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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800)480-4111
Date of fiscal year end: October 31
Date of reporting period: November 1, 2019 through April 30, 2020
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1).
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Semi-Annual Report
J.P. Morgan Specialty Funds
April 30, 2020 (Unaudited)
JPMorgan Opportunistic Equity Long/Short Fund
JPMorgan Research Market Neutral Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. 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 any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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June 11, 2020 (Unaudited)
Dear Shareholders,
Many have faced significant challenges since my last letter, whether related to the COVID-19 pandemic or the recent acts of racism and discrimination around the world. While many have endured uncertainty and abrupt changes in their personal and professional lives related to these challenges, you can be confident that J.P. Morgan Asset Management is well-prepared for adverse events and is taking action to ensure that our clients and mutual fund shareholders continue to receive the service that is the foundation of our enterprise.
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“Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions.” — Andrea L. Lisher |
Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions. While our own employees transitioned to working from home, they worked tirelessly to
guide our clients and shareholders through this unprecedented time. We are here for you — our clients and fund shareholders — regardless of the economic, market or social and civic environment. That’s how we have always operated and we will not waiver in that commitment.
JPMorgan Chase & Co. has also recommitted its firm stance against any form of racism, discrimination, or social injustice. As Brian Lamb, Global Head of Diversity & Inclusion, recently said, “We are working across the entire firm — being intentional to strengthen our inclusive environment where our employees, customers and partners feel welcomed and valued in the communities where we do business.” To learn more, please visit JPMorgan Chase & Co.’s Diversity & Inclusion website.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 1 |
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J.P. Morgan Specialty Funds
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
While developed markets equity generally rallied in the final months of 2019, the global response to the COVID-19 pandemic led to a dramatic increase in financial market volatility and drove asset prices sharply lower in February and March of 2020 before equity prices posted a small rebound in April 2020.
Global equity markets, led by the U.S. and Europe, largely recorded gains for the final two months of 2019 on the back of accommodative policies from leading central banks and investor expectations of a reduction in trade tensions. Even as economic data showed slowing or flat growth in China, Europe and the U.S. in the final quarter of 2019, there were no indicators that the longest recorded economic expansion in the U.S. would necessarily end. In the second half of December 2019, the U.S. and China reached a “Phase One” agreement that reduced trade tariffs and headed off the implementation of new tariffs. Combined with less aggressive U.S. trade rhetoric toward Mexico and toward European and Japanese auto industries, the U.S.-China trade agreement fueled price gains in developed equity markets.
In the U.K., the Conservative Party won a large majority in national elections in December 2019, which appeared to remove investor concerns about the possibility of a non-negotiated “hard Brexit” departure from the EU. Equity prices in the U.K. and the British pound briefly rallied on the election results.
Early January 2020 saw continued investor support for global equity that weathered a brief flare up in military tension between the U.S. and Iran. However, investor sentiment began to turn as the outbreak of COVID-19 began to impact large parts of China’s economy. Emerging markets equity led a slump in global equity markets and U.S. and European government bonds largely gained. Notably, prices for benchmark Brent crude oil plummeted 11.9% in January amid shrinking demand from China and other economies hit by the pandemic.
U.S. equity prices found support in early February 2020 as companies began to report better-than-expected earnings from the final quarter of 2019. By the end of the month, global equity prices had fallen significantly and global demand for petroleum had declined for the first time since the 2009 financial crisis. China’s central bank responded to the impact of COVID-19 by cutting the prime lending rate and regional authorities across China enacted a range of actions to counter the sharp drop in economic activity. By the end of February, yields on benchmark 10-year U.S. Treasury bonds had fallen to a record low 1.1% as investors sought the perceived safety of government-backed bonds.
The month of March 2020 proved to be worse for global equity and a range of other asset classes as COVID-19 was declared a pandemic and national, regional and municipal governments implemented at-home quarantines and a range of other actions designed to prevent hospitals and health care systems from being overwhelmed. The U.S. Federal Reserve slashed interest rates, restarted its quantitative easing or asset purchasing program, and unleashed an array of programs to maintain liquidity and functioning in short-term commercial debt markets. The European Central Bank also stepped in to shore up economic activity via negative interest rates and a commitment to continue purchasing assets until no longer necessary. Statements of broad support from both central banks, along with fiscal stimulus and/or wage protection policies from national governments across the globe, helped to reduce record high volatility in financial markets. However, leading equity indexes lost 20% or more of their value during the first quarter of 2020. Corporate bond prices generally fell and the prices of Brent crude oil ended the first quarter down by 60%. Only developed market sovereign bonds and commodity gold experienced price appreciation in March 2020.
Global equity markets rebounded slightly in April 2020 and fixed income markets rallied somewhat as investors reacted positively to the actions of central banks and national governments to mitigate the economic impact of the pandemic. Price gains were seen in large cap technology stocks and pharmaceutical sector stocks. Fixed income investments benefitted from accommodative central bank policies and high quality corporate credit outperformed government bonds for the month. However, a glut in global petroleum markets sent futures prices for benchmark West Texas Intermediate crude oil into negative territory.
