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Abbreviations

REIT

Real Estate Investment Trust

(a)

Amount rounds to less than 0.1% of net assets.

(b)

The security or a portion of this security is on loan at September 30, 2020. The total value of securities on

loan at September 30, 2020 is $14,039,988.

(c)

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.

(d)

The rate shown is the current yield as of September 30, 2020.

*

Non-income producing security.

Futures contracts outstanding as of September 30, 2020:

Description

Number of

Contracts

Expiration

Date

Trading Currency

Notional

Amount

($)

Value and

Unrealized

Appreciation

(Depreciation)

($)

Long Contracts

Russell 2000 E-Mini Index

53

12/2020

USD

3,989,045

14,585

Abbreviations

USD

United States Dollar

A. Valuation of Investments Investments are valued in accordance with U.S. generally accepted accounting

principles (GAAP) and the Portfolios 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 Portfolios investments. The Administrator implements the valuation

policies of the Portfolios investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on

results of ongoing valuation oversight including, but not limited, to consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the

potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

Equities and other

exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (NAV) of the Portfolio are calculated on a valuation

date.

Investments in open-end investment companies (Underlying Funds) are valued at each Underlying Funds NAV per share as of the

report date.

Futures contracts are generally valued on the basis of available market quotations.

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

Portfolios 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 Portfolios assumptions in determining the fair value of investments).