JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
ASSET-BACKED SECURITIES — 28.8% | |
ACC Trust Series2018-1, Class A, 3.70%, 12/21/2020 (a) | | | 6,708 | | | | 6,714 | |
American Credit Acceptance Receivables Trust | | | | | | | | |
Series2016-3, Class C, 4.26%, 8/12/2022 (a) | | | 38,128 | | | | 38,295 | |
Series2019-3, Class A, 2.44%, 12/12/2022 (a) | | | 92,146 | | | | 92,281 | |
Series2017-1, Class C, 2.88%, 3/13/2023 (a) | | | 5,250 | | | | 5,251 | |
Series2017-1, Class D, 3.54%, 3/13/2023 (a) | | | 230,000 | | | | 231,891 | |
AmeriCredit Automobile Receivables Series2015-4, Class D, 3.72%, 12/8/2021 | | | 225,000 | | | | 226,503 | |
B2R Mortgage Trust Series2015-2, Class A, 3.34%, 11/15/2048 (a) | | | 23,677 | | | | 23,761 | |
Business Jet Securities LLC | | | | | | | | |
Series2018-2, Class A, 4.45%, 6/15/2033 (a) | | | 152,739 | | | | 154,920 | |
Series2018-2, Class B, 5.44%, 6/15/2033 (a) | | | 156,498 | | | | 159,345 | |
Series2019-1, Class A, 4.21%, 7/15/2034 (a) | | | 118,816 | | | | 122,208 | |
Capital Auto Receivables Asset Trust Series2016-2, Class B, 2.11%, 3/22/2021 | | | 61,830 | | | | 61,826 | |
CoreVest American Finance Trust Series2019-2, Class B, 3.42%, 6/15/2052‡ (a) | | | 250,000 | | | | 258,009 | |
CPS Auto Receivables Trust | | | | | | | | |
Series2015-B, Class C, 4.20%, 5/17/2021 (a) | | | 123,653 | | | | 124,426 | |
Series2018-B, Class B, 3.23%, 7/15/2022 (a) | | | 100,000 | | | | 100,396 | |
Series2019-C, Class B, 2.63%, 8/15/2023 (a) | | | 130,000 | | | | 130,499 | |
Credit Acceptance Auto Loan Trust Series2018-2A, Class A, 3.47%, 5/17/2027 (a) | | | 250,000 | | | | 253,389 | |
DT Auto Owner Trust | | | | | | | | |
Series2018-1A, Class B, 3.04%, 1/18/2022 (a) | | | 16,272 | | | | 16,278 | |
Series2017-1A, Class D, 3.55%, 11/15/2022 (a) | | | 131,385 | | | | 132,192 | |
Series2018-1A, Class D, 3.81%, 12/15/2023 (a) | | | 88,000 | | | | 89,113 | |
Series2019-1A, Class C, 3.61%, 11/15/2024 (a) | | | 90,000 | | | | 91,614 | |
Series2019-2A, Class C, 3.18%, 2/18/2025 (a) | | | 190,000 | | | | 192,631 | |
Exeter Automobile Receivables Trust | | | | | | | | |
Series2017-1A, Class B, 3.00%, 12/15/2021 (a) | | | 7,710 | | | | 7,716 | |
Series2018-2A, Class B, 3.27%, 5/16/2022 (a) | | | 64,095 | | | | 64,239 | |
Series2019-4A, Class A, 2.18%, 1/17/2023 (a) | | | 184,833 | | | | 184,846 | |
Series2019-3A, Class B, 2.58%, 8/15/2023 (a) | | | 195,000 | | | | 195,977 | |
First Investors Auto Owner Trust | | | | | | | | |
Series2016-2A, Class C, 2.53%, 7/15/2022 (a) | | | 200,000 | | | | 200,161 | |
Series2018-1A, Class A2, 3.22%, 1/17/2023 (a) | | | 45,000 | | | | 45,219 | |
Series2019-1A, Class B, 3.02%, 3/17/2025 (a) | | | 120,000 | | | | 121,815 | |
Flagship Credit Auto Trust | | | | | | | | |
Series2016-2, Class C, 6.22%, 9/15/2022 (a) | | | 100,000 | | | | 102,925 | |
Series2017-2, Class B, 2.57%, 4/15/2023 (a) | | | 98,079 | | | | 98,156 | |
Series2018-2, Class B, 3.56%, 5/15/2023 (a) | | | 150,000 | | | | 152,399 | |
Series2019-1, Class A, 3.11%, 8/15/2023 (a) | | | 196,215 | | | | 198,007 | |
Series2017-4, Class C, 2.92%, 11/15/2023 (a) | | | 400,000 | | | | 403,449 | |
Series2019-3, Class B, 2.48%, 8/15/2024 (a) | | | 225,000 | | | | 225,218 | |
Series2019-1, Class D, 4.08%, 2/18/2025 (a) | | | 167,000 | | | | 173,144 | |
FREED ABS Trust Series2018-2, Class A, 3.99%, 10/20/2025 (a) | | | 50,846 | | | | 51,215 | |
GLS Auto Receivables Issuer Trust | | | | | | | | |
Series2019-1A, Class A, 3.37%, 1/17/2023 (a) | | | 39,754 | | | | 40,001 | |
Series2019-2A, Class A, 3.06%, 4/17/2023 (a) | | | 65,338 | | | | 65,701 | |
Series2019-3A, Class A, 2.58%, 7/17/2023 (a) | | | 122,463 | | | | 122,537 | |
GLS Auto Receivables Trust | | | | | | | | |
Series2018-3A, Class A, 3.35%, 8/15/2022 (a) | | | 49,367 | | | | 49,602 | |
Series2018-3A, Class B, 3.78%, 8/15/2023 (a) | | | 100,000 | | | | 101,551 | |
Goodgreen (Cayman Islands) Series2018-1A, Class A, 3.93%, 10/15/2053 (a) (b) | | | 144,006 | | | | 151,280 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
HERO Funding (Cayman Islands) Series2017-3A, Class A2, 3.95%, 9/20/2048 (a) | | | 81,828 | | | | 85,165 | |
Hyundai Auto Lease Securitization Trust Series2019-A, Class A3, 2.98%, 7/15/2022 (a) | | | 150,000 | | | | 151,875 | |
Lendmark Funding Trust Series2019-1A, Class A, 3.00%, 12/20/2027 (a) | | | 175,000 | | | | 175,714 | |
Marlette Funding Trust | | | | | | | | |
Series2018-2A, Class A, 3.06%, 7/17/2028 (a) | | | 13,522 | | | | 13,536 | |
Series2019-1A, Class A, 3.44%, 4/16/2029 (a) | | | 188,897 | | | | 190,456 | |
OnDeck Asset Securitization Trust LLC Series2018-1A, Class A, 3.50%, 4/18/2022 (a) | | | 104,000 | | | | 104,120 | |
OneMain Direct Auto Receivables Trust Series2017-2A, Class B, 2.55%, 11/14/2023 (a) | | | 100,000 | | | | 100,107 | |
OneMain Financial Issuance Trust | | | | | | | | |
Series2015-1A, Class C, 5.12%, 3/18/2026‡ (a) | | | 27,887 | | | | 27,926 | |
Series2016-1A, Class A, 3.66%, 2/20/2029 (a) | | | 21,074 | | | | 21,133 | |
Progress Residential Trust Series 2015-SFR3, Class A, 3.07%, 11/12/2032‡ (a) | | | 98,694 | | | | 98,559 | |
Prosper Marketplace Issuance Trust | | | | | | | | |
Series2018-2A, Class A, 3.35%, 10/15/2024 (a) | | | 33,237 | | | | 33,321 | |
Series2019-3A, Class A, 3.19%, 7/15/2025 (a) | | | 109,969 | | | | 110,544 | |
Santander Drive Auto Receivables Trust | | | | | | | | |