For the six months ended April 30, 2020, the S&P 500 Index returned -3.16%, the MSCI EAFE Index returned -14.00% and the MSCI EME Index returned 10.39%. Among bond market indexes, the Bloomberg Barclays U.S. Aggregate Index returned 4.86% and the Bloomberg Barclays Emerging Markets Index returned -5.69%.
2 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
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JPMorgan Opportunistic Equity Long/Short Fund
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 5.55% | |||
S&P 500 Index | (3.16)% | |||
ICE BofAML3-Month U.S. Treasury Bill Index | 0.85% | |||
Net Assets as of 4/30/2020 (In Thousands) | $322,737 |
INVESTMENT OBJECTIVE**
The JPMorgan Opportunistic Equity Long/Short Fund (the “Fund”) seeks capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2020.
The Fund’s long positions in the health care sector and its short positions in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s long positions in the communication services sector and its short positions in the information technology sector were leading detractors from relative performance.
Leading individual contributors to absolute performance included the Fund’s long positions in Tesla Inc. and Cigna Corp. and its short position in Halliburton Co. Shares of Tesla, a maker of electric automobiles and energy generation and storage systems, rose on growth in quarterly earnings and investor demand for large cap technology stocks. Shares of Cigna, a health insurance provider, rose after the company reported better-than-expected results for the first quarter of 2020. Shares of Halliburton, an oilfield services provider, fell amid the collapse in global petroleum prices during the first quarter of 2020.
Leading individual detractors from absolute performance included the Fund’s long positions in Berkshire Hathaway Inc. and NXP Semiconductors NV and its short position in Square
Inc. Shares of Berkshire Hathaway, an investment company conglomerate, fell as large segments of the U.S. economy closed down in response to theCOVID-19 pandemic. Shares of NXP Semiconductors, a semiconductor manufacturer, fell amid investor concerns about the company’s exposure in the automotive sector, which was severely impacted by mass quarantines as a result of theCOVID-19 pandemic. Shares of Square, a provider of payment services, rose after the company reported better-than-expected results for the fourth quarter of 2019.
HOW WAS THE FUND POSITIONED?
During the six months ended April 30, 2020, the Fund invested an average of 94% of its assets in long and short positions in equity securities, selecting from a universe of equity securities with market capitalizations similar to those included in the Russell 1000 Index and/or the Benchmark. The Fund’s manager sought to achieve lower volatility than the Benchmark through a disciplined research process, security selection and risk management. For the six month reporting period, the Fund’s average gross exposure was 94% and its average net exposure was 57%.
* | 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. |
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 3 |
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JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
1. | Cigna Corp. | 9.9 | % | |||||
2. | UnitedHealth Group, Inc. | 8.6 | ||||||
3. | Alibaba Group Holding Ltd., ADR | 7.0 | ||||||
4. | Fiserv, Inc. | 6.4 | ||||||
5. | McKesson Corp. | 5.0 | ||||||
6. | Uber Technologies, Inc. | 4.8 | ||||||
7. | Tesla, Inc. | 4.6 | ||||||
8. | NVIDIA Corp. | 4.0 | ||||||
9. | NextEra Energy, Inc. | 2.1 | ||||||
10. | Amazon.com, Inc. | 2.0 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
1. | WABCO Holdings, Inc. | 16.6 | % | |||||
2. | Target Corp. | 9.2 | ||||||
3. | Motorola Solutions, Inc. | 9.0 | ||||||
4. | Legg Mason, Inc. | 8.2 | ||||||
5. | Comcast Corp., Class A | 7.0 | ||||||
6. | Walt Disney Co. (The) | 6.4 | ||||||
7. | SPDR S&P 500 ETF Trust | 6.3 | ||||||
8. | Tech Data Corp. | 5.9 | ||||||
9. | Franklin Resources, Inc. | 5.0 | ||||||
10. | Ford Motor Co. | 4.8 |
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Health Care | 24.8 | % | ||
Information Technology | 15.5 | |||
Consumer Discretionary | 15.1 | |||
Industrials | 8.5 | |||
Communication Services | 2.6 | |||
Consumer Staples | 2.4 | |||
Materials | 2.3 | |||
Utilities | 2.1 | |||
Financials | 1.2 | |||
Others (each less than 1.0%) | 0.7 | |||
Short-Term Investments | 24.8 |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Industrials | 16.6 | % | ||
Information Technology | 14.9 | |||
Consumer Discretionary | 14.2 | |||
Communication Services | 13.4 | |||
Financials | 13.2 | |||
Health Care | 9.0 | |||
Exchange-Traded Fund | 6.3 | |||
Real Estate | 4.4 | |||
Consumer Staples | 4.1 | |||
Utilities | 3.9 |
*** | Percentages indicated are based on total long investments as of April 30, 2020. The Fund’s portfolio composition is subject to change. |
**** | Percentages indicated are based on total short investments as of April 30, 2020. The Fund’s portfolio composition is subject to change. |
4 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
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AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||||
CLASS A SHARES | August 29, 2014 | |||||||||||||||||||
With Sales Charge** | (0.11 | )% | (2.77 | )% | 3.39 | % | 4.66 | % | ||||||||||||
Without Sales Charge | 5.42 | 2.64 | 4.51 | 5.66 | ||||||||||||||||
CLASS C SHARES | August 29, 2014 | |||||||||||||||||||
With CDSC*** | 4.16 | 1.13 | 4.00 | 5.13 | ||||||||||||||||
Without CDSC | 5.16 | 2.13 | 4.00 | 5.13 | ||||||||||||||||
CLASS I SHARES | August 29, 2014 | 5.55 | 2.86 | 4.78 | 5.92 | |||||||||||||||
CLASS R6 SHARES | August 29, 2014 | 5.66 | 3.17 | 5.04 | 6.19 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE(8/29/14 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
The Fund commenced operations on August 29, 2014.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Opportunistic Equity Long/Short Fund, the S&P 500 Index and the ICE BofAML 3-Month U.S. Treasury Bill Index from August 29, 2014 to April 30, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and ICE BofAML 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the
U.S. stock market. The ICE BofAML 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
From the inception of the Fund through January 23, 2015, the Fund did not experience any shareholder activity. If such activity had occurred, the Fund’s performance may have been impacted.
