2011-41, Class KA, 4.00%, 1/25/2041 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, REMIC Trust, Whole Loan Series 2002-W3, Class A4, 6.50%, 11/25/2041 | | |
| | |
Series 2015-H16, Class FG, 1.24%, 7/20/2065 (g) | | |
Series 2021-H14, Class YD, 8.30%, 6/20/2071 (g) | | |
| | |
|
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (d) (f) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (d) (g) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (d) (g) | | |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (d) (f) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2018-3, Class M55D, 4.00%, 8/25/2057 ‡ (g) | | |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | | |
Series 2018-4, Class M55D, 4.00%, 3/25/2058 | | |
Series 2019-2, Class M55D, 4.00%, 8/25/2058 ‡ | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ | | |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (d) (g) | | |
Total Collateralized Mortgage Obligations
(Cost $5,799) | | |
Commercial Mortgage-Backed Securities — 0.1% |
ACRE Commercial Mortgage Ltd. | | |
Series 2021-FL4, Class A, 2.44%, 12/18/2037 (d) (g) | | |
Series 2021-FL4, Class AS, 2.71%, 12/18/2037 (d) (g) | | |
BPR Trust Series 2021-KEN, Class A, 2.57%, 2/15/2029 (d) (g) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (d) (g) | | |
| | |
Series 2018-M10, Class A1, 3.48%, 7/25/2028 (g) | | |
Series 2019-M21, Class 1A1, 1.95%, 5/25/2029 | | |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2035 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
FNMA, Other 3.08%, 1/1/2029 (h) | | |
| | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (d) (g) | | |
Series 2016-K56, Class B, 4.08%, 6/25/2049 (d) (g) | | |
Series 2016-K58, Class B, 3.87%, 9/25/2049 (d) (g) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (d) | | |
Total Commercial Mortgage-Backed Securities
(Cost $2,885) | | |
Foreign Government Securities — 0.0% ^ |
United Mexican States (Mexico) 2.66%, 5/24/2031(Cost $400) | | |
| | |
Short Term Investments — 4.2% |
Investment Companies — 4.2% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (i)
(Cost $86,236) | | |
Total Investments — 99.4%
(Cost $2,058,753) | | |
Other Assets Less Liabilities — 0.6% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| London Interbank Offered Rate |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| 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. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| The rate shown is the effective yield as of June 30, 2022. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
| 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 June 30, 2022. | |
| 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 June 30, 2022. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The rate shown is the current yield as of June 30, 2022. | |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2040 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 61.7% |
|
JPMorgan Core Bond Fund Class R6 Shares (a) | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 10.1% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $1,069,810) | | |
Exchange-Traded Funds — 35.2% |
Alternative Assets — 3.4% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 20.0% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $666,659) | | |
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Notes
0.13%, 1/31/2023 (b)(Cost $4,939) | | |
| | |
Short Term Investments — 2.1% |
Investment Companies — 2.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c)
(Cost $38,718) | | |
Total Investments — 99.3%
(Cost $1,780,126) | | |
Other Assets Less Liabilities — 0.7% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Real Estate Investment Trust |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
| The rate shown is the current yield as of June 30, 2022. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2045 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 59.7% |
|
JPMorgan Core Bond Fund Class R6 Shares (a) | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 11.0% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $825,561) | | |
Exchange-Traded Funds — 37.0% |
Alternative Assets — 3.6% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 21.8% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $569,942) | | |
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Notes
0.13%, 1/31/2023 (b)(Cost $4,030) | | |
| | |
Short Term Investments — 2.5% |
Investment Companies — 2.5% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c)
(Cost $36,169) | | |
Total Investments — 99.5%
(Cost $1,435,702) | | |
Other Assets Less Liabilities — 0.5% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Real Estate Investment Trust |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
| The rate shown is the current yield as of June 30, 2022. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2050 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 59.6% |
|
JPMorgan Core Bond Fund Class R6 Shares (a) | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 11.1% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $618,047) | | |
Exchange-Traded Funds — 37.2% |
Alternative Assets — 3.7% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 22.1% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $432,412) | | |
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Notes
0.13%, 1/31/2023 (b)(Cost $3,127) | | |
| | |
Short Term Investments — 2.4% |
Investment Companies — 2.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c)
(Cost $26,791) | | |
Total Investments — 99.5%
(Cost $1,080,377) | | |
Other Assets Less Liabilities — 0.5% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Real Estate Investment Trust |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
| The rate shown is the current yield as of June 30, 2022. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2055 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 59.1% |
|
JPMorgan Core Bond Fund Class R6 Shares (a) | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 11.1% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $343,895) | | |
Exchange-Traded Funds — 37.8% |
Alternative Assets — 3.7% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 22.6% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $243,993) | | |
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Notes
0.13%, 1/31/2023 (b)(Cost $1,867) | | |
| | |
Short Term Investments — 2.4% |
Investment Companies — 2.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c)
(Cost $15,007) | | |
Total Investments — 99.6%
(Cost $604,762) | | |
Other Assets Less Liabilities — 0.4% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Real Estate Investment Trust |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
| The rate shown is the current yield as of June 30, 2022. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2060 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2022
| | |
Investment Companies — 57.2% |
|
JPMorgan Core Bond Fund Class R6 Shares (a) | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | |
| | |
International Equity — 10.7% |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | |
|
JPMorgan Equity Index Fund Class R6 Shares (a) | | |
Total Investment Companies
(Cost $139,423) | | |
Exchange-Traded Funds — 38.0% |
Alternative Assets — 3.6% |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | |
|
JPMorgan High Yield Research Enhanced ETF (a) | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | |
| | |
International Equity — 22.8% |
JPMorgan BetaBuilders International Equity ETF (a) | | |
|
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | |
| | |
