Table of Contents
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: 811-21295
JPMorgan Trust I
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: August 31
Date of reporting period: September 1, 2017 through February 28, 2018
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.
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
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).
Table of Contents
Semi-Annual Report
J.P. Morgan Income Funds
February 28, 2018 (Unaudited)
JPMorgan Global Bond Opportunities Fund
Table of Contents
CEO’s Letter | 1 | |||
Fund Commentary | 2 | |||
Schedule of Portfolio Investments | 5 | |||
Financial Statements | 42 | |||
Financial Highlights | 48 | |||
Notes to Financial Statements | 50 | |||
Schedule of Shareholder Expenses | 63 |
Investments in the 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 the 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 the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.
Prospective investors should refer to the Fund’s prospectuses for a discussion of the Fund’s 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 the Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
March 29, 2018 (Unaudited)
Dear Shareholder,
The global economy extended its expansion into its ninth year with support from accommodative central banks, growth in corporate profits, consumer confidence and stable energy prices. Prices for equities and bonds generally rose throughout the six months ended February 28, 2018, and managed to rebound somewhat from a sharp sell-off in early February.
![]() |
“While financial market volatility has increased from the historic lows that marked 2017, certain fundamental drivers of asset prices remain in place.” — George C.W. Gatch |
Responding to a tightening U.S. labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017. Meanwhile, the U.S. unemployment rate dropped to 4.1% in October and remained at that level through February. Notably, wage growth was positive but subdued. U.S. gross domestic product (GDP) rose to a better-than-expected 2.9% in the final three months of 2017, and early indicators pointed to a continued seasonal pattern of weaker but positive GDP growth for the first quarter of 2018.
The Tax Cuts and Jobs Act of 2017, which reduced both individual and corporate income taxes, was enacted in late December 2017. The law’s passage appeared to add support for U.S. equity prices, which continued to rally through January.
The early February sell-off in financial markets snapped a 15-month run of consecutive gains in the Standard & Poor’s 500 Index. The sell-off also sent yields on government and corporate bonds, which generally move in the opposite direction of prices, sharply higher.
Analysts largely attributed the sell-off to historically high equity market valuations and investor concerns that signs of rising inflation would prompt the Fed to accelerate the rollout of future interest rates increases. While equity prices had rebounded somewhat by the end of February, bond prices remained under pressure.
Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half as economic growth within the European Union (EU) continued to
strengthen. However, the ECB declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised benchmark interest rates for the first time in a decade as the domestic economy continued to expand, despite some headwinds from uncertainty over Britain’s advance toward an exit from the EU.
Political uncertainty in Europe faded somewhat as Spain’s central government halted a secessionist movement in Catalonia in October and German Chancellor Angela Merkel successfully formed a governing coalition in late February.
Emerging market nations continued to benefit from robust growth in China, rising commodity prices and strong global demand for goods. Emerging markets debt, which generated strong returns for investors during most of the reporting period, began to weaken late in 2017 amid a decline in the value of the U.S. dollar, which effectively raises the price of exports.
While financial market volatility has increased from the historic lows that marked 2017, certain fundamental drivers of asset prices remain in place. Leading central banks have edged toward policy normalization but remained strongly accommodative for financial markets. Corporate profits have been robust and business investment began to rise in the latter part of the reporting period. Consumer sentiment was buoyant and the outlook for synchronized global economic growth remained positive. Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment.
We look forward to managing your investment needs for years to come. 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,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 1 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SIX MONTHS ENDED FEBRUARY 28, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 1.37% | |||
Bloomberg Barclays Multiverse Index | 0.55% | |||
Net Assets as of 2/28/2018 (In Thousands) | $2,961,623 | |||
Duration as of 2/28/2018 | 3.4 years |
INVESTMENT OBJECTIVE**
The JPMorgan Global Bond Opportunities Fund (the “Fund”) seeks to provide total return.
HOW DID THE MARKET PERFORM?
During the reporting period, global bond markets produced slim to negative returns and underperformed global equities, which were supported by rising corporate earnings, continued low interest rates and synchronized global economic growth. In early February, a sharp sell-off pushed down prices for both fixed income and equity securities. Generally, investors blamed the sell-off on a surge in U.S. Treasury bond yields, which move in the opposite direction of bond prices, as well as uncertainty about U.S. Federal Reserve policy and historically high equity valuations.
While equity prices rebounded somewhat from the sell-off, bond prices overall were weighed down by expectations of accelerating inflation and rising interest rates as the global economic expansion continued into 2018. Within fixed income markets, high yield bonds (also known as “junk bonds”) continued to outperform investment grade corporate debt and U.S. Treasury bonds. U.S. dollar-denominated emerging markets debt, which had outperformed other fixed income sectors in the first half of 2017, turned negative by the end of February 2018, while local currency-denominated emerging markets debt continued to deliver positive returns.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund is managed with an unconstrained orientation and is not managed to a benchmark. While the Fund is not managed to a benchmark, its performance is compared with the Bloomberg Barclays Multiverse Index (the “Index”). For the six months ended February 28, 2018, the Fund’s Class I shares outperformed the Index. The Fund’s hedging of foreign currency positions, through the use of forward contracts, was a leading contributor to performance relative to the unhedged Index.
The Fund’s allocations to high yield bonds and emerging markets local currency debt were leading contributors to absolute
performance. The Fund’s allocation to commercial mortgage-backed securities and asset-backed securities also contributed to absolute performance. The Fund’s short positions in U.S. Treasury bond futures contributed to absolute performance as U.S. Treasury bonds sold off during the reporting period. The Fund’s allocations to investment grade corporate credit and select foreign currency positions detracted from absolute performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund invested opportunistically across different markets and sectors. The Fund’s managers applied a flexible investment approach and did not manage to a benchmark. This allowed the Fund to shift its allocations based on changing market conditions. The Fund had exposure to a broad range of asset classes during the reporting period, including high yield and investment grade corporate bonds, agency and non-agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities, emerging markets debt, convertible bonds and foreign government securities.
During the reporting period, the Fund’s managers increased their allocation to emerging markets across local currencies due to improving market fundamentals and what the managers believed were attractive real yield opportunities. The managers also increased their allocations to investment grade and high yield corporate credit, while reducing exposures to securitized credit.
The managers increased the length of the Fund’s overall duration through the addition of modest duration across high yield and investment grade credit, as well as emerging markets local currency debt. Duration measures the price sensitivity of a portfolio of debt securities to changes in interest rates. Bonds with longer maturities will generally experience a larger increase or decrease in price as interest rates fall or rise, respectively, versus bonds with shorter maturities. The Fund’s duration increased to 3.40 years at February 28, 2018 from 3.01 years at August 31, 2017.
2 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 57.2 | % | ||
Foreign Government Securities | 21.3 | |||
Asset-Backed Securities | 6.3 | |||
Commercial Mortgage-Backed Securities | 5.9 | |||
Loan Assignments | 2.9 | |||
Convertible Bonds | 2.6 | |||
Collateralized Mortgage Obligations | 2.4 | |||
Others (each less than 1.0%) | 0.6 | |||
Short-Term Investments | 0.8 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
United States | 47.7 | % | ||
United Kingdom | 3.8 | |||
Spain | 3.4 | |||
Brazil | 3.3 | |||
Russia | 3.2 | |||
Indonesia | 3.1 | |||
France | 3.0 | |||
Cayman Islands | 2.9 | |||
Italy | 2.5 | |||
Luxembourg | 2.5 | |||
Portugal | 2.3 | |||
Germany | 2.0 | |||
Malaysia | 2.0 | |||
Netherlands | 1.8 | |||
Mexico | 1.2 | |||
Ireland | 1.1 | |||
Others (each less than 1.0%) | 13.4 | |||
Short-Term Investments | 0.8 |
* | 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. |
*** | Percentages indicated are based on total investments as of February 28, 2018. The Fund’s portfolio composition is subject to change. |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 3 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
FUND COMMENTARY
SIX MONTHS ENDED FEBRUARY 28, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2018 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | September 4, 2012 | |||||||||||||||||
With Sales Charge** | (2.57 | )% | 0.21 | % | 3.16 | % | 3.98 | % | ||||||||||
Without Sales Charge | 1.25 | 4.06 | 3.96 | 4.71 | ||||||||||||||
CLASS C SHARES | September 4, 2012 | |||||||||||||||||
With CDSC*** | 0.06 | 2.67 | 3.53 | 4.28 | ||||||||||||||
Without CDSC | 1.06 | 3.67 | 3.53 | 4.28 | ||||||||||||||
CLASS I SHARES | September 4, 2012 | 1.37 | 4.42 | 4.21 | 4.97 | |||||||||||||
CLASS R6 SHARES | September 4, 2012 | 1.44 | 4.46 | 4.36 | 5.11 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (9/4/12 TO 2/28/18)
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 September 4, 2012.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Global Bond Opportunities Fund, the Bloomberg Barclays Multiverse Index and the Lipper Global Income Funds Index from September 4, 2012 to February 28, 2018. The performance of the Lipper Global Income Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. 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 Bloomberg Barclays Multiverse Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund, if applicable. The performance of the Lipper Global Income Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays Multiverse Index provides a broad-based measure of the international fixed income bond market. The Bloomberg Barclays Multiverse Index represents the union of the Bloomberg Barclays Global Aggregate Index and the Bloomberg Barclays Global High Yield Index. The Bloomberg Barclays Global Aggregate Index is a measure of global investment grade debt
from twenty-four different local currency markets. The Bloomberg Barclays Global High Yield Index provides a broad-based measure of the global high-yield fixed income markets. The Lipper Global Income Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception of the Fund on September 4, 2012 until May 31, 2013, the Fund did not experience any shareholder purchase and sale activity. If such 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 redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
4 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Asset-Backed Securities — 6.1% | ||||||||
Cayman Islands — 2.7% |
| |||||||
1,002 | ACIS CLO Ltd., Series 2017-7A, Class A1, 3.12%, 05/01/2027 (e) (z) | 1,008 | ||||||
AIMCO CLO, | ||||||||
2,429 | Series 2014-AA, Class AR, 2.84%, | 2,430 | ||||||
1,125 | Series 2017-AA, Class A, 3.00%, | 1,133 | ||||||
2,282 | Bain Capital Credit CLO, Series 2017-1A, Class A1, 2.99%, 07/20/2030 (e) (z) | 2,297 | ||||||
4,750 | Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, 2.77%, 06/09/2030 (e) (z) | 4,792 | ||||||
5,200 | CFIP CLO Ltd., Series 2017-1A, Class A, 2.62%, 01/18/2030 (e) (w) (z) | 5,233 | ||||||
CIFC Funding Ltd., | ||||||||
1,999 | Series 2017-1A, Class A, 3.10%, | 2,011 | ||||||
2,997 | Series 2017-2A, Class A, 2.98%, | 3,024 | ||||||
4,028 | Dryden 49 Senior Loan Fund, Series 2017-49A, Class A, 2.94%, 07/18/2030 (e) (z) | 4,055 | ||||||
1,000 | Flatiron CLO Ltd., Series 2013-1A, Class A1R, 2.89%, 01/17/2026 (e) (z) | 1,000 | ||||||
2,414 | GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class A, 2.96%, | 2,428 | ||||||
2,167 | Grippen Park CLO Ltd., Series 2017-1A, Class A, 3.00%, 01/20/2030 (e) (z) | 2,178 | ||||||
2,073 | LCM XV LP, Series 15A, Class AR, 2.98%, | 2,094 | ||||||
3,620 | LCM XVI LP, Series 16A, Class AR, 2.75%, 07/15/2026 (e) (z) | 3,620 | ||||||
2,593 | Nassau Ltd., Series 2017-IA, Class A1A, 3.04%, 10/15/2029 (e) (z) | 2,607 | ||||||
4,130 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class AR, 3.01%, 01/28/2030 (e) (z) | 4,162 | ||||||
1,832 | Neuberger Berman Loan Advisers CLO 24 Ltd., Series 2017-24A, Class A, 2.97%, | 1,846 | ||||||
4,160 | OCP CLO Ltd., Series 2017-13A, Class A1A, 2.98%, 07/15/2030 (e) (z) | 4,207 | ||||||
1,627 | Octagon Investment Partners 30 Ltd., Series 2017-1A, Class A1, 3.06%, 03/17/2030 (e) (z) | 1,649 | ||||||
3,161 | Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3.22%, 02/20/2030 (e) (z) | 3,186 | ||||||
2,065 | Renew, Series 2017-1A, Class B, 5.75%, | 2,102 | ||||||
2,742 | Sound Point CLO IV Ltd., Series 2013-3A, Class AR, 2.84%, 01/21/2026 (e) (z) | 2,745 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Cayman Islands — continued |
| |||||||
4,630 | TCI-Cent CLO Income Note Issuer Ltd., Series 2017-1A, Class A1, 3.02%, | 4,662 | ||||||
THL Credit Wind River CLO Ltd., | ||||||||
1,335 | Series 2017-1A, Class A, 3.07%, | 1,343 | ||||||
4,680 | Series 2017-2A, Class A, 2.97%, | 4,711 | ||||||
2,456 | TIAA CLO II Ltd., Series 2017-1A, Class A, 3.02%, 04/20/2029 (e) (z) | 2,471 | ||||||
3,620 | TRESTLES CLO Ltd., Series 2017-1A, Class A1A, 2.62%, 07/25/2029 (e) (z) | 3,645 | ||||||
4,335 | VOYA CLO, Series 2017-2A, Class A1, 2.93%, 06/07/2030 (e) (z) | 4,360 | ||||||
|
| |||||||
80,999 | ||||||||
|
| |||||||
Italy — 0.0% (g) |
| |||||||
EUR | 3 | Italfinance Securitisation Vehicle SRL, Series 2005-1, Class A, Reg. S, 0.00%, 03/14/2023 (z) | 3 | |||||
|
| |||||||
United States — 3.4% |
| |||||||
83 | ABFC Trust, Series 2004-OPT2, Class M2, 3.12%, 07/25/2033 (z) (bb) | 80 | ||||||
93 | ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M2, 3.20%, | 91 | ||||||
844 | American Airlines Pass-Through Trust, Series 2015-1, Class B, 3.70%, 05/01/2023 | 835 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, | ||||||||
91 | Series 2003-W7, Class M2, 4.25%, | 90 | ||||||
98 | Series 2004-W3, Class A3, 2.44%, | 96 | ||||||
28 | Bear Stearns Asset-Backed Securities Trust, Series 2002-1, Class 1A5, SUB, 6.89%, 12/25/2034 (bb) | 28 | ||||||
Business Jet Securities LLC, | ||||||||
1,880 | Series 2018-1, Class A, 4.34%, 02/15/2033 (e) | 1,880 | ||||||
3,445 | Series 2018-1, Class B, 6.05%, 02/15/2033 (e) | 3,445 | ||||||
400 | CIG Auto Receivables Trust, Series 2017-1A, Class C, 5.33%, 12/16/2024 (e) | 395 | ||||||
Citi Held For Asset Issuance, | ||||||||
2,910 | Series 2015-PM2, Class C, 5.96%, | 2,951 | ||||||
2,280 | Series 2015-PM3, Class C, 6.99%, | 2,339 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 5 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued |
| |||||||
CLUB Credit Trust, | ||||||||
1,200 | Series 2017-NP1, Class C, 5.13%, 04/17/2023 (e) | 1,214 | ||||||
1,300 | Series 2017-P1, Class A, 2.42%, 09/15/2023 (e) | 1,297 | ||||||
3,285 | Series 2017-P1, Class B, 3.56%, 09/15/2023 (e) | 3,287 | ||||||
1,550 | Series 2017-P2, Class A, 2.61%, 01/15/2024 (e) | 1,547 | ||||||
122 | Continental Airlines Pass-Through Trust, Series 2007-1, Class A, 5.98%, 04/19/2022 | 132 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
64 | Series 2002-4, Class M1, 2.75%, | 63 | ||||||
119 | Series 2004-2, Class M1, 2.37%, | 119 | ||||||
15 | Series 2004-BC1, Class M3, 3.72%, | 14 | ||||||
2,810 | Series 2004-ECC2, Class M2, 2.60%, | 2,813 | ||||||
1,772 | Series 2005-AB3, Class 1A1, 2.12%, | 1,745 | ||||||
DT Auto Owner Trust, | ||||||||
1,365 | Series 2015-3A, Class D, 4.53%, 10/17/2022 (e) | 1,389 | ||||||
1,384 | Series 2017-4A, Class D, 3.47%, 07/17/2023 (e) | 1,375 | ||||||
1,650 | Series 2017-4A, Class E, 5.15%, 11/15/2024 (e) | 1,657 | ||||||
1,280 | Exeter Automobile Receivables Trust, Series 2018-1A, Class E, 4.64%, 10/15/2024 (e) | 1,273 | ||||||
116 | First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A1, 2.34%, 08/25/2034 (z) (bb) | 113 | ||||||
860 | FirstKey Lending Trust, Series 2015-SFR1, Class D, 4.37%, 03/09/2047 (e) (z) (bb) | 856 | ||||||
198 | Flagship Credit Auto Trust, Series 2014-2, Class C, 3.95%, 12/15/2020 (e) | 200 | ||||||
39 | Fremont Home Loan Trust, Series 2004-2, Class M2, 2.55%, 07/25/2034 (z) | 39 | ||||||
340 | GMAT Trust, Series 2013-1A, Class M, 5.00%, 11/25/2043 (e) (z) (bb) | 287 | ||||||
39 | Home Equity Asset Trust, Series 2004-6, Class M2, 2.52%, 12/25/2034 (z) (bb) | 38 | ||||||
2,000 | Kabbage Asset Securitization LLC, Series 2017-1, Class C, 8.00%, 03/15/2022 (e) (bb) | 2,112 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,300 | LendingClub Issuance Trust, Series 2016-NP2, Class B, 6.00%, 01/17/2023 (e) | 1,327 | ||||||
Lendmark Funding Trust, | ||||||||
1,830 | Series 2017-1A, Class C, 5.41%, 12/22/2025 (e) | 1,880 | ||||||
685 | Series 2017-2A, Class B, 3.38%, | 679 | ||||||
515 | Series 2017-2A, Class C, 4.33%, | 511 | ||||||
2,967 | LV Tower 52 Issuer, Series 2013-1, Class M, 7.75%, 02/15/2023 (e) (bb) | 2,967 | ||||||
Marlette Funding Trust, | ||||||||
788 | Series 2017-3A, Class A, 2.36%, 12/15/2024 (e) | 786 | ||||||
740 | Series 2017-3A, Class B, 3.01%, 12/15/2024 (e) | 736 | ||||||
280 | Series 2017-3A, Class C, 4.01%, 12/15/2024 (e) | 282 | ||||||
1,050 | Series 2018-1A, Class B, 3.19%, 03/15/2028 (e) | 1,046 | ||||||
895 | Series 2018-1A, Class C, 3.69%, 03/15/2028 (e) | 894 | ||||||
450 | Series 2018-1A, Class D, 4.85%, 03/15/2028 (e) | 450 | ||||||
79 | Merrill Lynch Mortgage Investors Trust, Series 2003-OPT1, Class M1, 2.60%, 07/25/2034 (z) (bb) | 78 | ||||||
6,373 | MFA Trust, Series 2017-NPL1, Class A1, SUB, 3.35%, 11/25/2047 (e) (bb) | 6,336 | ||||||
136 | Mid-State Capital Corp. Trust, Series 2006-1, Class M2, 6.74%, 10/15/2040 (e) (bb) | 154 | ||||||
60 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE1, Class M1, 2.48%, 01/25/2034 (z) (bb) | 60 | ||||||
61 | New Century Home Equity Loan Trust, Series 2003-4, Class M2, 4.35%, 10/25/2033 (z) (bb) | 60 | ||||||
1,785 | NRPL Trust, Series 2015-2A, Class A1, SUB, 3.75%, 10/25/2057 (e) | 1,785 | ||||||
1,250 | Onemain Financial Issuance Trust, Series 2018-1A, Class D, 4.08%, 03/14/2029 (e) | 1,250 | ||||||
OneMain Financial Issuance Trust, | ||||||||
182 | Series 2014-2A, Class C, 4.33%, | 183 | ||||||
151 | Series 2014-2A, Class D, 5.31%, | 152 | ||||||
1,114 | Series 2015-1A, Class A, 3.19%, 03/18/2026 (e) | 1,118 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued |
| |||||||
608 | Series 2015-1A, Class C, 5.12%, 03/18/2026 (e) | 613 | ||||||
1,100 | Series 2017-1A, Class D, 4.52%, 09/14/2032 (e) | 1,095 | ||||||
1,170 | Oportun Funding VI LLC, Series 2017-A, Class B, 3.97%, 06/08/2023 (e) (z) (bb) | 1,143 | ||||||
262 | Park Place Securities, Inc., Series 2005-WCH1, Class M3, 2.46%, 01/25/2036 (z) (bb) | 263 | ||||||
66 | People’s Choice Home Loan Securities Trust, Series 2004-2, Class M1, 2.52%, | 66 | ||||||
Pretium Mortgage Credit Partners I LLC, | ||||||||
5,401 | Series 2017-NPL5, Class A1, 3.33%, | 5,386 | ||||||
3,157 | Series 2018-NPL1, Class A1, SUB, 3.37%, 01/27/2033 (e) | 3,153 | ||||||
1,400 | Progress Residential Trust, Series 2015-SFR2, Class D, 3.68%, 06/12/2032 (e) | 1,398 | ||||||
Prosper Marketplace Issuance Trust, | ||||||||
2,584 | Series 2017-3A, Class A, 2.36%, 11/15/2023 (e) | 2,578 | ||||||
2,600 | Series 2017-3A, Class B, 3.36%, 11/15/2023 (e) | 2,589 | ||||||
RASC Trust, | ||||||||
1,877 | Series 2005-EMX1, Class M1, 2.27%, | 1,882 | ||||||
66 | Series 2005-KS2, Class M1, 2.27%, | 67 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
847 | Series 2004-1, Class M1, 2.49%, | 818 | ||||||
483 | Series 2005-1, Class AF6, SUB, 4.97%, | 494 | ||||||
910 | Series 2005-2, Class M1, SUB, 5.05%, | 926 | ||||||
231 | Saxon Asset Securities Trust, Series 2004-3, Class M1, 2.52%, 12/26/2034 (z) (bb) | 228 | ||||||
1,584 | SoFi Consumer Loan Program LLC, Series 2017-6, Class B, 3.52%, 11/25/2026 (e) (bb) | 1,564 | ||||||
SoFi Consumer Loan Program Trust, | ||||||||
459 | Series 2018-1, Class A2, 3.14%, 02/25/2027 (e) | 456 | ||||||
1,250 | Series 2018-1, Class B, 3.65%, 02/25/2027 (e) | 1,244 | ||||||
730 | Series 2018-1, Class C, 3.97%, 02/25/2027 (e) | 726 | ||||||
700 | Springleaf Funding Trust, Series 2016-AA, Class B, 3.80%, 11/15/2029 (e) | 703 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
146 | Structured Asset Investment Loan Trust, Series 2003-BC10, Class A4, 2.62%, | 144 | ||||||
612 | US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/2021 | 636 | ||||||
1,910 | Vantage Data Centers Issuer LLC, Series 2018-1A, Class A2, 4.07%, 02/16/2043 (e) | 1,919 | ||||||
2,480 | Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.84%, 04/17/2023 (e) | 2,473 | ||||||
1,490 | VOLT LXII LLC, Series 2017-NPL9, Class A1, SUB, 3.13%, 09/25/2047 (e) (bb) | 1,480 | ||||||
3,575 | VOLT LXIII LLC, Series 2017-NP10, Class A1, SUB, 3.00%, 10/25/2047 (e) (bb) | 3,573 | ||||||
2,168 | VOLT LXIV LLC, Series 2017-NP11, Class A1, SUB, 3.37%, 10/25/2047 (e) | 2,164 | ||||||
1,101 | VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.50%, 06/26/2045 (e) (bb) | 1,101 | ||||||
1,273 | VOLT XXXVIII LLC, Series 2015-NP12, Class A1, SUB, 3.88%, 09/25/2045 (e) (bb) | 1,276 | ||||||
Westlake Automobile Receivables Trust, | ||||||||
1,000 | Series 2018-1A, Class E, 4.53%, 05/15/2023 (e) | 997 | ||||||
1,000 | Series 2018-1A, Class F, 5.60%, 07/15/2024 (e) | 999 | ||||||
|
| |||||||
100,688 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 181,690 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 2.4% | ||||||||
Italy — 0.0% (g) |
| |||||||
EUR | 120 | Intesa Sec Srl, Reg. S, Series 3, Class B, | 146 | |||||
|
| |||||||
United States — 2.4% |
| |||||||
3,000 | Acre, 0.00%, 12/15/2020 (bb) | 3,000 | ||||||
Alternative Loan Trust | ||||||||
4,469 | Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 4,576 | ||||||
96 | Series 2005-6CB, Class 1A6, 5.50%, 04/25/2035 | 97 | ||||||
1,664 | Series 2005-21CB, Class A17, 6.00%, 06/25/2035 | 1,659 | ||||||
4,333 | Series 2005-80CB, Class 5A1, 6.00%, 02/25/2036 | 4,374 | ||||||
106 | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A3, 3.68%, 02/25/2037 (z) | 107 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 7 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
United States — continued |
| |||||||
1,914 | CHL Mortgage Pass-Through Trust, Series 2007-16, Class A1, 6.50%, 10/25/2037 | 1,652 | ||||||
1,154 | DSLA Mortgage Loan Trust, Series 2005-AR4, Class 2A1A, 1.85%, 08/19/2045 (z) | 1,086 | ||||||
FHLMC REMIC | ||||||||
175 | Series 3110, Class SL, IF, IO, 4.56%, | 9 | ||||||
622 | Series 3459, Class JS, IF, IO, 4.66%, | 82 | ||||||
195 | Series 3716, Class PI, IO, 4.50%, 04/15/2038 | 18 | ||||||
676 | Series 3775, Class LI, IO, 3.50%, 12/15/2020 | 24 | ||||||
606 | Series 3907, Class AI, IO, 5.00%, 05/15/2040 | 74 | ||||||
2,737 | Series 3907, Class SW, IF, IO, 5.06%, | 274 | ||||||
986 | Series 3914, Class LS, IF, IO, 5.21%, | 100 | ||||||
455 | Series 4018, Class HI, IO, 4.50%, 03/15/2041 | 83 | ||||||
616 | Series 4030, Class IL, IO, 3.50%, 04/15/2027 | 62 | ||||||
2,581 | Series 4043, Class PI, IO, 2.50%, 05/15/2027 | 193 | ||||||
210 | Series 4056, Class BI, IO, 3.00%, 05/15/2027 | 19 | ||||||
1,497 | Series 4057, Class UI, IO, 3.00%, 05/15/2027 | 128 | ||||||
475 | Series 4073, Class IQ, IO, 4.00%, 07/15/2042 | 104 | ||||||
4,455 | Series 4074, 3.00%, 07/15/2027 | 404 | ||||||
1,882 | Series 4097, Class CI, IO, 3.00%, 08/15/2027 | 163 | ||||||
546 | Series 4119, Class LI, IO, 3.50%, 06/15/2039 | 67 | ||||||
1,153 | Series 4120, Class UI, IO, 3.00%, 10/15/2027 | 105 | ||||||
231 | Series 4136, Class IN, IO, 3.00%, 11/15/2027 | 22 | ||||||
1,132 | Series 4173, Class I Shares, IO, 4.00%, 03/15/2043 | 246 | ||||||
766 | Series 4215, Class LI, IO, 3.50%, 07/15/2041 | 113 | ||||||
1,456 | Series 4280, Class KI, IO, 3.50%, 09/15/2031 | 138 | ||||||
634 | Series 4304, Class DI, IO, 2.50%, 01/15/2027 | 42 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,803 | Series 4311, Class QI, IO, 3.00%, 10/15/2028 | 148 | ||||||
1,887 | Series 4313, Class UI, IO, 3.00%, 03/15/2029 | 197 | ||||||
395 | Series 4323, Class IW, IO, 3.50%, 04/15/2028 | 37 | ||||||
964 | Series 4324, Class AI, IO, 3.00%, 11/15/2028 | 74 | ||||||
110 | Series 4351, Class GI, IO, 5.00%, 11/15/2019 | 1 | ||||||
1,643 | Series 4372, Class SY, IF, IO, 4.51%, 08/15/2044 (z) | 259 | ||||||
3,000 | Series 4585, Class JI, IO, 4.00%, 05/15/2045 | 533 | ||||||
18,114 | Series 4689, Class SD, IF, IO, 4.56%, 06/15/2047 (z) | 3,455 | ||||||
8,053 | Series 4694, Class SA, IF, IO, 4.51%, 06/15/2047 (z) | 1,589 | ||||||
14,107 | Series 4714, Class SA, IF, IO, 4.56%, 08/15/2047 (z) | 2,695 | ||||||
362 | FHLMC STRIPS, Series 305, IO, 3.50%, 03/15/2028 | 36 | ||||||
26 | First Horizon Mortgage Pass-Through Trust, Series 2005-5, Class 1A6, 5.50%, 10/25/2035 | 25 | ||||||
FNMA REMIC | ||||||||
716 | Series 2009-101, Class SI, IF, IO, 4.13%, | 60 | ||||||
178 | Series 2010-102, Class IP, IO, 5.00%, 12/25/2039 | 13 | ||||||
804 | Series 2011-144, Class SA, IF, IO, 5.03%, 11/25/2025 (z) | 60 | ||||||
208 | Series 2012-25, Class AI, IO, 3.50%, 03/25/2027 | 21 | ||||||
4,028 | Series 2012-93, Class SE, IF, IO, 4.48%, | 685 | ||||||
1,045 | Series 2012-93, Class SG, IF, IO, 4.48%, | 180 | ||||||
271 | Series 2012-118, Class DI, IO, 3.50%, 01/25/2040 | 33 | ||||||
1,051 | Series 2012-120, Class DI, IO, 3.00%, 03/25/2031 | 98 | ||||||
8,306 | Series 2012-133, Class NS, IF, IO, 4.53%, 12/25/2042 (z) | 1,511 | ||||||
90 | Series 2012-137, Class EI, 3.00%, 12/25/2027 | 8 | ||||||
2,480 | Series 2012-145, Class EI, IO, 3.00%, 01/25/2028 | 224 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
United States — continued |
| |||||||
278 | Series 2012-148, Class JI, IO, 3.50%, 12/25/2039 | 36 | ||||||
259 | Series 2012-150, Class BI, IO, 3.00%, 01/25/2028 | 23 | ||||||
287 | Series 2013-5, Class BI, IO, 3.50%, 03/25/2040 | 35 | ||||||
257 | Series 2013-9, Class YI, IO, 3.50%, 02/25/2028 | 25 | ||||||
3,673 | Series 2013-15, IO, 2.50%, 03/25/2028 | 303 | ||||||
1,137 | Series 2013-18, Class AI, IO, 3.00%, 03/25/2028 | 101 | ||||||
246 | Series 2013-26, Class IJ, IO, 3.00%, 04/25/2028 | 22 | ||||||
1,239 | Series 2013-31, Class DI, IO, 3.00%, 04/25/2028 | 128 | ||||||
232 | Series 2013-31, Class YI, IO, 3.50%, 04/25/2028 | 23 | ||||||
7,485 | Series 2013-61, Class HI, IO, 3.00%, 06/25/2033 | 909 | ||||||
1,529 | Series 2013-64, Class LI, IO, 3.00%, 06/25/2033 | 207 | ||||||
11,066 | Series 2013-66, Class IE, IO, 3.00%, 08/25/2032 | 1,253 | ||||||
2,532 | Series 2014-35, Class KI, IO, 3.00%, 06/25/2029 | 287 | ||||||
1,526 | Series 2014-44, Class QI, IO, 3.00%, 08/25/2029 | 148 | ||||||
7,897 | Series 2016-25, Class SL, IF, IO, 4.38%, 05/25/2046 (z) | 1,461 | ||||||
15,976 | Series 2016-61, Class ST, IF, IO, 4.38%, 09/25/2046 (z) | 2,808 | ||||||
9,858 | Series 2016-77, Class SA, IF, IO, 4.38%, 10/25/2046 (z) | 1,986 | ||||||