Series2017-1, Class C, 2.58%, 5/16/2022 | | | 42,094 | | | | 42,136 | |
Series2018-1, Class B, 2.63%, 7/15/2022 | | | 98,869 | | | | 98,963 | |
Series2017-3, Class C, 2.76%, 12/15/2022 | | | 39,000 | | | | 39,141 | |
Series2019-1, Class B, 3.21%, 9/15/2023 | | | 90,000 | | | | 90,832 | |
Santander Retail Auto Lease Trust Series2018-A, Class D, 3.75%, 12/20/2022 (a) | | | 200,000 | | | | 202,036 | |
SoFi Consumer Loan Program LLC | | | | | | | | |
Series2016-3, Class A, 3.05%, 12/26/2025 (a) | | | 32,681 | | | | 32,748 | |
Series2017-1, Class A, 3.28%, 1/26/2026 (a) | | | 40,165 | | | | 40,420 | |
Series2017-2, Class A, 3.28%, 2/25/2026 (a) | | | 42,983 | | | | 43,282 | |
SoFi Consumer Loan Program Trust Series2018-2, Class A1, 2.93%, 4/26/2027 (a) | | | 12,038 | | | | 12,046 | |
Springleaf Funding Trust Series2015-BA, Class B, 3.80%, 5/15/2028‡ (a) | | | 100,000 | | | | 101,366 | |
Tesla Auto Lease Trust Series2018-B, Class A, 3.71%, 8/20/2021 (a) | | | 49,784 | | | | 50,494 | |
Tidewater Auto Receivables Trust Series2018-AA, Class C, 3.84%, 11/15/2024 (a) | | | 250,000 | | | | 254,036 | |
Towd Point Mortgage Trust Series2017-6, Class A1, 2.75%, 10/25/2057‡ (a) (b) | | | 74,602 | | | | 75,195 | |
Vericrest Opportunity Loan Trust Series 2019-NPL4, Class A1A, 3.35%, 8/25/2049 (a) (c) | | | 123,749 | | | | 123,961 | |
VOLT LXXV LLC Series 2019-NPL1, Class A1A, 4.34%, 1/25/2049‡ (a) (c) | | | 80,442 | | | | 81,043 | |
Westgate Resorts LLC | | | | | | | | |
Series2018-1A, Class A, 3.38%, 12/20/2031 (a) | | | 154,474 | | | | 156,253 | |
Series2018-1A, Class B, 3.58%, 12/20/2031‡ (a) | | | 154,474 | | | | 156,238 | |
| | | | | | | | |
TOTAL ASSET-BACKED SECURITIES
(Cost $7,887,170) | | | | 7,979,346 | |
| | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% | | | | | | | | |
FHLMC, REMIC | | | | | | | | |
Series 2488, Class GM, 6.00%, 8/15/2032 | | | 34,593 | | | | 38,570 | |
Series 4151, Class YC, 2.50%, 1/15/2033 | | | 230,088 | | | | 229,071 | |
Series 2740, Class PE, 5.50%, 1/15/2034 | | | 123,751 | | | | 139,627 | |
Series 2943, Class ZC, 5.00%, 2/15/2034 | | | 44,435 | | | | 49,010 | |
Series 2768, Class PK, 5.00%, 3/15/2034 | | | 37,345 | | | | 40,297 | |
Series 3237, Class CE, 5.50%, 11/15/2036 | | | 50,000 | | | | 60,656 | |
Series 3249, Class CB, 4.25%, 12/15/2036 | | | 43,432 | | | | 46,675 | |
Series 3258, Class XX, 5.50%, 12/15/2036 | | | 53,000 | | | | 59,659 | |
Series 4031, Class AB, 5.50%, 6/15/2037 | | | 143,961 | | | | 162,812 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
Series 3404, Class DC, 5.50%, 1/15/2038 | | | 50,000 | | | | 60,334 | |
Series 3601, Class HB, 5.00%, 11/15/2039 | | | 25,000 | | | | 28,529 | |
Series 3626, Class ME, 5.00%, 1/15/2040 | | | 29,000 | | | | 32,681 | |
Series 3680, Class ZA, 4.50%, 6/15/2040 | | | 154,343 | | | | 168,279 | |
Series 3777, Class WA, 4.00%, 12/15/2040 | | | 142,118 | | | | 151,109 | |
Series 3772, Class NE, 4.50%, 12/15/2040 | | | 180,000 | | | | 210,663 | |
Series 3939, Class AZ, 4.00%, 3/15/2041 | | | 203,103 | | | | 212,873 | |
Series 4240, Class DK, 4.00%, 11/15/2042 | | | 76,773 | | | | 82,132 | |
Series 4283, Class EW, 4.50%, 12/15/2043 (b) | | | 127,908 | | | | 138,396 | |
FNMA, REMIC | | | | | | | | |
Series2013-17, Class YM, 4.00%, 3/25/2033 | | | 103,949 | | | | 112,478 | |
Series2003-32, Class UJ, 5.50%, 5/25/2033 | | | 28,148 | | | | 31,274 | |
Series2003-82, Class Z, 5.50%, 8/25/2033 | | | 46,296 | | | | 51,934 | |
Series2004-17, Class H, 5.50%, 4/25/2034 | | | 108,773 | | | | 123,749 | |
Series2004-31, Class MZ, 4.25%, 5/25/2034 | | | 28,951 | | | | 33,995 | |
Series2004-36, Class CB, 5.00%, 5/25/2034 | | | 28,000 | | | | 31,129 | |
Series2004-91, Class BR, 5.50%, 12/25/2034 | | | 38,302 | | | | 42,728 | |
Series2009-13, Class PM, 4.00%, 4/25/2035 | | | 113,432 | | | | 116,868 | |
Series2005-29, Class WQ, 5.50%, 4/25/2035 | | | 130,576 | | | | 147,691 | |
Series2005-109, Class GD, 6.00%, 10/25/2035 | | | 20,859 | | | | 22,814 | |
Series2015-65, Class LD, 3.50%, 1/25/2036 | | | 80,000 | | | | 86,348 | |
Series2005-122, Class PY, 6.00%, 1/25/2036 | | | 71,000 | | | | 83,624 | |
Series2006-24, Class Z, 5.50%, 4/25/2036 | | | 126,019 | | | | 138,978 | |
Series2007-36, Class PH, 5.50%, 4/25/2037 | | | 35,297 | | | | 40,196 | |
Series2007-60, Class ZB, 4.75%, 5/25/2037 | | | 255,866 | | | | 284,688 | |
Series2009-42, Class TZ, 4.50%, 3/25/2039 | | | 217,147 | | | | 248,640 | |
Series2009-66, Class KE, 4.00%, 9/25/2039 | | | 68,590 | | | | 72,626 | |
Series2009-105, Class DB, 4.50%, 12/25/2039 | | | 25,000 | | | | 29,190 | |
Series2010-43, Class EM, 5.00%, 5/25/2040 | | | 20,600 | | | | 25,415 | |
Series2010-87, Class PJ, 3.50%, 6/25/2040 | | | 33,273 | | | | 34,157 | |
Series2010-59, Class EB, 5.00%, 6/25/2040 | | | 300,000 | | | | 375,770 | |
Series2011-146, Class LX, 3.50%, 10/25/2040 | | | 200,000 | | | | 208,915 | |
Series2011-1, Class QA, 4.50%, 10/25/2040 | | | 93,777 | | | | 98,591 | |
Series2010-133, Class GP, 4.00%, 11/25/2040 | | | 250,000 | | | | 279,743 | |
Series2010-123, Class KU, 4.50%, 11/25/2040 | | | 123,589 | | | | 141,481 | |
Series2010-129, Class PZ, 4.50%, 11/25/2040 | | | 237,239 | | | | 256,203 | |
Series2010-136, Class CY, 4.00%, 12/25/2040 | | | 290,000 | | | | 321,634 | |
Series2010-141, Class AL, 4.00%, 12/25/2040 | | | 203,866 | | | | 218,094 | |
Series2010-154, Class KZ, 4.50%, 1/25/2041 | | | 43,734 | | | | 55,815 | |