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 applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 5 |
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JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | 9.07% | |||
ICE BofAML3-Month U.S. Treasury Bill Index | 0.85% | |||
Net Assets as of 4/30/2020 (In Thousands) | $81,945 |
INVESTMENT OBJECTIVE**
The JPMorgan Research Market Neutral Fund (the “Fund”) seeks to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the ICE BofAML3-Month US Treasury Bill Index (the “Benchmark”) for the six months ended April 30, 2020.
The Fund’s security selection in the media, real estate investment trusts and retail sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer stable and banks & brokers sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s long position in Amazon.com Inc. and its short positions in Boeing Co. and Cinemark Holdings Inc. Shares of Amazon, a provider of online retail shopping and related services, rose amid investor expectations that its business would benefit fromat-home quarantines imposed in response to theCOVID-19 pandemic. Shares of Boeing, an airplane manufacturing and aerospace company, fell amid investor expectations that orders for new planes will shrink as commercial airlines suffer financial stress due to reductions in flights in response toCOVID-19. Shares of Cinemark Holdings, an operator of movie theaters, fell after the company reported lower-than-expected revenue and earnings for the fourth quarter of 2019.
Leading individual detractors from relative performance included the Fund’s short positions in Kroger Co., Enbridge Inc. and Activision Blizzard Inc. Shares of Kroger, a grocery supermarket chain, rose as consumers stocked up on food and other items ahead ofat-home quarantines imposed in response to theCOVID-19 pandemic and then continued to eat meals at home. Shares of Enbridge, a master limited partnership that operates petroleum and natural gas pipelines and storage facilities, rose as investors sought higher dividends. Shares of Activision Blizzard, an interactive entertainment software publisher, rose as consumers underat-home quarantine spent more on online games and entertainment.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers aimed to construct a portfolio of long and short positions with a low correlation to the broader market for stocks and bonds. The Fund’s portfolio managers used fundamental research to estimate companies’ long-term earnings forecasts, ranking approximately 600 large and mid cap stocks into five quintiles. The Fund’s portfolio managers looked to the top two quintiles for potential long positions in stocks that they believed were undervalued and the bottom two quintiles for potential short positions in stocks that they believed were overvalued.