14,800 | Series 2017-13, Class AS, IF, IO, 4.43%, 02/25/2047 (z) | 2,845 | ||||||
8,302 | Series 2017-57, Class SA, IF, IO, 4.48%, 08/25/2057 (z) | 1,352 | ||||||
FNMA STRIPS | ||||||||
1,801 | Series 401, Class C6, IO, 4.50%, 10/25/2029 | 140 | ||||||
685 | Series 409, Class 23, IO, 3.50%, 04/25/2027 (z) | 61 | ||||||
5,058 | Series 410, Class C12, IO, 5.50%, 07/25/2024 | 311 | ||||||
3,500 | FNMA, Connecticut Avenue Securities, Series 2018-C01, Class 1M2, 3.87%, 07/25/2030 (z) | 3,577 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
GNMA | ||||||||
1,378 | Series 2002-24, Class AG, IF, IO, 6.36%, 04/16/2032 (z) | 205 | ||||||
1,206 | Series 2003-69, Class SB, IF, IO, 5.01%, 08/16/2033 (z) | 190 | ||||||
879 | Series 2011-13, Class S, IF, IO, 4.36%, | 110 | ||||||
4,350 | Goodgreen Trust, Series 2017-R1, 5.00%, | 4,286 | ||||||
165 | GSMSC Pass-Through Trust, Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (e) (z) | 118 | ||||||
218 | HarborView Mortgage Loan Trust, Series 2007-6, Class 2A1A, 1.78%, 08/19/2037 (z) | 207 | ||||||
4,006 | JP Morgan Alternative Loan Trust, Series 2006-A2, Class 1A1, 1.80%, 05/25/2036 (z) | 3,792 | ||||||
363 | MASTR Alternative Loan Trust, Series 2003-5, Class 30B1, 5.89%, 08/25/2033 (z) | 363 | ||||||
1,400 | PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 2.85%, 02/25/2023 (e) (z) | 1,400 | ||||||
411 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 5A1, 3.41%, 02/25/2035 (z) | 409 | ||||||
1,077 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-BB, Class A5, 3.72%, 01/25/2035 (z) | 1,092 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
1,884 | Series 2004-M, Class A1, 3.51%, 08/25/2034 (z) | 1,939 | ||||||
2,292 | Series 2004-N, Class A6, 3.48%, 08/25/2034 (z) | 2,314 | ||||||
2,292 | Series 2004-N, Class A7, 3.48%, 08/25/2034 (z) | 2,313 | ||||||
1,581 | Series 2005-AR2, Class 2A1, 3.91%, 03/25/2035 (z) | 1,589 | ||||||
363 | Series 2005-AR2, Class 2A2, 3.91%, 03/25/2035 (z) | 368 | ||||||
304 | Series 2005-AR4, Class 2A2, 3.73%, 04/25/2035 (z) | 305 | ||||||
506 | Series 2005-AR16, Class 3A1, 3.68%, | 508 | ||||||
39 | Series 2007-2, Class 3A5, 5.25%, 03/25/2037 | 40 | ||||||
|
| |||||||
70,552 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 70,698 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 9 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Mortgage-Backed Securities — 5.8% | ||||||||
Cayman Islands — 0.1% |
| |||||||
860 | PFP Ltd., Series 2017-3, Class D, 5.09%, | 864 | ||||||
2,085 | TPG Real Estate Finance Ltd., Series 2018-FL1, Class C, 3.46%, 02/15/2035 (e) (z) | 2,085 | ||||||
|
| |||||||
2,949 | ||||||||
|
| |||||||
United States — 5.7% |
| |||||||
Banc of America Commercial Mortgage Trust, | ||||||||
520 | Series 2006-1, Class E, 5.99%, | 545 | ||||||
743 | Series 2007-3, Class B, 5.76%, | 750 | ||||||
8,965 | Series 2007-3, Class F, 5.76%, | 9,156 | ||||||
5,695 | Series 2007-5, Class AJ, 5.98%, | 5,857 | ||||||
BANK, | ||||||||
2,644 | Series 2017-BNK6, Class D, 3.10%, | 2,053 | ||||||
2,990 | Series 2017-BNK9, Class D, 2.80%, | 2,368 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
3,440 | Series 2006-PW13, Class B, 5.66%, | 3,484 | ||||||
179 | Series 2007-PW17, Class AJ, 5.74%, | 179 | ||||||
4,650 | BXMT Ltd., Series 2017-FL1, Class D, 4.29%, 06/15/2035 (e) (z) (bb) | 4,664 | ||||||
2,196 | CD Mortgage Trust, Series 2007-CD5, Class C, 6.17%, 11/15/2044 (z) (bb) | 2,200 | ||||||
2,525 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D, 3.23%, 09/15/2048 (e) (bb) | 2,018 | ||||||
2,900 | COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class B, 5.88%, 05/15/2046 (z) | 2,895 | ||||||
Commercial Mortgage Trust, | ||||||||
4,112 | Series 2004-GG1, Class H, 6.43%, | 4,135 | ||||||
1,840 | Series 2014-CR15, Class D, 4.76%, | 1,722 | ||||||
3,620 | Series 2015-CR24, Class A5, 3.70%, | 3,676 | ||||||
1,070 | Series 2015-CR24, Class D, 3.46%, | 845 | ||||||
1,648 | Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class AM, 5.42%, 02/15/2040 | 1,687 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,390 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class C, 4.32%, 06/15/2050 (bb) | 1,403 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
31,545 | Series K036, Class X3, IO, 2.11%, 12/25/2041 (z) | 3,276 | ||||||
17,000 | Series K038, Class X3, IO, 2.49%, 06/25/2042 (z) | 2,182 | ||||||
30,520 | Series K041, Class X3, IO, 1.64%, 11/25/2042 (z) | 2,799 | ||||||
21,950 | Series K042, Class X3, IO, 1.61%, 01/25/2043 (z) | 1,983 | ||||||
39,625 | Series K045, Class X3, IO, 1.50%, 04/25/2043 (z) | 3,459 | ||||||
38,350 | Series K046, Class X3, IO, 1.51%, 04/25/2043 (z) | 3,378 | ||||||
28,400 | Series K047, Class X3, IO, 1.49%, 06/25/2043 (z) | 2,537 | ||||||
21,110 | Series K050, Class X3, IO, 1.55%, 10/25/2043 (z) | 2,020 | ||||||
15,770 | Series K052, Class X3, IO, 1.61%, 01/25/2044 (z) | 1,606 | ||||||
39,433 | Series K054, Class X3, IO, 1.60%, 04/25/2043 (z) | 4,028 | ||||||
19,640 | Series K067, Class X3, IO, 2.11%, 09/25/2044 (z) | 2,997 | ||||||
6,050 | Series K072, Class X3, IO, 2.14%, 12/25/2050 (z) | 990 | ||||||
112,228 | Series K718, Class X3, IO, 1.44%, 02/25/2043 (z) | 5,747 | ||||||
39,172 | Series K720, Class X3, IO, 1.33%, 08/25/2042 (z) | 2,035 | ||||||
28,994 | Series K729, Class X1, IO, 0.37%, 10/25/2024 (z) | 613 | ||||||
2,593 | Series K729, Class X3, IO, 1.97%, 11/25/2044 (z) | 285 | ||||||
FNMA ACES, | ||||||||
86,024 | Series 2014-M3, Class X2, IO, 0.10%, 01/25/2024 (z) | 420 | ||||||
17,807 | Series 2016-M4, Class X2, IO, 2.62%, 01/25/2039 (z) | 1,936 | ||||||
FREMF Mortgage Trust, | ||||||||
4,200 | Series 2017-K728, Class B, 3.65%, | 4,081 | ||||||
1,265 | Series 2017-K728, Class C, 3.65%, | 1,195 | ||||||
900 | Series 2017-K729, Class B, 3.67%, | 867 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
United States — continued |
| |||||||
2,125 | Series 2017-KF29, Class B, 5.13%, | 2,207 | ||||||
1,764 | Series 2017-KF31, Class B, 4.48%, | 1,806 | ||||||
1,718 | Series 2017-KF36, Class B, 4.23%, | 1,732 | ||||||
1,223 | Series 2017-KF38, Class B, 4.08%, | 1,233 | ||||||
878 | Series 2017-KF40, Class B, 4.28%, | 885 | ||||||
950 | Series 2017-KF41, Class B, 4.08%, | 955 | ||||||
2,875 | Series 2018-KF42, Class B, 3.78%, | 2,878 | ||||||
GNMA, | ||||||||
29,795 | Series 2013-48, IO, 0.61%, 07/16/2054 (z) | 1,245 | ||||||
14,578 | Series 2017-23, IO, 0.73%, 05/16/2059 (z) | 942 | ||||||
GS Mortgage Securities Trust, | ||||||||
1,802 | Series 2007-GG10, Class AM, 5.79%, | 1,831 | ||||||
1,207 | Series 2016-GS2, Class D, 2.75%, | 971 | ||||||
2,493 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class AM, 6.04%, 06/15/2049 (z) | 2,528 | ||||||
1,572 | LB Commercial Mortgage Trust, Series 2007-C3, Class AJ, 6.09%, 07/15/2044 (z) | 1,574 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
3,342 | Series 2006-C6, Class AJ, 5.45%, 09/15/2039 (z) | 2,640 | ||||||
7,445 | Series 2007-C6, Class AJ, 6.24%, 07/15/2040 (z) | 7,692 | ||||||
732 | Series 2007-C7, Class B, 6.39%, 09/15/2045 (z) | 737 | ||||||
1,415 | LMREC, Inc., Series 2016-CRE2, Class A, 3.30%, 11/24/2031 (e) (z) | 1,425 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2,430 | Series 2014-C14, Class D, 4.82%, | 2,214 | ||||||
1,060 | Series 2014-C19, Class D, 3.25%, | 850 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
2,067 | Series 2005-HQ7, Class E, 5.39%, | 2,091 | ||||||
874 | Series 2006-HQ9, Class D, 5.86%, | 873 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,083 | Series 2006-HQ10, Class AJ, 5.39%, | 1,084 | ||||||
2,800 | Series 2006-T23, Class D, 6.12%, | 2,905 | ||||||
1,846 | Series 2007-HQ11, Class AJ, 5.51%, | 1,844 | ||||||
UBS Commercial Mortgage Trust, | ||||||||
1,580 | Series 2017-C4, Class D, 2.90%, | 1,083 | ||||||
3,345 | Series 2017-C6, Class D, 2.50%, | 2,320 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
100 | Series 2005-C21, Class F, 5.30%, | 62 | ||||||
951 | Series 2006-C29, Class B, 5.43%, 11/15/2048 (z) | 956 | ||||||
2,510 | Series 2007-C30, Class B, 5.46%, 12/15/2043 (z) | 2,526 | ||||||
3,187 | Series 2007-C31, Class AJ, 5.66%, 04/15/2047 (z) | 3,252 | ||||||
2,840 | Series 2007-C31, Class B, 5.70%, 04/15/2047 (z) | 2,913 | ||||||
1,130 | Series 2007-C31, Class C, 6.10%, | 1,149 | ||||||
2,530 | Series 2007-C33, Class AJ, 6.01%, | 2,543 | ||||||
2,600 | Series 2007-C33, Class B, 6.01%, | 2,470 | ||||||
2,600 | Series 2007-C33, Class C, 6.01%, | 2,309 | ||||||
185 | Series 2007-C34, Class AJ, 6.12%, | 190 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
1,370 | Series 2010-C1, Class C, 5.60%, | 1,417 | ||||||
1,250 | Series 2015-NXS2, Class A5, 3.77%, | 1,275 | ||||||
1,276 | Series 2016-BNK1, Class D, 3.00%, | 998 | ||||||
|
| |||||||
168,676 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 171,625 | |||||||
|
| |||||||
SHARES | ||||||||
Common Stocks — 0.1% | ||||||||
Colombia — 0.1% |
| |||||||
14 | Frontera Energy Corp. (a) | 481 | ||||||
47 | Frontera Energy Corp. (a) | 1,558 | ||||||
|
| |||||||
2,039 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 11 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Common Stocks — continued | ||||||||
New Zealand — 0.0% (g) |
| |||||||
4 | UCI Holdings LLC (a) (bb) | 80 | ||||||
|
| |||||||
United States — 0.0% (g) |
| |||||||
34 | Avaya Holdings Corp. (a) | 716 | ||||||
5 | Caesars Entertainment Corp. (a) | 63 | ||||||
1 | Goodman Private (a) (bb) | — | ||||||
3 | NII Holdings, Inc. (a) | 3 | ||||||
4 | Penn Virginia Corp. (a) | 158 | ||||||
9 | VICI Properties, Inc. (a) | 164 | ||||||
6 | Vistra Energy Corp. (a) | 118 | ||||||
|
| |||||||
1,222 | ||||||||
|
| |||||||
Total Common Stocks | 3,341 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
Convertible Bonds — 2.5% | ||||||||
China — 0.2% |
| |||||||
4,645 | Ctrip.com International Ltd., 1.00%, 07/01/2020 | 4,966 | ||||||
|
| |||||||
Netherlands — 0.1% |
| |||||||
1,565 | NXP Semiconductors NV, 1.00%, 12/01/2019 | 2,014 | ||||||
|
| |||||||
United Arab Emirates — 0.0% (g) |
| |||||||
EUR | 800 | UniCredit SpA, 0.50%, 03/27/2020 | 916 | |||||
|
| |||||||
United States — 2.2% |
| |||||||
Cypress Semiconductor Corp., | ||||||||
265 | 2.00%, 02/01/2023 (e) | 290 | ||||||
3,170 | 4.50%, 01/15/2022 | 4,553 | ||||||
2,240 | DISH Network Corp., 3.38%, 08/15/2026 | 2,254 | ||||||
2,165 | Envestnet, Inc., 1.75%, 12/15/2019 | 2,340 | ||||||
Finisar Corp., | ||||||||
1,910 | 0.50%, 12/15/2033 | 1,898 | ||||||
3,640 | 0.50%, 12/15/2036 | 3,344 | ||||||
430 | Horizon Global Corp., 2.75%, 07/01/2022 | 348 | ||||||
4,735 | II-VI, Inc., 0.25%, 09/01/2022 (e) | 5,078 | ||||||
3,025 | Liberty Expedia Holdings, Inc., 1.00%, | 2,913 | ||||||
4,515 | Live Nation Entertainment, Inc., 2.50%, 05/15/2019 | 6,036 | ||||||
1,275 | Medidata Solutions, Inc., 1.00%, 08/01/2018 | 1,489 | ||||||
3,670 | Nabors Industries, Inc., 0.75%, 01/15/2024 (e) | 2,791 | ||||||
3,355 | Nuance Communications, Inc., 1.50%, 11/01/2035 | 3,440 | ||||||
1,545 | Nutanix, Inc., Zero Coupon, 01/15/2023 (e) | 1,588 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
3,465 | Oasis Petroleum, Inc., 2.63%, 09/15/2023 | 3,570 | ||||||
4,270 | ON Semiconductor Corp., 1.00%, 12/01/2020 | 5,973 | ||||||
1,680 | Red Hat, Inc., 0.25%, 10/01/2019 | 3,365 | ||||||
1,700 | SM Energy Co., 1.50%, 07/01/2021 | 1,643 | ||||||
4,205 | Teradyne, Inc., 1.25%, 12/15/2023 | 6,383 | ||||||
1,855 | Web.com Group, Inc., 1.00%, 08/15/2018 | 1,827 | ||||||
4,565 | Zillow Group, Inc., 2.00%, 12/01/2021 | 5,305 | ||||||
|
| |||||||
66,428 | ||||||||
|
| |||||||
Total Convertible Bonds | 74,324 | |||||||
|
| |||||||
Corporate Bonds — 56.2% | ||||||||
Argentina — 0.3% |
| |||||||
1,200 | Arcor SAIC, Reg. S, 6.00%, 07/06/2023 | 1,247 | ||||||
Pampa Energia SA, | ||||||||
3,830 | 7.38%, 07/21/2023 (e) | 4,059 | ||||||
YPF SA, | ||||||||
2,660 | 6.95%, 07/21/2027 (e) | 2,677 | ||||||
1,760 | Reg. S, 8.50%, 03/23/2021 | 1,923 | ||||||
|
| |||||||
9,906 | ||||||||
|
| |||||||
Australia — 0.2% |
| |||||||
2,165 | Australia & New Zealand Banking Group Ltd., (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 06/15/2026 (e) (x) (y) (aa) | 2,368 | ||||||
GBP | 1,240 | BHP Billiton Finance Ltd., Reg. S, (GBP Swap 5 Year + 4.82%), 6.50%, 10/22/2077 (aa) | 1,983 | |||||
FMG Resources August 2006 Pty. Ltd., | ||||||||
265 | 4.75%, 05/15/2022 (e) | 265 | ||||||
265 | 5.13%, 05/15/2024 (e) | 264 | ||||||
35 | Nufarm Australia Ltd., 6.38%, 10/15/2019 (e) | 35 | ||||||
EUR | 1,200 | Origin Energy Finance Ltd., Reg. S, (EUR Swap Annual 5 Year + 3.67%), 4.00%, 09/16/2074 (aa) | 1,534 | |||||
|
| |||||||
6,449 | ||||||||
|
| |||||||
Bahrain — 0.1% |
| |||||||
1,600 | Batelco International Finance No. 1 Ltd., Reg. S, 4.25%, 05/01/2020 | 1,584 | ||||||
|
| |||||||
Belgium — 0.5% |
| |||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||
4,565 | 3.65%, 02/01/2026 | 4,524 | ||||||
3,305 | 4.90%, 02/01/2046 | 3,524 | ||||||
EUR | 900 | Anheuser-Busch InBev SA/NV, Reg. S, 2.00%, 03/17/2028 | 1,146 | |||||
EUR | 1,600 | Nyrstar Netherlands Holdings BV, Reg. S, 6.88%, 03/15/2024 | 2,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Belgium — continued |
| |||||||
EUR 2,200 | Solvay Finance SA, Reg. S, (EUR Swap Annual 5 Year + 3.70%), 5.42%, 11/12/2023 (x) (y) (aa) | 3,138 | ||||||
EUR 1,600 | Telenet Finance Luxembourg Notes SARL, Reg. S, 3.50%, 03/01/2028 | 1,914 | ||||||
|
| |||||||
16,246 | ||||||||
|
| |||||||
Brazil — 1.3% |
| |||||||
900 | Banco Daycoval SA, Reg. S, 5.75%, 03/19/2019 | 911 | ||||||
4,550 | Banco do Brasil SA, Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.40%), 6.25%, 04/15/2024 (x) (y) (aa) | 4,146 | ||||||
700 | Banco Votorantim SA, Reg. S, 7.38%, 01/21/2020 | 736 | ||||||
3,380 | Cemig Geracao e Transmissao SA, 9.25%, 12/05/2024 (e) | 3,655 | ||||||
437 | Centrais Eletricas Brasileiras SA, Reg. S, 6.88%, 07/30/2019 | 455 | ||||||
3,600 | CSN Resources SA, Reg. S, 6.50%, 07/21/2020 | 3,550 | ||||||
3,550 | Itau Unibanco Holding SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.98%), 6.13%, 12/12/2022 (e) (x) (y) (aa) | 3,577 | ||||||
JBS USA LUX SA, | ||||||||
236 | 5.75%, 06/15/2025 (e) | 226 | ||||||
1,137 | 5.88%, 07/15/2024 (e) | 1,109 | ||||||
675 | 6.75%, 02/15/2028 (e) | 668 | ||||||
875 | 7.25%, 06/01/2021 (e) | 886 | ||||||
3,950 | JSL Europe SA, Reg. S, 7.75%, 07/26/2024 | 4,034 | ||||||
2,600 | Minerva Luxembourg SA, Reg. S, 6.50%, 09/20/2026 | 2,571 | ||||||
Petrobras Global Finance BV, | ||||||||
4,297 | 6.00%, 01/27/2028 (e) | 4,232 | ||||||
1,553 | 7.38%, 01/17/2027 | 1,680 | ||||||
1,083 | 8.75%, 05/23/2026 | 1,266 | ||||||
2,430 | Suzano Austria GmbH, 5.75%, 07/14/2026 (e) | 2,589 | ||||||
1,950 | Votorantim Cimentos SA, Reg. S, 7.25%, 04/05/2041 | 2,070 | ||||||
|
| |||||||
38,361 | ||||||||
|
| |||||||
Canada — 0.8% |
| |||||||
1,074 | 1011778 BC ULC, 4.25%, 05/15/2024 (e) | 1,026 | ||||||
70 | Athabasca Oil Corp., 9.88%, 02/24/2022 (e) | 70 | ||||||
188 | ATS Automation Tooling Systems, Inc., 6.50%, | 197 | ||||||
Baytex Energy Corp., | ||||||||
100 | 5.13%, 06/01/2021 (e) | 94 | ||||||
115 | 5.63%, 06/01/2024 (e) | 103 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Canada — continued |
| |||||||
Bombardier, Inc., | ||||||||
561 | 6.00%, 10/15/2022 (e) | 560 | ||||||
357 | 6.13%, 01/15/2023 (e) | 358 | ||||||
287 | 7.50%, 12/01/2024 (e) | 298 | ||||||
461 | 7.50%, 03/15/2025 (e) | 473 | ||||||
877 | 8.75%, 12/01/2021 (e) | 961 | ||||||
56 | Cascades, Inc., 5.50%, 07/15/2022 (e) | 57 | ||||||
Cenovus Energy, Inc., | ||||||||
993 | 5.20%, 09/15/2043 | 955 | ||||||
1,596 | 6.75%, 11/15/2039 | 1,830 | ||||||
Concordia International Corp., | ||||||||
857 | 7.00%, 04/15/2023 (d) (e) | 77 | ||||||
535 | 9.00%, 04/01/2022 (e) | 490 | ||||||
241 | Cott Holdings, Inc., 5.50%, 04/01/2025 (e) | 240 | ||||||
3,000 | Emera US Finance LP, 3.55%, 06/15/2026 | 2,888 | ||||||
Encana Corp., | ||||||||
2,025 | 6.50%, 08/15/2034 | 2,405 | ||||||
552 | 6.50%, 02/01/2038 | 671 | ||||||
540 | GW Honos Security Corp., 8.75%, 05/15/2025 (e) | 581 | ||||||
250 | Hudbay Minerals, Inc., 7.25%, 01/15/2023 (e) | 266 | ||||||
321 | Kronos Acquisition Holdings, Inc., 9.00%, 08/15/2023 (e) | 311 | ||||||
325 | Lundin Mining Corp., 7.88%, 11/01/2022 (e) | 344 | ||||||
Mattamy Group Corp., | ||||||||
550 | 6.50%, 10/01/2025 (e) | 575 | ||||||
44 | 6.88%, 12/15/2023 (e) | 46 | ||||||
MEG Energy Corp., | ||||||||
800 | 6.38%, 01/30/2023 (e) | 686 | ||||||
1,035 | 6.50%, 01/15/2025 (e) | 1,015 | ||||||
NOVA Chemicals Corp., | ||||||||
570 | 5.00%, 05/01/2025 (e) | 566 | ||||||
80 | 5.25%, 08/01/2023 (e) | 81 | ||||||
Open Text Corp., | ||||||||
295 | 5.63%, 01/15/2023 (e) | 307 | ||||||
272 | 5.88%, 06/01/2026 (e) | 283 | ||||||
Precision Drilling Corp., | ||||||||
350 | 5.25%, 11/15/2024 | 334 | ||||||
489 | 7.13%, 01/15/2026 (e) | 493 | ||||||
1,625 | Quebecor Media, Inc., 5.75%, 01/15/2023 | 1,686 | ||||||
542 | Seven Generations Energy Ltd., 5.38%, 09/30/2025 (e) | 530 | ||||||
Teck Resources Ltd., | ||||||||
685 | 6.13%, 10/01/2035 | 745 | ||||||
630 | 8.50%, 06/01/2024 (e) | 701 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 13 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Canada — continued |
| |||||||
357 | Transcanada Trust, (ICE LIBOR USD 3 Month + 3.53%), 5.62%, 05/20/2075 (aa) | 373 | ||||||
Videotron Ltd., | ||||||||
100 | 5.13%, 04/15/2027 (e) | 101 | ||||||
1,300 | 5.38%, 06/15/2024 (e) | 1,345 | ||||||
|
| |||||||
25,122 | ||||||||
|
| |||||||
Chile — 0.1% |
| |||||||
1,300 | Empresa Electrica Guacolda SA, Reg. S, 4.56%, 04/30/2025 | 1,218 | ||||||
1,400 | VTR Finance BV, Reg. S, 6.88%, 01/15/2024 | 1,457 | ||||||
|
| |||||||
2,675 | ||||||||
|
| |||||||
China — 0.5% |
| |||||||
1,400 | Bluestar Finance Holdings Ltd., Reg. S, 3.13%, 09/30/2019 | 1,389 | ||||||
900 | GOME Retail Holdings Ltd., Reg. S, 5.00%, 03/10/2020 | 897 | ||||||
1,450 | Guangxi Communications Investment Group Co. Ltd., Reg. S, 3.00%, 11/04/2019 | 1,423 | ||||||
1,000 | Keen Idea Global Ltd., Reg. S, 4.38%, 03/08/2020 | 986 | ||||||
1,450 | MCC Holding Hong Kong Corp. Ltd., Reg. S, 2.95%, 05/31/2020 | 1,428 | ||||||
700 | Moon Wise Global Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 12.37%), 9.00%, 01/28/2019 (x) (y) (aa) | 725 | ||||||
1,400 | Overseas Chinese Town Asia Holdings Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 7.71%), 4.30%, 10/10/2020 (x) (y) (aa) | 1,377 | ||||||
1,454 | Semiconductor Manufacturing International Corp., Reg. S, 4.13%, 10/07/2019 | 1,460 | ||||||
EUR | 810 | SMCP Group SAS, Reg. S, 5.88%, 05/01/2023 | 1,056 | |||||
900 | Tianjin Infrastructure Construction & Investment Group Co. Ltd., Reg. S, 2.75%, 06/15/2019 | 890 | ||||||
1,600 | Times Property Holdings Ltd., Reg. S, 6.25%, 01/23/2020 | 1,614 | ||||||
700 | West China Cement Ltd., Reg. S, 6.50%, 09/11/2019 | 717 | ||||||
|
| |||||||
13,962 | ||||||||
|
| |||||||
Colombia — 0.1% |
| |||||||
1,881 | Frontera Energy Corp., Series AI, 10.00% (cash), 11/02/2021 (v) | 2,095 | ||||||
|
| |||||||
Denmark — 0.1% |
| |||||||
Danske Bank A/S, | ||||||||
EUR | 380 | Reg. S, (EUR Swap Annual 6 Year + 4.64%), 5.75%, 04/06/2020 (x) (y) (aa) | 501 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Denmark — continued |
| |||||||
EUR 1,900 | Reg. S, (EUR Swap Annual 5 Year + 5.47%), 5.88%, 04/06/2022 (x) (y) (aa) | 2,620 | ||||||
|
| |||||||
3,121 | ||||||||
|
| |||||||
Finland — 0.0% (g) |
| |||||||
479 | Nokia OYJ, 4.38%, 06/12/2027 | 460 | ||||||
|
| |||||||
France — 2.9% |
| |||||||
EUR 1,200 | Accor SA, Reg. S, (EUR Swap Annual 5 Year + 3.65%), 4.13%, 06/30/2020 (x) (y) (aa) | 1,557 | ||||||
EUR 1,200 | Arkema SA, Reg. S, (EUR Swap Annual 5 Year + 4.35%), 4.75%, 10/29/2020 (x) (y) (aa) | 1,597 | ||||||
EUR 900 | AXA SA, Reg. S, (EURIBOR 3 Month + 4.35%), 5.12%, 07/04/2043 (aa) | 1,309 | ||||||
BPCE SA, | ||||||||
EUR 1,200 | Reg. S, (EUR Swap Annual 5 Year + 2.37%), 2.75%, 11/30/2027 (aa) | 1,571 | ||||||
8,195 | 5.15%, 07/21/2024 (e) | 8,613 | ||||||
EUR 2,500 | Casino Guichard Perrachon SA, Reg. S, 3.58%, 02/07/2025 | 3,116 | ||||||
EUR 1,250 | CMA CGM SA, Reg. S, 6.50%, 07/15/2022 | 1,580 | ||||||
EUR 1,000 | Constantin Investissement 3 SASU, Reg. S, 5.38%, 04/15/2025 | 1,219 | ||||||
Credit Agricole SA, | ||||||||
1,875 | 4.38%, 03/17/2025 (e) | 1,889 | ||||||
4,150 | (USD Swap Semi 5 Year + 6.19%), 8.12%, | 4,855 | ||||||
EUR 1,300 | Elis SA, Reg. S, 3.00%, 04/30/2022 | 1,614 | ||||||
Europcar Groupe SA, | ||||||||
EUR 2,200 | Reg. S, 4.13%, 11/15/2024 (e) | 2,692 | ||||||
EUR 450 | Reg. S, 5.75%, 06/15/2022 | 570 | ||||||
EUR 1,000 | Faurecia SA, Reg. S, 3.63%, 06/15/2023 | 1,280 | ||||||
EUR 2,400 | Fnac Darty SA, Reg. S, 3.25%, 09/30/2023 | 3,048 | ||||||
EUR 1,000 | Horizon Holdings I SAS, Reg. S, 7.25%, 08/01/2023 | 1,280 | ||||||
EUR 1,500 | Horizon Parent Holdings SARL, Reg. S, 8.25% (cash), 02/15/2022 (v) | 1,934 | ||||||
EUR 1,750 | La Financiere Atalian SAS, Reg. S, 4.00%, 05/15/2024 | 2,206 | ||||||
EUR 3,000 | Loxam SAS, Reg. S, 4.25%, 04/15/2024 | 3,869 | ||||||
EUR 1,450 | Novafives SAS, Reg. S, 4.50%, 06/30/2021 | 1,791 | ||||||
Orano SA, | ||||||||
EUR 500 | Reg. S, 3.25%, 09/04/2020 | 639 | ||||||
EUR 1,800 | 4.38%, 11/06/2019 | 2,324 | ||||||
EUR 1,750 | 4.88%, 09/23/2024 | 2,364 | ||||||
EUR 3,500 | Peugeot SA, Reg. S, 2.38%, 04/14/2023 | 4,523 | ||||||
EUR 3,050 | Rexel SA, Reg. S, 2.63%, 06/15/2024 | 3,819 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
France — continued |
| |||||||
SFR Group SA, | ||||||||
EUR 1,700 | Reg. S, 5.38%, 05/15/2022 | 2,117 | ||||||
EUR 4,650 | Reg. S, 5.63%, 05/15/2024 | 5,743 | ||||||
2,900 | 6.00%, 05/15/2022 (e) | 2,824 | ||||||
250 | 6.25%, 05/15/2024 (e) | 233 | ||||||
Societe Generale SA, | ||||||||
EUR 850 | Reg. S, (EUR Swap Annual 5 Year + 5.54%), 6.75%, 04/07/2021 (x) (y) (aa) | 1,168 | ||||||
3,230 | (USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 09/29/2025 (e) (x) (y) (aa) | 3,722 | ||||||
EUR 2,100 | SPIE SA, Reg. S, 3.13%, 03/22/2024 | 2,645 | ||||||
EUR 1,750 | TOTAL SA, Reg. S, (EUR Swap Annual 5 Year + 3.78%), 3.88%, 05/18/2022 (x) (y) (aa) | 2,360 | ||||||
Vallourec SA, | ||||||||
EUR 1,700 | Reg. S, 2.25%, 09/30/2024 | 1,745 | ||||||
EUR 1,200 | Reg. S, 6.63%, 10/15/2022 | 1,530 | ||||||
EUR 1,000 | Verallia Packaging SASU, Reg. S, 5.13%, 08/01/2022 | 1,263 | ||||||
|
| |||||||
86,609 | ||||||||
|
| |||||||
Germany — 1.9% |
| |||||||
EUR 1,130 | Adler Pelzer Holding GmbH, Reg. S, 4.13%, 04/01/2024 | 1,404 | ||||||
EUR 200 | Allianz SE, Reg. S, (EURIBOR 3 Month + 3.35%), 3.10%, 07/06/2047 (aa) | 263 | ||||||
EUR 2,000 | CBR Fashion Finance BV, Reg. S, 5.13%, 10/01/2022 | 2,281 | ||||||
EUR 1,850 | CeramTec Group GmbH, Reg. S, 8.25%, 08/15/2021 | 2,352 | ||||||
EUR 500 | Commerzbank AG, 7.75%, 03/16/2021 | 736 | ||||||
EUR 1,000 | CTC BondCo GmbH, 5.25%, 12/15/2025 (e) | 1,219 | ||||||
3,065 | Deutsche Bank AG, 4.25%, 10/14/2021 | 3,127 | ||||||
EUR 650 | Douglas GmbH, Reg. S, 6.25%, 07/15/2022 | 828 | ||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||
295 | 4.75%, 10/15/2024 (e) | �� | 309 | |||||
272 | 5.88%, 01/31/2022 (e) | 293 | ||||||
EUR 1,650 | Hapag-Lloyd AG, Reg. S, 6.75%, 02/01/2022 | 2,122 | ||||||
IHO Verwaltungs GmbH, | ||||||||
EUR 1,450 | Reg. S, 3.25% (cash), 09/15/2023 (v) | 1,827 | ||||||
EUR 1,400 | Reg. S, 3.75% (cash), 09/15/2026 (v) | 1,802 | ||||||
346 | 4.75% (cash), 09/15/2026 (e) (v) | 334 | ||||||
EUR 1,500 | Nidda BondCo GmbH, Reg. S, 5.00%, 09/30/2025 | 1,812 | ||||||
EUR 1,309 | Nidda Healthcare Holding GmbH, Reg. S, 3.50%, 09/30/2024 | 1,600 | ||||||
EUR 1,050 | ProGroup AG, Reg. S, 5.13%, 05/01/2022 | 1,314 | ||||||
EUR 5,300 | Schaeffler Finance BV, Reg. S, 3.25%, 05/15/2025 | 6,919 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Germany — continued |
| |||||||
4,410 | Siemens Financieringsmaatschappij NV, 2.35%, | 4,015 | ||||||
thyssenkrupp AG, | ||||||||
EUR 3,500 | Reg. S, 1.38%, 03/03/2022 | 4,308 | ||||||
EUR 2,750 | Reg. S, 2.50%, 02/25/2025 | 3,558 | ||||||
EUR 3,100 | Unitymedia GmbH, Reg. S, 3.75%, 01/15/2027 | 3,984 | ||||||
EUR 4,650 | Unitymedia Hessen GmbH & Co. KG, Reg. S, 4.00%, 01/15/2025 | 5,985 | ||||||
EUR 2,100 | WEPA Hygieneprodukte GmbH, Reg. S, 3.75%, 05/15/2024 | 2,619 | ||||||
ZF North America Capital, Inc., | ||||||||
EUR 1,500 | Reg. S, 2.75%, 04/27/2023 | 1,960 | ||||||
545 | 4.75%, 04/29/2025 (e) | 561 | ||||||
|
| |||||||
57,532 | ||||||||
|
| |||||||
Greece — 0.2% |
| |||||||
EUR 1,700 | Crystal Almond SARL, Reg. S, 10.00%, 11/01/2021 | 2,272 | ||||||
EUR 692 | National Bank of Greece SA, Reg. S, 2.75%, 10/19/2020 | 863 | ||||||
EUR 1,350 | OTE plc, Reg. S, 3.50%, 07/09/2020 | 1,742 | ||||||
|
| |||||||
4,877 | ||||||||
|
| |||||||
Guatemala — 0.0% (g) |
| |||||||
700 | Cementos Progreso Trust, Reg. S, 7.13%, 11/06/2023 | 726 | ||||||
700 | Comunicaciones Celulares SA, Reg. S, 6.88%, 02/06/2024 | 733 | ||||||
|
| |||||||
1,459 | ||||||||
|
| |||||||
Hong Kong — 0.1% |
| |||||||
700 | Studio City Co. Ltd., Reg. S, 7.25%, 11/30/2021 | 736 | ||||||
3,700 | WTT Investment Ltd., 5.50%, 11/21/2022 (e) | 3,677 | ||||||
|
| |||||||
4,413 | ||||||||
|
| |||||||
India — 0.1% |
| |||||||
3,444 | JSW Steel Ltd., Reg. S, 5.25%, 04/13/2022 | 3,478 | ||||||
|
| |||||||
Indonesia — 0.0% (g) |
| |||||||
900 | Theta Capital Pte. Ltd., Reg. S, 7.00%, 04/11/2022 | 902 | ||||||
|
| |||||||
Ireland — 1.1% |
| |||||||
EUR 3,100 | Allied Irish Banks plc, Reg. S, (EUR Swap Annual 5 Year + 3.95%), 4.13%, 11/26/2025 (aa) | 4,083 | ||||||
Ardagh Packaging Finance plc, | ||||||||
EUR 1,700 | Reg. S, 2.75%, 03/15/2024 | 2,102 | ||||||
EUR 2,050 | Reg. S, 4.13%, 05/15/2023 | 2,620 | ||||||
500 | 4.63%, 05/15/2023 (e) | 499 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 15 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Ireland — continued |
| |||||||
300 | 6.00%, 06/30/2021 (e) | 307 | ||||||
500 | 6.00%, 02/15/2025 (e) | 513 | ||||||
EUR 2,707 | Reg. S, 6.75%, 05/15/2024 | 3,604 | ||||||
2,750 | 7.25%, 05/15/2024 (e) | 2,946 | ||||||
Bank of Ireland, | ||||||||
EUR 2,587 | Reg. S, (EUR Swap Annual 5 Year + 3.55%), 4.25%, 06/11/2024 (aa) | 3,299 | ||||||
EUR 1,870 | Reg. S, (EUR Swap Annual 5 Year + 6.96%), 7.38%, 06/18/2020 (x) (y) (aa) | 2,550 | ||||||
EUR 2,950 | eircom Finance DAC, Reg. S, 4.50%, 05/31/2022 | 3,687 | ||||||
Park Aerospace Holdings Ltd., | ||||||||
920 | 4.50%, 03/15/2023 (e) | 888 | ||||||
350 | 5.50%, 02/15/2024 (e) | 352 | ||||||
Smurfit Kappa Acquisitions ULC, | ||||||||
EUR 900 | Reg. S, 2.75%, 02/01/2025 | 1,143 | ||||||
EUR 3,250 | Reg. S, 3.25%, 06/01/2021 | 4,247 | ||||||
|
| |||||||
32,840 | ||||||||
|
| |||||||
Israel — 0.2% |
| |||||||
EUR 400 | Teva Pharmaceutical Finance Netherlands II BV, Reg. S, 1.13%, 10/15/2024 | 404 | ||||||
5,550 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/2026 | 4,503 | ||||||
|
| |||||||
4,907 | ||||||||
|
| |||||||
Italy — 2.0% |
| |||||||
EUR 700 | Autostrade per l’Italia SpA, Reg. S, 1.88%, 11/04/2025 | 890 | ||||||
EUR 1,500 | Buzzi Unicem SpA, Reg. S, 2.13%, 04/28/2023 | 1,901 | ||||||
Enel Finance International NV, | ||||||||
4,365 | 3.50%, 04/06/2028 (e) | 4,107 | ||||||
3,570 | 3.63%, 05/25/2027 (e) | 3,430 | ||||||
Enel SpA, | ||||||||
EUR 1,050 | Reg. S, (EUR Swap Annual 5 Year + 5.24%), 6.50%, 01/10/2074 (aa) | 1,347 | ||||||
GBP 2,250 | Reg. S, (GBP Swap 5 Year + 5.66%), 7.75%, 09/10/2075 (aa) | 3,527 | ||||||
EUR 2,250 | EVOCA SpA, Reg. S, 7.00%, 10/15/2023 | 2,919 | ||||||
Intesa Sanpaolo SpA, | ||||||||
5,880 | 3.88%, 07/14/2027 (e) | 5,612 | ||||||
EUR 600 | Reg. S, 6.63%, 09/13/2023 | 908 | ||||||
EUR 1,800 | Reg. S, (EUR Swap Annual 5 Year + 7.19%), 7.75%, 01/11/2027 (x) (y) (aa) | 2,740 | ||||||
Leonardo SpA, | ||||||||
EUR 4,350 | 4.50%, 01/19/2021 | 5,869 | ||||||
EUR 2,000 | 4.88%, 03/24/2025 | 2,880 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Italy — continued |
| |||||||
EUR 1,400 | Saipem Finance International BV, Reg. S, 3.75%, 09/08/2023 | 1,819 | ||||||
EUR 500 | Snaitech SpA, Reg. S, 6.38%, 11/07/2021 | 647 | ||||||
Telecom Italia Capital SA, | ||||||||
282 | 6.00%, 09/30/2034 | 295 | ||||||
489 | 6.38%, 11/15/2033 | 536 | ||||||
179 | 7.20%, 07/18/2036 | 209 | ||||||
85 | 7.72%, 06/04/2038 | 104 | ||||||
EUR 850 | Telecom Italia Finance SA, 7.75%, 01/24/2033 | 1,543 | ||||||
Telecom Italia SpA, | ||||||||
EUR 300 | Reg. S, 3.00%, 09/30/2025 | 384 | ||||||
EUR 5,750 | Reg. S, 3.25%, 01/16/2023 | 7,629 | ||||||
EUR 2,750 | Reg. S, 3.63%, 05/25/2026 | 3,666 | ||||||
Wind Tre SpA, | ||||||||
EUR 2,250 | Reg. S, 2.63%, 01/20/2023 | 2,493 | ||||||
EUR 1,000 | 3.13%, 01/20/2025 (e) | 1,089 | ||||||
1,506 | 5.00%, 01/20/2026 (e) | 1,296 | ||||||
|
| |||||||
57,840 | ||||||||
|
| |||||||