Series2011-55, Class BZ, 3.50%, 6/25/2041 | | | 168,238 | | | | 180,052 | |
Series2011-115, Class UC, 4.00%, 11/25/2041 | | | 70,000 | | | | 81,328 | |
Series2013-114, Class LM, 4.00%, 3/25/2042 | | | 200,000 | | | | 219,916 | |
Series2012-120, Class PA, 3.50%, 10/25/2042 | | | 92,139 | | | | 96,586 | |
Series2014-19, Class Z, 4.50%, 4/25/2044 | | | 257,969 | | | | 297,762 | |
Series2015-61, Class PV, 3.50%, 5/25/2044 | | | 22,145 | | | | 23,392 | |
Series2016-32, Class PA, 3.00%, 12/25/2045 | | | 153,966 | | | | 159,880 | |
GNMA | | | | | | | | |
Series2003-46, Class HA, 4.50%, 6/20/2033 | | | 97,678 | | | | 104,170 | |
Series2004-55, Class MC, 5.50%, 7/20/2034 | | | 23,631 | | | | 26,476 | |
Series2005-16, Class CA, 5.00%, 2/20/2035 | | | 29,000 | | | | 31,868 | |
Series2005-17, Class GE, 5.00%, 2/20/2035 | | | 168,216 | | | | 186,165 | |
Series2008-25, Class AD, 4.50%, 3/20/2038 | | | 121,776 | | | | 130,366 | |
Series2009-16, Class ZD, 6.00%, 3/20/2039 | | | 159,730 | | | | 181,642 | |
Series2009-58, Class PA, 4.50%, 7/20/2039 | | | 199,144 | | | | 214,651 | |
Series2010-69, Class ME, 3.00%, 4/20/2040 | | | 74,035 | | | | 74,929 | |
| | | | | | | | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $7,208,899) | | | | 7,635,324 | |
| | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
CORPORATE BONDS — 24.3% | | | | | | | | |
Aerospace & Defense — 0.4% | | | | | | | | |
Boeing Co. (The) 3.95%, 8/1/2059 | | | 10,000 | | | | 10,963 | |
Northrop Grumman Corp. | | | | | | | | |
3.20%, 2/1/2027 | | | 30,000 | | | | 31,214 | |
3.85%, 4/15/2045 | | | 20,000 | | | | 21,758 | |
Rockwell Collins, Inc. 3.50%, 3/15/2027 | | | 15,000 | | | | 15,998 | |
United Technologies Corp. 2.80%, 5/4/2024 | | | 25,000 | | | | 25,706 | |
| | | | | | | | |
| | | | | | | 105,639 | |
| | | | | | | | |
Automobiles — 0.4% | | | | | | | | |
General Motors Co. 5.15%, 4/1/2038 | | | 30,000 | | | | 30,669 | |
Hyundai Capital America 3.45%, 3/12/2021 (a) | | | 30,000 | | | | 30,441 | |
Nissan Motor Acceptance Corp. 3.15%, 3/15/2021 (a) | | | 60,000 | | | | 60,575 | |
| | | | | | | | |
| | | | | | | 121,685 | |
| | | | | | | | |
Banks — 4.1% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. (Australia) 5.10%, 1/13/2020 (a) | | | 100,000 | | | | 100,346 | |
Bank of America Corp. | | | | | | | | |
(ICE LIBOR USD 3 Month + 0.93%), 2.82%, 7/21/2023 (d) | | | 65,000 | | | | 65,947 | |
4.20%, 8/26/2024 | | | 60,000 | | | | 64,279 | |
5.00%, 1/21/2044 | | | 55,000 | | | | 71,715 | |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (d) | | | 15,000 | | | | 17,094 | |
Citigroup, Inc. | | | | | | | | |
3.75%, 6/16/2024 | | | 41,000 | | | | 43,374 | |
3.20%, 10/21/2026 | | | 19,000 | | | | 19,701 | |
8.13%, 7/15/2039 | | | 30,000 | | | | 49,679 | |
Citizens Financial Group, Inc. 2.38%, 7/28/2021 | | | 50,000 | | | | 50,169 | |
Commonwealth Bank of Australia (Australia) 3.45%, 3/16/2023 (a) | | | 70,000 | | | | 72,794 | |
Fifth Third Bancorp 3.65%, 1/25/2024 | | | 35,000 | | | | 36,840 | |
Huntington Bancshares, Inc. 2.30%, 1/14/2022 | | | 50,000 | | | | 50,210 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
3.46%, 3/2/2023 | | | 45,000 | | | | 46,591 | |
3.78%, 3/2/2025 | | | 45,000 | | | | 48,002 | |
3.74%, 3/7/2029 | | | 15,000 | | | | 16,214 | |
PNC Financial Services Group, Inc. (The) 5.13%, 2/8/2020 | | | 35,000 | | | | 35,202 | |
Regions Financial Corp. 2.75%, 8/14/2022 | | | 40,000 | | | | 40,610 | |
Santander UK Group Holdings plc (United Kingdom) 3.13%, 1/8/2021 | | | 30,000 | | | | 30,249 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
2.06%, 7/14/2021 | | | 30,000 | | | | 30,020 | |
3.10%, 1/17/2023 | | | 25,000 | | | | 25,616 | |
3.36%, 7/12/2027 | | | 25,000 | | | | 26,166 | |
SunTrust Bank 2.25%, 1/31/2020 | | | 25,000 | | | | 25,005 | |
Wells Fargo & Co. | | | | | | | | |
Series M, 3.45%, 2/13/2023 | | | 70,000 | | | | 72,395 | |
4.65%, 11/4/2044 | | | 30,000 | | | | 35,862 | |
Westpac Banking Corp. (Australia) 2.85%, 5/13/2026 | | | 65,000 | | | | 66,532 | |
| | | | | | | | |
| | | | | | | 1,140,612 | |
| | | | | | | | |
Beverages — 0.6% | | | | | | | | |
Anheuser-Busch Cos. LLC (Belgium) | | | | | | | | |
3.65%, 2/1/2026 | | | 30,000 | | | | 32,174 | |
4.90%, 2/1/2046 | | | 25,000 | | | | 29,991 | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.90%, 2/1/2046 | | | 10,000 | | | | 11,897 | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | | | | | | | |
4.00%, 4/13/2028 | | | 15,000 | | | | 16,546 | |
4.95%, 1/15/2042 | | | 30,000 | | | | 35,641 | |
Keurig Dr Pepper, Inc. | | | | | | | | |
4.60%, 5/25/2028 | | | 15,000 | | | | 17,010 | |
5.09%, 5/25/2048 | | | 5,000 | | | | 6,006 | |
Molson Coors Brewing Co. 4.20%, 7/15/2046 | | | 15,000 | | | | 14,765 | |
| | | | | | | | |
| | | | | | | 164,030 | |
| | | | | | | | |
Biotechnology — 0.4% | | | | | | | | |
AbbVie, Inc. | | | | | | | | |
3.60%, 5/14/2025 | | | 50,000 | | | | 52,417 | |
4.88%, 11/14/2048 | | | 15,000 | | | | 17,262 | |
Gilead Sciences, Inc. | | | | | | | | |
3.70%, 4/1/2024 | | | 30,000 | | | | 31,767 | |
4.80%, 4/1/2044 | | | 15,000 | | | | 18,000 | |
| | | | | | | | |
| | | | | | | 119,446 | |
| | | | | | | | |
Building Products — 0.1% | | | | | | | | |
Masco Corp. 4.45%, 4/1/2025 | | | 25,000 | | | | 27,076 | |
| | | | | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
Capital Markets — 1.5% | | | | | | | | |