Total Exchange-Traded Funds
(Cost $98,238) | | |
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Notes
0.13%, 1/31/2023 (b)(Cost $791) | | |
| | |
Short Term Investments — 5.0% |
Investment Companies — 5.0% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c)
(Cost $11,956) | | |
Total Investments — 100.5%
(Cost $250,408) | | |
Liabilities in Excess of Other Assets — (0.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Real Estate Investment Trust |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
| The rate shown is the current yield as of June 30, 2022. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2022 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| | | | | |
| | | | | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022
(Amounts in thousands, except per share amounts)
| JPMorgan
SmartRetirement®
Blend Income Fund | JPMorgan
SmartRetirement®
Blend 2015 Fund
(formerly known as
JPMorgan SmartSpending
2015 Fund) | |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
| | | |
| | | |
Investment securities sold | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
Variation margin on futures contracts | | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
| | | |
| | | |
| | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend Income Fund | JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 Fund) | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Class I — Offering and redemption price per share | | | |
Class R2 — Offering and redemption price per share | | | |
Class R3 — Offering and redemption price per share | | | |
Class R4 — Offering and redemption price per share | | | |
Class R5 — Offering and redemption price per share | | | |
Class R6 — Offering and redemption price per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan
SmartRetirement®
Blend 2025 Fund | JPMorgan
SmartRetirement®
Blend 2030 Fund | |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
| | | |
| | | |
Investment securities sold | | | |
Investment securities sold — delayed delivery securities | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
| | | |
Variation margin on futures contracts | | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
| | | |
| | | |
| | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2025 Fund | JPMorgan SmartRetirement® Blend 2030 Fund | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Class I — Offering and redemption price per share | | | |
Class R2 — Offering and redemption price per share | | | |
Class R3 — Offering and redemption price per share | | | |
Class R4 — Offering and redemption price per share | | | |
Class R5 — Offering and redemption price per share | | | |
Class R6 — Offering and redemption price per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF June 30, 2022 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan
SmartRetirement®
Blend 2040 Fund | JPMorgan
SmartRetirement®
Blend 2045 Fund | JPMorgan
SmartRetirement®
Blend 2050 Fund | JPMorgan
SmartRetirement®
Blend 2055 Fund | |
| | | | | |
Investments in non-affiliates, at value | | | | | |
Investments in affiliates, at value | | | | | |
| | | | | |
| | | | | |
Investment securities sold | | | | | |
| | | | | |
Interest from non-affiliates | | | | | |
Dividends from affiliates | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Investment securities purchased | | | | | |
| | | | | |
Variation margin on futures contracts | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Custodian and accounting fees | | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | | |
| | | | | |
| | | | | |
| | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2040 Fund | JPMorgan SmartRetirement® Blend 2045 Fund | JPMorgan SmartRetirement® Blend 2050 Fund | JPMorgan SmartRetirement® Blend 2055 Fund | |
| | | | | |
| | | | | |
Total distributable earnings (loss) | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Class I — Offering and redemption price per share | | | | | |
Class R2 — Offering and redemption price per share | | | | | |
Class R3 — Offering and redemption price per share | | | | | |
Class R4 — Offering and redemption price per share | | | | | |
Class R5 — Offering and redemption price per share | | | | | |
Class R6 — Offering and redemption price per share | | | | | |
Cost of investments in non-affiliates | | | | | |
Cost of investments in affiliates | | | | | |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022
(Amounts in thousands)
| JPMorgan
SmartRetirement®
Blend Income Fund | JPMorgan
SmartRetirement®
Blend 2015 Fund
(formerly known as
JPMorgan SmartSpending
2015 Fund) | |
| | | |
Interest income from non-affiliates | | | |
Dividend income from non-affiliates | | | |
Dividend income from affiliates | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Interest expense to affiliates | | | |
| | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
Printing and mailing costs | | | |
Registration and filing fees | | | |
Transfer agency fees (See Note 2.I) | | | |
| | | |
| | | |
| | | |
Less expense reimbursements | | | |
| | | |
Net investment income (loss) | | | |
(a)
Liquidated on October 14, 2021 for JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 fund)
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend Income Fund | JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 Fund) | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency transactions | | | |
| | | |
Distribution of capital gains received from investment company affiliates | | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022 (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement®
Blend 2025 Fund | JPMorgan
SmartRetirement®
Blend 2030 Fund | |
| | | |
Interest income from non-affiliates | | | |
Dividend income from non-affiliates | | | |
Dividend income from affiliates | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Interest expense to affiliates | | | |
| | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
Printing and mailing costs | | | |
Registration and filing fees | | | |
Transfer agency fees (See Note 2.I) | | | |
| | | |
| | | |
| | | |
Less expense reimbursements | | | |
| | | |
Net investment income (loss) | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2025 Fund | JPMorgan SmartRetirement® Blend 2030 Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency transactions | | | |
| | | |
Distribution of capital gains received from investment company affiliates | | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED June 30, 2022 (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement®
Blend 2040 Fund | JPMorgan
SmartRetirement®
Blend 2045 Fund | JPMorgan
SmartRetirement®
Blend 2050 Fund | JPMorgan
SmartRetirement®
Blend 2055 Fund | |
| | | | | |
Interest income from non-affiliates | | | | | |
Dividend income from non-affiliates | | | | | |
Dividend income from affiliates | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Custodian and accounting fees | | | | | |
Interest expense to affiliates | | | | | |
| | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | | |
Printing and mailing costs | | | | | |
Registration and filing fees | | | | | |
Transfer agency fees (See Note 2.I) | | | | | |
| | | | | |
| | | | | |
| | | | | |
Less expense reimbursements | | | | | |
| | | | | |
Net investment income (loss) | | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2040 Fund | JPMorgan SmartRetirement® Blend 2045 Fund | JPMorgan SmartRetirement® Blend 2050 Fund | JPMorgan SmartRetirement® Blend 2055 Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | |
Net realized gain (loss) on transactions from: | | | | | |
Investments in non-affiliates | | | | | |