Jamaica — 0.1% |
| |||||||
Digicel Group Ltd., | ||||||||
1,574 | Reg. S, 7.13%, 04/01/2022 | 1,361 | ||||||
900 | Reg. S, 8.25%, 09/30/2020 | 841 | ||||||
|
| |||||||
2,202 | ||||||||
|
| |||||||
Japan — 0.3% |
| |||||||
SoftBank Group Corp., | ||||||||
EUR 6,000 | Reg. S, 4.00%, 07/30/2022 | 7,814 | ||||||
492 | 4.50%, 04/15/2020 (e) | 496 | ||||||
EUR 1,200 | Reg. S, 4.75%, 07/30/2025 | 1,541 | ||||||
|
| |||||||
9,851 | ||||||||
|
| |||||||
Jordan — 0.0% (g) |
| |||||||
900 | Hikma Pharmaceuticals plc, Reg. S, 4.25%, 04/10/2020 | 898 | ||||||
|
| |||||||
Kazakhstan — 0.1% |
| |||||||
1,700 | Nostrum Oil & Gas Finance BV, 8.00%, 07/25/2022 (e) | 1,757 | ||||||
|
| |||||||
Kuwait — 0.2% |
| |||||||
Kuwait Projects Co. SPC Ltd., | ||||||||
3,226 | Reg. S, 4.50%, 02/23/2027 | 3,170 | ||||||
2,400 | Reg. S, 5.00%, 03/15/2023 | 2,469 | ||||||
|
| |||||||
5,639 | ||||||||
|
| |||||||
Luxembourg — 2.3% |
| |||||||
Altice Financing SA, | ||||||||
EUR 3,450 | Reg. S, 5.25%, 02/15/2023 | 4,364 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Luxembourg — continued |
| |||||||
2,005 | 6.63%, 02/15/2023 (e) | 2,002 | ||||||
600 | 7.50%, 05/15/2026 (e) | 605 | ||||||
Altice Finco SA, | ||||||||
EUR 1,500 | Reg. S, 4.75%, 01/15/2028 (e) | 1,649 | ||||||
Altice Luxembourg SA, | ||||||||
EUR 2,200 | Reg. S, 6.25%, 02/15/2025 | 2,504 | ||||||
EUR 4,125 | Reg. S, 7.25%, 05/15/2022 | 4,852 | ||||||
635 | 7.63%, 02/15/2025 (e) | 559 | ||||||
1,750 | 7.75%, 05/15/2022 (e) | 1,632 | ||||||
ArcelorMittal, | ||||||||
EUR 2,050 | Reg. S, 2.88%, 07/06/2020 | 2,651 | ||||||
EUR 550 | Reg. S, 3.00%, 04/09/2021 | 721 | ||||||
EUR 3,300 | Reg. S, 3.13%, 01/14/2022 | 4,369 | ||||||
660 | 6.13%, 06/01/2025 | 727 | ||||||
1,465 | 6.50%, 02/25/2022 | 1,593 | ||||||
EUR 3,570 | Auris Luxembourg II SA, Reg. S, 8.00%, 01/15/2023 | 4,545 | ||||||
1,750 | FAGE International SA, 5.63%, 08/15/2026 (e) | 1,644 | ||||||
EUR 775 | Galapagos SA, Reg. S, 5.38%, 06/15/2021 | 922 | ||||||
EUR 3,000 | INEOS Finance plc, Reg. S, 4.00%, 05/01/2023 | 3,751 | ||||||
INEOS Group Holdings SA, | ||||||||
EUR 1,150 | Reg. S, 5.38%, 08/01/2024 | 1,482 | ||||||
1,000 | 5.63%, 08/01/2024 (e) | 1,016 | ||||||
Intelsat Jackson Holdings SA, | ||||||||
1,322 | 5.50%, 08/01/2023 | 1,094 | ||||||
1,002 | 7.25%, 10/15/2020 | 933 | ||||||
2,805 | 7.50%, 04/01/2021 | 2,547 | ||||||
1,177 | 8.00%, 02/15/2024 (e) | 1,236 | ||||||
EUR 1,350 | Matterhorn Telecom Holding SA, Reg. S, 4.88%, 05/01/2023 | 1,664 | ||||||
EUR 2,900 | Matterhorn Telecom SA, Reg. S, 3.88%, 05/01/2022 | 3,591 | ||||||
EUR 355 | Monitchem HoldCo 3 SA, Reg. S, 5.25%, 06/15/2021 | 438 | ||||||
Picard Bondco SA, | ||||||||
EUR 1,300 | 5.50%, 11/30/2024 (e) | 1,605 | ||||||
EUR 3,350 | SES SA, Reg. S, (EUR Swap Annual 5 Year + 4.66%), 4.62%, 01/02/2022 (x) (y) (aa) | 4,328 | ||||||
EUR 4,750 | SIG Combibloc Holdings SCA, Reg. S, 7.75%, 02/15/2023 | 6,012 | ||||||
EUR 2,950 | Telenet Finance VI Luxembourg SCA, Reg. S, 4.88%, 07/15/2027 | 3,890 | ||||||
|
| |||||||
68,926 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Mexico — 1.1% |
| |||||||
Banco Mercantil del Norte SA, | ||||||||
1,885 | (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.45%), 5.75%, | 1,872 | ||||||
2,670 | (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), 6.87%, | 2,775 | ||||||
1,900 | Banco Nacional de Comercio Exterior SNC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.80%, 08/11/2026 (e) (aa) | 1,864 | ||||||
4,300 | BBVA Bancomer SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, | 4,173 | ||||||
Cemex SAB de CV, | ||||||||
1,250 | 5.70%, 01/11/2025 (e) | 1,294 | ||||||
200 | 6.13%, 05/05/2025 (e) | 211 | ||||||
1,340 | 7.75%, 04/16/2026 (e) | 1,488 | ||||||
1,940 | Elementia SAB de CV, 5.50%, 01/15/2025 (e) | 1,959 | ||||||
1,050 | Mexico City Airport Trust, 5.50%, 07/31/2047 (e) | 983 | ||||||
4,300 | Nemak SAB de CV, 4.75%, 01/23/2025 (e) | 4,262 | ||||||
Petroleos Mexicanos, | ||||||||
2,681 | (ICE LIBOR USD 3 Month + 3.65%), 5.19%, | 2,932 | ||||||
2,240 | 6.35%, 02/12/2048 (e) | 2,180 | ||||||
1,300 | 6.50%, 03/13/2027 (e) | 1,387 | ||||||
1,730 | 6.75%, 09/21/2047 (e) | 1,754 | ||||||
1,940 | 6.88%, 08/04/2026 | 2,132 | ||||||
900 | Republic of Comision Federal de Electricidad, Reg. S, 4.75%, 02/23/2027 | 907 | ||||||
420 | Sixsigma Networks Mexico SA de CV, Reg. S, 8.25%, 11/07/2021 | 442 | ||||||
|
| |||||||
32,615 | ||||||||
|
| |||||||
Netherlands — 1.6% |
| |||||||
ABN AMRO Bank NV, | ||||||||
3,555 | 4.75%, 07/28/2025 (e) | 3,658 | ||||||
EUR 3,900 | Reg. S, (EUR Swap Annual 5 Year + 5.45%), 5.75%, 09/22/2020 (x) (y) (aa) | 5,222 | ||||||
AerCap Ireland Capital DAC, | ||||||||
2,585 | 3.65%, 07/21/2027 | 2,430 | ||||||
837 | 4.63%, 10/30/2020 | 865 | ||||||
3,765 | 4.63%, 07/01/2022 | 3,907 | ||||||
1,515 | 5.00%, 10/01/2021 | 1,588 | ||||||
Constellium NV, | ||||||||
EUR 1,141 | Reg. S, 4.25%, 02/15/2026 (e) | 1,408 | ||||||
545 | 6.63%, 03/01/2025 (e) | 564 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 17 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Netherlands — continued |
| |||||||
EUR 950 | Hema Bondco I BV, Reg. S, (EURIBOR 3 Month + 6.25%, 6.25% Floor), 6.25%, 07/15/2022 (aa) | 1,162 | ||||||
EUR 900 | Hema Bondco II BV, Reg. S, 8.50%, 01/15/2023 | 1,110 | ||||||
ING Groep NV, | ||||||||
2,200 | (USD Swap Semi 5 Year + 4.45%), 6.50%, | 2,307 | ||||||
3,750 | Reg. S, (USD Swap Semi 5 Year + 5.12%), 6.87%, 04/16/2022 (x) (y) (aa) | 3,993 | ||||||
EUR 1,600 | Lincoln Finance Ltd., Reg. S, 6.88%, 04/15/2021 | 2,029 | ||||||
1,000 | NXP BV, 5.75%, 03/15/2023 (e) | 1,029 | ||||||
3,460 | Shell International Finance BV, 4.13%, 05/11/2035 | 3,569 | ||||||
200 | UPC Holding BV, 5.50%, 01/15/2028 (e) | 188 | ||||||
UPCB Finance IV Ltd., | ||||||||
EUR 1,750 | Reg. S, 4.00%, 01/15/2027 | 2,220 | ||||||
1,950 | 5.38%, 01/15/2025 (e) | 1,931 | ||||||
Ziggo Bond Finance BV, | ||||||||
EUR 3,450 | Reg. S, 4.63%, 01/15/2025 | 4,272 | ||||||
715 | 5.88%, 01/15/2025 (e) | 688 | ||||||
Ziggo Secured Finance BV, | ||||||||
EUR 1,400 | Reg. S, 3.75%, 01/15/2025 | 1,734 | ||||||
EUR 1,000 | Reg. S, 4.25%, 01/15/2027 | 1,231 | ||||||
435 | 5.50%, 01/15/2027 (e) | 417 | ||||||
|
| |||||||
47,522 | ||||||||
|
| |||||||
Nigeria — 0.1% |
| |||||||
1,600 | IHS Netherlands Holdco BV, 9.50%, 10/27/2021 (e) | 1,704 | ||||||
1,200 | United Bank for Africa plc, Reg. S, 7.75%, 06/08/2022 | 1,248 | ||||||
|
| |||||||
2,952 | ||||||||
|
| |||||||
Panama — 0.0% (g) |
| |||||||
700 | Global Bank Corp., Reg. S, 5.13%, 10/30/2019 | 718 | ||||||
|
| |||||||
Peru — 0.2% |
| |||||||
2,600 | Nexa Resources SA, Reg. S, 5.38%, 05/04/2027 | 2,667 | ||||||
3,070 | Southern Copper Corp., 5.88%, 04/23/2045 | 3,511 | ||||||
|
| |||||||
6,178 | ||||||||
|
| |||||||
Portugal — 0.4% |
| |||||||
EUR 2,400 | EDP — Energias de Portugal SA, Reg. S, (EUR Swap Annual 5 Year + 5.04%), 5.38%, 09/16/2075 (aa) | 3,239 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Portugal — continued |
| |||||||
EDP Finance BV, | ||||||||
EUR 2,000 | Reg. S, 2.38%, 03/23/2023 | 2,636 | ||||||
4,130 | 3.63%, 07/15/2024 (e) | 4,073 | ||||||
400 | 5.25%, 01/14/2021 (e) | 421 | ||||||
|
| |||||||
10,369 | ||||||||
|
| |||||||
Qatar — 0.2% |
| |||||||
2,600 | ABQ Finance Ltd., Reg. S, 3.50%, 02/22/2022 | 2,525 | ||||||
2,015 | Ras Laffan Liquefied Natural Gas Co. Ltd. II, Reg. S, 5.30%, 09/30/2020 | 2,066 | ||||||
|
| |||||||
4,591 | ||||||||
|
| |||||||
South Korea — 0.2% |
| |||||||
1,360 | MagnaChip Semiconductor SA, 5.00%, 03/01/2021 | 1,840 | ||||||
4,150 | Woori Bank, Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 5.25%, | 4,166 | ||||||
|
| |||||||
6,006 | ||||||||
|
| |||||||
Spain — 1.5% |
| |||||||
EUR 2,000 | Banco Bilbao Vizcaya Argentaria SA, Reg. S, (EUR Swap Annual 5 Year + 9.18%), 8.88%, 04/14/2021 (x) (y) (aa) | 2,921 | ||||||
CaixaBank SA, | ||||||||
EUR 3,200 | Reg. S, (EUR Swap Annual 5 Year + 3.35%), 3.50%, 02/15/2027 (aa) | 4,166 | ||||||
EUR 3,000 | Reg. S, (EUR Swap Annual 5 Year + 6.50%), 6.75%, 06/13/2024 (x) (y) (aa) | 4,241 | ||||||
EUR 960 | Campofrio Food Group SA, Reg. S, 3.38%, 03/15/2022 | 1,191 | ||||||
EUR 900 | Cellnex Telecom SA, Reg. S, 2.88%, 04/18/2025 | 1,128 | ||||||
EUR 2,250 | Cirsa Funding Luxembourg SA, Reg. S, 5.75%, 05/15/2021 | 2,839 | ||||||
EUR 1,619 | eDreams ODIGEO SA, Reg. S, 8.50%, 08/01/2021 | 2,108 | ||||||
EUR 1,000 | Gas Natural Fenosa Finance BV, Reg. S, (EUR Swap Annual 8 Year + 3.35%), 4.13%, 11/18/2022 (x) (y) (aa) | 1,307 | ||||||
EUR 1,646 | Gestamp Funding Luxembourg SA, Reg. S, 3.50%, 05/15/2023 | 2,091 | ||||||
EUR 1,500 | Grupo-Antolin Irausa SA, Reg. S, 3.25%, 04/30/2024 | 1,882 | ||||||
Repsol International Finance BV, | ||||||||
EUR 336 | Reg. S, (EUR Swap Annual 6 Year + 3.56%), 3.88%, 03/25/2021 (x) (y) (aa) | 439 | ||||||
EUR 3,412 | Reg. S, (EUR Swap Annual 10 Year + 4.20%), 4.50%, 03/25/2075 (aa) | 4,596 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
Spain — continued |
| |||||||
EUR 800 | Santander Issuances SAU, Reg. S, 3.25%, 04/04/2026 | 1,061 | ||||||
Telefonica Emisiones SAU, | ||||||||
930 | 4.67%, 03/06/2038 | 933 | ||||||
1,280 | 5.21%, 03/08/2047 | 1,345 | ||||||
Telefonica Europe BV, | ||||||||
EUR 800 | Reg. S, (EUR Swap Annual 5 Year + 2.33%), 2.63%, 06/07/2023 (x) (y) (aa) | 961 | ||||||
EUR 700 | Reg. S, (EUR Swap Annual 5 Year + 3.81%), 4.20%, 12/04/2019 (x) (y) (aa) | 901 | ||||||
EUR 4,900 | Reg. S, (EUR Swap Annual 10 Year + 4.30%), 5.88%, 03/31/2024 (x) (y) (aa) | 6,948 | ||||||
EUR 1,300 | Reg. S, (EUR Swap Annual 8 Year + 5.59%), 7.63%, 09/18/2021 (x) (y) (aa) | 1,905 | ||||||
|
| |||||||
42,963 | ||||||||
|
| |||||||
Sweden — 0.5% |
| |||||||
1,950 | Nordea Bank AB, (USD Swap Semi 5 Year + 3.39%), 6.13%, 09/23/2024 (e) (x) (y) (aa) | 2,048 | ||||||
EUR 950 | Telefonaktiebolaget LM Ericsson, Reg. S, 1.88%, 03/01/2024 | 1,117 | ||||||
EUR 2,835 | Verisure Holding AB, Reg. S, 6.00%, 11/01/2022 | 3,654 | ||||||
EUR 1,200 | Verisure Midholding AB, Reg. S, 5.75%, 12/01/2023 | 1,462 | ||||||
Volvo Car AB, | ||||||||
EUR 1,100 | Reg. S, 2.00%, 01/24/2025 | 1,336 | ||||||
EUR 1,000 | Reg. S, 3.25%, 05/18/2021 | 1,314 | ||||||
Volvo Treasury AB, | ||||||||
EUR 1,897 | Reg. S, (EUR Swap Annual 5 Year + 3.80%), 4.20%, 06/10/2075 (aa) | 2,482 | ||||||
EUR 250 | Reg. S, (EUR Swap Annual 5 Year + 4.10%), 4.85%, 03/10/2078 (aa) | 348 | ||||||
|
| |||||||
13,761 | ||||||||
|
| |||||||
Switzerland — 0.9% |
| |||||||
1,938 | Credit Suisse AG, 6.50%, 08/08/2023 (e) | 2,137 | ||||||
Credit Suisse Group AG, | ||||||||
1,585 | (ICE LIBOR USD 3 Month + 1.41%), 3.87%, 01/12/2029 (e) (aa) | 1,540 | ||||||
1,575 | 4.28%, 01/09/2028 (e) | 1,581 | ||||||
4,530 | (USD Swap Semi 5 Year + 4.60%), 7.50%, | 5,027 | ||||||
EUR 2,200 | Dufry Finance SCA, Reg. S, 4.50%, 08/01/2023 | 2,807 | ||||||
EUR 1,450 | Dufry One BV, Reg. S, 2.50%, 10/15/2024 | 1,796 | ||||||
EUR 900 | Glencore Finance Europe Ltd., Reg. S, 1.63%, 01/18/2022 | 1,133 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Switzerland — continued |
| |||||||
UBS AG, | ||||||||
2,250 | Reg. S, (USD Swap Semi 5 Year + 3.77%), 4.75%, 05/22/2023 (aa) | 2,256 | ||||||
1,404 | Reg. S, 5.13%, 05/15/2024 | 1,449 | ||||||
UBS Group AG, | ||||||||
EUR 2,700 | Reg. S, (EUR Swap Annual 5 Year + 5.29%), 5.75%, 02/19/2022 (x) (y) (aa) | 3,701 | ||||||
2,750 | Reg. S, (USD Swap Semi 5 Year + 4.87%), 7.00%, 02/19/2025 (x) (y) (aa) | 3,031 | ||||||
723 | Reg. S, (USD Swap Semi 5 Year + 5.46%), 7.13%, 02/19/2020 (x) (y) (aa) | 761 | ||||||
|
| |||||||
27,219 | ||||||||
|
| |||||||
Turkey — 0.1% |
| |||||||
700 | QNB Finansbank AS, Reg. S, 6.25%, 04/30/2019 | 717 | ||||||
1,550 | Turkiye Sise ve Cam Fabrikalari A/S, Reg. S, 4.25%, 05/09/2020 | 1,552 | ||||||
|
| |||||||
2,269 | ||||||||
|
| |||||||
United Arab Emirates — 0.2% |
| |||||||
DAE Funding LLC, | ||||||||
164 | 4.50%, 08/01/2022 (e) | 159 | ||||||
390 | 5.00%, 08/01/2024 (e) | 377 | ||||||
2,800 | EMG SUKUK Ltd., Reg. S, 4.56%, 06/18/2024 | 2,856 | ||||||
700 | MAF Global Securities Ltd., Reg. S, (USD Swap Semi 5 Year + 5.70%), 7.13%, 10/29/2018 (x) (y) (aa) | 710 | ||||||
479 | Shelf Drilling Holdings Ltd., 8.25%, 02/15/2025 (e) | 482 | ||||||
|
| |||||||
4,584 | ||||||||
|
| |||||||
United Kingdom — 3.6% |
| |||||||
500 | Ashtead Capital, Inc., 5.63%, 10/01/2024 (e) | 521 | ||||||
Barclays plc, | ||||||||
EUR 2,400 | Reg. S, (EUR Swap Annual 5 Year + 2.45%), 2.63%, 11/11/2025 (aa) | 3,044 | ||||||
2,800 | 4.38%, 09/11/2024 | 2,750 | ||||||
GBP 800 | Reg. S, (GBP Swap 5 Year + 6.46%), 7.25%, 03/15/2023 (x) (y) (aa) | 1,202 | ||||||
BAT Capital Corp., | ||||||||
6,345 | 3.56%, 08/15/2027 (e) | 6,065 | ||||||
4,260 | 4.39%, 08/15/2037 (e) | 4,187 | ||||||
BP Capital Markets plc, | ||||||||
2,100 | 3.02%, 01/16/2027 | 2,002 | ||||||
915 | 3.06%, 03/17/2022 | 913 | ||||||
EUR 2,500 | British Telecommunications plc, Reg. S, 1.75%, 03/10/2026 | 3,121 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 19 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United Kingdom — continued |
| |||||||
EUR 1,800 | CNH Industrial Finance Europe SA, Reg. S, 2.88%, 05/17/2023 | 2,391 | ||||||
GBP 1,600 | CPUK Finance Ltd., Reg. S, 4.25%, 08/28/2022 | 2,225 | ||||||
Fiat Chrysler Automobiles NV, | ||||||||
EUR 3,000 | Reg. S, 3.75%, 03/29/2024 | 3,980 | ||||||
273 | 4.50%, 04/15/2020 | 277 | ||||||
2,040 | 5.25%, 04/15/2023 | 2,101 | ||||||
GBP 1,400 | Galaxy Bidco Ltd., Reg. S, 6.38%, 11/15/2020 | 1,924 | ||||||
569 | Genel Energy Finance Ltd., Reg. S, SUB, 10.00%, 12/22/2022 (e) | 562 | ||||||
GBP 530 | HBOS Capital Funding LP, Reg. S, (U.K. Government Bonds 5 Year Note Generic Bid Yield + 2.85%), 6.46%, 11/30/2018 (x) (y) (aa) | 752 | ||||||
HSBC Holdings plc, | ||||||||
3,000 | 3.40%, 03/08/2021 | 3,020 | ||||||
3,095 | 4.25%, 03/14/2024 | 3,135 | ||||||
EUR 2,700 | Reg. S, (EUR Swap Annual 5 Year + 5.34%), 6.00%, 09/29/2023 (x) (y) (aa) | 3,858 | ||||||
4,225 | (USD ICE Swap Rate 5 Year + 3.75%), 6.00%, 05/22/2027 (x) (y) (aa) | 4,294 | ||||||
Iceland Bondco plc, | ||||||||
GBP 1,175 | Reg. S, 4.63%, 03/15/2025 | 1,495 | ||||||
GBP 1,400 | Reg. S, 6.75%, 07/15/2024 | 2,000 | ||||||
Jaguar Land Rover Automotive plc, | ||||||||
GBP 700 | Reg. S, 3.88%, 03/01/2023 | 986 | ||||||
500 | 4.13%, 12/15/2018 (e) | 502 | ||||||
200 | 4.25%, 11/15/2019 (e) | 201 | ||||||
611 | 4.50%, 10/01/2027 (e) | 580 | ||||||
KCA Deutag UK Finance plc, | ||||||||
210 | 7.25%, 05/15/2021 (e) | 205 | ||||||
400 | 9.88%, 04/01/2022 (e) | 421 | ||||||
Lloyds Banking Group plc, | ||||||||
2,560 | 4.65%, 03/24/2026 | 2,604 | ||||||
EUR 2,800 | Reg. S, (EUR Swap Annual 5 Year + 5.29%), 6.37%, 06/27/2020 (x) (y) (aa) | 3,736 | ||||||
GBP 800 | Reg. S, (GBP Swap 5 Year + 5.01%), 7.63%, 06/27/2023 (x) (y) (aa) | 1,258 | ||||||
EUR 1,150 | Merlin Entertainments plc, Reg. S, 2.75%, 03/15/2022 | 1,452 | ||||||
Nationwide Building Society, | ||||||||
3,000 | 4.00%, 09/14/2026 (e) | 2,930 | ||||||
GBP 1,380 | Reg. S, (GBP Swap 5 Year + 4.88%), 6.88%, 06/20/2019 (x) (y) (aa) | 1,993 | ||||||
GBP 900 | New Look Secured Issuer plc, Reg. S, 6.50%, 07/01/2022 | 619 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United Kingdom — continued |
| |||||||
GBP 710 | NGG Finance plc, Reg. S, (GBP Swap 12 Year + 3.48%), 5.63%, 06/18/2073 (aa) | 1,098 | ||||||
Noble Holding International Ltd., | ||||||||
174 | 7.75%, 01/15/2024 | 158 | ||||||
408 | 7.88%, 02/01/2026 (e) | 410 | ||||||
EUR 1,200 | Nomad Foods Bondco plc, Reg. S, 3.25%, 05/15/2024 | 1,489 | ||||||
GBP 880 | Pizzaexpress Financing 2 plc, Reg. S, 6.63%, 08/01/2021 | 1,150 | ||||||
3,130 | Reynolds American, Inc., 4.45%, 06/12/2025 | 3,222 | ||||||
Royal Bank of Scotland Group plc, | ||||||||
1,402 | 6.00%, 12/19/2023 | 1,497 | ||||||
1,645 | 6.13%, 12/15/2022 | 1,754 | ||||||
1,200 | (USD Swap Semi 5 Year + 7.60%), 8.62%, | 1,326 | ||||||
1,520 | Santander UK Group Holdings plc, 4.75%, 09/15/2025 (e) | 1,542 | ||||||
GBP 638 | Standard Life Aberdeen plc, Reg. S, (U.K. Government Bonds 5 Year Note Generic Bid Yield + 2.85%), 6.75%, 07/12/2027 (x) (y) (aa) | 1,091 | ||||||
EUR 2,750 | Synlab Unsecured Bondco plc, Reg. S, 8.25%, 07/01/2023 | 3,593 | ||||||
EUR 5,500 | Tesco Corporate Treasury Services plc, Reg. S, 2.50%, 07/01/2024 | 7,068 | ||||||
417 | TI Group Automotive Systems LLC, 8.75%, 07/15/2023 (e) | 442 | ||||||
Virgin Media Finance plc, | ||||||||
EUR 2,900 | Reg. S, 4.50%, 01/15/2025 | 3,635 | ||||||
200 | 5.75%, 01/15/2025 (e) | 196 | ||||||
Virgin Media Secured Finance plc, | ||||||||
205 | 5.25%, 01/15/2026 (e) | 201 | ||||||
775 | 5.50%, 08/15/2026 (e) | 767 | ||||||
EUR 2,500 | Worldpay Finance plc, Reg. S, 3.75%, 11/15/2022 | 3,291 | ||||||
|
| |||||||
107,236 | ||||||||
|
| |||||||
United States — 30.1% |
| |||||||
2,500 | 21st Century Fox America, Inc., 4.95%, 10/15/2045 | 2,788 | ||||||
250 | A10 Revolving Asset Financing LLC, (ICE LIBOR USD 3 Month + 6.00%), 7.73%, | 250 | ||||||
Acadia Healthcare Co., Inc., | ||||||||
55 | 5.63%, 02/15/2023 | 56 | ||||||
100 | 6.13%, 03/15/2021 | 102 | ||||||
330 | 6.50%, 03/01/2024 | 341 | ||||||
2,176 | ACCO Brands Corp., 5.25%, 12/15/2024 (e) | 2,187 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
859 | ACE Cash Express, Inc., 12.00%, 12/15/2022 (e) | 932 | ||||||
EUR 1,525 | Adient Global Holdings Ltd., Reg. S, 3.50%, 08/15/2024 | 1,907 | ||||||
ADT Corp. (The), | ||||||||
500 | 3.50%, 07/15/2022 | 477 | ||||||
728 | 4.13%, 06/15/2023 | 708 | ||||||
186 | Advanced Micro Devices, Inc., 7.00%, 07/01/2024 | 195 | ||||||
250 | AECOM, 5.75%, 10/15/2022 | 261 | ||||||
AES Corp., | ||||||||
179 | 5.13%, 09/01/2027 | 181 | ||||||
1,814 | 5.50%, 04/15/2025 | 1,860 | ||||||
670 | Ahern Rentals, Inc., 7.38%, 05/15/2023 (e) | 650 | ||||||
1,260 | Air Lease Corp., 3.00%, 09/15/2023 | 1,226 | ||||||
1,275 | Air Medical Group Holdings, Inc., 6.38%, 05/15/2023 (e) | 1,211 | ||||||
Aircastle Ltd., | ||||||||
465 | 5.13%, 03/15/2021 | 478 | ||||||
310 | 7.63%, 04/15/2020 | 333 | ||||||
AK Steel Corp., | ||||||||
275 | 7.00%, 03/15/2027 | 280 | ||||||
275 | 7.50%, 07/15/2023 | 293 | ||||||
Albertsons Cos. LLC, | ||||||||
1,371 | 5.75%, 03/15/2025 | 1,193 | ||||||
581 | 6.63%, 06/15/2024 | 535 | ||||||
350 | Alcoa Nederland Holding BV, 6.75%, 09/30/2024 (e) | 375 | ||||||
209 | Aleris International, Inc., 7.88%, 11/01/2020 | 209 | ||||||
1,860 | Allergan Funding SCS, 4.85%, 06/15/2044 | 1,873 | ||||||
Alliance Data Systems Corp., | ||||||||
254 | 5.38%, 08/01/2022 (e) | 255 | ||||||
509 | 5.88%, 11/01/2021 (e) | 520 | ||||||
Ally Financial, Inc., | ||||||||
1,000 | 4.13%, 03/30/2020 | 1,009 | ||||||
600 | 4.13%, 02/13/2022 | 601 | ||||||
420 | 4.25%, 04/15/2021 | 424 | ||||||
290 | 4.63%, 05/19/2022 | 295 | ||||||
3,280 | 4.63%, 03/30/2025 | 3,296 | ||||||
250 | 4.75%, 09/10/2018 | 252 | ||||||
900 | 8.00%, 11/01/2031 | 1,116 | ||||||
Altice US Finance I Corp., | ||||||||
560 | 5.38%, 07/15/2023 (e) | 569 | ||||||
535 | 5.50%, 05/15/2026 (e) | 530 | ||||||
Altria Group, Inc., | ||||||||
965 | 3.88%, 09/16/2046 | 890 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,500 | 4.00%, 01/31/2024 | 1,544 | ||||||
1,165 | 4.25%, 08/09/2042 | 1,152 | ||||||
1,480 | Amazon.com, Inc., 4.05%, 08/22/2047 (e) | 1,472 | ||||||
AMC Entertainment Holdings, Inc., | ||||||||
1,590 | 5.75%, 06/15/2025 | 1,546 | ||||||
230 | 5.88%, 02/15/2022 | 232 | ||||||
107 | 6.13%, 05/15/2027 | 104 | ||||||
AMC Networks, Inc., | ||||||||
528 | 4.75%, 08/01/2025 | 511 | ||||||
258 | 5.00%, 04/01/2024 | 259 | ||||||
American Axle & Manufacturing, Inc., | ||||||||
2,543 | 6.25%, 04/01/2025 | 2,624 | ||||||
1,180 | 6.50%, 04/01/2027 | 1,218 | ||||||
1,448 | 6.63%, 10/15/2022 | 1,497 | ||||||
1,500 | American Express Credit Corp., Series F, 2.60%, 09/14/2020 | 1,486 | ||||||
114 | American Greetings Corp., 7.88%, 02/15/2025 (e) | 117 | ||||||
American International Group, Inc., | ||||||||
1,750 | 3.90%, 04/01/2026 | 1,741 | ||||||
2,080 | 4.80%, 07/10/2045 | 2,164 | ||||||
American Tower Corp., | ||||||||
2,390 | 3.38%, 10/15/2026 | 2,269 | ||||||
2,825 | 3.60%, 01/15/2028 | 2,681 | ||||||
195 | American Woodmark Corp., 4.88%, 03/15/2026 (e) | 194 | ||||||
575 | AmeriGas Partners LP, 5.50%, 05/20/2025 | 571 | ||||||
1,975 | Amgen, Inc., 2.65%, 05/11/2022 | 1,929 | ||||||
Amkor Technology, Inc., | ||||||||
1,000 | 6.38%, 10/01/2022 | 1,029 | ||||||
1,950 | 6.63%, 06/01/2021 | 1,967 | ||||||
357 | AMN Healthcare, Inc., 5.13%, 10/01/2024 (e) | 361 | ||||||
2,500 | Anadarko Petroleum Corp., 3.45%, 07/15/2024 | 2,447 | ||||||
Analog Devices, Inc., | ||||||||
1,465 | 3.50%, 12/05/2026 | 1,431 | ||||||
190 | 4.50%, 12/05/2036 | 196 | ||||||
375 | Andeavor Logistics LP, 6.25%, 10/15/2022 | 393 | ||||||
1,320 | Anixter, Inc., 5.50%, 03/01/2023 | 1,376 | ||||||
Antero Resources Corp., | ||||||||
1,850 | 5.13%, 12/01/2022 | 1,866 | ||||||
500 | 5.38%, 11/01/2021 | 511 | ||||||
Apple, Inc., | ||||||||
3,065 | 2.90%, 09/12/2027 | 2,900 | ||||||
2,775 | 3.35%, 02/09/2027 | 2,735 | ||||||
755 | 4.38%, 05/13/2045 | 791 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 21 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
EUR 2,000 | Aramark International Finance SARL, Reg. S, 3.13%, 04/01/2025 | 2,535 | ||||||
351 | Aramark Services, Inc., 5.00%, 02/01/2028 (e) | 350 | ||||||
78 | Archrock Partners LP, 6.00%, 10/01/2022 | 78 | ||||||
Arconic, Inc., | ||||||||
725 | 5.13%, 10/01/2024 | 748 | ||||||
250 | 5.40%, 04/15/2021 | 260 | ||||||
1,478 | 5.90%, 02/01/2027 | 1,589 | ||||||
83 | 6.75%, 01/15/2028 | 94 | ||||||
1,425 | Ashland LLC, 4.75%, 08/15/2022 | 1,457 | ||||||
AT&T, Inc., | ||||||||
EUR 900 | 3.15%, 09/04/2036 | 1,119 | ||||||
2,025 | 3.40%, 05/15/2025 | 1,949 | ||||||
5,890 | 3.90%, 03/11/2024 | 5,940 | ||||||
2,060 | 3.90%, 08/14/2027 | 2,044 | ||||||
690 | 4.30%, 12/15/2042 | 628 | ||||||
880 | 4.75%, 05/15/2046 | 834 | ||||||
745 | 4.80%, 06/15/2044 | 713 | ||||||
2,295 | 4.90%, 08/14/2037 | 2,300 | ||||||
208 | 5.15%, 02/14/2050 | 208 | ||||||
1,335 | 5.25%, 03/01/2037 | 1,384 | ||||||
1,615 | Avantor, Inc., 6.00%, 10/01/2024 (e) | 1,615 | ||||||
1,120 | Avaya, Inc., 7.00%, 04/01/2019 (d) (bb) | — | (h) | |||||
Avis Budget Car Rental LLC, | ||||||||
2,830 | 5.50%, 04/01/2023 | 2,809 | ||||||
925 | 6.38%, 04/01/2024 (e) | 946 | ||||||
Axalta Coating Systems LLC, | ||||||||
EUR 2,100 | Reg. S, 4.25%, 08/15/2024 | 2,714 | ||||||
310 | 4.88%, 08/15/2024 (e) | 311 | ||||||
8 | B&G Foods, Inc., 5.25%, 04/01/2025 | 8 | ||||||
Ball Corp., | ||||||||
EUR 2,500 | 4.38%, 12/15/2023 | 3,446 | ||||||
500 | 5.25%, 07/01/2025 | 525 | ||||||
Bank of America Corp., | ||||||||
3,795 | 2.63%, 10/19/2020 | 3,759 | ||||||
12,205 | (ICE LIBOR USD 3 Month + 0.79%), 3.00%, | 11,942 | ||||||
1,875 | (ICE LIBOR USD 3 Month + 1.07%), 3.97%, | 1,875 | ||||||
4,040 | 4.25%, 10/22/2026 | 4,079 | ||||||
1,640 | Series K, (ICE LIBOR USD 3 Month + 3.63%), 5.40%, 04/30/2018 (x) (y) (aa) | 1,643 | ||||||
4,070 | Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 03/17/2025 (x) (y) (aa) | 4,314 | ||||||
466 | Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 09/05/2024 (x) (y) (aa) | 501 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
474 | Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 03/10/2026 (x) (y) (aa) | 520 | ||||||
EUR 1,700 | Belden, Inc., Reg. S, 3.38%, 07/15/2027 | 2,071 | ||||||
400 | Berry Global, Inc., 5.50%, 05/15/2022 | 411 | ||||||
Blue Cube Spinco, Inc., | ||||||||
357 | 9.75%, 10/15/2023 | 414 | ||||||
843 | 10.00%, 10/15/2025 | 1,005 | ||||||
Blue Racer Midstream LLC, | ||||||||
1,794 | 6.13%, 11/15/2022 (e) | 1,839 | ||||||
175 | Booz Allen Hamilton, Inc., 5.13%, 05/01/2025 (e) | 174 | ||||||
Boyd Gaming Corp., | ||||||||
445 | 6.38%, 04/01/2026 | 468 | ||||||
652 | 6.88%, 05/15/2023 | 688 | ||||||
259 | Brink’s Co. (The), 4.63%, 10/15/2027 (e) | 245 | ||||||
Bristow Group, Inc., | ||||||||
80 | 6.25%, 10/15/2022 | 69 | ||||||
342 | 8.75%, 03/01/2023 (e) | 348 | ||||||
2,550 | Broadcom Corp., 3.63%, 01/15/2024 | 2,488 | ||||||
1,970 | Buckeye Partners LP, 3.95%, 12/01/2026 | 1,879 | ||||||
1,340 | Burlington Northern Santa Fe LLC, 4.55%, 09/01/2044 | 1,433 | ||||||
Cablevision Systems Corp., | ||||||||
140 | 5.88%, 09/15/2022 | 140 | ||||||
582 | 8.00%, 04/15/2020 | 618 | ||||||
401 | California Resources Corp., 8.00%, 12/15/2022 (e) | 317 | ||||||
244 | Callon Petroleum Co., 6.13%, 10/01/2024 | 249 | ||||||
1,000 | Calpine Corp., 6.00%, 01/15/2022 (e) | 1,029 | ||||||
570 | Camelot Finance SA, 7.88%, 10/15/2024 (e) | 604 | ||||||
Capital One Financial Corp., | ||||||||
2,890 | 3.50%, 06/15/2023 | 2,878 | ||||||
670 | 3.75%, 03/09/2027 | 651 | ||||||
2,930 | 3.80%, 01/31/2028 | 2,845 | ||||||
3,000 | 4.20%, 10/29/2025 | 2,975 | ||||||
12 | Carlyle Promissory Note, 3.36%, 07/15/2019 (bb) | 12 | ||||||
716 | Carrizo Oil & Gas, Inc., 6.25%, 04/15/2023 | 718 | ||||||
117 | Catalent Pharma Solutions, Inc., 4.88%, 01/15/2026 (e) | 116 | ||||||
255 | CB Escrow Corp., 8.00%, 10/15/2025 (e) | 249 | ||||||
615 | CBS Radio, Inc., 7.25%, 11/01/2024 (e) | 633 | ||||||
CCO Holdings LLC, | ||||||||
2,697 | 5.00%, 02/01/2028 (e) | 2,547 | ||||||
6,076 | 5.13%, 05/01/2027 (e) | 5,841 | ||||||
681 | 5.38%, 05/01/2025 (e) | 683 | ||||||
2,635 | 5.50%, 05/01/2026 (e) | 2,635 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
405 | 5.75%, 09/01/2023 | 413 | ||||||
190 | 5.75%, 01/15/2024 | 193 | ||||||
4,280 | 5.75%, 02/15/2026 (e) | 4,339 | ||||||
4,190 | 5.88%, 04/01/2024 (e) | 4,333 | ||||||
185 | 5.88%, 05/01/2027 (e) | 188 | ||||||
CDW LLC, | ||||||||
318 | 5.00%, 09/01/2023 | 323 | ||||||
165 | 5.50%, 12/01/2024 | 172 | ||||||
353 | Centene Corp., 4.75%, 05/15/2022 | 359 | ||||||
1,000 | Central Garden & Pet Co., 6.13%, 11/15/2023 | 1,044 | ||||||
CenturyLink, Inc., | ||||||||
360 | Series T, 5.80%, 03/15/2022 | 355 | ||||||
155 | Series S, 6.45%, 06/15/2021 | 158 | ||||||
1,380 | Series W, 6.75%, 12/01/2023 | 1,359 | ||||||
120 | Series Y, 7.50%, 04/01/2024 | 121 | ||||||
CF Industries, Inc., | ||||||||
185 | 3.45%, 06/01/2023 | 179 | ||||||
2,360 | 4.50%, 12/01/2026 (e) | 2,402 | ||||||
565 | 5.15%, 03/15/2034 | 554 | ||||||
2,868 | Charter Communications Operating LLC, 4.91%, 07/23/2025 | 2,953 | ||||||
Chemours Co. (The), | ||||||||
735 | 6.63%, 05/15/2023 | 773 | ||||||
195 | 7.00%, 05/15/2025 | 210 | ||||||
710 | Cheniere Corpus Christi Holdings LLC, 7.00%, 06/30/2024 | 794 | ||||||
185 | Cheniere Energy Partners LP, 5.25%, 10/01/2025 (e) | 187 | ||||||
Chesapeake Energy Corp., | ||||||||
401 | 4.88%, 04/15/2022 | 376 | ||||||
1,300 | 8.00%, 12/15/2022 (e) | 1,383 | ||||||
1,118 | 8.00%, 01/15/2025 (e) | 1,104 | ||||||
596 | 8.00%, 06/15/2027 (e) | 571 | ||||||
2,848 | Chevron Corp., 2.36%, 12/05/2022 | 2,762 | ||||||
215 | Cincinnati Bell, Inc., 7.00%, 07/15/2024 (e) | 204 | ||||||
90 | Cinemark USA, Inc., 5.13%, 12/15/2022 | 91 | ||||||
CIT Group, Inc., | ||||||||
29 | 3.88%, 02/19/2019 | 29 | ||||||
1,005 | 5.00%, 08/15/2022 | 1,036 | ||||||
26 | 5.38%, 05/15/2020 | 27 | ||||||
363 | CITGO Petroleum Corp., 6.25%, 08/15/2022 (e) | 363 | ||||||
Citigroup, Inc., | ||||||||
2,690 | 2.40%, 02/18/2020 | 2,664 | ||||||
2,695 | 2.65%, 10/26/2020 | 2,668 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
3,660 | (ICE LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/2023 (aa) | 3,633 | ||||||
1,980 | 3.20%, 10/21/2026 | 1,891 | ||||||
2,730 | 3.88%, 03/26/2025 | 2,711 | ||||||
4,810 | 4.13%, 07/25/2028 | 4,776 | ||||||
2,855 | 4.40%, 06/10/2025 | 2,931 | ||||||
3,488 | �� | Series O, (ICE LIBOR USD 3 Month + 4.06%), 5.87%, 03/27/2020 (x) (y) (aa) | 3,614 | |||||
Claire’s Stores, Inc., | ||||||||
250 | 6.13%, 03/15/2020 (e) | 166 | ||||||
1,925 | 9.00%, 03/15/2019 (e) (d) | 1,309 | ||||||
1,130 | Clean Harbors, Inc., 5.13%, 06/01/2021 | 1,137 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
9,483 | Series B, 6.50%, 11/15/2022 | 9,744 | ||||||
4,045 | Series B, 7.63%, 03/15/2020 | 4,040 | ||||||
745 | Clearwater Paper Corp., 4.50%, 02/01/2023 | 717 | ||||||
500 | CNG Holdings, Inc., 9.38%, 05/15/2020 (e) | 488 | ||||||
670 | CNO Financial Group, Inc., 5.25%, 05/30/2025 | 680 | ||||||
291 | CNX Resources Corp., 5.88%, 04/15/2022 | 293 | ||||||
1,000 | Cogent Communications Finance, Inc., 5.63%, 04/15/2021 (e) | 1,020 | ||||||
600 | Cogent Communications Group, Inc., 5.38%, | 625 | ||||||
Comcast Corp., | ||||||||
1,750 | 3.20%, 07/15/2036 | 1,547 | ||||||
2,000 | 3.40%, 07/15/2046 | 1,715 | ||||||
2,310 | 4.60%, 08/15/2045 | 2,409 | ||||||
500 | Commercial Metals Co., 4.88%, 05/15/2023 | 506 | ||||||
CommScope Technologies LLC, | ||||||||
142 | 5.00%, 03/15/2027 (e) | 138 | ||||||
3,200 | 6.00%, 06/15/2025 (e) | 3,305 | ||||||