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | | | 25,000 | | | | 28,549 | |
Credit Suisse AG (Switzerland) 5.40%, 1/14/2020 | | | 25,000 | | | | 25,095 | |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | | | 15,000 | | | | 21,899 | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
4.00%, 3/3/2024 | | | 50,000 | | | | 53,186 | |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (d) | | | 65,000 | | | | 70,446 | |
Macquarie Group Ltd. (Australia) | | | | | | | | |
6.00%, 1/14/2020 (a) | | | 10,000 | | | | 10,045 | |
6.25%, 1/14/2021 (a) | | | 30,000 | | | | 31,316 | |
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (a) (d) | | | 20,000 | | | | 20,951 | |
Morgan Stanley 3.13%, 1/23/2023 | | | 30,000 | | | | 30,798 | |
4.00%, 7/23/2025 | | | 60,000 | | | | 64,854 | |
3.13%, 7/27/2026 | | | 35,000 | | | | 36,275 | |
3.95%, 4/23/2027 | | | 25,000 | | | | 26,766 | |
| | | | | | | | |
| | | | | | | 420,180 | |
| | | | | | | | |
Chemicals — 0.7% | | | | | | | | |
DuPont de Nemours, Inc. 4.49%, 11/15/2025 | | | 100,000 | | | | 109,978 | |
Mosaic Co. (The) | | | | | | | | |
3.25%, 11/15/2022 | | | 10,000 | | | | 10,218 | |
4.05%, 11/15/2027 | | | 10,000 | | | | 10,423 | |
5.63%, 11/15/2043 | | | 10,000 | | | | 11,557 | |
Nutrien Ltd. (Canada) | | | | | | | | |
3.00%, 4/1/2025 | | | 20,000 | | | | 20,350 | |
6.13%, 1/15/2041 | | | 20,000 | | | | 24,886 | |
| | | | | | | | |
| | | | | | | 187,412 | |
| | | | | | | | |
Construction Materials — 0.1% | | | | | | | | |
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | | | 30,000 | | | | 30,956 | |
| | | | | | | | |
Consumer Finance — 0.6% | | | | | | | | |
American Express Co. 2.50%, 8/1/2022 | | | 30,000 | | | | 30,316 | |
Capital One Financial Corp. | | | | | | | | |
4.75%, 7/15/2021 | | | 15,000 | | | | 15,617 | |
4.20%, 10/29/2025 | | | 15,000 | | | | 16,088 | |
3.75%, 3/9/2027 | | | 25,000 | | | | 26,473 | |
General Motors Financial Co., Inc. | | | | | | | | |
4.20%, 3/1/2021 | | | 25,000 | | | | 25,527 | |
3.25%, 1/5/2023 | | | 20,000 | | | | 20,322 | |
HSBC Finance Corp. 6.68%, 1/15/2021 | | | 30,000 | | | | 31,302 | |
| | | | | | | | |
| | | | | | | 165,645 | |
| | | | | | | | |
Diversified Financial Services — 0.3% | | | | | | | | |
ORIX Corp. (Japan) 3.70%, 7/18/2027 | | | 30,000 | | | | 32,021 | |
Shell International Finance BV (Netherlands) 5.50%, 3/25/2040 | | | 25,000 | | | | 33,760 | |
Voya Financial, Inc. 3.65%, 6/15/2026 | | | 20,000 | | | | 21,121 | |
| | | | | | | | |
| | | | | | | 86,902 | |
| | | | | | | | |
Diversified Telecommunication Services — 1.0% | | | | | | | | |
AT&T, Inc. | | | | | | | | |
3.00%, 6/30/2022 | | | 25,000 | | | | 25,495 | |
3.40%, 5/15/2025 | | | 30,000 | | | | 31,310 | |
5.35%, 9/1/2040 | | | 65,000 | | | | 77,735 | |
Telefonica Emisiones SA (Spain) | | | | | | | | |
5.13%, 4/27/2020 | | | 10,000 | | | | 10,123 | |
7.05%, 6/20/2036 | | | 15,000 | | | | 21,036 | |
Verizon Communications, Inc. | | | | | | | | |
4.33%, 9/21/2028 | | | 41,000 | | | | 46,503 | |
4.86%, 8/21/2046 | | | 55,000 | | | | 68,772 | |
| | | | | | | | |
| | | | | | | 280,974 | |
| | | | | | | | |
Electric Utilities — 1.1% | | | | | | | | |
Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036 | | | 20,000 | | | | 25,586 | |
Duke Energy Corp. | | | | | | | | |
2.65%, 9/1/2026 | | | 25,000 | | | | 25,181 | |
3.75%, 9/1/2046 | | | 25,000 | | | | 26,062 | |
Emera US Finance LP (Canada) | | | | | | | | |
3.55%, 6/15/2026 | | | 10,000 | | | | 10,429 | |
4.75%, 6/15/2046 | | | 20,000 | | | | 23,344 | |
Entergy Louisiana LLC 4.00%, 3/15/2033 | | | 40,000 | | | | 45,698 | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | | 19,000 | | | | 19,534 | |
Indiana Michigan Power Co. Series K, 4.55%, 3/15/2046 | | | 15,000 | | | | 17,874 | |
LG&E & KU Energy LLC 3.75%, 11/15/2020 | | | 20,000 | | | | 20,228 | |
Metropolitan Edison Co. 3.50%, 3/15/2023 (a) | | | 15,000 | | | | 15,523 | |
PNM Resources, Inc. 3.25%, 3/9/2021 | | | 15,000 | | | | 15,186 | |
PPL Capital Funding, Inc. 3.10%, 5/15/2026 | | | 20,000 | | | | 20,378 | |
Southern Co. (The) 3.25%, 7/1/2026 | | | 30,000 | | | | 31,110 | |
| | | | | | | | |
| | | | | | | 296,133 | |
| | | | | | | | |
Electrical Equipment — 0.2% | | | | | | | | |
Eaton Corp. | | | | | | | | |
2.75%, 11/2/2022 | | | 20,000 | | | | 20,393 | |
3.10%, 9/15/2027 | | | 25,000 | | | | 26,050 | |
| | | | | | | | |
| | | | | | | 46,443 | |
| | | | | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
Electronic Equipment, Instruments & Components — 0.1% | | | | | | | | |
Arrow Electronics, Inc. 3.25%, 9/8/2024 | | | 25,000 | | | | 25,358 | |
| | | | | | | | |
Energy Equipment & Services — 0.3% | | | | | | | | |
Halliburton Co. | | | | | | | | |
3.80%, 11/15/2025 | | | 25,000 | | | | 26,329 | |
4.50%, 11/15/2041 | | | 10,000 | | | | 10,481 | |
Schlumberger Holdings Corp. | | | | | | | | |
4.00%, 12/21/2025 (a) | | | 15,000 | | | | 16,042 | |
4.30%, 5/1/2029 (a) | | | 30,000 | | | | 32,583 | |
| | | | | | | | |
| | | | | | | 85,435 | |
| | | | | | | | |
Equity Real Estate Investment Trusts (REITs) — 1.6% | | | | | | | | |
American Tower Corp. | | | | | | | | |
5.00%, 2/15/2024 | | | 30,000 | | | | 33,009 | |
3.95%, 3/15/2029 | | | 15,000 | | | | 16,076 | |
Boston Properties LP 3.40%, 6/21/2029 | | | 25,000 | | | | 26,155 | |
Brixmor Operating Partnership LP 3.65%, 6/15/2024 | | | 25,000 | | | | 26,013 | |