* | 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. |
6 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
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TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
1. | Alphabet, Inc., Class C | 2.1 | % | |||||
2. | Amazon.com, Inc. | 2.0 | ||||||
3. | Norfolk Southern Corp. | 1.9 | ||||||
4. | Linde plc | 1.8 | ||||||
5. | Microsoft Corp. | 1.6 | ||||||
6. | Citigroup, Inc. | 1.5 | ||||||
7. | PayPal Holdings, Inc. | 1.4 | ||||||
8. | Leidos Holdings, Inc. | 1.4 | ||||||
9. | NextEra Energy, Inc. | 1.4 | ||||||
10. | Northrop Grumman Corp. | 1.3 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
1. | Juniper Networks, Inc. | 2.5 | % | |||||
2. | NetApp, Inc. | 2.4 | ||||||
3. | Clorox Co. (The) | 2.4 | ||||||
4. | Western Union Co. (The) | 1.8 | ||||||
5. | Walt Disney Co. (The) | 1.8 | ||||||
6. | Cisco Systems, Inc. | 1.8 | ||||||
7. | Omnicom Group, Inc. | 1.8 | ||||||
8. | Spotify Technology SA | 1.7 | ||||||
9. | Robert Half International, Inc. | 1.7 | ||||||
10. | AT&T, Inc. | 1.5 |
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 21.1 | % | ||
Industrials | 11.4 | |||
Health Care | 8.4 | |||
Consumer Discretionary | 8.3 | |||
Financials | 8.1 | |||
Communication Services | 6.0 | |||
Materials | 5.0 | |||
Utilities | 3.6 | |||
Energy | 3.6 | |||
Consumer Staples | 3.1 | |||
Real Estate | 2.9 | |||
Short-Term Investments | 18.5 |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Information Technology | 16.6 | % | ||
Industrials | 16.2 | |||
Financials | 12.5 | |||
Communication Services | 11.9 | |||
Health Care | 9.8 | |||
Energy | 7.5 | |||
Materials | 6.0 | |||
Consumer Discretionary | 5.8 | |||
Consumer Staples | 4.8 | |||
Utilities | 4.5 | |||
Real Estate | 4.4 |
*** | Percentages indicated are based on total long investments as ofApril 30, 2020. The Fund’s portfolio composition is subject to change. |
**** | Percentages indicated are based on total short investments as of April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 7 |
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JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 28, 2002 | |||||||||||||||||
With Sales Charge** | 3.11 | % | 3.95 | % | 1.37 | % | 0.45 | % | ||||||||||
Without Sales Charge | 8.85 | 9.70 | 2.47 | 1.00 | ||||||||||||||
CLASS C SHARES | November 2, 2009 | |||||||||||||||||
With CDSC*** | 7.60 | 8.16 | 1.95 | 0.50 | ||||||||||||||
Without CDSC | 8.60 | 9.16 | 1.95 | 0.50 | ||||||||||||||
CLASS I SHARES | November 2, 2009 | 8.99 | 9.96 | 2.74 | 1.25 | |||||||||||||
CLASS L SHARES | December 30, 1998 | 9.07 | 10.10 | 2.88 | 1.46 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Research Market Neutral Fund and ICE BofAML3-Month U.S. Treasury Bill Index from April 30, 2010 to April 30, 2020. 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 ICE BofAML3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month U.S. Treasury Bill Index is comprised of a single issue
purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
8 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
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JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — 101.2% |
| |||||||
Common Stocks — 76.1% |
| |||||||
Automobiles — 4.6% |
| |||||||
Tesla, Inc. * | 19 | 14,969 | ||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
Air Products & Chemicals, Inc. | 22 | 5,043 | ||||||
Sherwin-Williams Co. (The) | 5 | 2,574 | ||||||
|
| |||||||
7,617 | ||||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
Berkshire Hathaway, Inc., Class A * | — | (a) | 3,380 | |||||
Berkshire Hathaway, Inc., Class B * (b) | 3 | 519 | ||||||
|
| |||||||
3,899 | ||||||||
|
| |||||||
Electric Utilities — 2.1% |
| |||||||
NextEra Energy, Inc. (b) | 29 | 6,719 | ||||||
|
| |||||||
Entertainment — 2.0% |
| |||||||
Liberty Media Corp.-Liberty Formula One, Class C * | 135 | 4,339 | ||||||
Netflix, Inc. * | 5 | 2,103 | ||||||
|
| |||||||
6,442 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.8% |
| |||||||
AvalonBay Communities, Inc. | 15 | 2,448 | ||||||
|
| |||||||