681 | CommScope, Inc., 5.50%, 06/15/2024 (e) | 694 | ||||||
Community Health Systems, Inc., | ||||||||
743 | 5.13%, 08/01/2021 | 686 | ||||||
441 | 6.25%, 03/31/2023 | 401 | ||||||
791 | 6.88%, 02/01/2022 | 514 | ||||||
685 | 7.13%, 07/15/2020 | 576 | ||||||
260 | 8.00%, 11/15/2019 | 243 | ||||||
845 | Concho Resources, Inc., 4.88%, 10/01/2047 | 873 | ||||||
206 | Consolidated Communications, Inc., 6.50%, 10/01/2022 | 180 | ||||||
Continental Resources, Inc., | ||||||||
340 | 4.38%, 01/15/2028 (e) | 330 | ||||||
1,770 | 4.50%, 04/15/2023 | 1,792 | ||||||
857 | 5.00%, 09/15/2022 | 870 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 23 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
1,345 | Cooper-Standard Automotive, Inc., 5.63%, 11/15/2026 (e) | 1,372 | ||||||
800 | CoreCivic, Inc., 4.63%, 05/01/2023 | 796 | ||||||
217 | Cornerstone Chemical Co., 6.75%, 08/15/2024 (e) | 220 | ||||||
158 | Covanta Holding Corp., 5.88%, 03/01/2024 | 158 | ||||||
820 | Crestwood Midstream Partners LP, 6.25%, 04/01/2023 | 845 | ||||||
274 | Crown Americas LLC, 4.75%, 02/01/2026 (e) | 270 | ||||||
Crown European Holdings SA, | ||||||||
EUR 1,000 | Reg. S, 2.63%, 09/30/2024 | 1,232 | ||||||
EUR 3,450 | Reg. S, 4.00%, 07/15/2022 | 4,592 | ||||||
CSC Holdings LLC, | ||||||||
430 | 5.25%, 06/01/2024 | 414 | ||||||
400 | 5.38%, 02/01/2028 (e) | 391 | ||||||
200 | 5.50%, 04/15/2027 (e) | 197 | ||||||
242 | 6.75%, 11/15/2021 | 254 | ||||||
129 | 8.63%, 02/15/2019 | 135 | ||||||
1,200 | 10.13%, 01/15/2023 (e) | 1,338 | ||||||
80 | CSI Compressco LP, 7.25%, 08/15/2022 | 78 | ||||||
CURO Financial Technologies Corp., | ||||||||
322 | 12.00%, 03/01/2022 (e) | 354 | ||||||
CyrusOne LP, | ||||||||
153 | 5.00%, 03/15/2024 | 154 | ||||||
143 | 5.38%, 03/15/2027 | 144 | ||||||
Dana, Inc., | ||||||||
1,910 | 5.50%, 12/15/2024 | 1,948 | ||||||
600 | 6.00%, 09/15/2023 | 621 | ||||||
1,645 | Darden Restaurants, Inc., 3.85%, 05/01/2027 | 1,622 | ||||||
DaVita, Inc., | ||||||||
800 | 5.00%, 05/01/2025 | 784 | ||||||
116 | 5.13%, 07/15/2024 | 115 | ||||||
350 | 5.75%, 08/15/2022 | 360 | ||||||
DCP Midstream Operating LP, | ||||||||
660 | 3.88%, 03/15/2023 | 644 | ||||||
610 | 6.75%, 09/15/2037 (e) | 680 | ||||||
314 | Dean Foods Co., 6.50%, 03/15/2023 (e) | 307 | ||||||
Dell International LLC, | ||||||||
470 | 5.88%, 06/15/2021 (e) | 480 | ||||||
4,425 | 6.02%, 06/15/2026 (e) | 4,734 | ||||||
637 | 7.13%, 06/15/2024 (e) | 688 | ||||||
Denbury Resources, Inc., | ||||||||
130 | 9.00%, 05/15/2021 (e) | 133 | ||||||
505 | 9.25%, 03/31/2022 (e) | 518 | ||||||
145 | Diamond Offshore Drilling, Inc., 7.88%, 08/15/2025 | 147 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
150 | Diamondback Energy, Inc., 4.75%, 11/01/2024 | 148 | ||||||
620 | Diebold Nixdorf, Inc., 8.50%, 04/15/2024 | 654 | ||||||
Discovery Communications LLC, | ||||||||
1,600 | 2.95%, 03/20/2023 | 1,547 | ||||||
1,800 | 5.00%, 09/20/2037 | 1,797 | ||||||
DISH DBS Corp., | ||||||||
1,309 | 5.00%, 03/15/2023 | 1,203 | ||||||
2,595 | 5.88%, 07/15/2022 | 2,530 | ||||||
6,021 | 5.88%, 11/15/2024 | 5,630 | ||||||
754 | 6.75%, 06/01/2021 | 775 | ||||||
2,901 | 7.75%, 07/01/2026 | 2,857 | ||||||
500 | DJO Finco, Inc., 8.13%, 06/15/2021 (e) | 485 | ||||||
283 | Dole Food Co., Inc., 7.25%, 06/15/2025 (e) | 296 | ||||||
842 | Dollar Tree, Inc., 5.75%, 03/01/2023 | 876 | ||||||
918 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 02/15/2023 (e) | 942 | ||||||
Dynegy, Inc., | ||||||||
653 | 5.88%, 06/01/2023 | 669 | ||||||
19 | 6.75%, 11/01/2019 | 19 | ||||||
615 | 7.38%, 11/01/2022 | 648 | ||||||
760 | 7.63%, 11/01/2024 | 817 | ||||||
354 | 8.13%, 01/30/2026 (e) | 388 | ||||||
543 | Eldorado Resorts, Inc., 6.00%, 04/01/2025 | 559 | ||||||
2,609 | Embarq Corp., 8.00%, 06/01/2036 | 2,469 | ||||||
440 | EMC Corp., 2.65%, 06/01/2020 | 428 | ||||||
Encompass Health Corp., | ||||||||
250 | 5.13%, 03/15/2023 | 255 | ||||||
890 | 5.75%, 11/01/2024 | 902 | ||||||
650 | 5.75%, 09/15/2025 | 661 | ||||||
Endo Dac, | ||||||||
1,000 | 6.00%, 07/15/2023 (e) | 750 | ||||||
720 | 6.00%, 02/01/2025 (e) | 516 | ||||||
152 | Endo Finance LLC, 5.75%, 01/15/2022 (e) | 124 | ||||||
Energizer Holdings, Inc., | ||||||||
1,400 | 5.50%, 06/15/2025 (e) | 1,400 | ||||||
Energy Transfer Equity LP, | ||||||||
341 | 4.25%, 03/15/2023 | 335 | ||||||
786 | 5.88%, 01/15/2024 | 833 | ||||||
495 | EnerSys, 5.00%, 04/30/2023 (e) | 506 | ||||||
Ensco plc, | ||||||||
656 | 5.20%, 03/15/2025 | 544 | ||||||
211 | 7.75%, 02/01/2026 | 200 | ||||||
156 | 8.00%, 01/31/2024 | 153 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
710 | Entegris, Inc., 4.63%, 02/10/2026 (e) | 698 | ||||||
1,520 | Entergy Corp., 2.95%, 09/01/2026 | 1,430 | ||||||
1,960 | Enterprise Products Operating LLC, Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 08/16/2077 (aa) | 1,891 | ||||||
Envision Healthcare Corp., | ||||||||
400 | 5.13%, 07/01/2022 (e) | 403 | ||||||
677 | 5.63%, 07/15/2022 | 691 | ||||||
EP Energy LLC, | ||||||||
326 | 8.00%, 11/29/2024 (e) | 336 | ||||||
760 | 8.00%, 02/15/2025 (e) | 522 | ||||||
1,970 | 9.38%, 05/01/2024 (e) | 1,453 | ||||||
Equinix, Inc., | ||||||||
EUR 3,700 | 2.88%, 10/01/2025 | 4,472 | ||||||
38 | 5.38%, 01/01/2022 | 39 | ||||||
500 | 5.38%, 04/01/2023 | 513 | ||||||
485 | 5.38%, 05/15/2027 | 495 | ||||||
27 | 5.75%, 01/01/2025 | 28 | ||||||
111 | 5.88%, 01/15/2026 | 116 | ||||||
951 | ESH Hospitality, Inc., 5.25%, 05/01/2025 (e) | 949 | ||||||
625 | Exela Intermediate LLC, 10.00%, 07/15/2023 (e) | 623 | ||||||
1,565 | Exelon Generation Co. LLC, 4.25%, 06/15/2022 | 1,616 | ||||||
1,965 | Express Scripts Holding Co., 3.40%, 03/01/2027 | 1,862 | ||||||
151 | Fidelity & Guaranty Life Holdings, Inc., 6.38%, | 153 | ||||||
First Data Corp., | ||||||||
45 | 5.00%, 01/15/2024 (e) | 45 | ||||||
4,810 | 5.38%, 08/15/2023 (e) | 4,894 | ||||||
4,189 | 5.75%, 01/15/2024 (e) | 4,262 | ||||||
559 | 7.00%, 12/01/2023 (e) | 588 | ||||||
4,885 | FirstEnergy Corp., Series B, 3.90%, 07/15/2027 | 4,824 | ||||||
385 | FirstEnergy Transmission LLC, 5.45%, 07/15/2044 (e) | 441 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2,575 | 3.20%, 01/15/2021 | 2,558 | ||||||
3,000 | 3.66%, 09/08/2024 | 2,919 | ||||||
2,385 | 4.39%, 01/08/2026 | 2,369 | ||||||
Freeport-McMoRan, Inc., | ||||||||
1,505 | 3.55%, 03/01/2022 | 1,464 | ||||||
1,420 | 3.88%, 03/15/2023 | 1,377 | ||||||
600 | 5.40%, 11/14/2034 | 584 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
Frontier Communications Corp., | ||||||||
275 | 6.25%, 09/15/2021 | 235 | ||||||
1,000 | 6.88%, 01/15/2025 | 610 | ||||||
355 | 7.13%, 03/15/2019 | 361 | ||||||
55 | 8.50%, 04/15/2020 | 54 | ||||||
525 | 9.25%, 07/01/2021 | 486 | ||||||
154 | 10.50%, 09/15/2022 | 131 | ||||||
2,246 | 11.00%, 09/15/2025 | 1,760 | ||||||
292 | FXI Holdings, Inc., 7.88%, 11/01/2024 (e) | 288 | ||||||
84 | Gartner, Inc., 5.13%, 04/01/2025 (e) | 86 | ||||||
394 | Gates Global LLC, 6.00%, 07/15/2022 (e) | 401 | ||||||
1,500 | GCP Applied Technologies, Inc., 9.50%, | 1,644 | ||||||
4,950 | GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/2035 | 4,861 | ||||||
General Electric Co., | ||||||||
EUR | 400 | 2.13%, 05/17/2037 | 455 | |||||
748 | 3.45%, 05/15/2024 | 736 | ||||||
3,550 | 4.50%, 03/11/2044 | 3,517 | ||||||
General Motors Co., | ||||||||
1,600 | 5.15%, 04/01/2038 | 1,580 | ||||||
2,035 | 5.20%, 04/01/2045 | 2,007 | ||||||
731 | Genesis Energy LP, 6.00%, 05/15/2023 | 729 | ||||||
473 | Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/2024 (e) | 523 | ||||||
GenOn Energy, Inc., | ||||||||
170 | 9.50%, 10/15/2018 (d) | 142 | ||||||
3,360 | 9.88%, 10/15/2020 (d) | 2,797 | ||||||
GEO Group, Inc. (The), | ||||||||
1,105 | 5.13%, 04/01/2023 | 1,099 | ||||||
1,465 | 5.88%, 10/15/2024 | 1,480 | ||||||
2,650 | Gilead Sciences, Inc., 4.15%, 03/01/2047 | 2,559 | ||||||
676 | Global Partners LP, 7.00%, 06/15/2023 (bb) | 689 | ||||||
939 | Golden Nugget, Inc., 6.75%, 10/15/2024 (e) | 962 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
5,085 | 2.35%, 11/15/2021 | 4,918 | ||||||
910 | 2.63%, 04/25/2021 | 895 | ||||||
930 | 2.75%, 09/15/2020 | 924 | ||||||
4,965 | (ICE LIBOR USD 3 Month + 0.99%), 2.90%, 07/24/2023 (aa) | 4,837 | ||||||
5,150 | (ICE LIBOR USD 3 Month + 1.16%), 3.81%, 04/23/2029 (aa) | 5,029 | ||||||
1,850 | 3.85%, 07/08/2024 | 1,864 | ||||||
2,220 | (ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (aa) | 2,145 | ||||||
1,815 | 4.25%, 10/21/2025 | 1,829 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 25 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
6,615 | Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (x) (y) (aa) | 6,434 | ||||||
484 | Series O, (ICE LIBOR USD 3 Month + 3.83%), 5.30%, 11/10/2026 (x) (y) (aa) | 495 | ||||||
4,681 | Series M, (ICE LIBOR USD 3 Month + 3.92%), 5.38%, 05/10/2020 (x) (y) (aa) | 4,786 | ||||||
225 | Series L, (ICE LIBOR USD 3 Month + 3.88%), 5.70%, 05/10/2019 (x) (y) (aa) | 231 | ||||||
9 | Goodman Networks, Inc., 8.00%, 05/11/2022 (bb) | 6 | ||||||
Goodyear Tire & Rubber Co. (The), | ||||||||
1,221 | 4.88%, 03/15/2027 | 1,203 | ||||||
575 | 8.75%, 08/15/2020 | 644 | ||||||
90 | Graphic Packaging International LLC, 4.75%, 04/15/2021 | 92 | ||||||
Gray Television, Inc., | ||||||||
26 | 5.13%, 10/15/2024 (e) | 25 | ||||||
400 | 5.88%, 07/15/2026 (e) | 397 | ||||||
71 | GTT Communications, Inc., 7.88%, 12/31/2024 (e) | 74 | ||||||
Gulfport Energy Corp., | ||||||||
1,416 | 6.00%, 10/15/2024 | 1,391 | ||||||
126 | 6.38%, 01/15/2026 (e) | 124 | ||||||
374 | H&E Equipment Services, Inc., 5.63%, 09/01/2025 (e) | 382 | ||||||
241 | Halcon Resources Corp., 6.75%, 02/15/2025 | 243 | ||||||
1,199 | Hanesbrands, Inc., 4.88%, 05/15/2026 (e) | 1,178 | ||||||
445 | Hardwoods Acquisition, Inc., 7.50%, 08/01/2021 (e) | 412 | ||||||
170 | Harland Clarke Holdings Corp., 6.88%, 03/01/2020 (e) | 173 | ||||||
3,820 | Harris Corp., 4.85%, 04/27/2035 | 4,093 | ||||||
HCA, Inc., | ||||||||
300 | 5.00%, 03/15/2024 | 306 | ||||||
500 | 5.25%, 04/15/2025 | 514 | ||||||
8,205 | 5.38%, 02/01/2025 | 8,341 | ||||||
3,099 | 5.88%, 05/01/2023 | 3,258 | ||||||
3,070 | 5.88%, 02/15/2026 | 3,177 | ||||||
100 | 6.50%, 02/15/2020 | 105 | ||||||
2,275 | 7.50%, 02/15/2022 | 2,517 | ||||||
1,182 | HD Supply, Inc., 5.75%, 04/15/2024 (e) | 1,240 | ||||||
375 | Hecla Mining Co., 6.88%, 05/01/2021 | 382 | ||||||
1,665 | Herc Rentals, Inc., 7.75%, 06/01/2024 (e) | 1,814 | ||||||
Hertz Corp. (The), | ||||||||
1,000 | 5.50%, 10/15/2024 (e) | 868 | ||||||
1,150 | 6.25%, 10/15/2022 | 1,089 | ||||||
2,105 | 7.38%, 01/15/2021 | 2,094 | ||||||
2,230 | 7.63%, 06/01/2022 (e) | 2,297 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
EUR | 250 | Hertz Holdings Netherlands BV, Reg. S, 4.13%, 10/15/2021 | 308 | |||||
1,230 | Hess Corp., 5.80%, 04/01/2047 | 1,301 | ||||||
2,980 | Hexion, Inc., 6.63%, 04/15/2020 | 2,771 | ||||||
1,485 | Hilcorp Energy I LP, 5.00%, 12/01/2024 (e) | 1,492 | ||||||
1,560 | Hill-Rom Holdings, Inc., 5.75%, 09/01/2023 (e) | 1,619 | ||||||
86 | Hilton Domestic Operating Co., Inc., 4.25%, 09/01/2024 | 85 | ||||||
122 | Hilton Grand Vacations Borrower LLC, 6.13%, 12/01/2024 | 131 | ||||||
Hilton Worldwide Finance LLC, | ||||||||
130 | 4.63%, 04/01/2025 | 130 | ||||||
66 | 4.88%, 04/01/2027 | 66 | ||||||
400 | Holly Energy Partners LP, 6.00%, 08/01/2024 (e) | 411 | ||||||
Hologic, Inc., | ||||||||
477 | 4.38%, 10/15/2025 (e) | 466 | ||||||
156 | 4.63%, 02/01/2028 (e) | 150 | ||||||
750 | HRG Group, Inc., 7.75%, 01/15/2022 | 782 | ||||||
Hughes Satellite Systems Corp., | ||||||||
778 | 5.25%, 08/01/2026 | 758 | ||||||
348 | 6.63%, 08/01/2026 | 356 | ||||||
Huntsman International LLC, | ||||||||
EUR | 1,600 | 4.25%, 04/01/2025 | 2,218 | |||||
550 | 4.88%, 11/15/2020 | 563 | ||||||
1,755 | 5.13%, 11/15/2022 | 1,812 | ||||||
Icahn Enterprises LP, | ||||||||
776 | 5.88%, 02/01/2022 | 777 | ||||||
237 | 6.25%, 02/01/2022 | 240 | ||||||
713 | 6.38%, 12/15/2025 | 716 | ||||||
3,180 | iHeartCommunications, Inc., 9.00%, 12/15/2019 (d) | 2,536 | ||||||
IHS Markit Ltd., | ||||||||
397 | 4.00%, 03/01/2026 (e) | 385 | ||||||
30 | 5.00%, 11/01/2022 (e) | 31 | ||||||
500 | ILFC E-Capital Trust I, (USD Constant Maturity 30 Year + 1.55%, 14.50% Cap), 4.37%, 12/21/2065 (e) (aa) | 494 | ||||||
535 | ILFC E-Capital Trust II, (US Treasury Yield Curve Rate T Note Constant Maturity 30 Year + 1.80%, 14.50% Cap), 4.62%, 12/21/2065 (e) (aa) | 526 | ||||||
1,500 | Infor Software Parent LLC, 7.13% (cash), 05/01/2021 (e) (v) | 1,526 | ||||||
2,385 | Infor US, Inc., 6.50%, 05/15/2022 | 2,439 | ||||||
1,333 | Informatica LLC, 7.13%, 07/15/2023 (e) | 1,359 | ||||||
234 | Ingevity Corp., 4.50%, 02/01/2026 (e) | 229 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
International Game Technology plc, | ||||||||
EUR 3,500 | Reg. S, 4.75%, 02/15/2023 | 4,735 | ||||||
1,925 | 6.25%, 02/15/2022 (e) | 2,028 | ||||||
International Lease Finance Corp., | ||||||||
1,235 | 3.88%, 04/15/2018 | 1,236 | ||||||
515 | 6.25%, 05/15/2019 | 534 | ||||||
1,450 | International Paper Co., 4.35%, 08/15/2048 | 1,407 | ||||||
600 | Interval Acquisition Corp., 5.63%, 04/15/2023 | 618 | ||||||
540 | inVentiv Group Holdings, Inc., 7.50%, 10/01/2024 (e) | 578 | ||||||
186 | IRB Holding Corp., 6.75%, 02/15/2026 (e) | 186 | ||||||
Iron Mountain, Inc., | ||||||||
EUR 1,850 | Reg. S, 3.00%, 01/15/2025 | 2,246 | ||||||
237 | 4.88%, 09/15/2027 (e) | 223 | ||||||
297 | 5.25%, 03/15/2028 (e) | 283 | ||||||
645 | 5.75%, 08/15/2024 | 642 | ||||||
3,290 | ITC Holdings Corp., 3.35%, 11/15/2027 (e) | 3,171 | ||||||
291 | Itron, Inc., 5.00%, 01/15/2026 (e) | 290 | ||||||
105 | j2 Cloud Services LLC, 6.00%, 07/15/2025 (e) | 109 | ||||||
1,700 | Jack Ohio Finance LLC, 6.75%, 11/15/2021 (e) | 1,771 | ||||||
44 | Jaguar Holding Co. II, 6.38%, 08/01/2023 (e) | 44 | ||||||
67 | JC Penney Corp., Inc., 5.88%, 07/01/2023 (e) | 64 | ||||||
Jeld-Wen, Inc., | ||||||||
118 | 4.63%, 12/15/2025 (e) | 115 | ||||||
119 | 4.88%, 12/15/2027 (e) | 116 | ||||||
400 | Kaiser Aluminum Corp., 5.88%, 05/15/2024 | 419 | ||||||
257 | Kennedy-Wilson, Inc., 5.88%, 04/01/2024 (e) | 253 | ||||||
752 | KFC Holding Co., 4.75%, 06/01/2027 (e) | 735 | ||||||
650 | Kindred Healthcare, Inc., 8.75%, 01/15/2023 | 696 | ||||||
1,205 | Kinetic Concepts, Inc., 7.88%, 02/15/2021 (e) | 1,247 | ||||||
930 | KLX, Inc., 5.88%, 12/01/2022 (e) | 958 | ||||||
Kraft Heinz Foods Co., | ||||||||
565 | 4.38%, 06/01/2046 | 513 | ||||||
1,655 | 5.20%, 07/15/2045 | 1,686 | ||||||
505 | Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/2025 (e) | 526 | ||||||
765 | Kroger Co. (The), 4.45%, 02/01/2047 | 720 | ||||||
EUR 255 | Kronos International, Inc., Reg. S, 3.75%, 09/15/2025 | 320 | ||||||
L Brands, Inc., | ||||||||
321 | 5.25%, 02/01/2028 | 309 | ||||||
452 | 5.63%, 10/15/2023 | 475 | ||||||
Ladder Capital Finance Holdings LLLP, | ||||||||
286 | 5.25%, 03/15/2022 (e) | 288 | ||||||
128 | 5.25%, 10/01/2025 (e) | 125 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
46 | Lamar Media Corp., 5.75%, 02/01/2026 | 48 | ||||||
100 | Lamb Weston Holdings, Inc., 4.88%, 11/01/2026 (e) | 100 | ||||||
Lennar Corp., | ||||||||
125 | 4.50%, 06/15/2019 | 126 | ||||||
996 | 4.75%, 11/29/2027 (e) | 964 | ||||||
94 | 5.88%, 11/15/2024 (e) | 100 | ||||||
210 | 8.38%, 01/15/2021 (e) | 234 | ||||||
Level 3 Financing, Inc., | ||||||||
198 | 5.13%, 05/01/2023 | 198 | ||||||
153 | 5.25%, 03/15/2026 | 147 | ||||||
188 | 5.38%, 08/15/2022 | 190 | ||||||
160 | 5.38%, 01/15/2024 | 159 | ||||||
842 | 5.38%, 05/01/2025 | 836 | ||||||
48 | 5.63%, 02/01/2023 | 49 | ||||||
Level 3 Parent LLC, | ||||||||
1,175 | 5.75%, 12/01/2022 | 1,187 | ||||||
500 | Levi Strauss & Co., 5.00%, 05/01/2025 | 511 | ||||||
20 | LifePoint Health, Inc., 5.50%, 12/01/2021 | 20 | ||||||
233 | LIN Television Corp., 5.88%, 11/15/2022 | 241 | ||||||
EUR 1,800 | LKQ Italia Bondco SpA, Reg. S, 3.88%, 04/01/2024 | 2,352 | ||||||
1,130 | Lowe’s Cos., Inc., 4.05%, 05/03/2047 | 1,107 | ||||||
774 | LPL Holdings, Inc., 5.75%, 09/15/2025 (e) | 784 | ||||||
390 | LTF Merger Sub, Inc., 8.50%, 06/15/2023 (e) | 409 | ||||||
180 | M/I Homes, Inc., 6.75%, 01/15/2021 | 185 | ||||||
Mallinckrodt International Finance SA, | ||||||||
63 | 4.75%, 04/15/2023 | 50 | ||||||
1,135 | 5.50%, 04/15/2025 (e) | 908 | ||||||
381 | 5.75%, 08/01/2022 (e) | 337 | ||||||
1,202 | Marathon Petroleum Corp., 4.75%, 09/15/2044 | 1,173 | ||||||
Martin Marietta Materials, Inc., | ||||||||
2,770 | 3.50%, 12/15/2027 | 2,661 | ||||||
1,109 | 4.25%, 12/15/2047 | 1,030 | ||||||
Masco Corp., | ||||||||
695 | 3.50%, 11/15/2027 | 664 | ||||||
3,780 | 4.38%, 04/01/2026 | 3,864 | ||||||
550 | MasTec, Inc., 4.88%, 03/15/2023 | 549 | ||||||
58 | Match Group, Inc., 5.00%, 12/15/2027 (e) | 58 | ||||||
Mattel, Inc., | ||||||||
243 | 3.15%, 03/15/2023 | 218 | ||||||
214 | 6.75%, 12/31/2025 (e) | 218 | ||||||
3,185 | McDonald’s Corp., 4.60%, 05/26/2045 | 3,309 | ||||||
195 | Mediacom Broadband LLC, 6.38%, 04/01/2023 | 200 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 27 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
MetLife, Inc., | ||||||||
1,920 | 3.00%, 03/01/2025 | 1,858 | ||||||
435 | 6.40%, 12/15/2036 | 490 | ||||||
MGM Resorts International, | ||||||||
3,170 | 6.00%, 03/15/2023 | 3,372 | ||||||
735 | 6.63%, 12/15/2021 | 794 | ||||||
2,545 | 7.75%, 03/15/2022 | 2,838 | ||||||
Micron Technology, Inc., | ||||||||
2,275 | 5.25%, 01/15/2024 (e) | 2,332 | ||||||
35 | 5.50%, 02/01/2025 | 36 | ||||||
Microsoft Corp., | ||||||||
1,515 | 4.10%, 02/06/2037 | 1,592 | ||||||
610 | 4.88%, 12/15/2043 | 698 | ||||||
EUR 1,100 | Mohawk Industries, Inc., 2.00%, 01/14/2022 | 1,415 | ||||||
350 | Momentive Performance Materials USA LLC, 8.88%, 10/15/2020 (d) (bb) | — | ||||||
350 | Momentive Performance Materials, Inc., 3.88%, 10/24/2021 | 364 | ||||||
Morgan Stanley, | ||||||||
2,500 | 2.80%, 06/16/2020 | 2,492 | ||||||
3,110 | 3.70%, 10/23/2024 | 3,108 | ||||||
7,885 | (ICE LIBOR USD 3 Month + 1.14%), 3.77%, 01/24/2029 (aa) | 7,715 | ||||||
1,500 | 3.88%, 01/27/2026 | 1,504 | ||||||
3,985 | (ICE LIBOR USD 3 Month + 1.46%), 3.97%, 07/22/2038 (aa) | 3,885 | ||||||
1,090 | 4.38%, 01/22/2047 | 1,104 | ||||||
2,670 | Series H, (ICE LIBOR USD 3 Month + 3.61%), 5.45%, 07/15/2019 (x) (y) (aa) | 2,733 | ||||||
2,470 | Series J, (ICE LIBOR USD 3 Month + 3.81%), 5.55%, 07/15/2020 (x) (y) (aa) | 2,560 | ||||||
643 | MPH Acquisition Holdings LLC, 7.13%, 06/01/2024 (e) | 677 | ||||||
MPLX LP, | ||||||||
1,995 | 4.50%, 04/15/2038 | 1,946 | ||||||
1,000 | 4.88%, 06/01/2025 | 1,047 | ||||||
1,185 | 5.20%, 03/01/2047 | 1,219 | ||||||
155 | MSCI, Inc., 5.25%, 11/15/2024 (e) | 158 | ||||||
Mylan NV, | ||||||||
1,710 | 3.95%, 06/15/2026 | 1,654 | ||||||
487 | 5.25%, 06/15/2046 | 492 | ||||||
325 | Nabors Industries, Inc., 5.50%, 01/15/2023 | 323 | ||||||
Nationstar Mortgage LLC, | ||||||||
530 | 6.50%, 07/01/2021 | 541 | ||||||
415 | 7.88%, 10/01/2020 | 426 | ||||||
198 | Navistar International Corp., 6.63%, 11/01/2025 (e) | 204 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
2,645 | Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/2021 (e) | 1,600 | ||||||
Netflix, Inc., | ||||||||
14 | 4.38%, 11/15/2026 | 14 | ||||||
1,130 | 4.88%, 04/15/2028 (e) | 1,110 | ||||||
300 | 5.50%, 02/15/2022 | 312 | ||||||
200 | 5.75%, 03/01/2024 | 210 | ||||||
New Albertson’s, Inc., | ||||||||
197 | 7.45%, 08/01/2029 | 164 | ||||||
518 | 8.00%, 05/01/2031 | 444 | ||||||
22 | 8.70%, 05/01/2030 | 20 | ||||||
289 | New Home Co., Inc. (The), 7.25%, 04/01/2022 | 300 | ||||||
479 | Newfield Exploration Co., 5.75%, 01/30/2022 | 505 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
1,650 | 6.13%, 02/15/2022 (e) | 1,700 | ||||||
NextEra Energy Operating Partners LP, | ||||||||
238 | 4.25%, 09/15/2024 (e) | 235 | ||||||
161 | 4.50%, 09/15/2027 (e) | 155 | ||||||
185 | NGPL PipeCo LLC, 4.88%, 08/15/2027 (e) | 187 | ||||||
250 | Nielsen Co. Luxembourg SARL (The), 5.00%, | 250 | ||||||
2,089 | Nielsen Finance LLC, 5.00%, 04/15/2022 (e) | 2,115 | ||||||
1,740 | NiSource, Inc., 4.38%, 05/15/2047 | 1,763 | ||||||
3,590 | Noble Energy, Inc., 3.85%, 01/15/2028 | 3,511 | ||||||
890 | Novelis Corp., 5.88%, 09/30/2026 (e) | 897 | ||||||
NRG Energy, Inc., | ||||||||
250 | 5.75%, 01/15/2028 (e) | 247 | ||||||
655 | 6.25%, 07/15/2022 | 676 | ||||||
690 | 6.25%, 05/01/2024 | 714 | ||||||
630 | 6.63%, 01/15/2027 | 651 | ||||||
224 | NRG Yield Operating LLC, 5.38%, 08/15/2024 | 226 | ||||||
85 | Nuance Communications, Inc., 5.63%, 12/15/2026 | 86 | ||||||
Oasis Petroleum, Inc., | ||||||||
352 | 6.50%, 11/01/2021 | 358 | ||||||
5 | 6.88%, 03/15/2022 | 5 | ||||||
2,020 | 6.88%, 01/15/2023 | 2,064 | ||||||
OI European Group BV, | ||||||||
EUR 300 | Reg. S, 3.13%, 11/15/2024 | 374 | ||||||
190 | 4.00%, 03/15/2023 (e) | 184 | ||||||
EUR 1,000 | Reg. S, 4.88%, 03/31/2021 | 1,351 | ||||||
3,720 | ONEOK, Inc., 4.00%, 07/13/2027 | 3,672 | ||||||
Oracle Corp., | ||||||||
4,150 | 2.65%, 07/15/2026 | 3,878 | ||||||
6,145 | 2.95%, 11/15/2024 | 5,967 | ||||||
1,455 | 4.50%, 07/08/2044 | 1,564 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
8 | Orbital ATK, Inc., 5.25%, 10/01/2021 | 8 | ||||||
208 | Oshkosh Corp., 5.38%, 03/01/2025 | 217 | ||||||
Outfront Media Capital LLC, | ||||||||
5 | 5.25%, 02/15/2022 | 5 | ||||||
150 | 5.63%, 02/15/2024 | 152 | ||||||
546 | 5.88%, 03/15/2025 | 554 | ||||||
3,295 | Owens Corning, 4.30%, 07/15/2047 | 3,032 | ||||||
500 | Owens-Brockway Glass Container, Inc., 5.38%, 01/15/2025 (e) | 510 | ||||||
Parker Drilling Co., | ||||||||
268 | 6.75%, 07/15/2022 | 223 | ||||||
50 | 7.50%, 08/01/2020 | 46 | ||||||
116 | Party City Holdings, Inc., 6.13%, 08/15/2023 (e) | 118 | ||||||
185 | PBF Logistics LP, 6.88%, 05/15/2023 | 189 | ||||||
190 | Peabody Energy Corp., 6.00%, 03/31/2022 (e) | 195 | ||||||
300 | Penn Virginia Corp., 8.50%, 05/01/2020 (d) (bb) | — | (h) | |||||
681 | Penske Automotive Group, Inc., 5.50%, 05/15/2026 | 679 | ||||||
PetSmart, Inc., | ||||||||
1,175 | 5.88%, 06/01/2025 (e) | 916 | ||||||
2,783 | 7.13%, 03/15/2023 (e) | 1,774 | ||||||
Philip Morris International, Inc., | ||||||||
500 | 4.13%, 03/04/2043 | 485 | ||||||
1,885 | 4.38%, 11/15/2041 | 1,903 | ||||||
2,800 | Phillips 66 Partners LP, 3.75%, 03/01/2028 | 2,721 | ||||||
Pilgrim’s Pride Corp., | ||||||||
367 | 5.75%, 03/15/2025 (e) | 365 | ||||||
170 | 5.88%, 09/30/2027 (e) | 165 | ||||||
1,110 | Plantronics, Inc., 5.50%, 05/31/2023 (e) | 1,113 | ||||||
466 | Polaris Intermediate Corp., 8.50% (cash), | 474 | ||||||
580 | PolyOne Corp., 5.25%, 03/15/2023 | 586 | ||||||
Post Holdings, Inc., | ||||||||
18 | 5.00%, 08/15/2026 (e) | 17 | ||||||
915 | 5.50%, 03/01/2025 (e) | 921 | ||||||
1,610 | PPL Capital Funding, Inc., 4.00%, 09/15/2047 | 1,534 | ||||||
99 | PQ Corp., 5.75%, 12/15/2025 (e) | 100 | ||||||
Prestige Brands, Inc., | ||||||||
10 | 5.38%, 12/15/2021 (e) | 10 | ||||||
75 | 6.38%, 03/01/2024 (e) | 77 | ||||||
637 | Prime Security Services Borrower LLC, 9.25%, 05/15/2023 (e) | 694 | ||||||
660 | Prudential Financial, Inc., 4.60%, 05/15/2044 | 697 | ||||||
EUR 1,650 | PSPC Escrow Corp., Reg. S, 6.00%, 02/01/2023 | 2,099 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
EUR 1,100 | PVH Corp., Reg. S, 3.13%, 12/15/2027 | 1,335 | ||||||
QEP Resources, Inc., | ||||||||
515 | 5.38%, 10/01/2022 | 523 | ||||||
97 | 5.63%, 03/01/2026 | 95 | ||||||
88 | 6.88%, 03/01/2021 | 94 | ||||||
100 | Qorvo, Inc., 6.75%, 12/01/2023 | 106 | ||||||
15 | Quad/Graphics, Inc., 7.00%, 05/01/2022 | 15 | ||||||
Quicken Loans, Inc., | ||||||||
330 | 5.25%, 01/15/2028 (e) | 319 | ||||||
1,095 | 5.75%, 05/01/2025 (e) | 1,103 | ||||||
Quintiles IMS, Inc., | ||||||||
EUR 1,850 | Reg. S, 3.25%, 03/15/2025 | 2,277 | ||||||
EUR 5,050 | Reg. S, 3.50%, 10/15/2024 | 6,357 | ||||||
82 | 4.88%, 05/15/2023 (e) | 84 | ||||||
1,390 | 5.00%, 10/15/2026 (e) | 1,394 | ||||||
Qwest Capital Funding, Inc., | ||||||||
119 | 6.88%, 07/15/2028 | 108 | ||||||
566 | 7.75%, 02/15/2031 | 521 | ||||||
50 | Qwest Corp., 7.25%, 09/15/2025 | 54 | ||||||
2,363 | Rackspace Hosting, Inc., 8.63%, 11/15/2024 (e) | 2,463 | ||||||
Radian Group, Inc., | ||||||||
483 | 4.50%, 10/01/2024 | 482 | ||||||
197 | 7.00%, 03/15/2021 | 215 | ||||||
925 | Rain CII Carbon LLC, 7.25%, 04/01/2025 (e) | 1,000 | ||||||
208 | Range Resources Corp., 5.00%, 03/15/2023 | 203 | ||||||
142 | RBS Global, Inc., 4.88%, 12/15/2025 (e) | 140 | ||||||
1,570 | Realty Income Corp., 3.65%, 01/15/2028 | 1,529 | ||||||
280 | Regal Entertainment Group, 5.75%, 03/15/2022 | 288 | ||||||
400 | Revlon Consumer Products Corp., 6.25%, 08/01/2024 | 275 | ||||||
Reynolds Group Issuer, Inc., | ||||||||
2,839 | 5.75%, 10/15/2020 | 2,878 | ||||||
381 | 6.87%, 02/15/2021 | 386 | ||||||
840 | RHP Hotel Properties LP, 5.00%, 04/15/2023 | 844 | ||||||
1,000 | Rite Aid Corp., 6.13%, 04/01/2023 (e) | 1,008 | ||||||
1,000 | Riverbed Technology, Inc., 8.88%, 03/01/2023 (e) | 938 | ||||||
Rockwell Collins, Inc., | ||||||||
3,540 | 3.50%, 03/15/2027 | 3,451 | ||||||
Roper Technologies, Inc., | ||||||||
3,855 | 3.80%, 12/15/2026 | 3,864 | ||||||
Rowan Cos., Inc., | ||||||||
379 | 4.88%, 06/01/2022 | 353 | ||||||
318 | 7.38%, 06/15/2025 | 314 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 29 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
24 | RR Donnelley & Sons Co., 7.63%, 06/15/2020 | 26 | ||||||
209 | RSP Permian, Inc., 6.63%, 10/01/2022 | 218 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
490 | 5.63%, 04/15/2023 | 525 | ||||||
600 | 5.75%, 05/15/2024 | 648 | ||||||
800 | Sable International Finance Ltd., Reg. S, 6.88%, 08/01/2022 | 848 | ||||||
Sabre GLBL, Inc., | ||||||||
1,500 | 5.25%, 11/15/2023 (e) | 1,511 | ||||||
937 | 5.38%, 04/15/2023 (e) | 944 | ||||||
236 | Sally Holdings LLC, 5.63%, 12/01/2025 | 237 | ||||||
SBA Communications Corp., | ||||||||
250 | 4.88%, 07/15/2022 | 253 | ||||||
330 | 4.88%, 09/01/2024 | 326 | ||||||
Scientific Games International, Inc., | ||||||||
322 | 5.00%, 10/15/2025 (e) | 318 | ||||||
569 | 7.00%, 01/01/2022 (e) | 599 | ||||||
315 | 10.00%, 12/01/2022 | 342 | ||||||
Scotts Miracle-Gro Co. (The), | ||||||||
1,000 | 5.25%, 12/15/2026 | 1,012 | ||||||
825 | 6.00%, 10/15/2023 | 862 | ||||||
500 | Sealed Air Corp., 5.13%, 12/01/2024 (e) | 515 | ||||||
711 | SemGroup Corp., 5.63%, 11/15/2023 | 688 | ||||||
675 | Seminole Hard Rock Entertainment, Inc., 5.88%, 05/15/2021 (e) | 680 | ||||||
3,420 | Sempra Energy, 3.80%, 02/01/2038 | 3,240 | ||||||
Sensata Technologies BV, | ||||||||
1,250 | 4.88%, 10/15/2023 (e) | 1,269 | ||||||
129 | 5.00%, 10/01/2025 (e) | 130 | ||||||
600 | 5.63%, 11/01/2024 (e) | 641 | ||||||
2,065 | Sensata Technologies UK Financing Co. plc, 6.25%, 02/15/2026 (e) | 2,189 | ||||||
Service Corp. International, | ||||||||
618 | 5.38%, 01/15/2022 | 631 | ||||||
662 | 5.38%, 05/15/2024 | 683 | ||||||
96 | SESI LLC, 7.13%, 12/15/2021 | 98 | ||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||
2,915 | 2.40%, 09/23/2021 | 2,815 | ||||||
3,000 | 3.20%, 09/23/2026 | 2,790 | ||||||
EUR 2,050 | Silgan Holdings, Inc., 3.25%, 03/15/2025 | 2,551 | ||||||
Sinclair Television Group, Inc., | ||||||||
175 | 5.38%, 04/01/2021 | 177 | ||||||
900 | 5.63%, 08/01/2024 (e) | 914 | ||||||
2,000 | 6.13%, 10/01/2022 | 2,062 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
Sirius XM Radio, Inc., | ||||||||
415 | 4.63%, 05/15/2023 (e) | 414 | ||||||
477 | 5.00%, 08/01/2027 (e) | 464 | ||||||
540 | 5.38%, 04/15/2025 (e) | 549 | ||||||
3,310 | 6.00%, 07/15/2024 (e) | 3,467 | ||||||
SM Energy Co., | ||||||||
56 | 5.00%, 01/15/2024 | 52 | ||||||
247 | 6.50%, 11/15/2021 | 251 | ||||||
423 | Solera LLC, 10.50%, 03/01/2024 (e) | 475 | ||||||
63 | Sonic Automotive, Inc., 6.13%, 03/15/2027 | 62 | ||||||
505 | Sotheby’s, 4.88%, 12/15/2025 (e) | 490 | ||||||
Southwestern Energy Co., | ||||||||
1,621 | 6.70%, 01/23/2025 | 1,589 | ||||||
Spectrum Brands, Inc., | ||||||||
29 | 6.13%, 12/15/2024 | 30 | ||||||
500 | 6.63%, 11/15/2022 | 517 | ||||||
Springleaf Finance Corp., | ||||||||
625 | 5.63%, 03/15/2023 | 620 | ||||||
1,000 | 7.75%, 10/01/2021 | 1,090 | ||||||
Sprint Capital Corp., | ||||||||
75 | 6.88%, 11/15/2028 | 72 | ||||||
1,320 | 8.75%, 03/15/2032 | 1,432 | ||||||
Sprint Communications, Inc., | ||||||||
31 | 6.00%, 11/15/2022 | 30 | ||||||
1,030 | 7.00%, 03/01/2020 (e) | 1,088 | ||||||
321 | 7.00%, 08/15/2020 | 336 | ||||||
247 | 9.25%, 04/15/2022 | 286 | ||||||
Sprint Corp., | ||||||||
1,392 | 7.13%, 06/15/2024 | 1,370 | ||||||
22 | 7.25%, 09/15/2021 | 23 | ||||||
4,734 | 7.63%, 02/15/2025 | 4,734 | ||||||
256 | 7.63%, 03/01/2026 | 255 | ||||||
7,989 | 7.88%, 09/15/2023 | 8,269 | ||||||
665 | SPX FLOW, Inc., 5.63%, 08/15/2024 (e) | 677 | ||||||
Standard Industries, Inc., | ||||||||
600 | 4.75%, 01/15/2028 (e) | 576 | ||||||