EPR Properties 5.25%, 7/15/2023 | | | 15,000 | | | | 16,098 | |
Healthpeak Properties, Inc. 3.25%, 7/15/2026 | | | 50,000 | | | | 51,946 | |
Host Hotels & Resorts LP 3.88%, 4/1/2024 | | | 15,000 | | | | 15,798 | |
Liberty Property LP 4.40%, 2/15/2024 | | | 35,000 | | | | 37,925 | |
Life Storage LP 4.00%, 6/15/2029 | | | 5,000 | | | | 5,390 | |
National Retail Properties, Inc. | | | | | | | | |
3.80%, 10/15/2022 | | | 20,000 | | | | 20,761 | |
4.00%, 11/15/2025 | | | 20,000 | | | | 21,380 | |
Office Properties Income Trust 3.60%, 2/1/2020 | | | 20,000 | | | | 20,020 | |
Realty Income Corp. 3.65%, 1/15/2028 | | | 25,000 | | | | 26,867 | |
Simon Property Group LP 4.75%, 3/15/2042 | | | 10,000 | | | | 12,180 | |
UDR, Inc. | | | | | | | | |
3.20%, 1/15/2030 | | | 10,000 | | | | 10,278 | |
3.00%, 8/15/2031 | | | 20,000 | | | | 20,114 | |
VEREIT Operating Partnership LP | | | | | | | | |
4.13%, 6/1/2021 | | | 15,000 | | | | 15,369 | |
4.88%, 6/1/2026 | | | 10,000 | | | | 11,098 | |
Welltower, Inc. | | | | | | | | |
4.00%, 6/1/2025 | | | 25,000 | | | | 26,872 | |
4.13%, 3/15/2029 | | | 20,000 | | | | 21,803 | |
6.50%, 3/15/2041 | | | 10,000 | | | | 13,741 | |
| | | | | | | | |
| | | | | | | 448,893 | |
| | | | | | | | |
Food & Staples Retailing — 0.1% | | | | | | | | |
Kroger Co. (The) 5.15%, 8/1/2043 | | | 20,000 | | | | 22,843 | |
| | | | | | | | |
Food Products — 0.5% | | | | | | | | |
Campbell Soup Co. | | | | | | | | |
3.65%, 3/15/2023 | | | 20,000 | | | | 20,775 | |
3.80%, 8/2/2042 | | | 20,000 | | | | 19,796 | |
Conagra Brands, Inc. | | | | | | | | |
4.60%, 11/1/2025 | | | 5,000 | | | | 5,499 | |
5.30%, 11/1/2038 | | | 5,000 | | | | 5,821 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.95%, 7/15/2025 | | | 20,000 | | | | 20,990 | |
6.50%, 2/9/2040 | | | 15,000 | | | | 18,208 | |
Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044 | | | 20,000 | | | | 24,532 | |
Tyson Foods, Inc. | | | | | | | | |
3.95%, 8/15/2024 | | | 15,000 | | | | 16,022 | |
5.15%, 8/15/2044 | | | 10,000 | | | | 12,216 | |
| | | | | | | | |
| | | | | | | 143,859 | |
| | | | | | | | |
Health Care Equipment & Supplies — 0.4% | | | | | | | | |
Abbott Laboratories | | | | | | | | |
3.75%, 11/30/2026 | | | 17,000 | | | | 18,640 | |
4.75%, 11/30/2036 | | | 15,000 | | | | 18,750 | |
5.30%, 5/27/2040 | | | 15,000 | | | | 19,684 | |
Becton Dickinson and Co. | | | | | | | | |
2.89%, 6/6/2022 | | | 10,000 | | | | 10,150 | |
3.70%, 6/6/2027 | | | 10,000 | | | | 10,705 | |
Boston Scientific Corp. | | | | | | | | |
3.85%, 5/15/2025 | | | 13,000 | | | | 13,966 | |
4.70%, 3/1/2049 | | | 10,000 | | | | 12,248 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
3.70%, 3/19/2023 | | | 6,000 | | | | 6,241 | |
3.55%, 4/1/2025 | | | 10,000 | | | | 10,497 | |
| | | | | | | | |
| | | | | | | 120,881 | |
| | | | | | | | |
Health Care Providers & Services — 0.8% | | | | | | | | |
Aetna, Inc. 2.80%, 6/15/2023 | | | 35,000 | | | | 35,518 | |
Anthem, Inc. | | | | | | | | |
3.35%, 12/1/2024 | | | 15,000 | | | | 15,634 | |
4.63%, 5/15/2042 | | | 20,000 | | | | 22,380 | |
CVS Health Corp. | | | | | | | | |
3.70%, 3/9/2023 | | | 30,000 | | | | 31,216 | |
4.30%, 3/25/2028 | | | 41,000 | | | | 44,712 | |
4.78%, 3/25/2038 | | | 27,000 | | | | 30,712 | |
HCA, Inc. | | | | | | | | |
4.50%, 2/15/2027 | | | 20,000 | | | | 21,582 | |
5.25%, 6/15/2049 | | | 15,000 | | | | 16,872 | |
| | | | | | | | |
| | | | | | | 218,626 | |
| | | | | | | | |
Hotels, Restaurants & Leisure — 0.2% | | | | | | | | |
McDonald’s Corp. 3.80%, 4/1/2028 | | | 35,000 | | | | 38,316 | |
Starbucks Corp. 4.45%, 8/15/2049 | | | 15,000 | | | | 17,395 | |
| | | | | | | | |
| | | | | | | 55,711 | |
| | | | | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
Independent Power and Renewable Electricity Producers — 0.2% | | | | | | | | |
Exelon Generation Co. LLC 5.75%, 10/1/2041 | | | 45,000 | | | | 52,751 | |
| | | | | | | | |
Industrial Conglomerates — 0.3% | | | | | | | | |
General Electric Co. | | | | | | | | |
3.38%, 3/11/2024 | | | 40,000 | | | | 41,412 | |
6.75%, 3/15/2032 | | | 25,000 | | | | 32,401 | |
4.13%, 10/9/2042 | | | 3,000 | | | | 3,165 | |
| | | | | | | | |
| | | | | | | 76,978 | |
| | | | | | | | |
Insurance — 1.3% | | | | | | | | |
American Financial Group, Inc. 3.50%, 8/15/2026 | | | 20,000 | | | | 20,740 | |
American International Group, Inc. | | | | | | | | |
3.75%, 7/10/2025 | | | 20,000 | | | | 21,261 | |
3.88%, 1/15/2035 | | | 25,000 | | | | 26,632 | |
4.38%, 1/15/2055 | | | 15,000 | | | | 16,388 | |
Athene Global Funding | | | | | | | | |
3.00%, 7/1/2022 (a) | | | 25,000 | | | | 25,405 | |
2.95%, 11/12/2026 (a) | | | 30,000 | | | | 29,950 | |
Athene Holding Ltd. 4.13%, 1/12/2028 | | | 10,000 | | | | 10,309 | |
Cincinnati Financial Corp. 6.92%, 5/15/2028 | | | 20,000 | | | | 26,145 | |
Lincoln National Corp. | | | | | | | | |
4.20%, 3/15/2022 | | | 15,000 | | | | 15,671 | |
3.63%, 12/12/2026 | | | 15,000 | | | | 15,836 | |
4.35%, 3/1/2048 | | | 20,000 | | | | 21,999 | |
Markel Corp. | | | | | | | | |
3.50%, 11/1/2027 | | | 20,000 | | | | 20,677 | |
5.00%, 5/20/2049 | | | 15,000 | | | | 17,492 | |
Marsh & McLennan Cos., Inc. | | | | | | | | |
3.50%, 12/29/2020 | | | 15,000 | | | | 15,248 | |
4.38%, 3/15/2029 | | | 30,000 | | | | 33,980 | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | | 5,000 | | | | 5,442 | |