Food Products — 2.4% |
| |||||||
Campbell Soup Co. | 61 | 3,039 | ||||||
Mondelez International, Inc., Class A | 94 | 4,844 | ||||||
|
| |||||||
7,883 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.1% |
| |||||||
DexCom, Inc. * | 1 | 351 | ||||||
|
| |||||||
Health Care Providers & Services — 23.7% |
| |||||||
Cigna Corp. (b) | 165 | 32,321 | ||||||
McKesson Corp. | 116 | 16,355 | ||||||
UnitedHealth Group, Inc. (b) | 96 | 27,955 | ||||||
|
| |||||||
76,631 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Hilton Worldwide Holdings, Inc. | 31 | 2,344 | ||||||
Marriott International, Inc., Class A | 27 | 2,473 | ||||||
|
| |||||||
4,817 | ||||||||
|
| |||||||
Interactive Media & Services — 0.5% |
| |||||||
Alphabet, Inc., Class A * (b) | 1 | 1,695 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 9.1% |
| |||||||
Alibaba Group Holding Ltd., ADR (China) * | 113 | 22,968 | ||||||
Amazon.com, Inc. * (b) | 3 | 6,487 | ||||||
|
| |||||||
29,455 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
IT Services — 8.8% |
| |||||||
Fidelity National Information Services, Inc. (b) | 43 | 5,673 | ||||||
Fiserv, Inc. * (b) | 202 | 20,774 | ||||||
Mastercard, Inc., Class A | 3 | 892 | ||||||
Twilio, Inc., Class A * | — | (a) | 37 | |||||
Visa, Inc., Class A (b) | 5 | 888 | ||||||
|
| |||||||
28,264 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
Thermo Fisher Scientific, Inc. | 12 | 4,056 | ||||||
|
| |||||||
Media — 0.1% |
| |||||||
Altice USA, Inc., Class A * (b) | 19 | 484 | ||||||
|
| |||||||
Road & Rail — 8.6% |
| |||||||
Canadian Pacific Railway Ltd. (Canada) | 25 | 5,745 | ||||||
Lyft, Inc., Class A * | 191 | 6,273 | ||||||
Uber Technologies, Inc. * | 519 | 15,699 | ||||||
|
| |||||||
27,717 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.5% |
| |||||||
NVIDIA Corp. | 45 | 13,186 | ||||||
NXP Semiconductors NV (Netherlands) | 15 | 1,496 | ||||||
|
| |||||||
14,682 | ||||||||
|
| |||||||
Software — 2.4% |
| |||||||
Microsoft Corp. | 9 | 1,598 | ||||||
RingCentral, Inc., Class A * | 26 | 6,022 | ||||||
|
| |||||||
7,620 | ||||||||
|
| |||||||
Total Common Stocks | 245,749 | |||||||
|
| |||||||
Short-Term Investments — 25.1% |
| |||||||
Investment Companies — 25.1% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) | 80,940 | 81,005 | ||||||
|
| |||||||
Total Long Positions | 326,754 | |||||||
|
| |||||||
Short Positions — (23.8)% |
| |||||||
Common Stocks — (22.3)% |
| |||||||
Automobiles — (1.2)% |
| |||||||
Ford Motor Co. | (724 | ) | (3,684 | ) | ||||
Harley-Davidson, Inc. | (7 | ) | (161 | ) | ||||
|
| |||||||
(3,845 | ) | |||||||
|
| |||||||
Beverages — (1.0)% |
| |||||||
Molson Coors Beverage Co., Class B | (78 | ) | (3,179 | ) | ||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 9 |
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
common Stocks — continued |
| |||||||
Capital Markets — (3.2)% |
| |||||||
Franklin Resources, Inc. | (205 | ) | (3,870 | ) | ||||
Legg Mason, Inc. | (127 | ) | (6,307 | ) | ||||
|
| |||||||
(10,177 | ) | |||||||
|
| |||||||
Communications Equipment — (2.1)% |
| |||||||
Motorola Solutions, Inc. | (48 | ) | (6,913 | ) | ||||
|
| |||||||
Electronic Equipment, Instruments & Components — (1.4)% |
| |||||||
Tech Data Corp. * | (32 | ) | (4,517 | ) | ||||
|
| |||||||
Entertainment — (1.5)% |
| |||||||
Walt Disney Co. (The) | (45 | ) | (4,906 | ) | ||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — (1.0)% |
| |||||||
Host Hotels & Resorts, Inc. | (272 | ) | (3,346 | ) | ||||
|
| |||||||
Health Care Equipment & Supplies — (2.2)% |
| |||||||
Align Technology, Inc. * | (13 | ) | (2,820 | ) | ||||
Dentsply Sirona, Inc. | (40 | ) | (1,693 | ) | ||||
Stryker Corp. | (13 | ) | (2,428 | ) | ||||
|
| |||||||
(6,941 | ) | |||||||
|
| |||||||
Machinery — (3.9)% |
| |||||||
WABCO Holdings, Inc. * | (95 | ) | (12,724 | ) | ||||
|
| |||||||
Media — (1.7)% |
| |||||||
Comcast Corp., Class A | (143 | ) | (5,369 | ) | ||||
|
| |||||||
Multiline Retail — (2.2)% |
| |||||||
Target Corp. | (65 | ) | (7,104 | ) | ||||
|
| |||||||
Multi-Utilities — (0.9)% |
| |||||||
Consolidated Edison, Inc. | (38 | ) | (2,994 | ) | ||||