421 | 6.00%, 10/15/2025 (e) | 445 | ||||||
2,735 | Staples, Inc., 8.50%, 09/15/2025 (e) | 2,626 | ||||||
235 | Station Casinos LLC, 5.00%, 10/01/2025 (e) | 229 | ||||||
Steel Dynamics, Inc., | ||||||||
540 | 5.00%, 12/15/2026 | 551 | ||||||
15 | 5.13%, 10/01/2021 | 15 | ||||||
300 | 5.50%, 10/01/2024 | 310 | ||||||
24 | Stone Energy Corp., 7.50%, 05/31/2022 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
Summit Materials LLC, | ||||||||
436 | 5.13%, 06/01/2025 (e) | 436 | ||||||
568 | 6.13%, 07/15/2023 | 585 | ||||||
420 | Summit Midstream Holdings LLC, 5.50%, 08/15/2022 | 424 | ||||||
Sunoco Logistics Partners Operations LP, | ||||||||
2,010 | 5.35%, 05/15/2045 | 1,949 | ||||||
1,150 | 5.40%, 10/01/2047 | 1,124 | ||||||
Sunoco LP, | ||||||||
172 | 4.88%, 01/15/2023 (e) | 171 | ||||||
176 | 5.50%, 02/15/2026 (e) | 176 | ||||||
80 | 5.88%, 03/15/2028 (e) | 80 | ||||||
SUPERVALU, Inc., | ||||||||
628 | 6.75%, 06/01/2021 | 620 | ||||||
1,465 | 7.75%, 11/15/2022 | 1,421 | ||||||
398 | Symantec Corp., 5.00%, 04/15/2025 (e) | 406 | ||||||
71 | Synchrony Financial, 3.95%, 12/01/2027 | 68 | ||||||
Talen Energy Supply LLC, | ||||||||
464 | 6.50%, 06/01/2025 | 358 | ||||||
55 | 9.50%, 07/15/2022 (e) | 55 | ||||||
370 | Tallgrass Energy Partners LP, 5.50%, 09/15/2024 (e) | 381 | ||||||
Targa Resources Partners LP, | ||||||||
565 | 4.25%, 11/15/2023 | 551 | ||||||
490 | 5.00%, 01/15/2028 (e) | 476 | ||||||
695 | 5.25%, 05/01/2023 | 705 | ||||||
2,495 | 6.75%, 03/15/2024 | 2,648 | ||||||
587 | Team Health Holdings, Inc., 6.38%, 02/01/2025 (e) | 537 | ||||||
1,548 | TEGNA, Inc., 6.38%, 10/15/2023 | 1,614 | ||||||
60 | Teleflex, Inc., 5.25%, 06/15/2024 | 62 | ||||||
2,250 | Tempur Sealy International, Inc., 5.50%, 06/15/2026 | 2,211 | ||||||
Tenet Healthcare Corp., | ||||||||
1,155 | 4.50%, 04/01/2021 | 1,159 | ||||||
400 | 5.13%, 05/01/2025 (e) | 388 | ||||||
200 | 6.00%, 10/01/2020 | 208 | ||||||
2,000 | 6.75%, 06/15/2023 | 2,000 | ||||||
6,263 | 8.13%, 04/01/2022 | 6,592 | ||||||
137 | Tennant Co., 5.63%, 05/01/2025 | 140 | ||||||
207 | Tenneco, Inc., 5.38%, 12/15/2024 | 213 | ||||||
287 | Terraform Global Operating LLC, 6.13%, | 289 | ||||||
TerraForm Power Operating LLC, | ||||||||
344 | 4.25%, 01/31/2023 (e) | 337 | ||||||
435 | 5.00%, 01/31/2028 (e) | 421 | ||||||
322 | SUB, 6.63%, 06/15/2025 (e) | 349 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
630 | Tesla, Inc., 5.30%, 08/15/2025 (e) | 600 | ||||||
Texas Competitive Electric Holdings Co. LLC, | ||||||||
375 | 8.50%, 05/01/2020 (d) (bb) | 4 | ||||||
762 | Thermo Fisher Scientific, Inc., 3.00%, 04/15/2023 | 748 | ||||||
T-Mobile USA, Inc., | ||||||||
236 | 4.50%, 02/01/2026 | 231 | ||||||
236 | 4.75%, 02/01/2028 | 230 | ||||||
21 | 6.00%, 03/01/2023 | 22 | ||||||
315 | 6.00%, 04/15/2024 | 328 | ||||||
2,251 | 6.38%, 03/01/2025 | 2,375 | ||||||
690 | 6.50%, 01/15/2024 | 723 | ||||||
3,265 | 6.50%, 01/15/2026 | 3,502 | ||||||
327 | 6.63%, 04/01/2023 | 338 | ||||||
203 | 6.84%, 04/28/2023 | 211 | ||||||
Toll Brothers Finance Corp., | ||||||||
360 | 4.35%, 02/15/2028 | 340 | ||||||
109 | 4.88%, 11/15/2025 | 109 | ||||||
TransDigm, Inc., | ||||||||
394 | 6.38%, 06/15/2026 | 403 | ||||||
1,373 | 6.50%, 07/15/2024 | 1,416 | ||||||
414 | 6.50%, 05/15/2025 | 424 | ||||||
633 | Transocean Proteus Ltd., 6.25%, 12/01/2024 (e) | 651 | ||||||
Transocean, Inc., | ||||||||
184 | 5.80%, 10/15/2022 | 178 | ||||||
1,387 | 6.80%, 03/15/2038 | 1,117 | ||||||
417 | 7.50%, 01/15/2026 (e) | 420 | ||||||
220 | 7.50%, 04/15/2031 | 199 | ||||||
841 | 9.00%, 07/15/2023 (e) | 906 | ||||||
720 | 9.35%, 12/15/2041 | 720 | ||||||
1,695 | TreeHouse Foods, Inc., 6.00%, 02/15/2024 (e) | 1,727 | ||||||
171 | TriMas Corp., 4.88%, 10/15/2025 (e) | 168 | ||||||
161 | Trinseo Materials Operating SCA, 5.38%, 09/01/2025 (e) | 163 | ||||||
149 | Tronox Finance plc, 5.75%, 10/01/2025 (e) | 148 | ||||||
735 | Tutor Perini Corp., 6.88%, 05/01/2025 (e) | 772 | ||||||
Ultra Resources, Inc., | ||||||||
1,621 | 6.88%, 04/15/2022 (e) | 1,459 | ||||||
160 | 7.13%, 04/15/2025 (e) | 143 | ||||||
265 | Unit Corp., 6.63%, 05/15/2021 | 263 | ||||||
283 | United Continental Holdings, Inc., 4.25%, 10/01/2022 | 282 | ||||||
United Rentals North America, Inc., | ||||||||
747 | 4.88%, 01/15/2028 | 728 | ||||||
385 | 5.50%, 07/15/2025 | 397 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 31 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
50 | 5.50%, 05/15/2027 | 51 | ||||||
2,825 | 5.75%, 11/15/2024 | 2,924 | ||||||
50 | 5.88%, 09/15/2026 | 52 | ||||||
116 | United States Steel Corp., 6.88%, 08/15/2025 | 122 | ||||||
1,635 | United Technologies Corp., 4.15%, 05/15/2045 | 1,595 | ||||||
Uniti Group LP, | ||||||||
2,389 | 6.00%, 04/15/2023 (e) | 2,311 | ||||||
275 | Univar USA, Inc., 6.75%, 07/15/2023 (e) | 286 | ||||||
Universal Health Services, Inc., | ||||||||
34 | 3.75%, 08/01/2019 (e) | 34 | ||||||
47 | 4.75%, 08/01/2022 (e) | 48 | ||||||
Univision Communications, Inc., | ||||||||
90 | 5.13%, 05/15/2023 (e) | 85 | ||||||
111 | 5.13%, 02/15/2025 (e) | 102 | ||||||
36 | 6.75%, 09/15/2022 (e) | 37 | ||||||
416 | US Concrete, Inc., 6.38%, 06/01/2024 | 442 | ||||||
300 | USIS Merger Sub, Inc., 6.88%, 05/01/2025 (e) | 304 | ||||||
Valeant Pharmaceuticals International, Inc., | ||||||||
EUR 2,200 | Reg. S, 4.50%, 05/15/2023 | 2,345 | ||||||
213 | 5.38%, 03/15/2020 (e) | 212 | ||||||
114 | 5.50%, 03/01/2023 (e) | 101 | ||||||
551 | 5.50%, 11/01/2025 (e) | 545 | ||||||
85 | 5.63%, 12/01/2021 (e) | 81 | ||||||
4,521 | 5.88%, 05/15/2023 (e) | 4,018 | ||||||
3,000 | 6.13%, 04/15/2025 (e) | 2,631 | ||||||
123 | 6.50%, 03/15/2022 (e) | 128 | ||||||
271 | 6.75%, 08/15/2021 (e) | 264 | ||||||
263 | 7.00%, 03/15/2024 (e) | 277 | ||||||
2,058 | 7.25%, 07/15/2022 (e) | 2,001 | ||||||
100 | 7.50%, 07/15/2021 (e) | 101 | ||||||
627 | 9.00%, 12/15/2025 (e) | 628 | ||||||
350 | Venator Finance SARL, 5.75%, 07/15/2025 (e) | 356 | ||||||
VEREIT Operating Partnership LP, | ||||||||
2,610 | 3.95%, 08/15/2027 | 2,474 | ||||||
2,255 | 4.60%, 02/06/2024 | 2,313 | ||||||
VeriSign, Inc., | ||||||||
50 | 4.75%, 07/15/2027 | 49 | ||||||
39 | 5.25%, 04/01/2025 | 40 | ||||||
Verizon Communications, Inc., | ||||||||
6,316 | 3.50%, 11/01/2024 | 6,261 | ||||||
710 | 3.85%, 11/01/2042 | 618 | ||||||
2,145 | 4.13%, 08/15/2046 | 1,911 | ||||||
1,070 | 5.01%, 04/15/2049 | 1,086 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
150 | Versum Materials, Inc., 5.50%, 09/30/2024 (e) | 157 | ||||||
1,660 | Vertiv Group Corp., 9.25%, 10/15/2024 (e) | 1,751 | ||||||
Viacom, Inc., | ||||||||
167 | 4.38%, 03/15/2043 | 150 | ||||||
170 | (ICE LIBOR USD 3 Month + 3.90%), 5.88%, 02/28/2057 (aa) | 172 | ||||||
108 | (ICE LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/2057 (aa) | 111 | ||||||
5 | ViaSat, Inc., 5.63%, 09/15/2025 (e) | 5 | ||||||
687 | VICI Properties 1 LLC, 8.00%, 10/15/2023 | 762 | ||||||
965 | Vista Outdoor, Inc., 5.88%, 10/01/2023 | 954 | ||||||
408 | VOC Escrow Ltd., 5.00%, 02/15/2028 (e) | 397 | ||||||
132 | Wabash National Corp., 5.50%, 10/01/2025 (e) | 131 | ||||||
1,000 | Walgreens Boots Alliance, Inc., 2.70%, 11/18/2019 | 996 | ||||||
Weatherford International Ltd., | ||||||||
375 | 6.50%, 08/01/2036 | 285 | ||||||
311 | 9.88%, 02/15/2024 | 308 | ||||||
1,070 | Welbilt, Inc., 9.50%, 02/15/2024 | 1,188 | ||||||
710 | WellCare Health Plans, Inc., 5.25%, 04/01/2025 | 719 | ||||||
Wells Fargo & Co., | ||||||||
2,045 | (ICE LIBOR USD 3 Month + 1.31%), 3.58%, 05/22/2028 (aa) | 1,993 | ||||||
1,210 | 4.90%, 11/17/2045 | 1,279 | ||||||
325 | WESCO Distribution, Inc., 5.38%, 06/15/2024 | 326 | ||||||
64 | West Street Merger Sub, Inc., 6.38%, 09/01/2025 (e) | 64 | ||||||
676 | Western Digital Corp., 4.75%, 02/15/2026 | 681 | ||||||
Whiting Petroleum Corp., | ||||||||
1,250 | 5.75%, 03/15/2021 | 1,278 | ||||||
720 | 6.25%, 04/01/2023 | 729 | ||||||
286 | 6.63%, 01/15/2026 (e) | 290 | ||||||
1,115 | Williams Cos., Inc. (The), 4.55%, 06/24/2024 | 1,123 | ||||||
5,660 | Williams Partners LP, 4.00%, 09/15/2025 | 5,643 | ||||||
Windstream Services LLC, | ||||||||
1,008 | 6.38%, 08/01/2023 (e) | 572 | ||||||
25 | 7.75%, 10/15/2020 | 21 | ||||||
2,608 | 8.75%, 12/15/2024 (e) | 1,669 | ||||||
WMG Acquisition Corp., | ||||||||
EUR | 800 | Reg. S, 4.13%, 11/01/2024 | 1,024 | |||||
144 | 5.50%, 04/15/2026 (e) (w) | 144 | ||||||
351 | 5.63%, 04/15/2022 (e) | 359 | ||||||
200 | 6.75%, 04/15/2022 (e) | 208 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
WPX Energy, Inc., | ||||||||
410 | 6.00%, 01/15/2022 | 426 | ||||||
1,020 | 8.25%, 08/01/2023 | 1,155 | ||||||
1,730 | Wynn Las Vegas LLC, 5.50%, 03/01/2025 (e) | 1,754 | ||||||
2,007 | XPO Logistics, Inc., 6.50%, 06/15/2022 (e) | 2,086 | ||||||
Zayo Group LLC, | ||||||||
752 | 5.75%, 01/15/2027 (e) | 756 | ||||||
1,575 | 6.00%, 04/01/2023 | 1,636 | ||||||
1,195 | 6.38%, 05/15/2025 | 1,250 | ||||||
|
| |||||||
890,350 | ||||||||
|
| |||||||
Total Corporate Bonds | 1,663,444 | |||||||
|
| |||||||
Foreign Government Securities — 20.9% | ||||||||
Angola — 0.1% |
| |||||||
3,014 | Republic of Angola, 9.50%, 11/12/2025 (e) | 3,368 | ||||||
|
| |||||||
Argentina — 0.4% |
| |||||||
Provincia de Buenos Aires, | ||||||||
2,828 | 9.13%, 03/16/2024 (e) | 3,146 | ||||||
2,170 | Reg. S, 9.95%, 06/09/2021 | 2,409 | ||||||
Republic of Argentina, | ||||||||
5,300 | 6.88%, 04/22/2021 | 5,597 | ||||||
991 | 6.88%, 01/11/2048 | 904 | ||||||
1,257 | Reg. S, 7.13%, 06/28/2117 | 1,163 | ||||||
|
| |||||||
13,219 | ||||||||
|
| |||||||
Belarus — 0.1% |
| |||||||
Republic of Belarus, | ||||||||
1,360 | 6.88%, 02/28/2023 (e) | 1,452 | ||||||
1,950 | 7.63%, 06/29/2027 (e) | 2,201 | ||||||
|
| |||||||
3,653 | ||||||||
|
| |||||||
Brazil — 1.9% |
| |||||||
Brazil Notas do Tesouro Nacional, | ||||||||
BRL 89,500 | 10.00%, 01/01/2021 | 28,660 | ||||||
BRL 88,900 | 10.00%, 01/01/2025 | 28,162 | ||||||
|
| |||||||
56,822 | ||||||||
|
| |||||||
Colombia — 0.2% |
| |||||||
4,620 | Republic of Colombia, 5.00%, 06/15/2045 | 4,603 | ||||||
|
| |||||||
Croatia — 0.2% |
| |||||||
4,950 | Republic of Croatia, Reg. S, 5.50%, 04/04/2023 | 5,278 | ||||||
|
| |||||||
Dominican Republic — 0.2% |
| |||||||
4,060 | Government of Dominican Republic, 6.88%, | 4,527 | ||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Ecuador — 0.4% |
| |||||||
Republic of Ecuador, | ||||||||
2,000 | 7.88%, 01/23/2028 (e) | 2,000 | ||||||
2,400 | 8.75%, 06/02/2023 (e) | 2,550 | ||||||
4,680 | 8.88%, 10/23/2027 (e) | 4,926 | ||||||
2,730 | 10.75%, 03/28/2022 (e) | 3,078 | ||||||
|
| |||||||
12,554 | ||||||||
|
| |||||||
Egypt — 0.3% |
| |||||||
Arab Republic of Egypt, | ||||||||
5,700 | Reg. S, 5.75%, 04/29/2020 | 5,857 | ||||||
1,700 | 6.13%, 01/31/2022 (e) | 1,757 | ||||||
|
| |||||||
7,614 | ||||||||
|
| |||||||
El Salvador — 0.0% (g) |
| |||||||
355 | Republic of El Salvador, Reg. S, 7.63%, 02/01/2041 | 375 | ||||||
|
| |||||||
Gabon — 0.1% |
| |||||||
3,350 | Gabonese Republic, Reg. S, 6.38%, 12/12/2024 | 3,287 | ||||||
|
| |||||||
Greece — 0.4% |
| |||||||
EUR 9,384 | Greece Government Bond, Reg. S, 3.38%, 02/15/2025 (e) | 10,982 | ||||||
|
| |||||||
Hungary — 0.5% |
| |||||||
HUF 3,470,000 | Hungary Government Bond, 3.00%, 10/27/2027 | 13,894 | ||||||
|
| |||||||
Indonesia — 3.1% |
| |||||||
Republic of Indonesia, | ||||||||
5,200 | Reg. S, 5.38%, 10/17/2023 | 5,590 | ||||||
IDR 597,188,000 | 8.25%, 05/15/2036 | 46,695 | ||||||
IDR 469,586,000 | 8.75%, 05/15/2031 | 38,425 | ||||||
|
| |||||||
90,710 | ||||||||
|
| |||||||
Italy — 0.5% |
| |||||||
EUR 12,850 | Republic of Italy, Reg. S, 2.80%, 03/01/2067 (e) | 14,210 | ||||||
|
| |||||||
Jamaica — 0.1% |
| |||||||
1,490 | Jamaica Government International Bond, 7.88%, 07/28/2045 | 1,803 | ||||||
|
| |||||||
Jordan — 0.1% |
| |||||||
3,059 | Kingdom of Jordan, Reg. S, 6.13%, 01/29/2026 | 3,135 | ||||||
|
| |||||||
Kenya — 0.0% (g) |
| |||||||
1,260 | Republic of Kenya, 8.25%, 02/28/2048 (e) | 1,293 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 33 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Foreign Government Securities — continued | ||||||||
Lebanon — 0.4% |
| |||||||
Republic of Lebanon, | ||||||||
3,170 | Reg. S, 5.15%, 11/12/2018 | 3,154 | ||||||
5,583 | Reg. S, 5.45%, 11/28/2019 | 5,480 | ||||||
4,470 | Reg. S, 6.10%, 10/04/2022 | 4,319 | ||||||
|
| |||||||
12,953 | ||||||||
|
| |||||||
Malaysia — 1.9% |
| |||||||
Federation of Malaysia, | ||||||||
MYR 27,050 | 3.44%, 02/15/2021 | 6,909 | ||||||
MYR 60,650 | 3.58%, 09/28/2018 | 15,504 | ||||||
MYR 28,000 | 3.65%, 10/31/2019 | 7,183 | ||||||
MYR 26,800 | 4.05%, 09/30/2021 | 6,941 | ||||||
MYR 52,210 | 4.38%, 11/29/2019 | 13,555 | ||||||
MYR 26,000 | 5.73%, 07/30/2019 | 6,858 | ||||||
|
| |||||||
56,950 | ||||||||
|
| |||||||
Mexico — 0.1% |
| |||||||
EUR 2,610 | United Mexican States, 3.38%, 02/23/2031 | 3,574 | ||||||
|
| |||||||
Nigeria — 0.2% |
| |||||||
5,870 | Federal Republic of Nigeria, 7.63%, 11/28/2047 (e) | 6,024 | ||||||
|
| |||||||
Oman — 0.1% |
| |||||||
2,800 | Oman Government International Bond, 4.75%, | 2,688 | ||||||
|
| |||||||
Pakistan — 0.4% |
| |||||||
Republic of Pakistan, | ||||||||
5,400 | Reg. S, 6.75%, 12/03/2019 | 5,542 | ||||||
3,085 | 6.88%, 12/05/2027 (e) | 3,041 | ||||||
4,000 | Reg. S, 7.25%, 04/15/2019 | 4,099 | ||||||
|
| |||||||
12,682 | ||||||||
|
| |||||||
Paraguay — 0.0% (g) |
| |||||||
560 | Republic of Paraguay, 5.00%, 04/15/2026 (e) | 585 | ||||||
|
| |||||||
Portugal — 1.9% |
| |||||||
Portugal Obrigacoes do Tesouro, | ||||||||
EUR 13,253 | Reg. S, 2.88%, 10/15/2025 (e) | 17,725 | ||||||
EUR 14,146 | Reg. S, 2.88%, 07/21/2026 (e) | 18,850 | ||||||
EUR 13,500 | Reg. S, 4.13%, 04/14/2027 (e) | 19,617 | ||||||
|
| |||||||
56,192 | ||||||||
|
| |||||||
Qatar — 0.4% |
| |||||||
State of Qatar, | ||||||||
10,900 | Reg. S, 2.38%, 06/02/2021 | 10,505 | ||||||
995 | Reg. S, 4.63%, 06/02/2046 | 983 | ||||||
|
| |||||||
11,488 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Russia — 3.2% |
| |||||||
Russian Federation, | ||||||||
6,800 | 5.25%, 06/23/2047 (e) | 7,080 | ||||||
RUB 1,541,252 | 7.70%, 03/23/2033 | 28,545 | ||||||
RUB 1,562,000 | 7.75%, 09/16/2026 | 29,293 | ||||||
RUB 1,504,100 | 8.15%, 02/03/2027 | 29,011 | ||||||
|
| |||||||
93,929 | ||||||||
|
| |||||||
South Africa — 0.5% |
| |||||||
ZAR 224,900 | Republic of South Africa, 6.50%, 02/28/2041 | 14,407 | ||||||
|
| |||||||
Spain — 1.9% |
| |||||||
Spain Government Bond, | ||||||||
EUR 20,985 | Reg. S, 2.70%, 10/31/2048 (e) | 25,885 | ||||||
EUR 23,550 | Reg. S, 2.90%, 10/31/2046 (e) | 30,700 | ||||||
|
| |||||||
56,585 | ||||||||
|
| |||||||
Sri Lanka — 0.2% |
| |||||||
Republic of Sri Lanka, | ||||||||
3,700 | 6.20%, 05/11/2027 (e) | 3,679 | ||||||
2,980 | 6.83%, 07/18/2026 (e) | 3,096 | ||||||
|
| |||||||
6,775 | ||||||||
|
| |||||||
Turkey — 0.4% | ||||||||
Republic of Turkey, | ||||||||
5,350 | 5.13%, 03/25/2022 | 5,470 | ||||||
5,030 | 5.75%, 05/11/2047 | 4,540 | ||||||
2,250 | 6.63%, 02/17/2045 | 2,275 | ||||||
|
| |||||||
12,285 | ||||||||
|
| |||||||
Ukraine — 0.5% |
| |||||||
Republic of Ukraine, | ||||||||
12,460 | Reg. S, 7.75%, 09/01/2021 | 13,176 | ||||||
2,834 | Reg. S, 7.75%, 09/01/2024 | 2,937 | ||||||
|
| |||||||
16,113 | ||||||||
|
| |||||||
Uruguay — 0.1% |
| |||||||
2,030 | Republic of Uruguay, 4.38%, 10/27/2027 | 2,103 | ||||||
|
| |||||||
Zambia — 0.1% |
| |||||||
2,920 | Republic of Zambia, Reg. S, 8.50%, 04/14/2024 | 3,084 | ||||||
|
| |||||||
Total Foreign Government Securities | 619,744 | |||||||
|
| |||||||
Loan Assignments — 2.9% (cc) | ||||||||
Canada — 0.1% | ||||||||
1,110 | Concordia Healthcare Corp., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.90%, 10/21/2021 (aa) | 991 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Loan Assignments — continued | ||||||||
Canada — continued | ||||||||
85 | Garda World Security, 1st Lien Term Loan B, (US Prime Rate + 2.50%), 4.97%, 05/24/2024 (aa) | 86 | ||||||
755 | MEG Energy Corp., 1st Lien Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.20%, 12/31/2023 (aa) | 754 | ||||||
656 | Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.08%, | 664 | ||||||
|
| |||||||
2,495 | ||||||||
|
| |||||||
France — 0.0% (g) |
| |||||||
424 | Altran Technologies SA, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 3.75%, | 427 | ||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
1,011 | Auris Luxembourg III Sarl, Term Loan B-7, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 01/17/2022 (aa) | 1,019 | ||||||
1,084 | Intelsat Jackson Holdings SA, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 5.71%, 11/27/2023 (aa) | 1,076 | ||||||
901 | Onex Wizard Acquisition Co. II S.C.A., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.47%, 03/11/2022 (aa) | 903 | ||||||
|
| |||||||
2,998 | ||||||||
|
| |||||||
Netherlands — 0.1% |
| |||||||
2,200 | Ziggo Secured Finance BV, 1st Lien Term Loan E, (ICE LIBOR USD 1 Month + 2.50%), 4.09%, 04/15/2025 (aa) ^ | 2,179 | ||||||
|
| |||||||
United Kingdom — 0.1% |
| |||||||
1,909 | Cineworld Finance U.S. Inc., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 4.15%, 02/07/2025 (aa) ^ | 1,906 | ||||||
|
| |||||||
United States — 2.5% |
| |||||||
1,052 | A2Z Wireless Holdings, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.57%, 05/01/2023 (aa) | 1,049 | ||||||
521 | Acadia Healthcare Co., Inc., Tranche B-2 Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 02/16/2023 (aa) | 524 | ||||||
Albertson’s LLC, 1st Lien Term Loan, | ||||||||
467 | (ICE LIBOR USD 3 Month + 3.00%), 4.67%, 12/21/2022 (aa) | 461 | ||||||
69 | (ICE LIBOR USD 3 Month + 3.00%), 4.96%, 06/22/2023 (aa) | 68 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
156 | Albertson’s LLC, 1st Lien Term Loan B-4, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 08/25/2021 (aa) | 154 | ||||||
2,155 | Altice US Finance I Corp., Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 07/28/2025 (aa) ^ | 2,151 | ||||||
1,270 | Avaya, Inc. 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.75%), 6.34%, 12/15/2024 (aa) | 1,276 | ||||||
374 | Barracuda Networks, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.06%, | 376 | ||||||
82 | Barracuda Networks, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 7.50%), 9.06%, | 83 | ||||||
331 | Berry Plastic Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 02/08/2020 (aa) | 332 | ||||||
205 | Berry Plastic Corp., 1st Lien Term Loan P, (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 01/06/2021 (aa) | 206 | ||||||
131 | BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 7.50%), 9.08%, | 131 | ||||||
792 | California Resources Corp., 1st Lien Second Out Term Loan, (ICE LIBOR USD 1 Month + 10.38%), 11.97%, 12/31/2021 (aa) | 893 | ||||||
2,045 | California Resources Corp., Senior Secured First Out, (ICE LIBOR USD 1 Month + 4.75%), 6.34%, 12/31/2022 (aa) | 2,068 | ||||||
975 | Calpine Corp., Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 4.20%, 01/15/2024 (aa) | 977 | ||||||
743 | Centurylink, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 01/31/2025 (aa) | 730 | ||||||
990 | Chemours Co. (The), Senior Secured Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, | 994 | ||||||
777 | Chesapeake Energy Corp., 1st Lien Last Out, (ICE LIBOR USD 3 Month + 7.50%), 9.44%, | 827 | ||||||
1,984 | CHG Healthcare Services, Inc., 1st Lien Term Loan B, (LIBOR + 3.00%), 4.77%, 06/07/2023 (aa) | 2,003 | ||||||
290 | Chrysler Group LLC, Tranche B Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.60%, 12/31/2018 (aa) | 290 | ||||||
2,298 | Cincinnati Bell, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 3.75%), 5.44%, 10/02/2024 (aa) | 2,315 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 35 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Loan Assignments — continued | ||||||||
United States — continued |
| |||||||
833 | CITGO Petroleum Corp., Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.19%, 07/29/2021 (aa) | 830 | ||||||
1,062 | Clover Merger Sub, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, | 1,022 | ||||||
843 | Community Health Systems, Inc., Incremental 2021 Term H Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.98%, 01/27/2021 (aa) | 822 | ||||||
1,540 | Community Health Systems, Inc., Term Loan G, (ICE LIBOR USD 3 Month + 2.75%), 4.73%, | 1,526 | ||||||
148 | Consolidated Communications, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 10/05/2023 (aa) | 146 | ||||||
384 | Consolidated Container, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, | 386 | ||||||
868 | Continental Building Products, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.91%, | 876 | ||||||
565 | CROWN Americas LLC, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.25%), 2.25%, | 570 | ||||||
736 | CSC Holdings LLC, 1st Lien, (ICE LIBOR USD 1 Month + 2.25%), 3.84%, 07/17/2025 (aa) | 734 | ||||||
747 | Delta 2 Sarl, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 02/01/2024 (aa) | 745 | ||||||
1,470 | Dole Food Co., 1st Lien Term Loan B, | 1,476 | ||||||
530 | Duff & Phelps Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.83%, 02/13/2025 (aa) ^ | 534 | ||||||
833 | Energy Future Intermediate Holding Co. LLC, DIP Term Loan, (ICE LIBOR USD 1 Month + 3.00%; ICE LIBOR USD 1 Week + 3.00%), 4.47%, 06/30/2018 (aa) | 833 | ||||||
257 | FGI Operating Co. LLC, Term B Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.82%, 04/19/2019 (aa) ^ | 64 | ||||||
First Data Corp., 1st Lien Term Loan, | ||||||||
786 | (ICE LIBOR USD 1 Month + 2.25%), 3.87%, 07/08/2022 (aa) | 787 | ||||||
695 | (ICE LIBOR USD 1 Month + 2.25%), 3.87%, 04/26/2024 (aa) | 696 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
398 | Go Daddy Operating Co. LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 02/15/2024 (aa) | 398 | ||||||
1,250 | Golden Nugget, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.98%, 10/04/2023 (aa) | 1,259 | ||||||
2,601 | Hargray Communications Group, Inc., Senior Secured Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 05/16/2024 (aa) ^ | 2,606 | ||||||
646 | HD Supply, Inc., 1st Lien Term Loan B-4, (ICE LIBOR USD 3 Month + 2.50%), 4.19%, 10/17/2023 (aa) | 650 | ||||||
242 | Hearthside Group Holdings LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 06/02/2021 (aa) | 242 | ||||||
447 | HUB International Ltd., Initial Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.84%, 10/02/2020 (aa) | 449 | ||||||
550 | iHeartCommunications, Inc., Term Loan D, (ICE LIBOR USD 3 Month + 6.75%), 8.44%, 01/30/2019 (aa) (d) | 437 | ||||||
24 | iHeartCommunications, Inc., Tranche E Term Loan, (ICE LIBOR USD 3 Month + 7.50%), 9.19%, | 19 | ||||||
400 | Impala Private Holdings II LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.70%, | 401 | ||||||
855 | Infor US, Inc., Tranche B-6 Term Loan, (ICE LIBOR USD 3 Month + 2.75%), 4.44%, 02/01/2022 (aa) | 856 | ||||||
1,110 | IRB Holding Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 4.83%, 02/05/2025 (aa) | 1,120 | ||||||
343 | Janus International Group LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 4.58%, 02/07/2025 (aa) | 342 | ||||||
2,000 | JBS USA Holdings, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 2.50%), 4.10%, 10/30/2022 (aa) | 1,990 | ||||||
2,885 | Level 3 Financing, Inc., Tranche B Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.85%, | 2,889 | ||||||
85 | MacDonald Dettwiler and Associates Ltd., Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.33%, 10/04/2024 (aa) | 85 | ||||||
1,130 | Mallinckrodt International Finance SA, Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.82%, | 1,132 | ||||||
240 | MedRisk, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, | 240 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Loan Assignments — continued | ||||||||
United States — continued |
| |||||||
1,122 | Misys, Term Loan B, (ICE LIBOR USD 3 Month + 3.50%), 5.48%, 06/13/2024 (aa) | 1,121 | ||||||
421 | Moran Foods LLC, Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.65%, 12/05/2023 (aa) | 372 | ||||||
1,728 | MultiPlan, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 06/07/2023 (aa) | 1,736 | ||||||
455 | National Mentor Holdings, Inc., Tranche B Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 01/31/2021 (aa) | 458 | ||||||
471 | NCI Building Systems, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.65%, | 472 | ||||||
1,468 | NVA Holdings, Inc.,1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.33%, 02/02/2025 (aa) | 1,467 | ||||||
775 | Party City Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 4.47%, 08/19/2022 (aa) ^ | 776 | ||||||
668 | Pearl Intermediate Parent LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.34%, 01/31/2025 (aa) | 663 | ||||||
250 | PetSmart, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.57%, 03/11/2022 (aa) | 204 | ||||||
983 | Prime Security Services Borrower LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 05/02/2022 (aa) | 991 | ||||||
726 | Qlik Technologies, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 6 Month + 3.50%), 5.04%, | 716 | ||||||
990 | Quest Software US Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 5.50%), 7.27%, 10/31/2022 (aa) | 1,006 | ||||||
890 | Rackspace Hosting, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 4.79%, 11/03/2023 (aa) | 893 | ||||||
409 | Red Ventures LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 11/08/2024 (aa) | 411 | ||||||
1,669 | Securus Technologies Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.15%, 11/01/2024 (aa) | 1,687 | ||||||
995 | Spin Holdco, Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 5.49%, | 1,000 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
2,693 | Staples, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.79%, 09/12/2024 (aa) | 2,675 | ||||||
1,324 | Summit Materials Co. I LLC, Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 11/21/2024 (aa) | 1,332 | ||||||
115 | Summit Midstream Partners Holdings LLC, Senior Secured Term Loan, (ICE LIBOR USD 1 Month + 6.00%), 7.65%, 05/13/2022 (aa) | 117 | ||||||
242 | SUPERVALU, Inc., Delayed Draw Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 06/08/2024 (aa) | 239 | ||||||
403 | SUPERVALU, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 06/08/2024 (aa) | 399 | ||||||
385 | Syniverse Holdings, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 8.50%), 9.50%, | 390 | ||||||
2,720 | Syniverse Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 5.75%, | 2,741 | ||||||
2,242 | Tennessee Merger Sub, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 02/06/2024 (aa) | 2,179 | ||||||
470 | Tribune Media Co., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 12/27/2020 (aa) | 471 | ||||||
791 | Ultra Resources, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.59%, 04/12/2024 (aa) | 788 | ||||||
352 | Unifrax LLC, Senior Secured Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.19%, 04/04/2024 (aa) | 355 | ||||||
1,719 | Univision Communications, Inc., 1st Lien Term Loan C-5, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 03/15/2024 (aa) | 1,697 | ||||||
417 | USI, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.69%, 05/16/2024 (aa) | 416 | ||||||
1,420 | WMG Acquisition Corp.,1st Lien Term Loan E, (ICE LIBOR USD 1 Month + 2.25%), 3.83%, | 1,423 | ||||||
|
| |||||||
74,265 | ||||||||
|
| |||||||
Total Loan Assignments | 84,270 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 37 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Preferred Stocks — 0.0% (g) | ||||||||
Bermuda — 0.0% (g) | ||||||||
— | (h) | XLIT Ltd., Series D, (ICE LIBOR USD 3 Month + 3.12%), 4.84%, 04/05/2018 ($1,000 par | 58 | |||||
|
| |||||||
United States — 0.0% (g) |
| |||||||
1 | Goodman Private Preferred Shares ($— par value) (bb) | 2 | ||||||
|
| |||||||
Total Preferred Stocks | 60 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
Private Placement — 0.5% | ||||||||
United States — 0.5% |
| |||||||
15,000 | 333-345 S.B Street, 5.31%, 11/01/2019 (bb) (Cost $15,000) | 15,000 | ||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% (g) | ||||||||
United States — 0.0% (g) |
| |||||||
6 | Vistra Energy Corp., | 5 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Short-Term Investments— 0.8% | ||||||||
U.S. Treasury Obligation — 0.0% (g) |
| |||||||
285 | U.S. Treasury Bills, 1.25%, 03/22/2018 (k) (n) | 285 | ||||||
|
| |||||||
Investment Company — 0.8% |
| |||||||
23,923 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 23,925 | ||||||
|
| |||||||
Total Short-Term Investments | 24,210 | |||||||
|
| |||||||
Total Investments — 98.2% | 2,908,411 | |||||||
Other Assets in Excess of | 53,212 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,961,623 | ||||||
|
|
Percentages indicated are based on net assets.