Prudential Financial, Inc. 3.88%, 3/27/2028 | | | 30,000 | | | | 33,181 | |
| | | | | | | | |
| | | | | | | 356,356 | |
| | | | | | | | |
IT Services — 0.0% (e) | | | | | | | | |
Western Union Co. (The) 3.60%, 3/15/2022 | | | 10,000 | | | | 10,256 | |
| | | | | | | | |
Media — 0.8% | | | | | | | | |
Charter Communications Operating LLC 5.75%, 4/1/2048 | | | 10,000 | | | | 11,574 | |
Comcast Corp. | | | | | | | | |
3.38%, 2/15/2025 | | | 30,000 | | | | 31,652 | |
3.15%, 3/1/2026 | | | 30,000 | | | | 31,497 | |
3.20%, 7/15/2036 | | | 40,000 | | | | 40,769 | |
6.40%, 5/15/2038 | | | 30,000 | | | | 42,851 | |
4.50%, 1/15/2043 | | | 15,000 | | | | 17,723 | |
Cox Communications, Inc. | | | | | | | | |
3.15%, 8/15/2024 (a) | | | 25,000 | | | | 25,757 | |
4.60%, 8/15/2047 (a) | | | 15,000 | | | | 16,600 | |
Fox Corp. 4.71%, 1/25/2029 (a) | | | 10,000 | | | | 11,349 | |
| | | | | | | | |
| | | | | | | 229,772 | |
| | | | | | | | |
Metals & Mining — 0.1% | | | | | | | | |
Glencore Funding LLC (Switzerland) 4.63%, 4/29/2024 (a) | | | 15,000 | | | | 15,987 | |
| | | | | | | | |
Multiline Retail — 0.0% (e) | | | | | | | | |
Dollar General Corp. 4.13%, 5/1/2028 | | | 5,000 | | | | 5,497 | |
| | | | | | | | |
Multi-Utilities — 0.3% | | | | | | | | |
Dominion Energy, Inc. | | | | | | | | |
Series D, 2.85%, 8/15/2026 | | | 25,000 | | | | 25,336 | |
Series C, 4.05%, 9/15/2042 | | | 20,000 | | | | 21,053 | |
Sempra Energy | | | | | | | | |
2.40%, 3/15/2020 | | | 20,000 | | | | 20,012 | |
3.80%, 2/1/2038 | | | 25,000 | | | | 25,749 | |
| | | | | | | | |
| | | | | | | 92,150 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels — 2.6% | | | | | | | | |
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a) | | | 30,000 | | | | 32,290 | |
Boardwalk Pipelines LP 5.95%, 6/1/2026 | | | 20,000 | | | | 22,448 | |
Buckeye Partners LP | | | | | | | | |
4.35%, 10/15/2024 | | | 10,000 | | | | 9,937 | |
5.85%, 11/15/2043 | | | 10,000 | | | | 8,536 | |
Canadian Natural Resources Ltd. (Canada) | | | | | | | | |
3.80%, 4/15/2024 | | | 15,000 | | | | 15,789 | |
6.45%, 6/30/2033 | | | 15,000 | | | | 19,078 | |
Cenovus Energy, Inc. (Canada) 3.00%, 8/15/2022 | | | 25,000 | | | | 25,282 | |
Enbridge, Inc. (Canada) 4.25%, 12/1/2026 | | | 20,000 | | | | 21,806 | |
Energy Transfer Operating LP 6.25%, 4/15/2049 | | | 15,000 | | | | 17,665 | |
Enterprise Products Operating LLC | | | | | | | | |
5.25%, 1/31/2020 | | | 25,000 | | | | 25,125 | |
3.75%, 2/15/2025 | | | 30,000 | | | | 31,872 | |
3.13%, 7/31/2029 | | | 15,000 | | | | 15,269 | |
5.10%, 2/15/2045 | | | 15,000 | | | | 17,769 | |
Kinder Morgan Energy Partners LP 3.95%, 9/1/2022 | | | 25,000 | | | | 25,978 | |
Magellan Midstream Partners LP 4.20%, 10/3/2047 | | | 10,000 | | | | 10,505 | |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | | | 15,000 | | | | 19,018 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
MPLX LP | | | | | | | | |
4.13%, 3/1/2027 | | | 15,000 | | | | 15,562 | |
4.50%, 4/15/2038 | | | 10,000 | | | | 9,976 | |
Nexen, Inc. (China) 5.88%, 3/10/2035 | | | 20,000 | | | | 25,956 | |
Noble Energy, Inc. 5.05%, 11/15/2044 | | | 30,000 | | | | 31,912 | |
Occidental Petroleum Corp. | | | | | | | | |
2.90%, 8/15/2024 | | | 20,000 | | | | 20,110 | |
3.50%, 8/15/2029 | | | 20,000 | | | | 20,197 | |
4.50%, 7/15/2044 | | | 15,000 | | | | 14,972 | |
ONEOK, Inc. | | | | | | | | |
3.40%, 9/1/2029 | | | 30,000 | | | | 29,813 | |
4.45%, 9/1/2049 | | | 15,000 | | | | 14,935 | |
Petroleos Mexicanos (Mexico) 6.50%, 1/23/2029 | | | 13,000 | | | | 13,365 | |
Phillips 66 | | | | | | | | |
3.90%, 3/15/2028 | | | 20,000 | | | | 21,696 | |
4.88%, 11/15/2044 | | | 20,000 | | | | 24,247 | |
Spectra Energy Partners LP 4.50%, 3/15/2045 | | | 20,000 | | | | 21,729 | |
Suncor Energy, Inc. (Canada) 5.35%, 7/15/2033 | | | 20,000 | | | | 24,593 | |
Sunoco Logistics Partners Operations LP | | | | | | | | |
4.00%, 10/1/2027 | | | 10,000 | | | | 10,210 | |
5.35%, 5/15/2045 | | | 30,000 | | | | 31,021 | |
TransCanada PipeLines Ltd. (Canada) | | | | | | | | |
4.88%, 1/15/2026 | | | 25,000 | | | | 27,972 | |
4.63%, 3/1/2034 | | | 15,000 | | | | 16,954 | |
5.00%, 10/16/2043 | | | 10,000 | | | | 11,568 | |
Williams Cos., Inc. (The) 3.90%, 1/15/2025 | | | 20,000 | | | | 20,839 | |
| | | | | | | | |
| | | | | | | 725,994 | |
| | | | | | | | |
Pharmaceuticals — 0.5% | | | | | | | | |
Allergan Funding SCS | | | | | | | | |
3.00%, 3/12/2020 | | | 10,000 | | | | 10,017 | |
4.55%, 3/15/2035 | | | 10,000 | | | | 10,888 | |
Bristol-Myers Squibb Co. | | | | | | | | |
3.25%, 8/15/2022 (a) | | | 15,000 | | | | 15,494 | |
4.63%, 5/15/2044 (a) | | | 10,000 | | | | 12,134 | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | | 50,000 | | | | 51,710 | |
Zoetis, Inc. | | | | | | | | |
4.50%, 11/13/2025 | | | 15,000 | | | | 16,542 | |
4.70%, 2/1/2043 | | | 15,000 | | | | 18,066 | |
| | | | | | | | |
| | | | | | | 134,851 | |
| | | | | | | | |
Road & Rail — 0.6% | | | | | | | | |
Burlington Northern Santa Fe LLC 4.40%, 3/15/2042 | | | 30,000 | | | | 35,066 | |
CSX Corp. 4.30%, 3/1/2048 | | | 20,000 | | | | 23,107 | |
ERAC USA Finance LLC 5.63%, 3/15/2042 (a) | | | 30,000 | | | | 37,819 | |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | | | 40,000 | | | | 42,936 | |
Norfolk Southern Corp. 4.65%, 1/15/2046 | | | 10,000 | | | | 11,962 | |
| | | | | | | | |
| | | | | | | 150,890 | |
| | | | | | | | |
Semiconductors & Semiconductor Equipment — 0.2% | | | | | | | | |