Investments in affiliates | | | | | |
| | | | | |
Foreign currency transactions | | | | | |
| | | | | |
Distribution of capital gains received from investment company affiliates | | | | | |
Change in net unrealized appreciation/ depreciation on: | | | | | |
Investments in non-affiliates | | | | | |
Investments in affiliates | | | | | |
| | | | | |
Foreign currency translations | | | | | |
Change in net unrealized appreciation/ depreciation | | | | | |
Net realized/unrealized gains (losses) | | | | | |
Change in net assets resulting from operations | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend Income Fund | JPMorgan
SmartRetirement®
Blend 2015 Fund
(formerly known as
JPMorgan SmartSpending
2015 Fund) |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company non-affiliates | | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
(b)
Liquidated on October 14, 2021 for JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 fund)
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan
SmartRetirement® Blend 2020 Fund | JPMorgan
SmartRetirement® Blend 2025 Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company non-affiliates | | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2030 Fund | JPMorgan
SmartRetirement® Blend 2035 Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company non-affiliates | | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan
SmartRetirement® Blend 2040 Fund | JPMorgan
SmartRetirement® Blend 2045 Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2050 Fund | JPMorgan
SmartRetirement® Blend 2055 Fund |
| | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan
SmartRetirement® Blend 2060 Fund |
| | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Distributions of capital gains received from investment company non-affiliates | | |
Distributions of capital gains received from investment company affiliates | | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
| | |
| | |
| | |
| | |
| | |
| | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend Income Fund | JPMorgan
SmartRetirement®
Blend 2015 Fund
(formerly known as
JPMorgan SmartSpending
2015 Fund) |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
(a)
Liquidated on October 14, 2021 for JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 fund)
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend Income Fund | JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 Fund) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Liquidated on October 14, 2021 for JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 fund)
(b)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2020 Fund | JPMorgan
SmartRetirement® Blend 2025 Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2020 Fund | JPMorgan SmartRetirement® Blend 2025 Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2030 Fund | JPMorgan
SmartRetirement® Blend 2035 Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2030 Fund | JPMorgan SmartRetirement® Blend 2035 Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2040 Fund | JPMorgan
SmartRetirement® Blend 2045 Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2040 Fund | JPMorgan SmartRetirement® Blend 2045 Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2050 Fund | JPMorgan
SmartRetirement® Blend 2055 Fund |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2050 Fund | JPMorgan SmartRetirement® Blend 2055 Fund |
| | | | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan
SmartRetirement® Blend 2060 Fund |
| | |
| | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class I capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R2 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R3 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R4 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R5 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R6 capital transactions | | |
Total change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
| | |
| | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| JPMorgan SmartRetirement® Blend 2060 Fund |
| | |
SHARE TRANSACTIONS: (continued) | | |
| | |
| | |
| | |
| | |
Change in Class R2 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R3 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R4 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R5 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R6 Shares | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend Income Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund) | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Calculated based upon average shares outstanding. |
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(b) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
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|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b)(c) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | | | | |
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| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Calculated based upon average number of units outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(f) | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
| | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(a)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | | | | |
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| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
| |
| | | Ratios to average net assets |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss)(a) | Expenses without
waivers and reimbursements(e) | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 11 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| | Diversification Classification |
JPMorgan SmartRetirement® Blend Income Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2015 Fund
(formerly known as
JPMorgan SmartSpendingSM 2015 Fund)(1) | Class A(2), Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2020 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2025 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2030 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2035 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2040 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2045 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2050 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2055 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan SmartRetirement® Blend 2060 Fund | Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
|
| Effective March 18, 2022, JPMorgan SmartSpendingSM 2015 Fund changed its name to JPMorgan SmartRetirement® Blend 2015 Fund. |
| Liquidated on October 14, 2021. |
JPMorgan SmartRetirement® Blend Income Fund seeks current income and some capital appreciation and the JPMorgan SmartRetirement® Blend 2015 Fund seeks to provide total return consisting of current income and some capital appreciation. The remaining JPMorgan SmartRetirement® Blend Funds each seek high total return with a shift to current income and some capital appreciation over time as each Fund approaches and passes its respective target retirement date.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' 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.
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 Funds' investments. The Administrator implements the valuation policies of the Funds' investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds' 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
| JPMorgan SmartRetirement® Blend Funds | |
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.
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 Funds are calculated on a valuation date.