Futures contracts outstanding as of February 28, 2018: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Euro-Schatz | 12 | 03/2018 | EUR | 1,639 | 1 | |||||||||||||||
Canada 10 Year Bond | 1,852 | 06/2018 | CAD | 190,049 | 1,156 | |||||||||||||||
|
| |||||||||||||||||||
1,157 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts |
| |||||||||||||||||||
Euro-Bobl | (7) | 03/2018 | EUR | (1,119 | ) | (2 | ) | |||||||||||||
Euro-Bund | (192) | 03/2018 | EUR | (37,347 | ) | 804 | ||||||||||||||
Euro-Buxl | (313) | 03/2018 | EUR | (61,686 | ) | 493 | ||||||||||||||
Euro-OAT | (264) | 03/2018 | EUR | (49,497 | ) | 1,235 | ||||||||||||||
Euro-Schatz | (2,064) | 03/2018 | EUR | (281,949 | ) | 336 | ||||||||||||||
Long Gilt | (3) | 06/2018 | GBP | (500 | ) | (2 | ) | |||||||||||||
U.S. Treasury 10 Year Note | (740) | 06/2018 | USD | (88,858 | ) | (187 | ) | |||||||||||||
U.S. Treasury 10 Year Ultra Note | (2,301) | 06/2018 | USD | (294,708 | ) | (1,412 | ) | |||||||||||||
U.S. Treasury 5 Year Note | (72) | 06/2018 | USD | (8,203 | ) | (7 | ) | |||||||||||||
U.S. Treasury Long Bond | (57) | 06/2018 | USD | (8,180 | ) | (96 | ) | |||||||||||||
U.S. Treasury Ultra Bond | (54) | 06/2018 | USD | (8,419 | ) | (139 | ) | |||||||||||||
3 Month Eurodollar | (2,776) | 12/2019 | USD | (674,221 | ) | 3,074 | ||||||||||||||
|
| |||||||||||||||||||
4,097 | ||||||||||||||||||||
|
| |||||||||||||||||||
5,254 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Forward foreign currency exchange contracts outstanding as of February 28, 2018: | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
USD | 29,385 | AUD | 36,912 | BNP Paribas | 03/13/2018 | 715 | ||||||||||||||
USD | 58,598 | CAD | 73,472 | Goldman Sachs International | 03/13/2018 | 1,331 | ||||||||||||||
USD | 20,473 | CAD | 25,672 | State Street Corp. | 03/13/2018 | 462 | ||||||||||||||
USD | 59,556 | CHF | 55,666 | Barclays Bank plc | 03/13/2018 | 559 | ||||||||||||||
USD | 1,829 | EUR | 1,470 | BNP Paribas | 03/13/2018 | 35 | ||||||||||||||
USD | 43,332 | EUR | 35,010 | Citibank, NA | 03/13/2018 | 586 | ||||||||||||||
USD | 872 | EUR | 703 | Deutsche Bank AG | 03/13/2018 | 13 | ||||||||||||||
USD | 209,853 | EUR | 168,902 | Goldman Sachs International | 03/13/2018 | 3,630 | ||||||||||||||
USD | 378,737 | EUR | 309,045 | Goldman Sachs International | 03/13/2018 | 1,403 | ||||||||||||||
USD | 1,311 | EUR | 1,062 | Royal Bank of Canada | 03/13/2018 | 14 | ||||||||||||||
USD | 84,213 | EUR | 68,667 | TD Bank Financial Group | 03/13/2018 | 373 | ||||||||||||||
USD | 1,158 | GBP | 834 | BNP Paribas | 03/13/2018 | 10 | ||||||||||||||
USD | 29,057 | GBP | 21,020 | Citibank, NA | 03/13/2018 | 106 | ||||||||||||||
USD | 417 | GBP | 300 | State Street Corp. | 03/13/2018 | 4 | ||||||||||||||
USD | 14,287 | HUF | 3,624,988 | HSBC Bank, N.A. | 03/13/2018 | 188 | ||||||||||||||
USD | 112,138 | NZD | 153,316 | Barclays Bank plc | 03/13/2018 | 1,579 | ||||||||||||||
USD | 28,139 | SEK | 224,271 | Deutsche Bank AG | 03/13/2018 | 1,055 | ||||||||||||||
USD | 41,073 | SGD | 54,267 | Royal Bank of Canada | 03/13/2018 | 103 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 12,166 | |||||||||||||||||||
|
| |||||||||||||||||||
CAD | 23,047 | USD | 18,374 | State Street Corp. | 03/13/2018 | (410 | ) | |||||||||||||
CNH | 366,905 | USD | 58,291 | HSBC Bank, N.A. | 03/13/2018 | (355 | ) | |||||||||||||
CZK | 1,159,687 | USD | 56,918 | HSBC Bank, N.A. | 03/13/2018 | (1,206 | ) | |||||||||||||
EUR | 1,933 | USD | 2,400 | Australia & New Zealand Banking Group Ltd. | 03/13/2018 | (40 | ) | |||||||||||||
EUR | 2,590 | USD | 3,199 | BNP Paribas | 03/13/2018 | (37 | ) | |||||||||||||
EUR | 71,272 | USD | 88,129 | Citibank, NA | 03/13/2018 | (1,108 | ) | |||||||||||||
EUR | 820 | USD | 1,016 | Deutsche Bank AG | 03/13/2018 | (15 | ) | |||||||||||||
EUR | 640 | USD | 792 | Deutsche Bank AG | 03/13/2018 | (10 | ) | |||||||||||||
EUR | 395 | USD | 487 | Merrill Lynch International | 03/13/2018 | (5 | ) | |||||||||||||
EUR | 1,329 | USD | 1,644 | Morgan Stanley | 03/13/2018 | (21 | ) | |||||||||||||
EUR | 1,572 | USD | 1,931 | Royal Bank of Canada | 03/13/2018 | (11 | ) | |||||||||||||
EUR | 12,375 | USD | 15,331 | State Street Corp. | 03/13/2018 | (223 | ) | |||||||||||||
GBP | 2,709 | USD | 3,810 | Australia & New Zealand Banking Group Ltd. | 03/13/2018 | (79 | ) | |||||||||||||
GBP | 809 | USD | 1,126 | Barclays Bank plc | 03/13/2018 | (12 | ) | |||||||||||||
GBP | 858 | USD | 1,207 | BNP Paribas | 03/13/2018 | (25 | ) | |||||||||||||
GBP | 860 | USD | 1,209 | Morgan Stanley | 03/13/2018 | (25 | ) | |||||||||||||
NZD | 10,489 | USD | 7,772 | Australia & New Zealand Banking Group Ltd. | 03/13/2018 | (208 | ) | |||||||||||||
NZD | 13,714 | USD | 10,018 | BNP Paribas | 03/13/2018 | (129 | ) | |||||||||||||
NZD | 10,449 | USD | 7,671 | HSBC Bank, N.A. | 03/13/2018 | (136 | ) | |||||||||||||
SEK | 224,271 | USD | 28,344 | Goldman Sachs International | 03/13/2018 | (1,260 | ) | |||||||||||||
SGD | 54,267 | USD | 41,411 | HSBC Bank, N.A. | 03/13/2018 | (441 | ) | |||||||||||||
CNH | 197,661 | USD | 31,266 | Goldman Sachs International | 04/12/2018 | (111 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (5,867 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | 6,299 | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 39 |
Table of Contents
JPMorgan Global Bond Opportunities Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
AS OF FEBRUARY 28, 2018 (Unaudited)
ACES | — Alternative Credit Enhancement Securities | |
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
CLO | — Collateralized Loan Obligation | |
CNH | — China Renminbi | |
CZK | — Czech Republic Koruna | |
DIP | — Debtor-in-possession | |
EUR | — Euro | |
EURIBOR | — Euro Interbank Offered Rate | |
FHLMC | — Federal Home Loan Mortgage Corp. | |
FNMA | — Federal National Mortgage Association | |
GBP | — British Pound | |
GNMA | — Government National Mortgage Association | |
HUF | — Hungarian Forint | |
ICE | — Intercontinental Exchange | |
IDR | — Indonesian Rupiah | |
IF | — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2018. The rate may be subject to a cap and floor. | |
IO | — 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. | |
LIBOR | — London Interbank Offered Rate | |
MSCI | — Morgan Stanley Capital International | |
MYR | — Malaysian Ringgit | |
NZD | — New Zealand Dollar | |
Reg. S | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | |
REMIC | — Real Estate Mortgage Investment Conduit | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
SGD | — Singapore Dollar | |
STRIPS | — 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. | |
SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of February 28, 2018. |
USD | — United States Dollar | |
ZAR | — South African Rand | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(d) | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
(g) | — Amount rounds to less than 0.05%. | |
(h) | — Amount rounds to less than 500. | |
(k) | — All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(l) | — The rate shown is the current yield as of February 28, 2018. | |
(n) | — The rate shown is the effective yield as of February 28, 2018. | |
(v) | — Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(w) | — All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(x) | — Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2018. | |
(y) | — Security is an interest bearing note with preferred security characteristics. | |
(z) | — 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 February 28, 2018. | |
(aa) | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2018. | |
(bb) | — Security has been valued using significant unobservable inputs. | |
(cc) | — Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
^ | — All or a portion of the security is unsettled as of February 28, 2018. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
@ | — The date shown reflects the next call date on which the issuer may redeem the security. The coupon rate for this security is currently in effect as of February 28, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 41 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2018 (Unaudited)
(Amounts in thousands, except per share amounts)
Global Bond Opportunities Fund | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 2,884,486 | ||
Investments in affiliates, at value | 23,925 | |||
Cash | 6,936 | |||
Foreign currency, at value | 5,773 | |||
Deposits at broker for futures contracts | 12,304 | |||
Receivables: | ||||
Due from custodian | 1,330 | |||
Investment securities sold | 33,251 | |||
Fund shares sold | 7,175 | |||
Interest and dividends from non-affiliates | 35,577 | |||
Dividends from affiliates | 68 | |||
Tax reclaims | 62 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 12,166 | |||
|
| |||
Total Assets | 3,023,053 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Due to custodian | 2,561 | |||
Investment securities purchased | 46,483 | |||
Investment securities purchased — delayed delivery securities | 767 | |||
Fund shares redeemed | 2,435 | |||
Variation margin on futures contracts | 1,473 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 5,867 | |||
Unrealized depreciation on unfunded commitments | 2 | |||
Accrued liabilities: | ||||
Investment advisory fees | 1,000 | |||
Administration fees | 35 | |||
Distribution fees | 92 | |||
Service fees | 271 | |||
Custodian and accounting fees | 45 | |||
Trustees’ and Chief Compliance Officer’s fees | 1 | |||
Deferred foreign capital gains tax | 326 | |||
Other | 72 | |||
|
| |||
Total Liabilities | 61,430 | |||
|
| |||
Net Assets | $ | 2,961,623 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Global Bond Opportunities Fund | ||||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 2,979,089 | ||
Accumulated undistributed (distributions in excess of) net investment income | (26,947 | ) | ||
Accumulated net realized gains (losses) | (37,121 | ) | ||
Net unrealized appreciation (depreciation) | 46,602 | |||
|
| |||
Total Net Assets | $ | 2,961,623 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 239,992 | ||
Class C | 83,018 | |||
Class I | 2,145,173 | |||
Class R6 | 493,440 | |||
|
| |||
Total | $ | 2,961,623 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
($0.0001 par value; unlimited number of shares authorized): | ||||
Class A | 23,488 | |||
Class C | 8,153 | |||
Class I | 209,526 | |||
Class R6 | 48,174 | |||
|
| |||
Net Asset Value (a): | ||||
Class A — Redemption price per share | $ | 10.22 | ||
Class C — Offering price per share (b) | 10.18 | |||
Class I — Offering and redemption price per share | 10.24 | |||
Class R6 — Offering and redemption price per share | 10.24 | |||
Class A maximum sales charge | 3.75 | % | ||
Class A maximum public offering price per share | $ | 10.62 | ||
|
| |||
Cost of investments in non-affiliates | $ | 2,849,449 | ||
Cost of investments in affiliates | 23,925 | |||
Cost of foreign currency | 5,691 |
(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.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 43 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2018 (Unaudited)
(Amounts in thousands)
Global Bond Opportunities Fund | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 63,291 | ||
Interest income from affiliates | 10 | |||
Dividend income from non-affiliates | 4 | |||
Dividend income from affiliates | 499 | |||
Foreign taxes withheld | (342 | ) | ||
|
| |||
Total investment income | 63,462 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 7,222 | |||
Administration fees | 1,067 | |||
Distribution fees: | ||||
Class A | 266 | |||
Class C | 284 | |||
Service fees: | ||||
Class A | 266 | |||
Class C | 94 | |||
Class I | 2,271 | |||
Custodian and accounting fees | 218 | |||
Interest expense to affiliates | 10 | |||
Professional fees | 78 | |||
Trustees’ and Chief Compliance Officer’s fees | 17 | |||
Printing and mailing costs | 69 | |||
Registration and filing fees | 70 | |||
Transfer agency fees (See Note 2.I.) | 27 | |||
Other | 27 | |||
|
| |||
Total expenses | 11,986 | |||
|
| |||
Less fees waived | (3,415 | ) | ||
Less earnings credits | (1 | ) | ||
|
| |||
Net expenses | 8,570 | |||
|
| |||
Net investment income (loss) | 54,892 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 7,561 | (a) | ||
Investments in affiliates | (9 | ) | ||
Options purchased | (18 | ) | ||
Futures contracts | 15,353 | |||
Foreign currency transactions | (617 | ) | ||
Forward foreign currency exchange contracts | (24,142 | ) | ||
|
| |||
Net realized gain (loss) | (1,872 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | (38,272 | )(b) | ||
Investments in affiliates | (1 | ) | ||
Futures contracts | 9,512 | |||
Foreign currency translations | (51 | ) | ||
Forward foreign currency exchange contracts | 9,228 | |||
Unfunded commitments | (2 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (19,586 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (21,458 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | 33,434 | ||
|
|
(a) | Net of foreign capital gains tax of approximately $(35,000). |
(b) | Net of change in foreign capital gains tax of approximately $(13,000). |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
Global Bond Opportunities Fund | ||||||||
Six Months Ended February 28, 2018 (Unaudited) | Year Ended August 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 54,892 | $ | 69,258 | ||||
Net realized gain (loss) | (1,872 | ) | (44,881 | ) | ||||
Change in net unrealized appreciation/depreciation | (19,586 | ) | 56,324 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 33,434 | 80,701 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (2,780 | ) | (7,067 | ) | ||||
Class C | ||||||||
From net investment income | (835 | ) | (2,455 | ) | ||||
Class I | ||||||||
From net investment income | (26,521 | ) | (62,192 | ) | ||||
Class R6 | ||||||||
From net investment income | (7,578 | ) | (8,264 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (37,714 | ) | (79,978 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 672,065 | 892,443 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 667,785 | 893,166 | ||||||
Beginning of period | 2,293,838 | 1,400,672 | ||||||
|
|
|
| |||||
End of period | $ | 2,961,623 | $ | 2,293,838 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (26,947 | ) | $ | (44,125 | ) | ||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 70,093 | $ | 153,426 | ||||
Distributions reinvested | 2,724 | 6,865 | ||||||
Cost of shares redeemed | (23,072 | ) | (95,125 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 49,745 | $ | 65,166 | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 22,769 | $ | 33,806 | ||||
Distributions reinvested | 796 | 2,298 | ||||||
Cost of shares redeemed | (11,301 | ) | (14,446 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 12,264 | $ | 21,658 | ||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | $ | 810,782 | $ | 1,121,913 | ||||
Distributions reinvested | 23,299 | 28,367 | ||||||
Cost of shares redeemed | (245,459 | ) | (660,897 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | $ | 588,622 | $ | 489,383 | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 224,463 | $ | 367,559 | ||||
Distributions reinvested | 6,091 | 2,704 | ||||||
Cost of shares redeemed | (209,120 | ) | (54,027 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 21,434 | $ | 316,236 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 672,065 | $ | 892,443 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 45 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Global Bond Opportunities Fund | ||||||||
Six Months Ended February 28, 2018 (Unaudited) | Year Ended August 31, 2017 | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 6,822 | 15,125 | ||||||
Reinvested | 265 | 679 | ||||||
Redeemed | (2,243 | ) | (9,387 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 4,844 | 6,417 | ||||||
|
|
|
| |||||
Class C | ||||||||
Issued | 2,221 | 3,338 | ||||||
Reinvested | 78 | 228 | ||||||
Redeemed | (1,103 | ) | (1,429 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 1,196 | 2,137 | ||||||
|
|
|
| |||||
Class I | ||||||||
Issued | 78,640 | 110,259 | ||||||
Reinvested | 2,262 | 2,800 | ||||||
Redeemed | (23,819 | ) | (64,920 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | 57,083 | 48,139 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 21,766 | 35,939 | ||||||
Reinvested | 591 | 267 | ||||||
Redeemed | (20,253 | ) | (5,297 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 2,104 | 30,909 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 47 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Global Bond Opportunities Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | $ | 10.22 | $ | 0.20 | (f) | $ | (0.07 | ) | $ | 0.13 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | ||||||||||
Year Ended August 31, 2017 | 10.24 | 0.39 | (f) | 0.05 | 0.44 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 10.01 | 0.38 | (f) | 0.34 | 0.72 | (0.49 | ) | — | (0.49 | ) | ||||||||||||||||||
Year Ended August 31, 2015 | 10.60 | 0.40 | (f) | (0.53 | ) | (0.13 | ) | (0.45 | ) | (0.01 | ) | (0.46 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.20 | 0.42 | (f) | 0.38 | 0.80 | (0.35 | ) | (0.05 | ) | (0.40 | ) | |||||||||||||||||
September 4, 2012 (h) through August 31, 2013 | 10.00 | 0.45 | 0.16 | 0.61 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 10.18 | 0.18 | (f) | (0.07 | ) | 0.11 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 10.21 | 0.35 | (f) | 0.04 | 0.39 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 9.99 | 0.34 | (f) | 0.33 | 0.67 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended August 31, 2015 | 10.59 | 0.35 | (f) | (0.51 | ) | (0.16 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.21 | 0.37 | (f) | 0.39 | 0.76 | (0.33 | ) | (0.05 | ) | (0.38 | ) | |||||||||||||||||
September 4, 2012 (h) through August 31, 2013 | 10.00 | 0.44 | 0.14 | 0.58 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 10.24 | 0.21 | (f) | (0.07 | ) | 0.14 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 10.26 | 0.42 | (f) | 0.05 | 0.47 | (0.49 | ) | — | (0.49 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 10.03 | 0.40 | (f) | 0.35 | 0.75 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||
Year Ended August 31, 2015 | 10.61 | 0.42 | (f) | (0.52 | ) | (0.10 | ) | (0.47 | ) | (0.01 | ) | (0.48 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.21 | 0.45 | (f) | 0.37 | 0.82 | (0.37 | ) | (0.05 | ) | (0.42 | ) | |||||||||||||||||
September 4, 2012 (h) through August 31, 2013 | 10.00 | 0.50 | 0.14 | 0.64 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 10.24 | 0.22 | (f) | (0.07 | ) | 0.15 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 10.27 | 0.43 | (f) | 0.04 | 0.47 | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 10.03 | 0.42 | (f) | 0.35 | 0.77 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||
Year Ended August 31, 2015 | 10.61 | 0.44 | (f) | (0.52 | ) | (0.08 | ) | (0.49 | ) | (0.01 | ) | (0.50 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.21 | 0.48 | (f) | 0.36 | 0.84 | (0.39 | ) | (0.05 | ) | (0.44 | ) | |||||||||||||||||
September 4, 2012 (h) through August 31, 2013 | 10.00 | 0.52 | 0.14 | 0.66 | (0.45 | ) | — | (0.45 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Not annualized for periods less than one year. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(e) | Commencing on August 31, 2017, the Fund presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. For periods prior to August 31, 2017, the Fund did not transact in securities sold short. |
(f) | Calculated based upon average shares outstanding. |
(g) | Certain non-recurring expenses incurred by the Fund were not annualized for the year ended August 31, 2014 and for the period ended August 31, 2013. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | Portfolio turnover rate (including short sales) (b)(e) | |||||||||||||||||||||||
$10.22 | 1.25 | % | $ | 239,992 | 0.89 | % | 3.95 | % | 1.17 | % | 29 | % | 29 | % | ||||||||||||||||
10.22 | 4.47 | 190,488 | 0.89 | 3.87 | 1.23 | 61 | 62 | |||||||||||||||||||||||
10.24 | 7.51 | 125,248 | 0.89 | 3.81 | 1.27 | 71 | — | |||||||||||||||||||||||
10.01 | (1.26 | ) | 64,383 | 0.89 | 3.85 | 1.27 | 90 | — | ||||||||||||||||||||||
10.60 | 8.01 | 19,131 | 0.89 | (g) | 4.01 | (g) | 1.49 | (g) | 77 | — | ||||||||||||||||||||
10.20 | 6.12 | 203 | 0.90 | (g) | 4.66 | (g) | 2.41 | (g) | 117 | — | ||||||||||||||||||||
10.18 | 1.06 | 83,018 | 1.29 | 3.54 | 1.67 | 29 | 29 | |||||||||||||||||||||||
10.18 | 3.97 | 70,849 | 1.29 | 3.46 | 1.72 | 61 | 62 | |||||||||||||||||||||||
10.21 | 7.03 | 49,223 | 1.29 | 3.40 | 1.76 | 71 | — | |||||||||||||||||||||||
9.99 | (1.63 | ) | 13,324 | 1.29 | 3.44 | 1.79 | 90 | — | ||||||||||||||||||||||
10.59 | 7.55 | 4,727 | 1.29 | (g) | 3.49 | (g) | 1.98 | (g) | 77 | — | ||||||||||||||||||||
10.21 | 5.77 | 53 | 1.30 | (g) | 4.30 | (g) | 2.54 | (g) | 117 | — | ||||||||||||||||||||
10.24 | 1.37 | 2,145,173 | 0.64 | 4.19 | 0.92 | 29 | 29 | |||||||||||||||||||||||
10.24 | 4.73 | 1,560,658 | 0.64 | 4.12 | 0.94 | 61 | 62 | |||||||||||||||||||||||
10.26 | 7.76 | 1,070,541 | 0.64 | 4.09 | 0.95 | 71 | — | |||||||||||||||||||||||
10.03 | (0.97 | ) | 942,467 | 0.64 | 4.08 | 0.97 | 90 | — | ||||||||||||||||||||||
10.61 | 8.22 | 132,823 | 0.64 | (g) | 4.30 | (g) | 1.26 | (g) | 77 | — | ||||||||||||||||||||
10.21 | 6.43 | 26,731 | 0.65 | (g) | 4.95 | (g) | 1.80 | (g) | 117 | — | ||||||||||||||||||||
10.24 | 1.44 | 493,440 | 0.49 | 4.34 | 0.67 | 29 | 29 | |||||||||||||||||||||||
10.24 | 4.78 | 471,843 | 0.49 | 4.26 | 0.68 | 61 | 62 | |||||||||||||||||||||||
10.27 | 8.01 | 155,660 | 0.49 | 4.23 | 0.69 | 71 | — | |||||||||||||||||||||||
10.03 | (0.86 | ) | 113,977 | 0.49 | 4.22 | 0.71 | 90 | — | ||||||||||||||||||||||
10.61 | 8.38 | 47,277 | 0.49 | (g) | 4.53 | (g) | 1.00 | (g) | 77 | — | ||||||||||||||||||||
10.21 | 6.58 | 53 | 0.50 | (g) | 5.10 | (g) | 1.55 | (g) | 117 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 49 |
Table of Contents
AS OF FEBRUARY 28, 2018 (Unaudited)
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 is a separate fund of the Trust (the “Fund”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Global Bond Opportunities Fund | Class A, Class C, Class I and Class R6 | Diversified |
The investment objective of the Fund is to seek to provide total return.
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 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 Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert 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 Fund.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and 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 — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and 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 related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of 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 Fund are calculated on a valuation date.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
50 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Futures are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
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 February 28, 2018.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Cayman Islands | $ | — | $ | 78,897 | $ | 2,102 | $ | 80,999 | ||||||||
Italy | — | 3 | — | 3 | ||||||||||||
United States | — | 65,938 | 34,750 | 100,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset-Backed Securities | — | 144,838 | 36,852 | 181,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Italy | — | — | 146 | 146 | ||||||||||||
United States | — | 63,266 | 7,286 | 70,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 63,266 | 7,432 | 70,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
Cayman Islands | — | 2,085 | 864 | 2,949 | ||||||||||||
United States | — | 122,766 | 45,910 | 168,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Commercial Mortgage-Backed Securities | — | 124,851 | 46,774 | 171,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds | ||||||||||||||||
China | — | 4,966 | — | 4,966 | ||||||||||||
Netherlands | — | 2,014 | — | 2,014 | ||||||||||||
United Arab Emirates | — | 916 | — | 916 | ||||||||||||
United States | — | 66,428 | — | 66,428 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | — | 74,324 | — | 74,324 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||||||
Argentina | — | 9,906 | — | 9,906 | ||||||||||||
Australia | — | 6,449 | — | 6,449 | ||||||||||||
Bahrain | — | 1,584 | — | 1,584 | ||||||||||||
Belgium | — | 16,246 | — | 16,246 | ||||||||||||
Brazil | — | 38,361 | — | 38,361 | ||||||||||||
Canada | — | 25,122 | — | 25,122 | ||||||||||||
Chile | — | 2,675 | — | 2,675 | ||||||||||||
China | — | 13,962 | — | 13,962 | ||||||||||||
Colombia | — | 2,095 | — | 2,095 | ||||||||||||
Denmark | — | 3,121 | — | 3,121 |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 51 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Finland | $ | — | $ | 460 | $ | — | $ | 460 | ||||||||
France | — | 86,609 | — | 86,609 | ||||||||||||
Germany | — | 57,532 | — | 57,532 | ||||||||||||
Greece | — | 4,877 | — | 4,877 | ||||||||||||
Guatemala | — | 1,459 | — | 1,459 | ||||||||||||
Hong Kong | — | 4,413 | — | 4,413 | ||||||||||||
India | — | 3,478 | — | 3,478 | ||||||||||||
Indonesia | — | 902 | — | 902 | ||||||||||||
Ireland | — | 32,840 | — | 32,840 | ||||||||||||
Israel | — | 4,907 | — | 4,907 | ||||||||||||
Italy | — | 57,840 | — | 57,840 | ||||||||||||
Jamaica | — | 2,202 | — | 2,202 | ||||||||||||
Japan | — | 9,851 | — | 9,851 | ||||||||||||
Jordan | — | 898 | — | 898 | ||||||||||||
Kazakhstan | — | 1,757 | — | 1,757 | ||||||||||||
Kuwait | — | 5,639 | — | 5,639 | ||||||||||||
Luxembourg | — | 68,926 | — | 68,926 | ||||||||||||
Mexico | — | 32,615 | — | 32,615 | ||||||||||||
Netherlands | — | 47,522 | — | 47,522 | ||||||||||||
Nigeria | — | 2,952 | — | 2,952 | ||||||||||||
Panama | — | 718 | — | 718 | ||||||||||||
Peru | — | 6,178 | — | 6,178 | ||||||||||||
Portugal | — | 10,369 | — | 10,369 | ||||||||||||
Qatar | — | 4,591 | — | 4,591 | ||||||||||||
South Korea | — | 6,006 | — | 6,006 | ||||||||||||
Spain | — | 42,963 | — | 42,963 | ||||||||||||
Sweden | — | 13,761 | — | 13,761 | ||||||||||||
Switzerland | — | 27,219 | — | 27,219 | ||||||||||||
Turkey | — | 2,269 | — | 2,269 | ||||||||||||
United Arab Emirates | — | 4,584 | — | 4,584 | ||||||||||||
United Kingdom | — | 107,236 | — | 107,236 | ||||||||||||
United States | — | 889,389 | 961 | 890,350 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 1,662,483 | 961 | 1,663,444 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 619,744 | — | 619,744 | ||||||||||||
Private Placement | ||||||||||||||||
United States | — | — | 15,000 | 15,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Bermuda | — | 58 | — | 58 | ||||||||||||
United States | — | — | 2 | 2 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 58 | 2 | 60 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Colombia | 2,039 | — | — | 2,039 | ||||||||||||
New Zealand | — | — | 80 | 80 | ||||||||||||
United States | 1,222 | — | — | 1,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 3,261 | — | 80 | 3,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | ||||||||||||||||
Canada | — | 2,495 | — | 2,495 | ||||||||||||
France | — | 427 | — | 427 | ||||||||||||
Luxembourg | — | 2,998 | — | 2,998 | ||||||||||||
Netherlands | — | 2,179 | — | 2,179 | ||||||||||||
United Kingdom | — | 1,906 | — | 1,906 | ||||||||||||
United States | — | 74,265 | — | 74,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Assignments | — | 84,270 | — | 84,270 | ||||||||||||
|
|
|
|
|
|
|
|
52 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Right | ||||||||||||||||
United States | $ | — | $ | — | $ | 5 | $ | 5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 23,925 | — | — | 23,925 | ||||||||||||
U.S. Treasury Obligation | — | 285 | — | 285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | $ | 23,925 | $ | 285 | $ | — | $ | 24,210 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 27,186 | $ | 2,774,119 | $ | 107,106 | $ | 2,908,411 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 12,166 | $ | — | $ | 12,166 | ||||||||
Futures Contracts | 7,099 | — | — | 7,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 7,099 | $ | 12,166 | $ | — | $ | 19,265 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (5,867 | ) | $ | — | $ | (5,867 | ) | ||||||
Futures Contracts | (1,845 | ) | — | — | (1,845 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (1,845 | ) | $ | (5,867 | ) | $ | — | $ | (7,712 | ) | |||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers between level 1 and level 2 during the six months ended February 28, 2018.
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Balance as of August 31, 2017 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2018 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities — Cayman Islands | $ | — | $ | (3 | ) | $ | 9 | $ | — | (a) | $ | — | $ | (135 | ) | $ | 2,231 | $ | — | $ | 2,102 | |||||||||||||||
Asset-Backed Securities — Ireland | 785 | — | — | (a) | — | — | (785 | ) | — | — | — | |||||||||||||||||||||||||
Asset-Backed Securities — United States | 21,828 | 68 | 82 | 11 | 14,506 | (3,166 | ) | 4,773 | (3,352 | ) | 34,750 | |||||||||||||||||||||||||
Collateralized Mortgage Obligation — Italy | 142 | — | 4 | — | (a) | — | — | — | — | 146 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligation — United States | — | — | (7 | ) | — | (a) | 7,293 | — | — | — | 7,286 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — Cayman Islands | 864 | — | — | (a) | — | — | — | — | — | 864 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — United States | 35,746 | 2 | (675 | ) | 19 | 16,918 | (7,598 | ) | 3,399 | (1,901 | ) | 45,910 | ||||||||||||||||||||||||
Common Stocks — New Zealand | 73 | — | 7 | — | — | — | — | — | 80 | |||||||||||||||||||||||||||
Corporate Bonds — United States | 959 | — | (a) | 3 | — | (a) | 293 | (5 | ) | — | (289 | ) | 961 | |||||||||||||||||||||||
Preferred Stock — United States | 2 | — | — | (a) | — | — | — | — | — | 2 | ||||||||||||||||||||||||||
Private Placement — United States | — | — | — | — | 15,000 | — | — | — | 15,000 | |||||||||||||||||||||||||||
Rights — United States | 7 | — | (2 | ) | — | — | — | — | — | 5 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 60,406 | $ | 67 | $ | (579 | ) | $ | 30 | $ | 54,010 | $ | (11,689 | ) | $ | 10,403 | $ | (5,542 | ) | $ | 107,106 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 500. |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 53 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
There were no significant transfers between level 2 and level 3 during the six months ended February 28, 2018.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $(577,000). This amount is included in Change in net unrealized appreciation/ depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at February 28, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | — | (a) | Market Comparable Companies | EBITDA Multiple(b) | 6.5x (6.5x) | |||||||
|
| |||||||||||
Common Stock | — | (a) | ||||||||||
|
|
|
|
|
|
| ||||||
2 | Market Comparable Companies | EBITDA Multiple(b) | 6.5x (6.5x) | |||||||||
Discount for potential outcome(c) | 30.00% (30.00%) | |||||||||||
|
| |||||||||||
Preferred Stock | 2 | |||||||||||
|
|
|
|
|
|
| ||||||
33,598 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (10.85%) | |||||||||
Constant Default Rate | 0.00% - 7.29% (1.38%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.46% - 6.41% (4.06%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 33,598 | |||||||||||
|
|
|
|
|
|
| ||||||
37,145 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | (36.16)% - 199.00% ((0.90%)) | |||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 37,145 | |||||||||||
|
|
|
|
|
|
| ||||||
15,000 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 5.67% (5.67%) | |||||||||
|
| |||||||||||
Private Placements | 15,000 | |||||||||||
|
|
|
|
|
|
| ||||||
707 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 3.67% - 19.29% (6.41%) | |||||||||
— | (a) | Pending Distribution Amount | Discount for potential outcome(c) | 100.00% (100.00%) | ||||||||
|
| |||||||||||
Corporate Bonds | 707 | |||||||||||
|
|
|
|
|
|
| ||||||
Total | $ | 86,452 | ||||||||||
|
|
|
|
|
|
|
# | The table above does not include level 3 securities that are valued by brokers and pricing services. At February 28, 2018, the value of these securities was approximately $20,654,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Securities senior in the issuing entity capital structure result in this security being valued at zero. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(c) | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
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 default rate may decrease (increase) the fair 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.
B. Restricted Securities — Certain securities held by the Fund 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 net asset value of the Fund.
As of February 28, 2018, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A or Regulation S under the Securities Act.
C. Loan Assignments — The Fund may invest in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental, or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Fund invests in loan assignments of all or a portion of the loans. When a fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan,
54 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
provided, however, the Fund’s rights may be more limited than the Lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, a fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a fund may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
D. Unfunded Commitments — The Fund has entered into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of their normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Funds to provide cash to the borrower on demand. Unfunded commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statements of Assets and Liabilities. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Fund may receive an ongoing commitment fee based on the undrawn portion of the underlying loan facility, which is recorded as a component of interest income on the Statements of Operations.
At February 28, 2018, the Fund had the following loan commitments in which all or a portion of the commitment was unfunded which could be extended at the options of the borrower (amounts in thousands):
Unfunded Commitment | Funded Commitment | Total Commitment | ||||||||||||||||||||||||||||||||||||||
Security Description | Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Par Amount | Value | Par Amount | Value | Par Amount | Value | ||||||||||||||||||||||||||||||
Pearl Intermediate Parent LLC | Delayed Draw Term Loan | 01/31/25 | 1.000 | % | 0.000 | % | $ | 197 | $ | 195 | $ | — | $ | — | $ | 197 | $ | 195 |
E. Derivatives — The Fund used derivative instruments including futures and forward foreign currency exchange contracts in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed its value, as recorded on the Statement of Assets and Liabilities.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and will offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes E(1) — E(3) below describe the various derivatives used by the Fund.
(1). Options — The Fund purchased and sold (“wrote”) put and call options on various instruments including futures and securities to manage and hedge interest rate risks within the 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. Eurodollar options are settled for cash.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 55 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
Options Purchased — Premiums paid by the Fund for options purchased are included on the Statement 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 of options purchased on the Statement of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and records a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will 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 Fund for options written are included on the Statement 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 is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statement of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records 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 Fund 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.
Written uncovered call options subject the Fund 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 Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is 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 Fund’s 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). The Fund may be required to post or receive collateral for over the counter options.
(2). Futures Contracts — The Fund used treasury, index or other financial futures contracts to gain or reduce exposure to the stock and bond markets, maintain liquidity and minimize transaction costs. The Fund also bought futures contracts to immediately 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 Fund is 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 Fund 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 the Statement 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 Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Fund to interest rate risk. The Fund 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 Fund to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund 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 Fund’s 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 Fund’s 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).
(3). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollar without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
56 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of February 28, 2018, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities (amounts in thousands):
Derivative Contracts | Statement of Assets and Liabilities Location | |||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Total | |||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 7,099 | $ | — | $ | 7,099 | |||||||
Foreign exchange contracts | Receivables | — | 12,166 | 12,166 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 7,099 | $ | 12,166 | $ | 19,265 | ||||||||
|
|
|
|
|
| |||||||||
Gross Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (1,845 | ) | $ | — | $ | (1,845 | ) | |||||
Foreign exchange contracts | Payables | — | (5,867 | ) | (5,867 | ) | ||||||||
|
|
|
|
|
| |||||||||
Total | $ | (1,845 | ) | $ | (5,867 | ) | $ | (7,712 | ) | |||||
|
|
|
|
|
|
(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers. |
The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of February 28, 2018 (amounts in thousands):
Counterparty | Gross Amount of Derivative Assets Subject to Netting Agreement Presented on the Statement of Assets and Liabilities (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) | ||||||||||||
Barclays Bank plc | $ | 2,138 | $ | (12 | ) | $ | — | $ | 2,126 | |||||||
BNP Paribas | 760 | (191 | ) | — | 569 | |||||||||||
Citibank, N.A. | 692 | (692 | ) | — | — | |||||||||||
Deutsche Bank AG | 1,068 | (25 | ) | — | 1,043 | |||||||||||
Goldman Sachs International | 6,364 | (1,371 | ) | — | 4,993 | |||||||||||
HSBC Bank, N.A. | 188 | (188 | ) | — | — | |||||||||||
Royal Bank of Canada | 117 | (11 | ) | — | 106 | |||||||||||
State Street Corp. | 466 | (466 | ) | — | — | |||||||||||
TD Bank Financial Group | 373 | — | — | 373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 12,166 | $ | (2,956 | ) | $ | — | $ | 9,210 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Liabilities Subject to Netting Agreement Presented on the Statement of Assets and Liabilities (a) | Derivatives Available for offset | Collateral Posted | Net Amount Due to Counterparty (Not less than zero) | ||||||||||||
Australia and New Zealand Banking Group Limited | $ | 327 | $ | — | $ | — | $ | 327 | ||||||||
Barclays Bank plc | 12 | (12 | ) | — | — | |||||||||||
BNP Paribas | 191 | (191 | ) | — | — | |||||||||||
Citibank, N.A. | 1,108 | (692 | ) | — | 416 | |||||||||||
Deutsche Bank AG | 25 | (25 | ) | — | — | |||||||||||
Goldman Sachs International | 1,371 | (1,371 | ) | — | — | |||||||||||
HSBC Bank, N.A. | 2,138 | (188 | ) | — | 1,950 | |||||||||||
Merrill Lynch International | 5 | — | — | 5 | ||||||||||||
Morgan Stanley | 46 | — | — | 46 | ||||||||||||
Royal Bank of Canada | 11 | (11 | ) | — | — | |||||||||||
State Street Corp. | 633 | (466 | ) | — | 167 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,867 | $ | (2,956 | ) | $ | — | $ | 2,911 | ||||||||
|
|
|
|
|
|
|
|
(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 57 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
The following tables present the effect of derivatives on the Statement of Operations for the six months ended February 28, 2018, by primary underlying risk exposure (amounts in thousands):
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Options | Total | ||||||||||||
Interest rate contracts | $ | 15,353 | $ | — | $ | (18 | ) | $ | 15,335 | |||||||
Foreign exchange contracts | — | (24,142 | ) | — | (24,142 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 15,353 | $ | (24,142 | ) | $ | (18 | ) | $ | (8,807 | ) | |||||
|
|
|
|
|
|
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Interest rate contracts | $ | 9,512 | $ | — | $ | 9,512 | ||||||
Foreign exchange contracts | — | 9,228 | 9,228 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 9,512 | $ | 9,228 | $ | 18,740 | ||||||
|
|
|
|
|
|
The Fund’s derivatives contracts held at February 28, 2018 are not accounted for as hedging instruments under GAAP.
Derivatives Volume — The table below discloses the volume of the Fund’s futures contracts, forward foreign currency exchange contracts and options activity during the six months ended February 28, 2018 (amounts in thousands, except number of contracts). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Futures Contracts: | ||||
Average Notional Balance Long | $ | 92,494 | ||
Average Notional Balance Short | 1,469,836 | |||
Ending Notional Balance Long | 191,688 | |||
Ending Notional Balance Short | 1,514,687 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 175,622 | |||
Average Settlement Value Sold | 911,892 | |||
Ending Settlement Value Purchased | 382,346 | |||
Ending Settlement Value Sold | 1,114,428 |
F. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The 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 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 Fund 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 settlement date.