|
| |||||||
Total Common Stocks | (72,015 | ) | ||||||
|
| |||||||
Exchange-Traded Funds — (1.5)% |
| |||||||
U.S. Equity — (1.5)% |
| |||||||
SPDR S&P 500 ETF Trust (Proceeds $(4,579)) | (17 | ) | (4,858 | ) | ||||
|
| |||||||
Total Short Positions | (76,873 | ) | ||||||
|
| |||||||
Total Investments — 77.4% | 249,881 | |||||||
Other Assets Less Liabilities — 22.6% | 72,856 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 322,737 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
ETF | Exchange-Traded Fund | |
SPDR | Standard & Poor’s Depository Receipts | |
(a) | Amount rounds to less than one thousand. | |
(b) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $42,175,000 and $79,761,000 respectively. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions - 93.5% |
| |||||||
Common Stocks — 76.2% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
Northrop Grumman Corp. | 3 | 1,021 | ||||||
Raytheon Technologies Corp. | 6 | 398 | ||||||
|
| |||||||
1,419 | ||||||||
|
| |||||||
Auto Components — 0.2% |
| |||||||
Magna International, Inc. (Canada) | 4 | 169 | ||||||
|
| |||||||
Banks — 3.1% |
| |||||||
Citigroup, Inc. | 23 | 1,135 | ||||||
East West Bancorp, Inc. | 9 | 299 | ||||||
First Horizon National Corp. | 13 | 118 | ||||||
First Republic Bank | 3 | 303 | ||||||
SVB Financial Group * | 2 | 366 | ||||||
Truist Financial Corp. | 9 | 340 | ||||||
|
| |||||||
2,561 | ||||||||
|
| |||||||
Beverages — 0.9% |
| |||||||
Coca-Cola Co. (The) | 4 | 194 | ||||||
PepsiCo, Inc. | 4 | 544 | ||||||
|
| |||||||
738 | ||||||||
|
| |||||||
Biotechnology — 1.5% |
| |||||||
AbbVie, Inc. (a) | 8 | 618 | ||||||
Alexion Pharmaceuticals, Inc. * | 1 | 143 | ||||||
Amgen, Inc. | — | (b) | 118 | |||||
Biogen, Inc. * | 1 | 199 | ||||||
Regeneron Pharmaceuticals, Inc. * | — | (b) | 178 | |||||
|
| |||||||
1,256 | ||||||||
|
| |||||||
Building Products — 1.4% |
| |||||||
Carrier Global Corp. * | 7 | 129 | ||||||
Masco Corp. | 6 | 266 | ||||||
Trane Technologies plc | 8 | 713 | ||||||
|
| |||||||
1,108 | ||||||||
|
| |||||||
Capital Markets — 3.1% |
| |||||||
Ameriprise Financial, Inc. | 2 | 269 | ||||||
BlackRock, Inc. | — | (b) | 136 | |||||
Charles Schwab Corp. (The) | 4 | 162 | ||||||
Intercontinental Exchange, Inc. | 2 | 200 | ||||||
Morgan Stanley | 24 | 939 | ||||||
State Street Corp. | 10 | 635 | ||||||
T. Rowe Price Group, Inc. | 2 | 175 | ||||||
|
| |||||||
2,516 | ||||||||
|
| |||||||
Chemicals — 4.8% |
| |||||||
Air Products & Chemicals, Inc. (a) | 3 | 775 | ||||||
Celanese Corp. | 7 | 577 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued |
| |||||||
Eastman Chemical Co. | 11 | 647 | ||||||
FMC Corp. | 5 | 446 | ||||||
Linde plc (United Kingdom) | 8 | 1,409 | ||||||
|
| |||||||
3,854 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Waste Management, Inc. | 2 | 196 | ||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
American Express Co. | 6 | 587 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.1% |
| |||||||
Verizon Communications, Inc. | 2 | 107 | ||||||
|
| |||||||
Electric Utilities — 3.1% |
| |||||||
Entergy Corp. | 3 | 284 | ||||||
Evergy, Inc. | 8 | 480 | ||||||
NextEra Energy, Inc. (a) | 5 | 1,054 | ||||||
Xcel Energy, Inc. (a) | 11 | 684 | ||||||
|
| |||||||
2,502 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
AMETEK, Inc. | 3 | 269 | ||||||
Eaton Corp. plc | 6 | 491 | ||||||
|
| |||||||
760 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp., Class A | 3 | 278 | ||||||
|
| |||||||
Entertainment — 0.8% |
| |||||||
Electronic Arts, Inc. * | 1 | 110 | ||||||
Netflix, Inc. * | 1 | 580 | ||||||
|
| |||||||
690 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
Equinix, Inc. | 1 | 375 | ||||||
Equity LifeStyle Properties, Inc. | 4 | 228 | ||||||
Prologis, Inc. | 11 | 963 | ||||||
Realty Income Corp. | 2 | 87 | ||||||
SBA Communications Corp. | 2 | 441 | ||||||
Ventas, Inc. | 5 | 158 | ||||||
|
| |||||||
2,252 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.3% |
| |||||||
Costco Wholesale Corp. | 1 | 205 | ||||||
|
| |||||||
Food Products — 0.2% |
| |||||||