Investments in open-end investment companies, excluding exchange-traded funds ("ETFs") (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
See the tables 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 JPMorgan SmartRetirement Blend Income Fund, JPMorgan SmartRetirement Blend 2015 Fund, JPMorgan SmartRetirement Blend 2020 Fund, JPMorgan SmartRetirement Blend 2025 Fund and JPMorgan SmartRetirement Blend 2030 Fund at June 30, 2022.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
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 Funds' 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 tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
JPMorgan SmartRetirement® Blend Income Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend Income Fund (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Amount rounds to less than one thousand. |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2030 Fund (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
There were no significant transfers into or out of level 3 for the year ended June 30, 2022.
JPMorgan SmartRetirement® Blend 2040 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2040 Fund (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2050 Fund (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund | Balance as of
June 30,
2021 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
June 30,
2022 |
Investments in securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations |
| Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(843).
Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the year ended June 30, 2022.
JPMorgan SmartRetirement® Blend 2015 Fund | Balance as of
June 30,
2021 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
June 30,
2022 |
Investments in securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(9).
There were no significant transfers into or out of level 3 for the year ended June 30, 2022.
JPMorgan SmartRetirement® Blend 2020 Fund | Balance as of
June 30,
2021 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
June 30,
2022 |
Investments in securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations |
| Amount rounds to less than one thousand. |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(1,784).
Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the year ended June 30, 2022.
JPMorgan SmartRetirement® Blend 2025 Fund | Balance as of
June 30,
2021 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
June 30,
2022 |
Investments in securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations |
| Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(2,530).
Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the year ended June 30, 2022.
JPMorgan SmartRetirement® Blend 2030 Fund | Balance as of
June 30,
2021 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
June 30,
2022 |
Investments in securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations |
| Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(2,375).
There were no significant transfers into or out of level 3 for the year ended June 30, 2022.
The significant unobservable inputs used in the fair value measurement of the Funds' 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
| JPMorgan SmartRetirement® Blend Funds | |
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.
JPMorgan
SmartRetirement®
Blend Income
Fund
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at
June 30, 2022 | | | Range (Weighted
Average) (a) |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30 2022, the value of these investments was $356. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
JPMorgan
SmartRetirement®
Blend 2015
Fund
Quantitative Information about Level 3 Fair Value Measurements
| Fair Value at
June 30, 2022 | | | Range (Weighted
Average)(a) |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| Fair Value at June 30, 2022 | | | Range (Weighted Average)(a) |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
JPMorgan
SmartRetirement®
Blend 2020
Fund
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at
June 30, 2022 | | | Range (Weighted
Average)(a) |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30, 2022, the value of these investments was $632. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan
SmartRetirement®
Blend 2025
Fund
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at
June 30, 2022 | | | Range (Weighted
Average)(a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30, 2022, the value of these investments was $1,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
JPMorgan
SmartRetirement®
Blend 2030
Fund
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at
June 30, 2022 | | | Range (Weighted
Average)(a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| Fair Value at June 30, 2022 | | | Range (Weighted Average)(a) |
| | | | |
| | | Yield (Discount Rate
of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30, 2022, the value of these investments was $ 952. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of June 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — JPMorgan SmartRetirement® Blend Income Fund, JPMorgan SmartRetirement® Blend 2015 Fund, JPMorgan SmartRetirement® Blend 2020 Fund, JPMorgan SmartRetirement® Blend 2025 Fund, JPMorgan SmartRetirement® Blend 2030 Fund and JPMorgan SmartRetirement® Blend 2035 Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
JPMorgan SmartRetirement® Blend Income Fund, JPMorgan SmartRetirement® Blend 2015 Fund, JPMorgan SmartRetirement® Blend 2020 Fund, JPMorgan SmartRetirement® Blend 2025 Fund, JPMorgan SmartRetirement® Blend 2030 Fund and JPMorgan SmartRetirement® Blend 2035 Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of June 30, 2022, which are shown as a Receivable for Investments securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at June 30, 2022 are detailed on the SOIs.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds and ETFs, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ and ETFs' distributions may be reinvested into such Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend Income Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond ETF (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| Amount rounds to less than one thousand. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2015 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2015 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond ETF (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2020 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2020 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond ETF (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2025 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2025 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond ETF (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2030 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2030 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond ETF (a) | | | | | | | | | |