G. Foreign Currency Translation — The books and records of the Fund 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 Fund does 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 on the Statement 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 the 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 Statement 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 period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
58 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
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, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend. Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest income on the Statement of Operations.
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 respective funds. In calculating the NAV of each class, 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 and sub-transfer agency fees charged to each class of the Fund for the six months ended February 28, 2018 are as follows (amounts in thousands):
Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
Transfer agency fees | $ | 4 | $ | 2 | $ | 18 | $ | 3 | $ | 27 |
J. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (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 Fund’s tax positions for all open tax years and has determined that as of February 28, 2018, no liability for income tax is required in the Fund’s 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. The Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
K. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
L. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly and 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 the 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.55% of the Fund’s average daily net assets.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.G.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended February 28, 2018, the effective annualized rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.G.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Fund’s 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 the Trust’s principal underwriter and promotes and arranges for the sale of the Fund’s shares. The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. Class I and Class R6 do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.
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 six months ended February 28, 2018, JPMDS retained the following amounts (in thousands):
Front-End Sales Charge | CDSC | |||||
$17 | $ | — |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 59 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets of Class A, Class C and Class I Shares.
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 Fund under which 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.G.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays 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 Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
F. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Fund. The amounts are paid directly to JPMCB by the Fund for these services are included in Collateral management fees on the Statement of Operations.
G. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Fund 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 expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R6 | |||||||||||||
0.90 | % | 1.30 | % | 0.65 | % | 0.50 | % |
The expense limitation agreement was in effect for the six months ended February 28, 2018 and is in place until at least December 31, 2018.
For the six months ended February 28, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows (amounts in thousands). None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | |||||||||||||
$ | 1,328 | $ | 885 | $ | 1,104 | $ | 3,317 |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (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 Fund’s investment in such affiliated money market fund.
The amount of waivers/reimbursements resulting from investments in these money market funds for the six months ended February 28, 2018 was approximately $98,000.
H. 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 Fund for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other 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 Statement 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 six months ended February 28, 2018, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Fund may use related party broker-dealers. For the six months ended February 28, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
60 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended February 28, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 1,477,637 | $ | 740,494 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2018 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Gross Unrealized (Depreciation) | |||||||||||||
$ | 2,873,374 | $ | 101,001 | $ | 54,411 | $ | 46,590 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in contingent preferred debt instruments.
6. Borrowings
The Fund relies 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 Fund 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 the 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 Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 Fund. 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 the 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 November 5, 2018.
The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2018.
The Trust, along with certain other trusts (“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 $25,000,000 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 $25,000,000 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% plus the greater of the federal funds effective rate or one month 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 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Fund did not utilize the Credit Facility during the six months ended February 28, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
As of February 28, 2018, the Fund had one affiliated omnibus account, which owned 34.5% of the Fund’s outstanding shares.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 61 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
The Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
As of February 28, 2018, a significant portion of the Fund’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
The Fund invests in debt securities that have preferred stock characteristics. These characteristics include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
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 Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than they would have been if it had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as forward foreign currency exchange contracts and TBA securities.
The Fund is 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, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Fund invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds.”) These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Fund is intended for investors who are able and willing to assume a high degree of risk.
The Fund’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
8. Investment Company Reporting Modernization
In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Fund’s financial statements as of February 28, 2018. The adoption had no effect on the Fund’s net assets or results of operations.
9. New Accounting Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
62 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, 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 Fund 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, September 1, 2017, and continued to hold your shares at the end of the reporting period, February 28, 2018.
Actual Expenses
For each Class of the 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 entitled “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 Fund 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. 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 September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Global Bond Opportunities Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.50 | $ | 4.44 | 0.89 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,010.60 | 6.43 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,013.70 | 3.20 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,014.40 | 2.45 | 0.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.36 | 2.46 | 0.49 |
* | 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). |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 63 |
Table of Contents
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 fund 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.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund’s policies and procedures with respect to the disclosure of the Fund’s holdings is available in the prospectus 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 Fund’s 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 Fund’s 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 Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. February 2018. | SAN-GBO-218 |
Table of Contents
Semi-Annual Report
J.P. Morgan Income Funds
February 28, 2018 (Unaudited)
JPMorgan Floating Rate Income Fund
Table of Contents
CEO’s Letter | 1 | |||
Fund Commentary | 2 | |||
Schedule of Portfolio Investments | 4 | |||
Financial Statements | 16 | |||
Financial Highlights | 22 | |||
Notes to Financial Statements | 24 | |||
Schedule of Shareholder Expenses | 32 |
Investments in the 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 the 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 the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.
Prospective investors should refer to the Fund’s prospectuses for a discussion of the Fund’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
March 29, 2018 (Unaudited)
Dear Shareholder,
The global economy extended its expansion into its ninth year with support from accommodative central banks, growth in corporate profits, consumer confidence and stable energy prices. Prices for equities and bonds generally rose throughout the six months ended February 28, 2018, and managed to rebound somewhat from a sharp sell-off in early February.
![]() |
“While financial market volatility has increased from the historic lows that marked 2017, certain fundamental drivers of asset prices remain in place.” — George C.W. Gatch |
Responding to a tightening U.S. labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017. Meanwhile, the U.S. unemployment rate dropped to 4.1% in October and remained at that level through February. Notably, wage growth was positive but subdued. U.S. gross domestic product (GDP) rose to a better-than-expected 2.9% in the final three months of 2017, and early indicators pointed to a continued seasonal pattern of weaker but positive GDP growth for the first quarter of 2018.
The Tax Cuts and Jobs Act of 2017, which reduced both individual and corporate income taxes, was enacted in late December 2017. The law’s passage appeared to add support for U.S. equity prices, which continued to rally through January.
The early February sell-off in financial markets snapped a 15-month run of consecutive gains in the Standard & Poor’s 500 Index. The sell-off also sent yields on government and corporate bonds, which generally move in the opposite direction of prices, sharply higher.
Analysts largely attributed the sell-off to historically high equity market valuations and investor concerns that signs of rising inflation would prompt the Fed to accelerate the rollout of future interest rates increases. While equity prices had rebounded somewhat by the end of February, bond prices remained under pressure.
Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half as economic growth within the European Union (EU) continued to
strengthen. However, the ECB declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised benchmark interest rates for the first time in a decade as the domestic economy continued to expand, despite some headwinds from uncertainty over Britain’s advance toward an exit from the EU.
Political uncertainty in Europe faded somewhat as Spain’s central government halted a secessionist movement in Catalonia in October and German Chancellor Angela Merkel successfully formed a governing coalition in late February.
Emerging market nations continued to benefit from robust growth in China, rising commodity prices and strong global demand for goods. Emerging markets debt, which generated strong returns for investors during most of the reporting period, began to weaken late in 2017 amid a decline in the value of the U.S. dollar, which effectively raises the price of exports.
While financial market volatility has increased from the historic lows that marked 2017, certain fundamental drivers of asset prices remain in place. Leading central banks have edged toward policy normalization but remained strongly accommodative for financial markets. Corporate profits have been robust and business investment began to rise in the latter part of the reporting period. Consumer sentiment was buoyant and the outlook for synchronized global economic growth remained positive. Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment.
We look forward to managing your investment needs for years to come. 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,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 1 |
Table of Contents
JPMorgan Floating Rate Income Fund
SIX MONTHS ENDED FEBRUARY 28, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 1.99% | |||
Credit Suisse Leveraged Loan Index | 2.86% | |||
Bloomberg Barclays U.S. Aggregate Index | (2.18)% | |||
Net Assets as of 2/28/2018 (In Thousands) | $ | 2,369,321 |
INVESTMENT OBJECTIVE**
The JPMorgan Floating Rate Income Fund (the “Fund”) seeks to provide current income with a secondary objective of capital appreciation.
HOW DID THE MARKET PERFORM?
During the reporting period, U.S. bond markets provided positive returns but largely underperformed U.S. equities, which were supported by rising corporate profits, continued low interest rates and synchronized economic growth. In early February, a sharp sell-off pushed down prices for both fixed income and equity securities. Generally, investors blamed the sell-off on a surge in U.S. Treasury bond yields, which move in the opposite direction of bond prices, as well as uncertainty about U.S. Federal Reserve policy and historically high equity valuations.
While U.S. equity prices rebounded somewhat from the sell-off, yields on corporate bonds and U.S. Treasury bonds remained at elevated levels at the end of the reporting period. Within fixed income markets, high yield bonds (also known as “junk bonds”) continued to outperform investment grade corporate debt and U.S. Treasury bonds. However, bond prices overall were weighed down by expectations of accelerating inflation and rising interest rates as the U.S. economic expansion entered its ninth year.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the Credit Suisse Leveraged Loan Index (the “Benchmark”) for the six months ended February 28, 2018.
The Fund’s investment selection — mostly in loan assignments — in the consumer durables and utilities sectors was a leading detractor from performance relative to the Benchmark. The Fund’s overweight position in securities rated BB and its underweight position in securities rated CCC also detracted
from relative performance. The Fund’s investment selection, including loan assignments in the retail and food and drug sectors was a leading positive contributor to relative performance.
Relative to the Bloomberg Barclays U.S. Aggregate Index, which does not hold high yield bonds, the Fund’s allocation to high yield bonds helped performance as high yield bonds generally outperformed other sectors of the bond market during the reporting period.
HOW WAS THE FUND POSITIONED?
Relative to the Benchmark during the six month reporting period, the Fund was overweight in securities rated AAA through BB and was underweight in securities rated B, CCC and CC to D. The Fund’s portfolio managers generally upgraded the credit quality of the portfolio during the reporting period and gained exposure to higher quality loan assignments and bonds mainly by investing in floating rate loan facilities issued by corporations and, to a lesser extent, fixed rate short duration corporate debt securities.
PORTFOLIO COMPOSITION*** | ||||
Loan Assignments | 80.6 | % | ||
Corporate Bonds | 12.7 | |||
Others (each less than 1.0%) | 2.0 | |||
Short-Term Investment | 4.7 |
* | 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. |
*** | Percentages indicated are based on total investments as of February 28, 2018. The Fund’s portfolio composition is subject to change. |
2 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2018 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | June 1, 2011 | |||||||||||||||||
With Sales Charge** | (0.46 | )% | 0.52 | % | 1.91 | % | 2.59 | % | ||||||||||
Without Sales Charge | 1.87 | 2.86 | 2.69 | 3.17 | ||||||||||||||
CLASS C SHARES | June 1, 2011 | |||||||||||||||||
With CDSC*** | 0.62 | 1.35 | 2.18 | 2.66 | ||||||||||||||
Without CDSC | 1.62 | 2.35 | 2.18 | 2.66 | ||||||||||||||
CLASS I SHARES | June 1, 2011 | 1.99 | 3.12 | 2.94 | 3.43 | |||||||||||||
CLASS R6 SHARES | October 31, 2013 | 2.04 | 3.22 | 3.03 | 3.50 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (6/1/11 TO 2/28/18)
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 June 1, 2011.
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 the Class I Shares of JPMorgan Floating Rate Income Fund, the Credit Suisse Leveraged Loan Index, the Bloomberg Barclays U.S. Aggregate Index and the Lipper Loan Participation Funds Index from June 1, 2011 to February 28, 2018. The performance of the Lipper Loan Participation Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Credit Suisse Leveraged Loan Index and the Bloomberg Barclays U.S. Aggregate 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 indices, if applicable. The perform-
ance of the Lipper Loan Participation Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Credit Suisse Leveraged Loan Index is an unmanaged market value-weighted index designed to represent the investable universe of the U.S. dollar-denominated leveraged loan market. The index reflects reinvestment of all distributions and changes in market prices. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Loan Participation Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 3 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — 0.5% | ||||||||
Continental Airlines Pass-Through Trust, | ||||||||
26 | Series 2003-ERJ1, 7.88%, 07/02/2018 | 27 | ||||||
1,937 | Series 2004-ERJ1, 9.56%, 09/01/2019 | 2,000 | ||||||
9,648 | Series 2012-3, Class C, 6.13%, 04/29/2018 | 9,708 | ||||||
|
| |||||||
Total Asset-Backed Securities | 11,735 | |||||||
|
| |||||||
Corporate Bonds — 13.1% | ||||||||
Consumer Discretionary — 2.4% |
| |||||||
Auto Components — 0.3% |
| |||||||
2,500 | American Axle & Manufacturing, Inc., 6.25%, 03/15/2021 | 2,538 | ||||||
4,250 | Icahn Enterprises LP, 5.88%, 02/01/2022 | 4,255 | ||||||
|
| |||||||
6,793 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
3,417 | Jaguar Land Rover Automotive plc, (United Kingdom), 4.13%, 12/15/2018 (e) | 3,430 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
1,511 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 02/15/2023 (e) | 1,550 | ||||||
GLP Capital LP, | ||||||||
2,000 | 4.38%, 04/15/2021 | 2,015 | ||||||
3,000 | 4.88%, 11/01/2020 | 3,075 | ||||||
5,000 | International Game Technology plc, 5.63%, 02/15/2020 (e) | 5,150 | ||||||
4,780 | MGM Resorts International, 5.25%, 03/31/2020 | 4,930 | ||||||
7,627 | NCL Corp. Ltd., 4.75%, 12/15/2021 (e) | 7,789 | ||||||
7,185 | Scientific Games International, Inc., 5.00%, 10/15/2025 (e) | 7,104 | ||||||
2,545 | Seminole Hard Rock Entertainment, Inc., 5.88%, 05/15/2021 (e) | 2,564 | ||||||
|
| |||||||
34,177 | ||||||||
|
| |||||||
Media — 0.4% |
| |||||||
170 | Charter Communications Operating LLC, 3.58%, 07/23/2020 | 171 | ||||||
CSC Holdings LLC, | ||||||||
614 | 5.25%, 06/01/2024 | 591 | ||||||
1,486 | 8.63%, 02/15/2019 | 1,552 | ||||||
6,600 | DISH DBS Corp., 7.88%, 09/01/2019 | 6,963 | ||||||
|
| |||||||
9,277 | ||||||||
|
| |||||||
Specialty Retail — 0.2% |
| |||||||
Claire’s Stores, Inc., | ||||||||
1,872 | 6.13%, 03/15/2020 (e) | 1,245 | ||||||
4,000 | 9.00%, 03/15/2019 (e) | 2,720 | ||||||
|
| |||||||
3,965 | ||||||||
|
| |||||||
Total Consumer Discretionary | 57,642 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 1.5% |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
1,335 | Shelf Drilling Holdings Ltd., (United Arab Emirates), 8.25%, 02/15/2025 (e) | 1,345 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.5% |
| |||||||
4,000 | Andeavor Logistics LP, 5.50%, 10/15/2019 | 4,125 | ||||||
5,100 | Antero Resources Corp., 5.38%, 11/01/2021 | 5,215 | ||||||
4,750 | DCP Midstream Operating LP, 4.75%, 09/30/2021 (e) | 4,833 | ||||||
4,250 | NGL Energy Partners LP, 5.13%, 07/15/2019 | 4,260 | ||||||
1,750 | Oasis Petroleum, Inc., 6.50%, 11/01/2021 | 1,781 | ||||||
8,100 | Rockies Express Pipeline LLC, 6.85%, 07/15/2018 (e) | 8,201 | ||||||
1,840 | Sunoco LP, 4.88%, 01/15/2023 (e) | 1,826 | ||||||
5,209 | TerraForm Power Operating LLC, 4.25%, 01/31/2023 (e) | 5,105 | ||||||
|
| |||||||
35,346 | ||||||||
|
| |||||||
Total Energy | 36,691 | |||||||
|
| |||||||
Financials — 0.9% |
| |||||||
Banks — 0.2% |
| |||||||
3,381 | Barclays Bank plc, (United Kingdom), 7.63%, 11/21/2022 | 3,764 | ||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
12,050 | Ally Financial, Inc., 8.00%, 03/15/2020 | 13,044 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
4,039 | Radian Group, Inc., 5.25%, 06/15/2020 | 4,180 | ||||||
|
| |||||||
Total Financials | 20,988 | |||||||
|
| |||||||
Health Care — 2.1% |
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
Mallinckrodt International Finance SA, | ||||||||
7,791 | 3.50%, 04/15/2018 | 7,733 | ||||||
4,300 | 4.88%, 04/15/2020 (e) | 4,160 | ||||||
|
| |||||||
11,893 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.6% |
| |||||||
4,800 | DaVita, Inc., 5.75%, 08/15/2022 | 4,941 | ||||||
HCA, Inc., | ||||||||
7,000 | 4.25%, 10/15/2019 | 7,088 | ||||||
6,000 | 6.50%, 02/15/2020 | 6,315 | ||||||
Tenet Healthcare Corp., | ||||||||
4,000 | 4.38%, 10/01/2021 | 3,980 | ||||||
11,841 | 4.63%, 07/15/2024 (e) | 11,330 | ||||||
2,480 | 4.75%, 06/01/2020 | 2,517 | ||||||
520 | 6.00%, 10/01/2020 | 541 | ||||||
|
| |||||||
36,712 | ||||||||
|
| |||||||
Total Health Care | 48,605 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
4 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Industrials — 1.5% |
| |||||||
Airlines — 0.6% |
| |||||||
5,523 | Allegiant Travel Co., 5.50%, 07/15/2019 | 5,640 | ||||||
8,078 | United Continental Holdings, Inc., 4.25%, 10/01/2022 | 8,053 | ||||||
|
| |||||||
13,693 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
11,745 | ILFC E-Capital Trust I, (USD Constant Maturity 30 Year + 1.55%, 14.50% Cap), 4.37%, | 11,598 | ||||||
1,500 | Nielsen Finance LLC, 4.50%, 10/01/2020 | 1,506 | ||||||
|
| |||||||
13,104 | ||||||||
|
| |||||||
Road & Rail — 0.3% |
| |||||||
8,358 | DAE Funding LLC, (United Arab Emirates), 4.00%, 08/01/2020 (e) | 8,212 | ||||||
|
| |||||||
Total Industrials | 35,009 | |||||||
|
| |||||||
Information Technology — 1.3% |
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
3,400 | Anixter, Inc., 5.63%, 05/01/2019 | 3,472 | ||||||
|
| |||||||
IT Services — 0.2% |
| |||||||
5,000 | Alliance Data Systems Corp., 5.88%, 11/01/2021 (e) | 5,113 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
1,715 | NXP BV, (Netherlands), 4.13%, 06/01/2021 (e) | 1,745 | ||||||
|
| |||||||
Software — 0.4% |
| |||||||
4,350 | Infor US, Inc., 5.75%, 08/15/2020 (e) | 4,437 | ||||||
2,143 | Nuance Communications, Inc., 5.38%, 08/15/2020 (e) | 2,162 | ||||||
1,860 | Symantec Corp., 4.20%, 09/15/2020 | 1,895 | ||||||
|
| |||||||
8,494 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
Dell International LLC, | ||||||||
5,838 | 4.42%, 06/15/2021 (e) | 5,958 | ||||||
5,000 | 5.88%, 06/15/2021 (e) | 5,113 | ||||||
|
| |||||||
11,071 | ||||||||
|
| |||||||
Total Information Technology | 29,895 | |||||||
|
| |||||||
Materials — 1.5% |
| |||||||
Chemicals — 0.5% |
| |||||||
9,000 | CF Industries, Inc., 3.40%, 12/01/2021 (e) | 8,932 | ||||||
1,938 | FXI Holdings, Inc., 7.88%, 11/01/2024 (e) | 1,911 | ||||||
|
| |||||||
10,843 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction Materials — 0.4% |
| |||||||
9,545 | Cemex SAB de CV, (Mexico), (ICE LIBOR USD 3 Month + 4.75%), 6.47%, 10/15/2018 (e) (aa) | 9,724 | ||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
5,000 | Ardagh Packaging Finance plc, (Ireland), 4.25%, 09/15/2022 (e) | 4,981 | ||||||
4,195 | Reynolds Group Issuer, Inc., (ICE LIBOR USD 3 Month + 3.50%), 5.22%, 07/15/2021 (e) (aa) | 4,242 | ||||||
|
| |||||||
9,223 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
4,600 | Freeport-McMoRan, Inc., 3.10%, 03/15/2020 | 4,554 | ||||||
713 | United States Steel Corp., 8.38%, 07/01/2021 (e) | 765 | ||||||
|
| |||||||
5,319 | ||||||||
|
| |||||||
Total Materials | 35,109 | |||||||
|
| |||||||
Real Estate — 0.1% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
3,000 | Equinix, Inc., 5.38%, 01/01/2022 | 3,109 | ||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
Diversified Telecommunication Services — 0.4% |
| |||||||
8,951 | Level 3 Financing, Inc., 6.13%, 01/15/2021 | 9,102 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
4,000 | Inmarsat Finance plc, (United Kingdom), 4.88%, 05/15/2022 (e) | 3,961 | ||||||
6,000 | SoftBank Group Corp., (Japan), 4.50%, 04/15/2020 (e) | 6,052 | ||||||
5,000 | Sprint Communications, Inc., 7.00%, 03/01/2020 (e) | 5,282 | ||||||
2,121 | Sprint Spectrum Co. LLC, 3.36%, 09/20/2021 (e) | 2,126 | ||||||
3,334 | T-Mobile USA, Inc., 4.00%, 04/15/2022 | 3,334 | ||||||
|
| |||||||
20,755 | ||||||||
|
| |||||||
Total Telecommunication Services | 29,857 | |||||||
|
| |||||||
Utilities — 0.5% |
| |||||||
Electric Utilities — 0.0% (g) |
| |||||||
75,000 | Texas Competitive Electric Holdings Co. LLC, 8.50%, 05/01/2020 (d) (bb) | 750 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.5% |
| |||||||
4,000 | AES Corp., 7.38%, 07/01/2021 | 4,384 | ||||||
5,000 | Calpine Corp., 6.00%, 01/15/2022 (e) | 5,144 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 5 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Independent Power and Renewable Electricity Producers — continued |
| |||||||
GenOn Energy, Inc., | ||||||||
1,360 | 9.50%, 10/15/2018 (d) | 1,132 | ||||||
1,640 | 9.88%, 10/15/2020 (d) | 1,365 | ||||||
|
| |||||||
12,025 | ||||||||
|
| |||||||
Total Utilities | 12,775 | |||||||
|
| |||||||
Total Corporate Bonds | 309,680 | |||||||
|
| |||||||
SHARES | ||||||||
Common Stocks — 0.8% | ||||||||
Energy — 0.0% (g) |
| |||||||
Oil, Gas & Consumable Fuels — 0.0% (g) |
| |||||||
3 | Sabine Oil & Gas Holdings, Inc. (a) | 164 | ||||||
1 | Southcross Holdco Equity (a) (bb) | 488 | ||||||
|
| |||||||
Total Energy | 652 | |||||||
|
| |||||||
Information Technology — 0.5% |
| |||||||
Software — 0.5% |
| |||||||
548 | Avaya Holdings Corp. (a) | 11,511 | ||||||
|
| |||||||
Utilities — 0.3% |
| |||||||
Independent Power and Renewable Electricity Producers — 0.3% |
| |||||||
375 | Vistra Energy Corp. (a) | 7,106 | ||||||
|
| |||||||
Total Common Stocks | 19,269 | |||||||
|
| |||||||
Preferred Stock — 0.7% | ||||||||
Financials — 0.7% |
| |||||||
Insurance — 0.7% |
| |||||||
16 | XLIT Ltd., (Bermuda), Series D, (ICE LIBOR USD 3 Month + 3.12%), 4.84%, 04/05/2018 ($1,000 par value) (aa) @ | 15,968 | ||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Loan Assignments — 82.6% (cc) | ||||||||
Consumer Discretionary — 19.0% |
| |||||||
Auto Components — 0.3% |
| |||||||
816 | Key Safety Systems, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 4.50%), 6.28%, 08/29/2021 (aa) | 815 | ||||||
6,487 | USI, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.69%, 05/16/2024 (aa) | 6,475 | ||||||
|
| |||||||
7,290 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Consumer Services — 1.4% |
| |||||||
2,944 | Altran Technologies Ltd., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 3.75%, | 2,962 | ||||||
5,740 | CVS Holdings, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.79%, 02/06/2025 (aa) | 5,718 | ||||||
2,475 | CVS Holdings, 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 6.75%), 8.54%, 02/06/2026 (aa) | 2,469 | ||||||
22,794 | Spin Holdco, Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 5.49%, 11/14/2022 (aa) | 22,918 | ||||||
|
| |||||||
34,067 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
23,423 | 1011778 BC ULC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.92%, 02/16/2024 (aa) | 23,452 | ||||||
5,920 | Aristocrat International, 1st Lien Term Loan, (ICE LIBOR USD 2 Month + 2.00%; ICE LIBOR USD 3 Month + 2.00%), 3.74%, 10/19/2024 (aa) | 5,944 | ||||||
4,119 | Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.75%), 5.44%, 02/22/2023 (aa) | 4,155 | ||||||
3,199 | Golden Nugget, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.98%, 10/04/2023 (aa) | 3,223 | ||||||
7,254 | Greektown Holdings LLC, Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.65%, 04/25/2024 (aa) | 7,240 | ||||||
8,687 | Hanjin International Corp., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 4.23%, 10/19/2020 (aa) | 8,714 | ||||||
11,717 | Hilton Worldwide Finance LLC, Series B-2 Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.62%, 10/25/2023 (aa) | 11,780 | ||||||
7,661 | IRB Holding Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 4.83%, 02/05/2025 (aa) | 7,732 | ||||||
8,037 | Penn National Gaming, Inc., Term Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 01/19/2024 (aa) | 8,065 | ||||||
|
| |||||||
80,305 | ||||||||
|
| |||||||
Household Durables — 0.1% |
| |||||||
2,297 | Janus International Group LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 4.58%, 02/07/2025 (aa) | 2,291 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Internet & Direct Marketing Retail — 0.3% |
| |||||||
7,407 | Shutterfly, Inc., Term Loan B-2, (ICE LIBOR USD 3 Month + 2.75%), 2.75%, 08/17/2024 (aa) ^ | 7,440 | ||||||
|
| |||||||
Leisure Products — 1.3% |
| |||||||
12,721 | Delta 2 SARL, 1st Lien Term loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 02/01/2024 (aa) | 12,686 | ||||||
21,042 | FGI Operating Co. LLC, Term B Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.82%, 04/19/2019 (aa) ^ | 5,261 | ||||||
14,186 | NVA Holdings, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.33%, 02/02/2025 (aa) | 14,175 | ||||||
|
| |||||||
32,122 | ||||||||
|
| |||||||
Media — 9.0% |
| |||||||
15,909 | Altice US Finance I Corp., Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 07/28/2025 (aa) ^ | 15,883 | ||||||
6,581 | AMC Entertainment, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.84%, 12/15/2022 (aa) | 6,597 | ||||||
2,376 | AMC Entertainment, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.84%, 12/15/2023 (aa) | 2,381 | ||||||
9,168 | Charter Communications Operating, LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.65%, 04/30/2025 (aa) | 9,185 | ||||||
12,656 | Cineworld Finance US Inc., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 4.15%, 02/07/2025 (aa) ^ | 12,637 | ||||||
20,498 | CSC Holdings LLC, 1st Lien, (ICE LIBOR USD 1 Month + 2.25%), 3.84%, 07/17/2025 (aa) | 20,437 | ||||||
9,736 | Gray Television, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.83%, 02/07/2024 (aa) | 9,787 | ||||||
7,657 | Hoya Midco LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 06/30/2024 (aa) | 7,666 | ||||||
11,961 | iHeartCommunications, Inc., Term Loan D, (ICE LIBOR USD 3 Month + 6.75%), 8.44%, 01/30/2019 (d) (aa) | 9,500 | ||||||
2,795 | iHeartCommunications, Inc., Tranche E Term Loan, (ICE LIBOR USD 3 Month + 7.50%), 9.19%, 07/30/2019 (d) (aa) | 2,216 | ||||||
4,300 | Meredith Corp., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.66%, 01/18/2025 (aa) | 4,323 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued |
| |||||||
712 | Mission Broadcasting, Inc., Term B-2 Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.07%, 01/17/2024 (aa) | 714 | ||||||
11,879 | MTL Publishing LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 2.25%), 3.98%, 08/20/2023 (aa) ^ | 11,911 | ||||||
5,595 | Nexstar Broadcasting, Inc., Term B-2 Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.07%, 01/17/2024 (aa) | 5,610 | ||||||
11,970 | Red Ventures LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 11/08/2024 (aa) | 12,040 | ||||||
8,210 | Sinclair Broadcast Group, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 01/03/2024 (aa) | 8,213 | ||||||
6,389 | Tribune Media Co., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 01/26/2024 (aa) | 6,391 | ||||||
5,442 | Tribune Media Co., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 12/27/2020 (aa) | 5,444 | ||||||
31,908 | Univision Communications, Inc., 1st Lien Term Loan C-5, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 03/15/2024 (aa) | 31,505 | ||||||
1,967 | Vertis, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 12.00%, 03/21/2018 (d) (aa) (bb) | — | (h) | |||||
10,115 | WMG Acquisition Corp., 1st Lien Term Loan E, (ICE LIBOR USD 1 Month + 2.25%), 3.83%, 11/01/2023 (aa) | 10,139 | ||||||
11,860 | Ziggo Secured Finance Partnership, 1st Lien Term Loan E, (ICE LIBOR USD 1 Month + 2.50%), 4.09%, 04/15/2025 (aa) ^ | 11,747 | ||||||
8,430 | Zuffa LLC, 1st Lien Guaranteed Senior Secured Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.90%, 08/18/2023 (aa) | 8,468 | ||||||
|
| |||||||
212,794 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
9,016 | JC Penney Corp., Term Loan B, (ICE LIBOR USD 3 Month + 4.25%), 6.23%, 06/23/2023 (aa) | 8,620 | ||||||
9,282 | Neiman Marcus Group, Inc., Other Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.83%, 10/25/2020 (aa) | 7,853 | ||||||
|
| |||||||
16,473 | ||||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
3,793 | Culligan Holding, Inc., 1st Lien Term Loan B1, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 12/13/2023 (aa) | 3,800 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 7 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Specialty Retail — continued |
| |||||||
3,471 | Digicert Holdings, Inc.,1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 6.52%, 10/31/2024 (aa) | 3,508 | ||||||
5,150 | Party City Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 4.47%, 08/19/2022 (aa) ^ | 5,160 | ||||||
4,097 | PetSmart, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.57%, 03/11/2022 (aa) | 3,338 | ||||||
24,189 | Staples, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.79%, 09/12/2024 (aa) | 24,023 | ||||||
|
| |||||||
39,829 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
4,302 | Cole Haan LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 01/31/2020 (aa) ^ | 4,226 | ||||||
4,799 | Nine West Holdings, Inc., Initial Loan, (ICE LIBOR USD 3 Month + 3.75%), 5.45%, 10/08/2019 (aa) | 4,397 | ||||||
9,678 | SAMSONITE IP Holdings, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.82%, 08/01/2023 (aa) | 9,722 | ||||||
|
| |||||||
18,345 | ||||||||
|
| |||||||
Total Consumer Discretionary | 450,956 | |||||||
|
| |||||||
Consumer Staples — 8.3% |
| |||||||
Food & Staples Retailing — 4.5% |
| |||||||
24,921 | Albertson’s LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.67%, 12/21/2022 (aa) | 24,593 | ||||||
9,666 | Albertson’s LLC, 1st Lien Term Loan B-4, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 08/25/2021 (aa) | 9,532 | ||||||
7,223 | BJ’s Wholesale Club, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.08%, 02/03/2024 (aa) | 7,204 | ||||||
2,075 | BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 7.50%), 9.08%, 02/03/2025 (aa) | 2,078 | ||||||
17,300 | Moran Foods LLC, Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.65%, 12/05/2023 (aa) | 15,311 | ||||||
17,747 | SUPERVALU, Inc., Delayed Draw Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 06/08/2024 (aa) | 17,566 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — continued |
| |||||||
29,578 | SUPERVALU, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 06/08/2024 (aa) | 29,278 | ||||||
|
| |||||||
105,562 | ||||||||
|
| |||||||
Food Products — 3.0% |
| |||||||
15,389 | Dole Food Co., 1st Lien Term Loan B, (LIBOR + 2.75%; US Prime Rate + 1.75%), 4.36%, 04/06/2024 (aa) | 15,444 | ||||||
16,651 | Hearthside Group Holdings LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 06/02/2021 (aa) | 16,692 | ||||||
29,908 | JBS USA LLC, Term Loan B, (ICE LIBOR USD 3 Month + 2.50%), 4.10%, 10/30/2022 (aa) | 29,759 | ||||||
9,336 | Pinnacle Foods Finance LLC, Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 02/02/2024 (aa) | 9,389 | ||||||
|
| |||||||
71,284 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
12,970 | Clover Merger Sub, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 09/26/2024 (aa) ^ | 12,484 | ||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
7,313 | Prestige Brands, Inc., 1st Lien Term Loan B-4, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 01/26/2024 (aa) | 7,354 | ||||||
|
| |||||||
Total Consumer Staples | 196,684 | |||||||
|
| |||||||
Energy — 6.2% |
| |||||||
Energy Equipment & Services — 0.3% |
| |||||||
2,939 | Floatel International Ltd., Initial Term Loan, (ICE LIBOR USD 3 Month + 5.00%), 6.69%, 06/27/2020 (aa) | 2,425 | ||||||
4,000 | KCA Deutag, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 5.75%; ICE LIBOR USD 3 Month +5.75%), 7.65%, 05/15/2020 (aa) | 3,928 | ||||||
|
| |||||||
6,353 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.9% |
| |||||||
12,210 | California Resources Corp., 1st Lien Second Out Term Loan, (ICE LIBOR USD 1 Month + 10.38%), 11.97%, 12/31/2021 (aa) | 13,767 | ||||||
15,910 | California Resources Corp., Senior Secured First Out, (ICE LIBOR USD 1 Month + 4.75%), 6.34%, 12/31/2022 (aa) | 16,089 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
5,610 | Chesapeake Energy Corp., 1st Lien Last Out, (ICE LIBOR USD 3 Month + 7.50%), 9.44%, 08/23/2021 (aa) | 5,973 | ||||||
5,868 | CITGO Petroleum Corp., Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.19%, 07/29/2021 (aa) | 5,843 | ||||||
6,051 | EG Finco Ltd., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 02/07/2025 (aa) ^ | 6,048 | ||||||
13,956 | Energy Transfer Equity LP, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.60%, 02/02/2024 (aa) | 13,945 | ||||||
7,500 | Gulf Finance LLC, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 5.25%), 6.95%, 08/25/2023 (aa) | 6,825 | ||||||
1,000 | Medallion Midland Acquisition LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 4.90%, 10/30/2024 (aa) | 1,002 | ||||||
32,921 | MEG Energy Corp., 1st Lien Term B Loan, (Canada), (ICE LIBOR USD 3 Month + 3.50%), 5.20%, 12/31/2023 (aa) | 32,909 | ||||||
1,329 | Southcross Holdings Borrower LP, Tranche B Term Loan, (ICE LIBOR USD 1 Month + 5.50%; ICE LIBOR USD 3 Month + 3.50%), 3.50%, 04/13/2023 (aa) | 1,310 | ||||||
11,080 | Summit Midstream Partners Holdings LLC, Senior Secured Term Loan, (ICE LIBOR USD 1 Month + 6.00%), 7.65%, 05/13/2022 (aa) | 11,253 | ||||||
4,117 | TerraForm Power Operating LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.33%, 11/08/2022 (aa) | 4,139 | ||||||
21,590 | Ultra Resources, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.59%, 04/12/2024 (aa) | 21,493 | ||||||
|
| |||||||
140,596 | ||||||||
|
| |||||||
Total Energy | 146,949 | |||||||
|
| |||||||
Financials — 1.1% |
| |||||||
Banks — 0.2% |
| |||||||
5,264 | Associated Asphalt Partners LLC, Senior Secured Term Loan, (ICE LIBOR USD 1 Month + 5.25%), 6.90%, 04/05/2024 (aa) | 5,001 | ||||||
|
| |||||||
Capital Markets — 0.6% |
| |||||||
11,592 | Misys, Term Loan B, (ICE LIBOR USD 3 Month + 3.50%), 5.48%, 06/13/2024 (aa) | 11,583 | ||||||
2,480 | The Edelman Financial Center, LLC, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 4.25%), 5.97%, 11/11/2024 (aa) | 2,514 | ||||||
|
| |||||||
14,097 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 0.2% |
| |||||||
4,134 | Duff & Phelps Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.83%, 02/13/2025 (aa) ^ | 4,164 | ||||||
|
| |||||||
Insurance — 0.1% |
| |||||||
2,723 | HUB International Ltd., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 4.84%, 10/02/2020 (aa) | 2,734 | ||||||
|
| |||||||
Total Financials | 25,996 | |||||||
|
| |||||||
Health Care — 9.4% |
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
8,651 | Auris Luxembourg III SARL, Term Loan B-7, (Luxembourg), (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 01/17/2022 (aa) | 8,720 | ||||||
5,283 | Mallinckrodt International Finance SA, Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.82%, 02/24/2025 (aa) | 5,294 | ||||||
14,565 | Mallinckrodt International Finance, Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 4.44%, 09/24/2024 (aa) | 14,521 | ||||||
|
| |||||||
28,535 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.8% |
| |||||||
2,932 | Acadia Healthcare Co., Inc., Tranche B-2 Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 02/16/2023 (aa) | 2,950 | ||||||
16,222 | CHG Healthcare Services, 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 4.77%, 06/07/2023 (aa) | 16,377 | ||||||
15,840 | Community Health Systems, Inc., Incremental 2021 Term H Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.98%, 01/27/2021 (aa) | 15,463 | ||||||
16,005 | Community Health Systems, Inc., Term Loan G, (ICE LIBOR USD 3 Month + 2.75%), 4.73%, 12/31/2019 (aa) | 15,856 | ||||||
2,268 | MedRisk, Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 01/24/2025 (aa) | 2,268 | ||||||
3,392 | Midwest Physician Administrative Services LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.35%, 08/15/2024 (aa) | 3,385 | ||||||
14,898 | MultiPlan, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 06/07/2023 (aa) | 14,965 | ||||||
21,242 | National Mentor Holdings, Inc., Tranche B Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 01/31/2021 (aa) | 21,388 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 9 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
2,550 | Oryx Soutern Delaware Holdings LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 02/28/2025 (aa) ^ | 2,547 | ||||||
11,580 | Pearl Intermediate Parent LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.34%, 01/31/2025 (aa) ^ | 11,478 | ||||||
8,240 | Pharmerica Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.08%, 12/06/2024 (aa) | 8,289 | ||||||
4,080 | Superior Vision, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.49%, 12/02/2024 (aa) | 4,060 | ||||||
17,989 | Tennessee Merger Sub, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 02/06/2024 (aa) | 17,487 | ||||||
|
| |||||||
136,513 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
8,717 | Press Ganey Holdings, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 10/23/2023 (aa) | 8,771 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
2,394 | Albany Molecular Research, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.90%, 08/30/2024 (aa) | 2,403 | ||||||
|
| |||||||
Pharmaceuticals — 1.9% |
| |||||||
20,439 | Concordia Healthcare Corp., Initial Dollar Term Loan, (Canada), (ICE LIBOR USD 1 Month + 4.25%), 5.90%, 10/21/2021 (aa) | 18,256 | ||||||
14,888 | Grifols Worldwide Operations Ltd., Term Loan B, (1 Week LIBOR + 2.25%), 3.72%, 01/31/2025 (aa) | 14,940 | ||||||
12,743 | Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.08%, 04/01/2022 (aa) | 12,890 | ||||||
|
| |||||||
46,086 | ||||||||
|
| |||||||
Total Health Care | 222,308 | |||||||
|
| |||||||
Industrials — 8.2% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
15,685 | MacDonald Dettwiler and Associates Ltd., Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.33%, 10/04/2024 (aa) | 15,741 | ||||||
2,697 | TransDigm, Inc., 1st Lien Term Loan E, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 05/14/2022 (aa) | 2,713 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Aerospace & Defense — continued |
| |||||||
15,550 | TransDigm, Inc., 1st Lien Term Loan F, (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 4.41%, 06/09/2023 (aa) | 15,639 | ||||||
|
| |||||||
34,093 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.8% |
| |||||||
10,250 | Avolon Holdings Ltd., Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.84%, 03/21/2022 (aa) ^ | 10,234 | ||||||
9,523 | XPO Logistics, Inc., Term Loan, (ICE LIBOR USD 3 Month + 2.00%), 3.92%, 02/24/2025 (aa) ^ | 9,543 | ||||||
|
| |||||||
19,777 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
19,057 | American Airlines, Inc, 1st Lien Term loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.59%, 12/14/2023 (aa) | 19,055 | ||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
8,010 | Continental Building Products, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.91%, 08/18/2023 (aa) | 8,080 | ||||||
2,882 | NCI Building Systems, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.65%, 02/07/2025 (aa) | 2,886 | ||||||