Mondelez International, Inc., Class A | 3 | 143 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
Baxter International, Inc. | 2 | 187 | ||||||
Becton Dickinson and Co. | — | (b) | 110 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 11 |
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Health Care Equipment & Supplies — continued |
| |||||||
Boston Scientific Corp. * | 11 | 426 | ||||||
Medtronic plc | 3 | 319 | ||||||
Zimmer Biomet Holdings, Inc. | 6 | 730 | ||||||
|
| |||||||
1,772 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
Cigna Corp. (a) | 5 | 930 | ||||||
McKesson Corp. | 5 | 764 | ||||||
UnitedHealth Group, Inc. (a) | 1 | 299 | ||||||
|
| |||||||
1,993 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Las Vegas Sands Corp. | 5 | 246 | ||||||
Yum! Brands, Inc. | 7 | 604 | ||||||
|
| |||||||
850 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
Lennar Corp., Class A | 6 | 301 | ||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
Kimberly-Clark Corp. | 2 | 217 | ||||||
Procter & Gamble Co. (The) | 5 | 562 | ||||||
|
| |||||||
779 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
Honeywell International, Inc. | 5 | 660 | ||||||
|
| |||||||
Insurance — 0.7% |
| |||||||
Arthur J Gallagher & Co. | 2 | 172 | ||||||
MetLife, Inc. | 3 | 109 | ||||||
Progressive Corp. (The) | 4 | 274 | ||||||
|
| |||||||
555 | ||||||||
|
| |||||||
Interactive Media & Services — 1.9% |
| |||||||
Alphabet, Inc., Class C * (a) | 1 | 1,589 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.8% |
| |||||||
Amazon.com, Inc. * (a) | 1 | 1,499 | ||||||
|
| |||||||
IT Services — 7.8% |
| |||||||
Automatic Data Processing, Inc. (a) | 2 | 289 | ||||||
Booz Allen Hamilton Holding Corp. | 1 | 103 | ||||||
Fidelity National Information Services, Inc. (a) | 7 | 943 | ||||||
Fiserv, Inc. * (a) | 7 | 759 | ||||||
FleetCor Technologies, Inc. * | 4 | 857 | ||||||
Leidos Holdings, Inc. (a) | 11 | 1,085 | ||||||
Mastercard, Inc., Class A (a) | 2 | 686 | ||||||
PayPal Holdings, Inc. * | 9 | 1,095 | ||||||
WEX, Inc. * | 3 | 462 | ||||||
|
| |||||||
6,279 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 2 | 112 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Thermo Fisher Scientific, Inc. | 1 | 385 | ||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
Parker-Hannifin Corp. | 3 | 521 | ||||||
Snap-on, Inc. | 2 | 266 | ||||||
Stanley Black & Decker, Inc. | 6 | 662 | ||||||
|
| |||||||
1,449 | ||||||||
|
| |||||||
Media — 2.2% |
| |||||||
Charter Communications, Inc., Class A * | 2 | 834 | ||||||
Comcast Corp., Class A | 8 | 301 | ||||||
Discovery, Inc., Class A * | 31 | 705 | ||||||
|
| |||||||
1,840 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
Dollar Tree, Inc. * | 3 | 225 | ||||||
|
| |||||||
Multi-Utilities — 0.3% |
| |||||||
CMS Energy Corp. | 4 | 250 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
Cheniere Energy, Inc. * | 3 | 142 | ||||||
Chevron Corp. (a) | 10 | 931 | ||||||
Diamondback Energy, Inc. | 11 | 471 | ||||||
Parsley Energy, Inc., Class A | 32 | 305 | ||||||
Pioneer Natural Resources Co. (a) | 4 | 330 | ||||||
TC Energy Corp. (Canada) | 7 | 313 | ||||||
Williams Cos., Inc. (The) | 13 | 248 | ||||||
|
| |||||||
2,740 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% |
| |||||||
Bristol-Myers Squibb Co. | 10 | 591 | ||||||
Eli Lilly & Co. | 1 | 162 | ||||||
Merck & Co., Inc. | 3 | 217 | ||||||
|
| |||||||
970 | ||||||||
|
| |||||||
Road & Rail — 3.8% |
| |||||||
CSX Corp. | 10 | 635 | ||||||
Kansas City Southern (a) | 3 | 397 | ||||||
Lyft, Inc., Class A * | 2 | 77 | ||||||
Norfolk Southern Corp. (a) | 9 | 1,465 | ||||||
Union Pacific Corp. | 3 | 555 | ||||||
|
| |||||||
3,129 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.9% |
| |||||||
Advanced Micro Devices, Inc. * | 8 | 440 | ||||||
Analog Devices, Inc. | 5 | 595 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 3 | 866 | ||||||
KLA Corp. | 1 | 239 | ||||||
Lam Research Corp. | 1 | 228 | ||||||
Micron Technology, Inc. * | 3 | 151 | ||||||
NXP Semiconductors NV (Netherlands) | 7 | 733 | ||||||
ON Semiconductor Corp. * | 1 | 14 | ||||||
Qorvo, Inc. * | 3 | 255 | ||||||