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2035 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2035 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2040 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2040 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF (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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2045 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
JPMorgan SmartRetirement® Blend 2045 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| Amount rounds to less than one thousand. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2050 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
JPMorgan SmartRetirement® Blend 2050 Fund (continued) |
For the year ended June 30, 2022 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2055 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| Amount rounds to less than one thousand. |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| The rate shown is the current yield as of June 30, 2022. |
JPMorgan SmartRetirement® Blend 2060 Fund |
For the year ended June 30, 2022 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan ActiveBuilders Emerging Markets Equity ETF | | | | | | | | | |
JPMorgan BetaBuilders International Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a) | | | | | | | | | |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF (a) | | | | | | | | | |
JPMorgan Core Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Equity Index Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan High Yield Research Enhanced ETF (a) | | | | | | | | | |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Managed Income Fund Class L Shares (a) | | | | | | | | | |
JPMorgan U.S. Aggregate Bond ETF (a) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (c) | | | | | | | | | |
JPMorgan U.S. Value Factor ETF | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| Amount rounds to less than one thousand. |
| The rate shown is the current yield as of June 30, 2022. |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
| JPMorgan SmartRetirement® Blend Funds | |
F. Futures Contracts— The Funds used index and treasury futures contracts to manage and hedge interest rate and equity price risks associated with portfolio investments. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price and interest rate risks. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Funds' futures contracts activity during the year ended June 30, 2022:
| JPMorgan
SmartRetirement®
Blend Income
Fund | JPMorgan
SmartRetirement®
Blend 2015
Fund | JPMorgan
SmartRetirement®
Blend 2020
Fund | JPMorgan
SmartRetirement®
Blend 2025
Fund |
| | | | |
Average Notional Balance Long | | | | |
Average Notional Balance Short | | | | |
Ending Notional Balance Long | | | | |
Ending Notional Balance Short | | | | |
| JPMorgan
SmartRetirement®
Blend 2030
Fund | JPMorgan
SmartRetirement®
Blend 2035
Fund | JPMorgan
SmartRetirement®
Blend 2040
Fund | JPMorgan
SmartRetirement®
Blend 2045
Fund |
| | | | |
Average Notional Balance Long | | | | |
Average Notional Balance Short | | | | |
Ending Notional Balance Long | | | | |
Ending Notional Balance Short | | | | |
| JPMorgan
SmartRetirement®
Blend 2050
Fund | JPMorgan
SmartRetirement®
Blend 2055
Fund | JPMorgan
SmartRetirement®
Blend 2060
Fund |
| | | |
Average Notional Balance Long | | | |
Average Notional Balance Short | | | |
Ending Notional Balance Long | | | |
Ending Notional Balance Short | | | |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
G. Summary of Derivatives Information — The following tables present the value of derivatives held as of June 30, 2022, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| JPMorgan
SmartRetirement®
Blend Income
Fund | JPMorgan
SmartRetirement®
Blend 2015
Fund | JPMorgan
SmartRetirement®
Blend 2020
Fund | JPMorgan
SmartRetirement®
Blend 2025
Fund | JPMorgan
SmartRetirement®
Blend 2030
Fund |
| | | | | |
Unrealized Appreciation on Futures Contracts * | | | | | |
Unrealized Depreciation on Futures Contracts * | | | | | |
Net Fair Value of Derivative Contracts: | | | | | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | | | | | |
| JPMorgan
SmartRetirement®
Blend 2035
Fund | JPMorgan
SmartRetirement®
Blend 2040
Fund | JPMorgan
SmartRetirement®
Blend 2045
Fund | JPMorgan
SmartRetirement®
Blend 2050
Fund | JPMorgan
SmartRetirement®
Blend 2055
Fund |
| | | | | |
Unrealized Appreciation on Futures Contracts * | | | | | |
Unrealized Depreciation on Futures Contracts * | | | | | |
Net Fair Value of Derivative Contracts: | | | | | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | | | | | |
| JPMorgan
SmartRetirement®
Blend 2060
Fund |
| |
Unrealized Appreciation on Futures Contracts * | |
Unrealized Depreciation on Futures Contracts * | |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | |
|
| Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| Amount rounds to less than one thousand. |
| JPMorgan SmartRetirement® Blend Funds | |
The following tables present the effect of derivatives on the Statements of Operations for the year ended June 30, 2022, by primary underlying risk exposure:
| JPMorgan
SmartRetirement®
Blend Income
Fund | JPMorgan
SmartRetirement®
Blend 2015
Fund | JPMorgan
SmartRetirement®
Blend 2020
Fund | JPMorgan
SmartRetirement®
Blend 2025
Fund | JPMorgan
SmartRetirement®
Blend 2030
Fund |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | | | | | |
| | | | | |
| | | | | |
Interest Rate Risk Exposure: | | | | | |
| | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | |
| | | | | |
| | | | | |
Interest Rate Risk Exposure: | | | | | |
| | | | | |
| JPMorgan
SmartRetirement®
Blend 2035
Fund | JPMorgan
SmartRetirement®
Blend 2040
Fund | JPMorgan
SmartRetirement®
Blend 2045
Fund | JPMorgan
SmartRetirement®
Blend 2050
Fund | JPMorgan
SmartRetirement®
Blend 2055
Fund |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | | | | | |
| | | | | |
| | | | | |
Interest Rate Risk Exposure: | | | | | |
| | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | |
| | | | | |
| | | | | |
Interest Rate Risk Exposure: | | | | | |
| | | | | |
| JPMorgan
SmartRetirement®
Blend 2060
Fund |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
| |
| |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
| JPMorgan SmartRetirement® Blend 2060 Fund |
Interest Rate Risk Exposure: | |
| |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
| |
| |
Interest Rate Risk Exposure: | |
| |
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds and ETFs, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
I. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2022 are as follows:
| | | | | | | | |
JPMorgan SmartRetirement® Blend Income Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | | | | | |
| | | | | | | | |
| JPMorgan SmartRetirement® Blend Funds | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | | | | | |
| | | | | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | | | | | |
| | | | | | | | |
|
| Amount rounds to less than one thousand. |
The Funds invested in Underlying Funds and ETFs and, as a result, bear a portion of the expenses incurred by these Underlying Funds and ETFs. These expenses are not reflected in the expenses shown on the Statements of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of affiliated Underlying Funds and ETFs are waived as described in Note 3.F.