Broadcom Corp. | | | | | | | | |
2.65%, 1/15/2023 | | | 20,000 | | | | 20,020 | |
3.88%, 1/15/2027 | | | 25,000 | | | | 25,521 | |
| | | | | | | | |
| | | | | | | 45,541 | |
| | | | | | | | |
Software — 0.5% | | | | | | | | |
Microsoft Corp. 4.20%, 11/3/2035 | | | 60,000 | | | | 71,464 | |
Oracle Corp. 3.85%, 7/15/2036 | | | 60,000 | | | | 66,229 | |
| | | | | | | | |
| | | | | | | 137,693 | |
| | | | | | | | |
Specialty Retail — 0.1% | | | | | | | | |
Advance Auto Parts, Inc. 4.50%, 12/1/2023 | | | 25,000 | | | | 26,745 | |
Lowe’s Cos., Inc. 4.65%, 4/15/2042 | | | 10,000 | | | | 11,525 | |
| | | | | | | | |
| | | | | | | 38,270 | |
| | | | | | | | |
Technology Hardware, Storage & Peripherals — 0.4% | | | | | | | | |
Apple, Inc. | | | | | | | | |
2.75%, 1/13/2025 | | | 30,000 | | | | 30,945 | |
4.65%, 2/23/2046 | | | 30,000 | | | | 37,849 | |
Dell International LLC 4.42%, 6/15/2021 (a) | | | 25,000 | | | | 25,738 | |
| | | | | | | | |
| | | | | | | 94,532 | |
| | | | | | | | |
Tobacco — 0.2% | | | | | | | | |
Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045 | | | 35,000 | | | | 39,558 | |
| | | | | | | | |
Trading Companies & Distributors — 0.5% | | | | | | | | |
Air Lease Corp. | | | | | | | | |
3.50%, 1/15/2022 | | | 25,000 | | | | 25,632 | |
3.25%, 10/1/2029 | | | 20,000 | | | | 19,859 | |
Aviation Capital Group LLC | | | | | | | | |
2.88%, 1/20/2022 (a) | | | 30,000 | | | | 30,083 | |
3.50%, 11/1/2027 (a) | | | 20,000 | | | | 19,961 | |
International Lease Finance Corp. 4.63%, 4/15/2021 | | | 35,000 | | | | 36,128 | |
| | | | | | | | |
| | | | | | | 131,663 | |
| | | | | | | | |
Wireless Telecommunication Services — 0.2% | | | | | | | | |
Vodafone Group plc (United Kingdom) | | | | | | | | |
3.75%, 1/16/2024 | | | 20,000 | | | | 21,082 | |
4.38%, 5/30/2028 | | | 25,000 | | | | 27,760 | |
5.00%, 5/30/2038 | | | 11,000 | | | | 12,647 | |
| | | | | | | | |
| | | | | | | 61,489 | |
| | | | | | | | |
TOTAL CORPORATE BONDS
(Cost $6,303,707) | | | | 6,714,967 | |
| | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
Investments | | Principal
Amount ($) | | | Value ($) | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.5% | | | | | | | | |
20 Times Square Trust | | | | | | | | |
Series 2018-20TS, Class D, 3.20%, 5/15/2035‡ (a) (b) | | | 100,000 | | | | 100,210 | |
Series 2018-20TS, Class E, 3.20%, 5/15/2035‡ (a) (b) | | | 100,000 | | | | 99,145 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
Series 2013-GC11, Class A3, 2.82%, 4/10/2046 | | | 23,593 | | | | 24,066 | |
Series 2014-GC19, Class A3, 3.75%, 3/10/2047 | | | 8,323 | | | | 8,789 | |
Series 2014-GC23, Class A3, 3.36%, 7/10/2047 | | | 12,593 | | | | 13,200 | |
Commercial Mortgage Trust | | | | | | | | |
Series 2014-UBS2, Class A4, 3.69%, 3/10/2047 | | | 15,000 | | | | 15,778 | |
Series 2014-CR17, Class A4, 3.70%, 5/10/2047 | | | 30,000 | | | | 31,637 | |
Series 2014-UBS3, Class A3, 3.55%, 6/10/2047 | | | 23,745 | | | | 24,901 | |
FHLMC, Multifamily Structured Pass-Through Certificates | | | | | | | | |
Series K731, Class AM, 3.60%, 2/25/2025 (b) | | | 200,000 | | | | 212,074 | |
Series K090, Class A2, 3.42%, 2/25/2029 | | | 120,000 | | | | 131,083 | |
FREMF Mortgage Trust Series2013-K26, Class B, 3.72%, 12/25/2045 (a) (b) | | | 99,000 | | | | 102,675 | |
GPMT Ltd. (Cayman Islands) Series2018-FL1, Class AS, 2.92%, 11/21/2035‡ (a) (b) | | | 150,000 | | | | 149,631 | |
GS Mortgage Securities Trust | | | | | | | | |
Series 2013-GC16, Class AS, 4.65%, 11/10/2046 | | | 111,000 | | | | 120,220 | |
Series 2013-GC16, Class B, 5.16%, 11/10/2046 (b) | | | 50,000 | | | | 54,766 | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
Series 2013-LC11, Class A4, 2.69%, 4/15/2046 | | | 13,593 | | | | 13,816 | |
Series2011-C5, Class B, 5.59%, 8/15/2046 (a) (b) | | | 169,000 | | | | 176,401 | |
JPMBB Commercial Mortgage Securities Trust Series2013-C15, Class C, 5.37%, 11/15/2045 (b) | | | 30,000 | | | | 32,399 | |
JPMCCRe-REMIC Trust Series 2014-FRR1, Class BK10, 2.46%, 11/27/2049‡ (a) (b) | | | 180,000 | | | | 178,013 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
Series2014-C18, Class A2, 3.19%, 10/15/2047 | | | 4,670 | | | | 4,666 | |
Series2015-C27, Class A3, 3.47%, 12/15/2047 | | | 130,000 | | | | 137,273 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS4, Class A3, 3.45%, 12/15/2048 | | | 130,000 | | | | 137,619 | |
WFRBS Commercial Mortgage Trust Series2013-C13, Class A3, 2.75%, 5/15/2045 | | | 26,291 | | | | 26,768 | |
| | | | | | | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $1,717,688) | | | | 1,795,130 | |
| | | | | |
U.S. TREASURY OBLIGATIONS — 2.0% | | | | | | | | |
U.S. Treasury Bonds 3.75%, 11/15/2043 | | | 7,000 | | | | 9,039 | |
U.S. Treasury Notes | | | | | | | | |
2.63%, 2/28/2023 | | | 265,000 | | | | 273,343 | |
2.75%, 2/15/2028 | | | 230,000 | | | | 247,555 | |
2.88%, 5/15/2028 | | | 17,600 | | | | 19,146 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $518,662) | | | | 549,083 | |
| | | | | |
MORTGAGE-BACKED SECURITIES — 1.5% | | | | | | | | |
FNMA, Other | | | | | | | | |
Pool # AM4660, 3.77%, 12/1/2025 | | | 133,092 | | | | 143,999 | |
Pool # AM5940, 3.24%, 6/1/2026 | | | 68,135 | | | | 72,307 | |
Pool # AM6428, 3.58%, 8/1/2029 | | | 87,090 | | | | 95,276 | |
Pool # AM6430, 3.58%, 8/1/2029 | | | 87,090 | | | | 95,276 | |
| | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $381,350) | | | | 406,858 | |
| | | | | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
| | | | | | | | |
| | |
Investments | | Shares | | | Value ($) | |
SHORT-TERM INVESTMENTS — 9.1% | | | | | | | | |
INVESTMENT COMPANIES — 9.1% | | | | | | | | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.74% (f) (g)
(Cost $2,524,024) | | | 2,523,465 | | | | 2,524,222 | |
| | | | | | | | |
Total Investments — 99.8%
(Cost $26,541,500) | | | | 27,604,930 | |
Other Assets Less Liabilities — 0.2% | | | | 58,936 | |
| | | | | |
Net Assets — 100.0% | | | | 27,663,866 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
| Abbreviations |
| |
| ABS | | Asset-backed securities |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| REIT | | Real Estate Investment Trust |
| REMIC | | Real Estate Mortgage Investment Conduit |
| USD | | United States Dollar |
| |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2019. |
| (c) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2019. |
| (d) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2019. |
| (e) | | Amount rounds to less than 0.1% of net assets. |
| (f) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (g) | | The rate shown is the current yield as of November 30, 2019. |
| ‡ | | Value determined using significant unobservable inputs. |
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2019.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
| | • | | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
| | • | | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| | • | | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable
inputs | | | Level 3
Significant unobservable
inputs | | | Total | |
Investments in Securities | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 7,181,010 | | | $ | 798,336 | | | $ | 7,979,346 | |
Collateralized Mortgage Obligations | | | — | | | | 7,635,324 | | | | — | | | | 7,635,324 | |
Commercial Mortgage-Backed Securities | | | — | | | | 1,268,131 | | | | 526,999 | | | | 1,795,130 | |
Corporate Bonds | | | — | | | | 6,714,967 | | | | — | | | | 6,714,967 | |
Mortgage-Backed Securities | | | — | | | | 406,858 | | | | — | | | | 406,858 | |
U.S. Treasury Obligations | | | — | | | | 549,083 | | | | — | | | | 549,083 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 2,524,222 | | | | — | | | | — | | | | 2,524,222 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 2,524,222 | | | $ | 23,755,373 | | | $ | 1,325,335 | | | $ | 27,604,930 | |
| | | | | | | | | | | | | | | | |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance as of
February 28,
2019 | | | Realized gain
(loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Net accretion
(amortization) | | | Purchases1 | | | Sales2 | | | Transfers
into Level 3 | | | Transfers out
of Level 3 | | | Balance as of
November 30, 2019 | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 1,018,884 | | | $ | — | (a) | | $ | 13,995 | | | $ | 80 | | | $ | 249,986 | | | $ | (584,061 | ) | | $ | 99,452 | | | $ | — | | | $ | 798,336 | |
Commercial Mortgage-Backed Securities | | | 865,834 | | | | — | | | | 12,073 | | | | 533 | | | | — | | | | (351,441 | ) | | | — | | | | — | | | | 526,999 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,884,718 | | | $ | — | | | $ | 26,068 | | | $ | 613 | | | $ | 249,986 | | | $ | (935,502 | ) | | $ | 99,452 | | | $ | — | | | $ | 1,325,335 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | �� | | | | | | | | |
| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| (a) | Amount rounds to less than one. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2019, which were valued using significant unobservable inputs (level 3) amounted to $27,448.
There were no significant transfers into or out of level 3 during the period ended November 30, 2019.
Quantitative Information about Level 3 Fair Value Measurements #
| | | | | | | | | | | | |
| | | Fair Value
at November 30,
2019 | | | Valuation Technique(s) | | Unobservable Input | | Range (Weighted Average) (a) | |
| | $ | 798,336 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 0.00% - 40.00% (10.07% | ) |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | 2.33% - 3.76% (2.97% | ) |
| | | | | | | | | | | | |
Asset-Backed Securities | | | 798,336 | | | | | | | | | |
| | | | | | | | | | | | |
| | | 377,368 | | | Discounted Cash Flow | | Yield (Discount Rate of Cash Flows) | | | 2.97% - 3.39% (3.10%) | |
| | | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | 377,368 | | | | | | | | | |
| | | | | | | | | | | | |
Total | | $ | 1,175,704 | | | | | | | | | |
| | | | | | | | | | | | |
| # | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At November 30, 2019, the value of these investments was $149,631. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A. |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2019 (Unaudited) (continued)
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the period ended November 30, 2019 | |
Security Description | | Value at
February 28, 2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
November 30, 2019 | | | Shares at
November 30, 2019 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.74% (a) (b) | | $ | 983,692 | | | $ | 5,453,405 | | | $ | 3,912,898 | | | $ | 15 | | | $ | 8 | | | $ | 2,524,222 | | | | 2,523,465 | | | $ | 27,594 | | | $ | — | |
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of November 30, 2019. |