7,014 | Summit Materials Co. I LLC, Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 11/21/2024 (aa) | 7,054 | ||||||
5,473 | Unifrax LLC, Senior Secured Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.19%, 04/04/2024 (aa) | 5,528 | ||||||
|
| |||||||
23,548 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.5% |
| |||||||
3,247 | Advanced Disposal Services, Inc., Term Loan B, (1 Week LIBOR + 2.25%), 3.72%, 11/10/2023 (aa) | 3,257 | ||||||
18,823 | Garda World Security, 1st Lien Term Loan B, (US Prime Rate + 2.50%), 4.97%, 05/24/2024 (aa) | 18,984 | ||||||
29,204 | Prime Security Services Borrower LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 05/02/2022 (aa) ^ | 29,436 | ||||||
2,590 | Prometric, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 4.77%, 01/29/2025 (aa) | 2,606 | ||||||
5,803 | University Support Services LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.75%), 5.40%, 07/06/2022 (aa) | 5,839 | ||||||
|
| |||||||
60,122 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Machinery — 0.8% |
| |||||||
8,588 | Onex Wizard Acquisition Co. II S.C.A., Initial Dollar Term Loan, (Luxembourg), (ICE LIBOR USD 1 Month + 3.00%), 4.47%, 03/11/2022 (aa) | 8,606 | ||||||
4,732 | Rexnord LLC/RBS Global Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.85%, 08/21/2024 (aa) | 4,760 | ||||||
4,693 | Zodiac Pool Solutions LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.69%, 12/20/2023 (aa) | 4,693 | ||||||
|
| |||||||
18,059 | ||||||||
|
| |||||||
Materials — 0.5% |
| |||||||
11,742 | Gates Global LLC, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 4.44%, 04/01/2024 (aa) | 11,815 | ||||||
|
| |||||||
Road & Rail — 0.1% |
| |||||||
2,299 | URS Merger Sub Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 5.25%), 6.90%, 09/01/2024 (aa) | 2,333 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
4,659 | HD Supply, Inc., 1st Lien Term Loan B-4, (ICE LIBOR USD 3 Month + 2.50%), 4.19%, 10/17/2023 (aa) | 4,688 | ||||||
|
| |||||||
Total Industrials | 193,490 | |||||||
|
| |||||||
Information Technology — 8.2% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
9,745 | Avaya, Inc. 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.75%), 6.34%, 12/15/2024 (aa) | 9,794 | ||||||
6,268 | Global Tel*Link Corp., 1st Lien Senior Secured Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.69%, 05/23/2020 (aa) | 6,293 | ||||||
|
| |||||||
16,087 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
3,508 | TTM Technologies, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 09/28/2024 (aa) ^ | 3,512 | ||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
3,190 | Impala Private Holdings II LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.70%, 11/14/2024 (aa) | 3,195 | ||||||
10,973 | Rackspace Hosting, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.00%), 4.79%, 11/03/2023 (aa) | 11,001 | ||||||
|
| |||||||
14,196 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — 2.0% |
| |||||||
13,704 | Exela Technologies, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 7.50%), 9.08%, 07/12/2023 (aa) | 13,361 | ||||||
First Data Corp., 1st Lien Term Loan, | ||||||||
10,907 | (ICE LIBOR USD 1 Month + 2.25%), 3.87%, 07/08/2022 (aa) ^ | 10,924 | ||||||
10,973 | (ICE LIBOR USD 1 Month + 2.25%), 3.87%, 04/26/2024 (aa) | 10,991 | ||||||
4,715 | Optiv Security, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.81%, 02/01/2024 (aa) | 4,486 | ||||||
4,000 | Optiv Security, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 7.25%), 8.81%, 01/31/2025 (aa) | 3,710 | ||||||
5,173 | SMS Systems Maintenance Services, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 5.00%), 6.65%, 10/30/2023 (aa) | 4,466 | ||||||
|
| |||||||
47,938 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.8% |
| |||||||
7,026 | Microsemi Corp., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 2.00%), 3.74%, 01/15/2023 (aa) | 7,041 | ||||||
6,887 | ON Semiconductor Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.65%, 03/31/2023 (aa) | 6,919 | ||||||
5,224 | Versum Materials, Inc., Senior Secured Term Loan B, (ICE LIBOR USD 3 Month + 2.00%), 3.69%, 09/29/2023 (aa) | 5,254 | ||||||
|
| |||||||
19,214 | ||||||||
|
| |||||||
Software — 2.7% |
| |||||||
3,401 | Applied Systems., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 4.94%, 09/19/2024 (aa) | 3,418 | ||||||
563 | Barracuda Networks, Inc, 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 7.50%), 9.06%, 01/09/2026 (aa) | 574 | ||||||
2,584 | Barracuda Networks, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.06%, 02/12/2025 (aa) | 2,596 | ||||||
4,411 | Genesys Telecom Holdings (Greeneden), 1st Lien Term Loan B-2, (ICE LIBOR USD 3 Month + 3.75%), 5.44%, 12/01/2023 (aa) | 4,425 | ||||||
9,649 | Infor US, Inc., Tranche B-6 Term Loan, (ICE LIBOR USD 3 Month + 2.75%), 4.44%, 02/01/2022 (aa) | 9,657 | ||||||
5,869 | Landesk Software Group, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.90%, 01/20/2024 (aa) | 5,763 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 11 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Software — continued |
| |||||||
1,885 | Landesk Software Group, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 9.00%), 10.65%, 01/20/2025 (aa) | 1,810 | ||||||
12,677 | Qlik Technologies, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 6 Month + 3.50%), 5.04%, 04/26/2024 (aa) | 12,499 | ||||||
4,989 | Salient CRGT, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 5.75%), 7.40%, 02/28/2022 (aa) | 5,027 | ||||||
13,436 | SolarWinds, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.15%, 02/03/2023 (aa) | 13,469 | ||||||
4,520 | Solera LLC, Dollar Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.82%, 03/03/2023 (aa) | 4,529 | ||||||
|
| |||||||
63,767 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.3% |
| |||||||
15,140 | Dell International LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.65%, 09/07/2023 (aa) | 15,137 | ||||||
5,430 | Quest Software US Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 5.50%), 7.27%, 10/31/2022 (aa) | 5,516 | ||||||
5,379 | Radiate Holdco LLC, Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 02/01/2024 (aa) | 5,370 | ||||||
4,345 | Thoughtworks, Inc. Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.15%, 10/11/2024 (aa) | 4,372 | ||||||
|
| |||||||
30,395 | ||||||||
|
| |||||||
Total Information Technology | 195,109 | |||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Chemicals — 1.7% |
| |||||||
4,241 | Axalta Coating Systems US Holdings, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 2.00%), 3.69%, 06/01/2024 (aa) | 4,263 | ||||||
5,847 | Chemours Co. (The), Senior Secured Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 05/12/2022 (aa) | 5,872 | ||||||
4,194 | Gemini HDPE LLC, Advance, (ICE LIBOR USD 3 Month + 2.50%), 4.28%, 08/07/2024 (aa) | 4,211 | ||||||
4,034 | New Arclin US Holdings Corp., 1st Lien Senior Secured Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.20%, 02/14/2024 (aa) | 4,072 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — continued |
| |||||||
9,082 | PolyOne Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.59%, 11/11/2022 (aa) | 9,139 | ||||||
1,546 | Trinseo Materials Operating SCA, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 09/06/2024 (aa) | 1,557 | ||||||
Tronox Finance LLC, 1st Lien Term Loan B, | ||||||||
7,031 | (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 09/23/2024 (aa) | 7,073 | ||||||
3,047 | (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 09/23/2024 (aa) | 3,065 | ||||||
|
| |||||||
39,252 | ||||||||
|
| |||||||
Containers & Packaging — 2.7% |
| |||||||
Berry Global, Inc., 1st Lien Term Loan, | ||||||||
1,968 | (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 02/08/2020 (aa) | 1,975 | ||||||
6,138 | (ICE LIBOR USD 1 Month + 2.00%), 3.62%, 10/01/2022 (aa) | 6,156 | ||||||
3,226 | Berry Global, Inc., 1st Lien Term Loan P, (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 01/06/2021 (aa) | 3,236 | ||||||
5,608 | Berry Plastics Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 3.58%, 01/19/2024 (aa) | 5,622 | ||||||
8,069 | Bway Holding Co., 1st Lien Term Loan, (ICE LIBOR USD 2 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.96%, 04/03/2024 (aa) | 8,100 | ||||||
8,045 | Consolidated Container, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 05/22/2024 (aa) | 8,085 | ||||||
3,848 | Crown Americas, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.25%), 2.25%, 01/17/2025 (aa) ^ | 3,880 | ||||||
1,578 | HLX PLY Holdings, Inc., Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.69%, 12/29/2023 (aa) | 1,585 | ||||||
9,490 | Reynolds Group Holdings, Inc., Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 02/05/2023 (aa) | 9,531 | ||||||
5,274 | Ring Container Technologies LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 10/31/2024 (aa) | 5,292 | ||||||
11,930 | Viskase Corp., Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 4.94%, 01/30/2021 (aa) | 11,781 | ||||||
|
| |||||||
65,243 | ||||||||
|
| |||||||
Total Materials | 104,495 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Real Estate — 0.7% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
6,673 | ESH Hospitality, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 3.90%, 08/30/2023 (aa) | 6,705 | ||||||
8,166 | GEO Group, Inc. (The), Term Loan, (ICE LIBOR USD 3 Month + 2.25%), 3.95%, 03/22/2024 (aa) | 8,190 | ||||||
|
| |||||||
14,895 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
2,985 | CityCenter Holdings LLC, Term B Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 04/18/2024 (aa) | 2,998 | ||||||
|
| |||||||
Total Real Estate | 17,893 | |||||||
|
| |||||||
Telecommunication Services — 9.6% |
| |||||||
Diversified Telecommunication Services — 7.0% |
| |||||||
27,920 | Centurylink, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.40%, 01/31/2025 (aa) | 27,424 | ||||||
19,325 | Cincinnati Bell, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 3.75%), 5.44%, 10/02/2024 (aa) | 19,467 | ||||||
10,984 | Consolidated Communications, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 10/05/2023 (aa) | 10,794 | ||||||
6,194 | Frontier Communications Corp., Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 5.40%, 06/15/2024 (aa) | 6,093 | ||||||
22,741 | Hargray Communications Group, Inc., Senior Secured Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 05/16/2024 (aa) ^ | 22,781 | ||||||
25,655 | Intelsat Jackson Holdings, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 5.71%, 11/27/2023 (aa) | 25,458 | ||||||
27,300 | Level 3 Financing, Inc., Tranche B Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.85%, 02/22/2024 (aa) | 27,342 | ||||||
12,491 | Securus Technologies Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.15%, 11/01/2024 (aa) | 12,624 | ||||||
1,708 | Securus Technologies Holdings, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 8.25%), 9.90%, 11/01/2025 (aa) | 1,729 | ||||||
4,687 | Windstream Communications LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 4.00%), 5.59%, 03/29/2021 (aa) | 4,417 | ||||||
7,548 | Zayo Group LLC, Term B-2 Loan, (ICE LIBOR USD 1 Month + 2.25%), 3.87%, 01/19/2024 (aa) | 7,579 | ||||||
|
| |||||||
165,708 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 2.6% |
| |||||||
10,867 | A2Z Wireless Holdings, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.57%, 05/01/2023 (aa) | 10,843 | ||||||
9,999 | Sprint Communications, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.50%), 4.19%, 02/02/2024 (aa) | 10,002 | ||||||
18,011 | Syniverse Holdings Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 02/09/2023 (aa) ^ | 18,152 | ||||||
2,545 | Syniverse Holdings Inc., 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 8.50%), 9.50%, 02/09/2024 (aa) ^ | 2,580 | ||||||
11,783 | Syniverse Holdings, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 04/23/2019 (aa) | 11,754 | ||||||
8,446 | Syniverse Holdings, Inc., Tranche B Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.65%, 04/23/2019 (aa) | 8,425 | ||||||
|
| |||||||
61,756 | ||||||||
|
| |||||||
Total Telecommunication Services | 227,464 | |||||||
|
| |||||||
Utilities — 7.5% |
| |||||||
Electric Utilities — 3.3% |
| |||||||
20,065 | Calpine Construction Finance Co. LP, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 01/15/2025 (aa) | 20,101 | ||||||
21,750 | Energy Future Intermediate Holding Co. LLC, DIP Term Loan, (ICE LIBOR USD 1 Week + 3.00%; ICE LIBOR USD 1 Month + 3.00%), 4.47%, 06/30/2018 (aa) | 21,747 | ||||||
4,317 | Homer City Generation LP, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 11.00%), 12.65%, 04/05/2023 (aa) | 3,875 | ||||||
6,226 | Lightstone Holdco LLC, 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.75%), 5.40%, 01/30/2024 (aa) | 6,261 | ||||||
395 | Lightstone Holdco LLC, 1st Lien Term Loan C, (ICE LIBOR USD 1 Month + 3.75%), 5.40%, 01/30/2024 (aa) | 398 | ||||||
21,808 | Texas Competitive Electric Holdings Co. LLC, Term Loan, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 08/04/2023 (aa) | 21,921 | ||||||
3,865 | Texas Competitive Electric Holdings Co. LLC, Term Loan C, (ICE LIBOR USD 1 Month + 2.50%), 4.15%, 08/04/2023 (aa) | 3,885 | ||||||
|
| |||||||
78,188 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 13 |
Table of Contents
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Loan Assignments — continued | ||||||||
Independent Power and Renewable Electricity Producers — 4.2% |
| |||||||
8,457 | AES Corp., 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 2.00%), 3.94%, 05/24/2022 (aa) | 8,461 | ||||||
Calpine Corp., Term Loan, | ||||||||
2,000 | (ICE LIBOR USD 1 Month + 1.75%), 3.40%, 12/31/2019(aa) | 2,000 | ||||||
9,372 | (ICE LIBOR USD 3 Month + 2.50%), 4.20%, 01/15/2024(aa) | 9,390 | ||||||
22,571 | Dynegy, Inc., 1st Lien Term Loan C, (ICE LIBOR USD 1 Month + 2.75%), 4.35%, 02/07/2024 (aa) | 22,701 | ||||||
9,258 | ExGen Renewables I LLC, 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 3.00%), 4.99%, 11/28/2024 (aa) | 9,339 | ||||||
17,973 | NRG Energy, Inc., Term Loan, (ICE LIBOR USD 3 Month + 2.25%), 3.94%, 06/30/2023 (aa) | 18,045 | ||||||
3,523 | Talen Energy Supply, Term Loan B-1, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 07/15/2023 (aa) | 3,528 | ||||||
25,271 | Talen Energy Supply, Term Loan B-2, (ICE LIBOR USD 1 Month + 4.00%), 5.65%, 04/15/2024 (aa) | 25,307 | ||||||
|
| |||||||
98,771 | ||||||||
|
| |||||||
Total Utilities | 176,959 | |||||||
|
| |||||||
Total Loan Assignments | 1,958,303 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% | ||||||||
Utilities — 0.0% |
| |||||||
Independent Power and Renewable Electricity |
| |||||||
1,250 | Vistra Energy Corp., expiring 12/31/2049 (a) (bb) | 906 | ||||||
|
| |||||||
NUMBER OF WARRANTS | ||||||||
Warrants — 0.0% (g) | ||||||||
Energy — 0.0% (g) |
| |||||||
Oil, Gas & Consumable Fuels — 0.0% (g) |
| |||||||
Sabine Oil & Gas Holdings, Inc., | ||||||||
2 | expiring 04/13/2026 (a) | 11 | ||||||
11 | expiring 04/13/2026 (Strike Price $1.00) (a) | 72 | ||||||
|
| |||||||
Total Warrants | 83 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Short-Term Investment — 4.9% | ||||||||
Investment Company — 4.9% |
| |||||||
115,686 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.25% (b) (l) | 115,686 | ||||||
|
| |||||||
Total Investments — 102.6% | 2,431,630 | |||||||
Liabilities in Excess of | (62,309 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,369,321 | ||||||
|
|
Percentages indicated are based on net assets.
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
DIP | — Debtor-in-possession | |
ICE | — Intercontinental Exchange | |
LIBOR | — London Interbank Offered Rate | |
USD | — United States Dollar | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(d) | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
(g) | — Amount rounds to less than 0.05%. | |
(h) | — Amount rounds to less than 500. | |
(l) | — The rate shown is the current yield as of February 28, 2018. | |
(aa) | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2018. | |
(bb) | — Security has been valued using significant unobservable inputs. | |
(cc) | — Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
@ | — The date shown reflects the next call date on which the issuer may redeem the security. The coupon rate for this security is currently in effect as of February 28, 2018. | |
^ | — All or a portion of the security is unsettled as of February 28, 2018. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 15 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2018 (Unaudited)
(Amounts in thousands, except per share amounts)
Floating Rate | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 2,315,944 | ||
Investments in affiliates, at value | 115,686 | |||
Cash | 17,896 | |||
Foreign currency, at value | 98 | |||
Receivables: | ||||
Investment securities sold | 28,142 | |||
Fund shares sold | 2,854 | |||
Interest from non-affiliates | 9,806 | |||
Dividends from affiliates | 110 | |||
Tax reclaims | 266 | |||
|
| |||
Total Assets | 2,490,802 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Investment securities purchased | 86,527 | |||
Investment securities purchased — delayed delivery securities | 20,213 | |||
Fund shares redeemed | 13,233 | |||
Unrealized depreciation on unfunded commitments | 19 | |||
Accrued liabilities: | ||||
Investment advisory fees | 980 | |||
Administration fees | 146 | |||
Distribution fees | 30 | |||
Service fees | 108 | |||
Custodian and accounting fees | 59 | |||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | ||
Other | 166 | |||
|
| |||
Total Liabilities | 121,481 | |||
|
| |||
Net Assets | $ | 2,369,321 | ||
|
|
(a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Floating Rate | ||||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 2,561,817 | ||
Accumulated undistributed (distributions in excess of) net investment income | 752 | |||
Accumulated net realized gains (losses) | (180,372 | ) | ||
Net unrealized appreciation (depreciation) | (12,876 | ) | ||
|
| |||
Total Net Assets | $ | 2,369,321 | ||
|
| |||
Net Assets: |
| |||
Class A | $ | 86,324 | ||
Class C | 21,931 | |||
Class I | 1,288,087 | |||
Class R6 | 972,979 | |||
|
| |||
Total | $ | 2,369,321 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
($0.0001 par value; unlimited number of shares authorized): | ||||
Class A | 9,176 | |||
Class C | 2,338 | |||
Class I | 136,897 | |||
Class R6 | 103,403 | |||
Net Asset Value (a): | ||||
Class A — Redemption price per share | $ | 9.41 | ||
Class C — Offering price per share (b) | 9.38 | |||
Class I — Offering and redemption price per share | 9.41 | |||
Class R6 — Offering and redemption price per share | 9.41 | |||
Class A maximum sales charge | 2.25 | % | ||
Class A maximum public offering price per share | $ | 9.63 | ||
|
| |||
Cost of investments in non-affiliates | $ | 2,328,805 | ||
Cost of investments in affiliates | 115,686 | |||
Cost of foreign currency | 94 |
(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.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 17 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS PERIOD ENDED FEBRUARY 28, 2018 (Unaudited)
(Amounts in thousands)
Floating Rate | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 55,498 | ||
Interest income from affiliates | — | (a) | ||
Dividend income from non-affiliates | 377 | |||
Dividend income from affiliates | 692 | |||
|
| |||
Total investment income | 56,567 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 6,529 | |||
Administration fees | 965 | |||
Distribution fees: | ||||
Class A | 111 | |||
Class C | 87 | |||
Service fees: | ||||
Class A | 112 | |||
Class C | 29 | |||
Class I | 1,641 | |||
Custodian and accounting fees | 72 | |||
Interest expense to affiliates | — | (a) | ||
Professional fees | 70 | |||
Trustees’ and Chief Compliance Officer’s fees | 16 | |||
Printing and mailing costs | 44 | |||
Registration and filing fees | 43 | |||
Transfer agency fees (See Note 2.H.) | 16 | |||
Other | 25 | |||
|
| |||
Total expenses | 9,760 | |||
|
| |||
Less fees waived | (1,283 | ) | ||
Less earnings credits | (1 | ) | ||
|
| |||
Net expenses | 8,476 | |||
|
| |||
Net investment income (loss) | 48,091 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | (6,896 | ) | ||
Foreign currency transactions | 5 | |||
|
| |||
Net realized gain (loss) | (6,891 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation on: |
| |||
Investments in non-affiliates | 6,397 | |||
Foreign currency translations | 4 | |||
Unfunded commitments | (19 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | 6,382 | |||
|
| |||
Net realized/unrealized gains (losses) | (509 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | 47,582 | ||
|
|
(a) | Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
Floating Rate Income Fund | ||||||||
Six Months Ended February 28, 2018 (Unaudited) | Year Ended August 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 48,091 | $ | 84,603 | ||||
Net realized gain (loss) | (6,891 | ) | (56,181 | ) | ||||
Change in net unrealized appreciation/depreciation | 6,382 | 59,824 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 47,582 | 88,246 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | ||||||||
From net investment income | (1,659 | ) | (3,599 | ) | ||||
Class C | ||||||||
From net investment income | (370 | ) | (856 | ) | ||||
Class I | ||||||||
From net investment income | (25,966 | ) | (43,924 | ) | ||||
Class R6 | ||||||||
From net investment income | (19,309 | ) | (35,871 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (47,304 | ) | (84,250 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | (46,766 | ) | 600,514 | |||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | (46,488 | ) | 604,510 | |||||
Beginning of period | 2,415,809 | 1,811,299 | ||||||
|
|
|
| |||||
End of period | $ | 2,369,321 | $ | 2,415,809 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 752 | $ | (35 | ) | |||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 13,477 | $ | 58,312 | ||||
Distributions reinvested | 1,656 | 3,597 | ||||||
Cost of shares redeemed | (17,198 | ) | (57,237 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | (2,065 | ) | $ | 4,672 | |||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 1,461 | $ | 12,519 | ||||
Distributions reinvested | 364 | 838 | ||||||
Cost of shares redeemed | (6,019 | ) | (9,264 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | (4,194 | ) | $ | 4,093 | |||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | $ | 281,935 | $ | 803,860 | ||||
Distributions reinvested | 18,127 | 3,528 | ||||||
Cost of shares redeemed | (342,194 | ) | (346,605 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | $ | (42,132 | ) | $ | 460,783 | |||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 157,552 | $ | 265,017 | ||||
Distributions reinvested | 17,790 | 30,602 | ||||||
Cost of shares redeemed | (173,717 | ) | (164,653 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 1,625 | $ | 130,966 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (46,766 | ) | $ | 600,514 | |||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 19 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Floating Rate Income Fund | ||||||||
Six Months Ended February 28, 2018 (Unaudited) | Year Ended August 31, 2017 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 1,430 | 6,188 | ||||||
Reinvested | 176 | 381 | ||||||
Redeemed | (1,828 | ) | (6,061 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (222 | ) | 508 | |||||
|
|
|
| |||||
Class C | ||||||||
Issued | 155 | 1,330 | ||||||
Reinvested | 39 | 89 | ||||||
Redeemed | (641 | ) | (984 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (447 | ) | 435 | |||||
|
|
|
| |||||
Class I | ||||||||
Issued | 29,934 | 84,956 | ||||||
Reinvested | 1,928 | 374 | ||||||
Redeemed | (36,339 | ) | (36,680 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | (4,477 | ) | 48,650 | |||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 16,705 | 28,012 | ||||||
Reinvested | 1,891 | 3,246 | ||||||
Redeemed | (18,455 | ) | (17,424 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 141 | 13,834 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 21 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Floating Rate Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | $ | 9.41 | $ | 0.18 | (e) | $ | (0.01 | ) | $ | 0.17 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | ||||||||||
Year Ended August 31, 2017 | 9.36 | 0.35 | (e) | 0.05 | 0.40 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 9.56 | 0.40 | (e) | (0.20 | ) | 0.20 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||
Year Ended August 31, 2015 | 10.04 | 0.38 | (e) | (0.47 | ) | (0.09 | ) | (0.39 | ) | — | (f) | (0.39 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.02 | 0.39 | (g) | 0.02 | 0.41 | (0.38 | ) | (0.01 | ) | (0.39 | ) | |||||||||||||||||
Year Ended August 31, 2013 | 9.89 | 0.43 | 0.14 | 0.57 | (0.43 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 9.38 | 0.15 | (e) | — | (f) | 0.15 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 9.34 | 0.31 | (e) | 0.04 | 0.35 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 9.54 | 0.35 | (e) | (0.19 | ) | 0.16 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||
Year Ended August 31, 2015 | 10.02 | 0.33 | (e) | (0.46 | ) | (0.13 | ) | (0.35 | ) | — | (f) | (0.35 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.01 | 0.34 | (g) | 0.02 | 0.36 | (0.34 | ) | (0.01 | ) | (0.35 | ) | |||||||||||||||||
Year Ended August 31, 2013 | 9.88 | 0.40 | 0.13 | 0.53 | (0.39 | ) | (0.01 | ) | (0.40 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 9.41 | 0.19 | (e) | — | (f) | 0.19 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 9.37 | 0.37 | (e) | 0.05 | 0.42 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 9.57 | 0.42 | (e) | (0.19 | ) | 0.23 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||
Year Ended August 31, 2015 | 10.05 | 0.40 | (e) | (0.46 | ) | (0.06 | ) | (0.42 | ) | — | (f) | (0.42 | ) | |||||||||||||||
Year Ended August 31, 2014 | 10.03 | 0.42 | (g) | 0.02 | 0.44 | (0.41 | ) | (0.01 | ) | (0.42 | ) | |||||||||||||||||
Year Ended August 31, 2013 | 9.89 | 0.46 | 0.15 | 0.61 | (0.46 | ) | (0.01 | ) | (0.47 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended February 28, 2018 (Unaudited) | 9.41 | 0.19 | (e) | — | (f) | 0.19 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
Year Ended August 31, 2017 | 9.37 | 0.39 | (e) | 0.04 | 0.43 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended August 31, 2016 | 9.57 | 0.43 | (e) | (0.19 | ) | 0.24 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||
Year Ended August 31, 2015 | 10.05 | 0.41 | (e) | (0.46 | ) | (0.05 | ) | (0.43 | ) | — | (f) | (0.43 | ) | |||||||||||||||
October 31, 2013 (h) through August 31, 2014 | 10.10 | 0.34 | (g) | (0.03 | ) | 0.31 | (0.35 | ) | (0.01 | ) | (0.36 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Not annualized for periods less than one year. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.005. |
(g) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 9.41 | 1.87 | % | $ | 86,324 | 0.99 | % | 3.78 | % | 1.17 | % | 21 | % | |||||||||||||
9.41 | 4.36 | 88,390 | 0.98 | 3.76 | 1.18 | 51 | ||||||||||||||||||||
9.36 | 2.30 | 83,254 | 0.99 | 4.29 | 1.22 | 41 | ||||||||||||||||||||
9.56 | (0.92 | ) | 85,854 | 0.99 | 3.85 | 1.25 | 16 | |||||||||||||||||||
10.04 | 4.15 | 168,575 | 0.98 | 3.85 | (g) | 1.15 | 61 | |||||||||||||||||||
10.02 | 5.90 | 158,323 | 0.97 | 4.64 | 1.16 | 42 | ||||||||||||||||||||
9.38 | 1.62 | 21,931 | 1.49 | 3.27 | 1.67 | 21 | ||||||||||||||||||||
9.38 | 3.74 | 26,114 | 1.48 | 3.25 | 1.69 | 51 | ||||||||||||||||||||
9.34 | 1.78 | 21,937 | 1.49 | 3.79 | 1.73 | 41 | ||||||||||||||||||||
9.54 | (1.37 | ) | 26,637 | 1.49 | 3.35 | 1.73 | 16 | |||||||||||||||||||
10.02 | 3.59 | 22,738 | 1.48 | 3.35 | (g) | 1.65 | 61 | |||||||||||||||||||
10.01 | 5.50 | 15,323 | 1.47 | 4.07 | 1.65 | 42 | ||||||||||||||||||||
9.41 | 1.99 | 1,288,087 | 0.74 | 4.03 | 0.91 | 21 | ||||||||||||||||||||
9.41 | 4.51 | 1,329,888 | 0.73 | 3.96 | 0.91 | 51 | ||||||||||||||||||||
9.37 | 2.55 | 868,497 | 0.74 | 4.51 | 0.91 | 41 | ||||||||||||||||||||
9.57 | (0.61 | ) | 1,946,646 | 0.74 | 4.09 | 0.92 | 16 | |||||||||||||||||||
10.05 | 4.40 | 2,930,115 | 0.73 | 4.10 | (g) | 0.90 | 61 | |||||||||||||||||||
10.03 | 6.25 | 3,158,706 | 0.72 | 4.85 | 0.91 | 42 | ||||||||||||||||||||
9.41 | 2.04 | 972,979 | 0.64 | 4.13 | 0.65 | 21 | ||||||||||||||||||||
9.41 | 4.61 | 971,417 | 0.63 | 4.10 | 0.66 | 51 | ||||||||||||||||||||
9.37 | 2.65 | 837,611 | 0.64 | 4.67 | 0.66 | 41 | ||||||||||||||||||||
9.57 | (0.49 | ) | 391,548 | 0.64 | 4.18 | 0.67 | 16 | |||||||||||||||||||
10.05 | 3.05 | 916,404 | 0.63 | 4.11 | (g) | 0.66 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 23 |
Table of Contents
AS OF FEBRUARY 28, 2018 (Unaudited)
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 is a separate fund of the Trust (the “Fund”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Floating Rate Income Fund | Class A, Class C, Class I and Class R6 | Diversified |
The investment objective of the Fund is to seek to provide current income with a secondary objective of capital appreciation.
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 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 Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert 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 Fund.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and 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 — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and 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 related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of 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 Fund are calculated on a valuation date. Investments in open-end investment companies, including J.P. Morgan Funds (the “Underlying Funds”), are valued at each Underlying Fund’s NAV as of the report date.
24 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 11,735 | $ | — | $ | 11,735 | ||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 57,642 | — | 57,642 | ||||||||||||
Energy | — | 36,691 | — | 36,691 | ||||||||||||
Financials | — | 20,988 | — | 20,988 | ||||||||||||
Health Care | — | 48,605 | — | 48,605 | ||||||||||||
Industrials | — | 35,009 | — | 35,009 | ||||||||||||
Information Technology | — | 29,895 | — | 29,895 | ||||||||||||
Materials | — | 35,109 | — | 35,109 | ||||||||||||
Real Estate | — | 3,109 | — | 3,109 | ||||||||||||
Telecommunication Services | — | 29,857 | — | 29,857 | ||||||||||||
Utilities | — | 12,025 | 750 | 12,775 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 308,930 | 750 | 309,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Energy | — | 164 | 488 | 652 | ||||||||||||
Information Technology | 11,511 | — | — | 11,511 | ||||||||||||
Utilities | 7,106 | — | — | 7,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 18,617 | 164 | 488 | 19,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Financials | — | 15,968 | — | 15,968 | ||||||||||||
Loan Assignments | ||||||||||||||||
Consumer Discretionary | — | 450,956 | — | (a) | 450,956 | |||||||||||
Consumer Staples | — | 196,684 | — | 196,684 | ||||||||||||
Energy | — | 146,949 | — | 146,949 | ||||||||||||
Financials | — | 25,996 | — | 25,996 | ||||||||||||
Health Care | — | 222,308 | — | 222,308 | ||||||||||||
Industrials | — | 193,490 | — | 193,490 | ||||||||||||
Information Technology | — | 195,109 | — | 195,109 | ||||||||||||
Materials | — | 104,495 | — | 104,495 | ||||||||||||
Real Estate | — | 17,893 | — | 17,893 | ||||||||||||
Telecommunication Services | — | 227,464 | — | 227,464 | ||||||||||||
Utilities | — | 176,959 | — | 176,959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Assignments | — | 1,958,303 | — | (a) | 1,958,303 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Utilities | — | — | 906 | 906 | ||||||||||||
Warrants | ||||||||||||||||
Energy | — | 83 | — | 83 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 115,686 | — | — | 115,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 134,303 | $ | 2,295,183 | $ | 2,144 | $ | 2,431,630 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 500. |
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 25 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
There were no significant transfers between level 1 and level 2 during the six months ended February 28, 2018.
B. Foreign Currency Translation — The books and records of the Fund 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 Fund does 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 on the Statement 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 the 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 Statement 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 period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
C. Restricted Securities — Certain securities held by the Fund 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 net asset value of the Fund.
As of February 28, 2018, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A or Regulation S under the Securities Act.
D. Loan Assignments — The Fund may invest in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental, or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The fund invests in loan assignments of all or a portion of the loans. When a fund purchases a loan assignment, the fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the Lender from which they acquired the assignment and the fund may be able to enforce its rights only through the Agent. As a result, a fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a fund may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
At February 28, 2018, the Fund had investments in loan assignments that amounted to more than 5% of the Fund’s net assets, by agent bank as follows:
Agent Bank | Percentage | |||
Credit Suisse International | 14.5 | % | ||
Barclays Bank plc | 11.9 | |||
Morgan Stanley | 7.8 | |||
Bank of America, N.A. | 5.9 | |||
JPMorgan Chase Bank, N.A. | 5.8 |
E. Unfunded Commitments — The Fund may enter into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of their normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Fund to provide cash to the borrower on demand. Unfunded commitments are generally traded and priced as part of a related loan assignment (Note 2.D). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statement of Assets and Liabilities. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Fund may receive an ongoing commitment fee based on the undrawn portion of the underlying loan facility, which is recorded as a component of interest income on the Statement of Operations.
26 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
At February 28, 2018, the Fund had the following loan commitments in which all or a portion of the commitment was unfunded which could be extended at the options of the borrower (amounts in thousands):
Unfunded Commitment | Funded Commitment | Total Commitment | ||||||||||||||||||||||||||||||||||||
Security Description | Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Par Amount | Value | Par Amount | Value | Par Amount | Value | ||||||||||||||||||||||||||||
Pearl Intermediate Parent LLC | Delayed Draw Term Loan | 1/31/2025 | 1.000 | % | 0.000 | % | $ | 2,170 | $ | 2,151 | $ | — | $ | — | $ | 2,170 | $ | 2,151 |
F. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The 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 are 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 Fund 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.
The Fund had delayed delivery securities outstanding as of February 28, 2018, which are shown as a Payable for investment securities purchased-delayed delivery securities on the Statement of Assets and Liabilities. The values of these securities held at February 28, 2018 are detailed on the SOI.
G. 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, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend. Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income on the Statement of Operations.
H. 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 respective funds. In calculating the NAV of each class, 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 class of the Fund for the six months ended February 28, 2018 are as follows (amounts in thousands):
Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
Transfer agency fees | $ | 5 | $ | 2 | $ | 6 | $ | 3 | $ | 16 |
I. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (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 Fund’s tax positions for all open tax years and has determined that as of February 28, 2018, no liability for income tax is required in the Fund’s 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. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
J. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
K. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly and 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 the 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.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 27 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.55% of the Fund’s average daily net assets.
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 the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended February 28, 2018, the effective annualized rate was 0.08% of the 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 Fund’s 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 the Trust’s principal underwriter and promotes and arranges for the sale of the Fund’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. Class I and Class R6 do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.
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 six months ended February 28, 2018, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||||||
$ | 1 | $ | — |
D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets of Class A, Class C and Class I Shares, respectively.
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 Fund under which 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 Fund. For performing these services, the Fund pays 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 Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Fund 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 expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R6 | |||||||||||||
1.00 | % | 1.50 | % | 0.75 | % | 0.65 | % |
The expense limitation agreement was in effect for the six months ended February 28, 2018 and is in place until at least December 31, 2018.
28 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
For the six months ended February 28, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows (amounts in thousands). None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | |||||||||||||
$ | 34 | $ | 23 | $ | 1,076 | $ | 1,133 |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds).
Effective December 29, 2016, the Adviser, Administrator and/or Distributor, 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 Fund’s investment in such affiliated money market fund.
The amount of these waivers/reimbursements resulting from investments in these money market funds for the six months ended February 28, 2018 was approximately $150,000.
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 Fund for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other 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 Statement 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 six months ended February 28, 2018, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Fund may use related party broker-dealers. For the six months ended February 28, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended February 28, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 490,672 | $ | 471,579 |
During the six months ended February 28, 2018, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2018 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Gross Unrealized (Depreciation) | |||||||||||||
$ | 2,444,491 | $ | 23,563 | $ | 36,424 | $ | (12,861 | ) |
6. Borrowings
The Fund relies 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 Fund 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 the 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 Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2018 (Unaudited) (continued)
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 Fund. 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 the 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 November 5, 2018.
The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended February 28, 2018.
The Trust, along with certain other trusts (“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 $25,000,000 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 $25,000,000 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% plus the greater of the federal funds effective rate or one month 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 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Fund did not utilize the Credit Facility during the six months ended February 28, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
As of February 28, 2018, the Fund had one affiliated omnibus account, which represented 61.8% of the Fund’s outstanding shares.
As of February 28, 2018, the JPMorgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
18.0 | % | 10.9 | % |
Significant shareholder transactions by these shareholders may impact the Fund’s performance.
The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Fund invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Fund is intended for investors who are able and willing to assume a high degree of risk.
The Fund is subject to the risk that, should the Fund decide to sell an illiquid investment when a ready buyer is not available at a price the Fund deems to be representative of its value, the value of the Fund’s net assets could be adversely affected.
8. Investment Company Reporting Modernization
In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced
30 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Fund’s financial statements as of February 28, 2018. The adoption had no effect on the Fund’s net assets or results of operations.
FEBRUARY 28, 2018 | J.P. MORGAN INCOME FUNDS | 31 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, 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 Fund 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, September 1, 2017, and continued to hold your shares at the end of the reporting period, February 28, 2018.
Actual Expenses
For each Class of the 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 entitled “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 Fund 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. 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 September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Floating Rate Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.70 | $ | 4.96 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,016.20 | 7.45 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,019.90 | 3.71 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,020.40 | 3.21 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 |
* | 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). |
32 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2018 |
Table of Contents
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 fund 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.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund’s policies and procedures with respect to the disclosure of the Fund’s holdings is available in the prospectus 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 Fund’s 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 Fund’s 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 Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. February 2018. | SAN-FRI-218 |
Table of Contents
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.
Not applicable to a semi-annual 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.
(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)).
(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 to a semi-annual report.
Table of Contents
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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
Not applicable to a semi-annual report.
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 to a semi-annual report.
Table of Contents
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.
Table of Contents
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.
Not applicable.
(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).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) 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.
(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.
Table of Contents
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 I
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
May 2, 2018 |
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 | ||
May 2, 2018 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
May 2, 2018 |