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of June 30, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
K. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. Prior to January 1, 2022, distributions from net investment income, if any, were generally declared and paid at least quarterly and were declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
JPMorgan SmartRetirement® Blend Income Fund | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | |
The reclassifications for the Funds relate primarily to tax reclassifications on certain investments and foreign currency gains or losses.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.15% of each Fund’s respective average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the year ended June 30, 2022, the effective rate was 0.075% of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
D. Service Fees — The Trust, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements— The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses incurred by the Funds and any Underlying Fund and ETFs and acquired fund fees incurred by an Underlying Fund and ETFs) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
The expense limitation agreements were in effect for the year ended June 30, 2022 and are in place until at least March 31, 2023.
The Underlying Funds and ETFs may impose separate advisory and service fees. To avoid charging a service fee at an effective rate above 0.25% for Class I, Class R2, Class R3 and Class R4 Shares and above 0.10% for Class R5 Shares, JPMDS will waive service fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of service fees charged by the affiliated Underlying Funds and ETFs. These waivers may be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ service fees.
| JPMorgan SmartRetirement® Blend Funds | |
For the year ended June 30, 2022, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | |
| | | | | Contractual
Reimbursements |
JPMorgan SmartRetirement® Blend Income Fund | | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | | |
|
| Amount rounds to less than one thousand. |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through June 30, 2022 the amount of these waivers were as follows:
| |
JPMorgan SmartRetirement® Blend Income Fund | |
JPMorgan SmartRetirement® Blend 2015 Fund | |
JPMorgan SmartRetirement® Blend 2020 Fund | |
JPMorgan SmartRetirement® Blend 2025 Fund | |
JPMorgan SmartRetirement® Blend 2030 Fund | |
JPMorgan SmartRetirement® Blend 2035 Fund | |
JPMorgan SmartRetirement® Blend 2040 Fund | |
JPMorgan SmartRetirement® Blend 2045 Fund | |
JPMorgan SmartRetirement® Blend 2050 Fund | |
JPMorgan SmartRetirement® Blend 2055 Fund | |
JPMorgan SmartRetirement® Blend 2060 Fund | |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2022, JPMorgan SmartRetirement® Blend Income Fund, JPMorgan SmartRetirement® Blend 2015 Fund, JPMorgan SmartRetirement® Blend 2020 Fund, JPMorgan SmartRetirement® Blend 2025 Fund, JPMorgan SmartRetirement® Blend 2030 Fund and JPMorgan SmartRetirement® Blend 2035 Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
4. Investment Transactions
During the year ended June 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
JPMorgan SmartRetirement® Blend Income Fund | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2022 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
JPMorgan SmartRetirement® Blend Income Fund | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain derivatives and wash sale loss deferrals.
| JPMorgan SmartRetirement® Blend Funds | |
The tax character of distributions paid during the year ended June 30, 2022 was as follows:
| | Net
Long-Term
Capital Gains | |
JPMorgan SmartRetirement® Blend Income Fund | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
| | Net
Long-Term
Capital Gains | |
JPMorgan SmartRetirement® Blend Income Fund | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
As of June 30, 2022, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Unrealized
Appreciation
(Depreciation) |
JPMorgan SmartRetirement® Blend Income Fund | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | |
The cumulative timing differences primarily consist of tax adjustments on certain derivatives, post-October capital loss deferrals, specified ordinary loss deferrals, straddle loss deferrals and wash sale loss deferrals.
As of June 30, 2022, the Funds did not have any net capital loss carryforwards.
Net capital losses (gains) and specified ordinary losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended June 30, 2022, the following Funds deferred to July 1, 2022 the following net capital losses (gains) and specified ordinary losses of:
| Net Capital Losses (Gains) | |
| | |
JPMorgan SmartRetirement® Blend Income Fund | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended June 30, 2022.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken
| JPMorgan SmartRetirement® Blend Funds | |
primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Funds' borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2022.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month London Interbank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 9, 2022, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a change in the interest associated with any borrowing to the higher, on the day of the borrowing, of (a) the federal funds effective rate, or (b) the one-month Adjusted SOFR Rate plus the Applicable Margin.
The Funds did not utilize the Credit Facility during the year ended June 30, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of June 30, 2022, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund's outstanding shares as follows:
| Number of
Individual Shareholder
and/or Affiliated
Omnibus Accounts | | Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts | |
JPMorgan SmartRetirement® Blend Income Fund | | | | |
JPMorgan SmartRetirement® Blend 2015 Fund | | | | |
JPMorgan SmartRetirement® Blend 2020 Fund | | | | |
JPMorgan SmartRetirement® Blend 2025 Fund | | | | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | |
JPMorgan SmartRetirement® Blend 2035 Fund | | | | |
JPMorgan SmartRetirement® Blend 2040 Fund | | | | |
JPMorgan SmartRetirement® Blend 2045 Fund | | | | |
JPMorgan SmartRetirement® Blend 2050 Fund | | | | |
JPMorgan SmartRetirement® Blend 2055 Fund | | | | |
JPMorgan SmartRetirement® Blend 2060 Fund | | | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
| JPMorgan SmartRetirement® Blend Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2022 (continued)
(Dollar values in thousands)
As of June 30, 2022, the Funds owned in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds and ETFs:
| |
JPMorgan BetaBuilders U.S. Small Cap Equity ETF | |
JPMorgan BetaBuilders International Equity ETF | |
JPMorgan Equity Index Fund | |
JPMorgan U.S. Aggregate Bond ETF | |
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF | |
JPMorgan Emerging Markets Research Enhanced Equity Fund | |
JPMorgan BetaBuilders MSCI US REIT ETF | |
JPMorgan Inflation Managed Bond ETF | |
JPMorgan Emerging Markets Debt Fund | |
JPMorgan High Yield Research Enhanced ETF | |
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
Because of the Funds’ investments in Underlying Funds and ETFs, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds and ETFs. As a result, the cost of investing in the Funds may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Funds are also subject to certain risks related to the Underlying Funds’ and ETFs’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
The Funds invest in ETFs. ETFs are pooled investment vehicles whose ownership interests are purchased and sold on a securities exchange. ETFs may be structured as investment companies, depositary receipts or other pooled investment vehicles and may be passively or actively managed. Passively managed ETFs generally seek to track the performance of a particular market index, including broad-based market indices, as well as indices relating to particular sectors, markets, regions or industries. Actively managed ETFs do not seek to track the performance of a particular market index. The price movement of an index-based ETF may not track the underlying index and may result in a loss. In addition, ETFs may trade at a price below or above their NAV (also known as a discount or premium, respectively).
In addition, the Underlying Funds and ETFs may use derivative instruments in connection with their individual investment strategies including futures contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds and ETFs are disclosed within their individual financial statements and registration statements, as appropriate.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and
| JPMorgan SmartRetirement® Blend Funds | |
result in costs incurred in connection with changing reference rates used for positions closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
8. Subsequent Event
Subsequent to June 30, 2022, JPMorgan SmartRetirement® Blend 2015 Fund had net redemptions of $6,129, which represented 23% of the Fund's net assets as of June 30, 2022.
| JPMorgan SmartRetirement® Blend Funds | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and Shareholders of JPMorgan SmartRetirement Blend Income Fund, JPMorgan SmartRetirement Blend 2015 Fund, JPMorgan SmartRetirement Blend 2020 Fund, JPMorgan SmartRetirement Blend 2025 Fund, JPMorgan SmartRetirement Blend 2030 Fund, JPMorgan SmartRetirement Blend 2035 Fund, JPMorgan SmartRetirement Blend 2040 Fund, JPMorgan SmartRetirement Blend 2045 Fund, JPMorgan SmartRetirement Blend 2050 Fund, JPMorgan SmartRetirement Blend 2055 Fund and JPMorgan SmartRetirement Blend 2060 Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan SmartRetirement Blend Income Fund, JPMorgan SmartRetirement Blend 2015 Fund (formerly known as JPMorgan SmartSpending 2015 Fund), JPMorgan SmartRetirement Blend 2020 Fund, JPMorgan SmartRetirement Blend 2025 Fund, JPMorgan SmartRetirement Blend 2030 Fund, JPMorgan SmartRetirement Blend 2035 Fund, JPMorgan SmartRetirement Blend 2040 Fund, JPMorgan SmartRetirement Blend 2045 Fund, JPMorgan SmartRetirement Blend 2050 Fund, JPMorgan SmartRetirement Blend 2055 Fund and JPMorgan SmartRetirement Blend 2060 Fund (eleven of the funds constituting JPMorgan Trust I, hereafter collectively referred to as the "Funds") as of June 30, 2022, the related statements of operations for the year ended June 30, 2022, the statements of changes in net assets for each of the two years in the period ended June 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended June 30, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2022 and each of the financial highlights for each of the five years in the period ended June 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
August 29, 2022
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| JPMorgan SmartRetirement® Blend Funds | |
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present) |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered brokerdealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America U.S. Holdings (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
| JPMorgan SmartRetirement® Blend Funds | |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
| JPMorgan SmartRetirement® Blend Funds | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of the Global ETF Business for JPMorgan Asset Management (2013-2017); Head of the Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee(2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the Mutual Fund Board, the ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | | |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (167 J.P. Morgan Funds). | | |
| JPMorgan SmartRetirement® Blend Funds | |
TRUSTEES
(Unaudited) (continued)
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | | |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | | |
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | | |
| JPMorgan SmartRetirement® Blend Funds | |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2019) (formerly Assistant
Secretary 2010-2019)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 to June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)*** | Vice President and Assistant General Counsel, JPMorgan Chase since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. |
Max Vogel (1990),
Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021; Associate, Stroock & Stroock & Lavan LLP (law firm) from October 2015 to March 2017. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963),
Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
| JPMorgan SmartRetirement® Blend Funds | |
OFFICERS
(Unaudited) (continued)
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| JPMorgan SmartRetirement® Blend Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2022, and continued to hold your shares at the end of the reporting period, June 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning
Account Value
January 1, 2022 | Ending
Account Value
June 30, 2022 | Expenses
Paid During
the Period* | |
JPMorgan SmartRetirement® Blend Income Fund | | | | |
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JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund) | | | | |
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| JPMorgan SmartRetirement® Blend Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan SmartRetirement® Blend 2015 Fund (formerly known as JPMorgan SmartSpendingSM 2015 Fund) (continued) | | | | |
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JPMorgan SmartRetirement® Blend 2020 Fund | | | | |
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JPMorgan SmartRetirement® Blend 2025 Fund | | | | |
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| JPMorgan SmartRetirement® Blend Funds | |
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan SmartRetirement® Blend 2030 Fund | | | | |
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JPMorgan SmartRetirement® Blend 2035 Fund | | | | |
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JPMorgan SmartRetirement® Blend 2040 Fund | | | | |
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| JPMorgan SmartRetirement® Blend Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan SmartRetirement® Blend 2040 Fund (continued) | | | | |
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JPMorgan SmartRetirement® Blend 2045 Fund | | | | |
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JPMorgan SmartRetirement® Blend 2050 Fund | | | | |
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JPMorgan SmartRetirement® Blend 2055 Fund | | | | |
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| JPMorgan SmartRetirement® Blend Funds | |
| Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | |
JPMorgan SmartRetirement® Blend 2055 Fund (continued) | | | | |
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JPMorgan SmartRetirement® Blend 2060 Fund | | | | |
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| Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| JPMorgan SmartRetirement® Blend Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| JPMorgan SmartRetirement® Blend Funds | |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2022. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2022. The information necessary to complete your income tax returns for the calendar year ending December 31, 2022 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2022:
| Dividends
Received
Deduction |
JPMorgan SmartRetirement® Blend Income Fund | |
JPMorgan SmartRetirement® Blend 2020 Fund | |
JPMorgan SmartRetirement® Blend 2025 Fund | |
JPMorgan SmartRetirement® Blend 2030 Fund | |
JPMorgan SmartRetirement® Blend 2035 Fund | |
JPMorgan SmartRetirement® Blend 2040 Fund | |
JPMorgan SmartRetirement® Blend 2045 Fund | |
JPMorgan SmartRetirement® Blend 2050 Fund | |
JPMorgan SmartRetirement® Blend 2055 Fund | |
JPMorgan SmartRetirement® Blend 2060 Fund | |
Long Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2022:
| Long-Term
Capital Gain
Distribution |
JPMorgan SmartRetirement® Blend Income Fund | |
JPMorgan SmartRetirement® Blend 2015 Fund | |
JPMorgan SmartRetirement® Blend 2020 Fund | |
JPMorgan SmartRetirement® Blend 2025 Fund | |
JPMorgan SmartRetirement® Blend 2030 Fund | |
JPMorgan SmartRetirement® Blend 2035 Fund | |
JPMorgan SmartRetirement® Blend 2040 Fund | |
JPMorgan SmartRetirement® Blend 2045 Fund | |
JPMorgan SmartRetirement® Blend 2050 Fund | |
| Long-Term Capital Gain Distribution |
JPMorgan SmartRetirement® Blend 2055 Fund | |
JPMorgan SmartRetirement® Blend 2060 Fund | |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2022:
| |
JPMorgan SmartRetirement® Blend Income Fund | |
JPMorgan SmartRetirement® Blend 2015 Fund | |
JPMorgan SmartRetirement® Blend 2020 Fund | |
JPMorgan SmartRetirement® Blend 2025 Fund | |
JPMorgan SmartRetirement® Blend 2030 Fund | |
JPMorgan SmartRetirement® Blend 2035 Fund | |
JPMorgan SmartRetirement® Blend 2040 Fund | |
JPMorgan SmartRetirement® Blend 2045 Fund | |
JPMorgan SmartRetirement® Blend 2050 Fund | |
JPMorgan SmartRetirement® Blend 2055 Fund | |
JPMorgan SmartRetirement® Blend 2060 Fund | |
| JPMorgan SmartRetirement® Blend Funds | |
Rev. January 2011
| WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
| ◾Social Security number and account balances |
| ◾transaction history and account transactions |
| ◾checking account information and wire transfer instructions |
| When you are no longer our customer, we continue to share your information as described in this notice. |
| All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan
Funds share? | Can you limit this
sharing? |
For our everyday business purposes —
such as to process your transactions, maintain your account(s),respond to court orders and legal investigations, or report to credit bureaus | | |
For marketing purposes —
to offer our products and services to you | | |
For joint marketing with other financial companies | | |
For our affiliates’ everyday business purposes —
information about your transactions and experiences | | |
For our affiliates’ everyday business purposes —
information about your creditworthiness | | |
For nonaffiliates to market to you | | |
| Call 1-800-480-4111 or go to www.jpmorganfunds.com |
|
Who is providing this notice? | |
|
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds protect my personal information? | We collect your personal information, for example, when you: |
◾open an account or provide contact information |
◾give us your account information or pay us by check |
|
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only |
◾sharing for affiliates’ everyday business purposes – information about your creditworthiness |
◾affiliates from using your information to market to you |
◾sharing for nonaffiliates to market to you |
State laws and individual companies may give you additional rights to limit sharing. |
|
| Companies related by common ownership or control. They can be financial and nonfinancial companies. |
| ◾J.P. Morgan Funds does not share with our affiliates. |
| Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
| ◾J.P. Morgan Funds does not share with nonaffiliates so they can market to you. |
| A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
| ◾J.P. Morgan Funds doesn’t jointly market. |
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of each Funds' holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022.
AN-SRB-622
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The Audit committee financial expert is Kathleen M. Gallagher. Ms. Gallagher is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2022 – $192,545
2021 – $209,835
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2022 – $33,641
2021 – $23,811
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2022 – $68,506
2021 – $57,998
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2022 and 2021, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2022 – Not applicable
2021 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List
that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2022 – 0.0%
2021 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable—Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2021—$ 30.6 million
2020—$ 30.1 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
| | (1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
| | (2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
| | (3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
| | (4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
| | (5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| | (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2), exactly as set forth below:
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(1) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
Not applicable.
| | (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Trust IV
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | September 6, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | September 6, 2022 |
| | |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | September 6, 2022 |