Skyworks Solutions, Inc. | 2 | 228 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 17 | 899 | ||||||
Teradyne, Inc. | 3 | 215 | ||||||
Texas Instruments, Inc. (a) | 4 | 495 | ||||||
Xilinx, Inc. | 2 | 194 | ||||||
|
| |||||||
5,552 | ||||||||
|
| |||||||
Software — 4.1% |
| |||||||
Intuit, Inc. (a) | 3 | 811 | ||||||
Microsoft Corp. (a) | 7 | 1,214 | ||||||
Paylocity Holding Corp. * | 5 | 611 | ||||||
salesforce.com, Inc. * | 1 | 200 | ||||||
ServiceNow, Inc. * | 2 | 548 | ||||||
|
| |||||||
3,384 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
AutoZone, Inc. * | — | (b) | 390 | |||||
Best Buy Co., Inc. | 4 | 337 | ||||||
Home Depot, Inc. (The) | 2 | 381 | ||||||
Lowe’s Cos., Inc. | 7 | 763 | ||||||
O’Reilly Automotive, Inc. * (a) | 3 | 1,011 | ||||||
TJX Cos., Inc. (The) | 4 | 183 | ||||||
|
| |||||||
3,065 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
Apple, Inc. (a) | 2 | 635 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
NIKE, Inc., Class B | 2 | 175 | ||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
Altria Group, Inc. | 7 | 294 | ||||||
Philip Morris International, Inc. | 3 | 194 | ||||||
|
| |||||||
488 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
T-Mobile US, Inc. * | 4 | 358 | ||||||
|
| |||||||
Total Common Stocks | 62,375 | |||||||
|
|
INVESTMENTS | NO. OF Rights (000) | Value ($000) | ||||||
Rights — 0.0%(c) |
| |||||||
Pharmaceuticals — 0.0%(c) |
| |||||||
Bristol-Myers Squibb Co., CVR, expiring 12/31/2020 * (Cost $13) | 6 | 27 | ||||||
|
| |||||||
Shares (000) | ||||||||
Short-Term Investments — 17.3% |
| |||||||
Investment Companies — 17.3% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (d) (e) (Cost $14,162) | 14,168 | 14,179 | ||||||
|
| |||||||
Total Long Positions | 76,581 | |||||||
|
| |||||||
Short Positions — (71.6)% |
| |||||||
Common Stocks — (71.6)% |
| |||||||
Aerospace & Defense — (1.7)% |
| |||||||
Boeing Co. (The) | (4 | ) | (520 | ) | ||||
HEICO Corp. | (4 | ) | (327 | ) | ||||
Huntington Ingalls Industries, Inc. | (2 | ) | (330 | ) | ||||
TransDigm Group, Inc. | (1 | ) | (217 | ) | ||||
|
| |||||||
(1,394 | ) | |||||||
|
| |||||||
Air Freight & Logistics — (1.5)% |
| |||||||
CH Robinson Worldwide, Inc. | (7 | ) | (472 | ) | ||||
Expeditors International of Washington, Inc. | (6 | ) | (401 | ) | ||||
United Parcel Service, Inc., Class B | (3 | ) | (319 | ) | ||||
|
| |||||||
(1,192 | ) | |||||||
|
| |||||||
Auto Components — (0.5)% |
| |||||||
Autoliv, Inc. (Sweden) | (7 | ) | (436 | ) | ||||
|
| |||||||
Automobiles — (0.3)% |
| |||||||
Ford Motor Co. | (25 | ) | (127 | ) | ||||
Harley-Davidson, Inc. | (5 | ) | (107 | ) | ||||
|
| |||||||
(234 | ) | |||||||
|
| |||||||
Banks — (4.2)% |
| |||||||
Associated Banc-Corp. | (17 | ) | (243 | ) | ||||
BancorpSouth Bank | (7 | ) | (163 | ) | ||||
Bank of Hawaii Corp. | (3 | ) | (192 | ) | ||||
Commerce Bancshares, Inc. | (12 | ) | (705 | ) | ||||
M&T Bank Corp. | (4 | ) | (435 | ) | ||||
Old National Bancorp | (8 | ) | (117 | ) | ||||
People’s United Financial, Inc. | (37 | ) | (466 | ) | ||||
PNC Financial Services Group, Inc. (The) | (6 | ) | (665 | ) | ||||
US Bancorp | (11 | ) | (406 | ) | ||||
|
| |||||||
(3,392 | ) | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 13 |
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Beverages — (0.1)% |
| |||||||
Boston Beer Co., Inc. (The), Class A * | — | (b) | (104 | ) | ||||
|
| |||||||
Biotechnology — (0.1)% |
| |||||||
Gilead Sciences, Inc. | (1 | ) | (43 | ) | ||||
|
| |||||||
Building Products — (0.8)% |
| |||||||
Johnson Controls International plc | (14 | ) | (407 | ) | ||||
Lennox International, Inc. | (1 | ) | (276 | ) | ||||
|
| |||||||
(683 | ) | |||||||
|
| |||||||
Capital Markets — (1.7)% |
| |||||||
Bank of New York Mellon Corp. (The) | (8 | ) | (289 | ) | ||||
Franklin Resources, Inc. | (14 | ) | (264 | ) | ||||
Northern Trust Corp. | (6 | ) | (439 | ) | ||||
Waddell & Reed Financial, Inc., Class A | (27 | ) | (392 | ) | ||||
|
| |||||||
(1,384 | ) | |||||||
|
| |||||||
Chemicals — (0.9)% |
| |||||||
Albemarle Corp. | (6 | ) | (381 | ) | ||||
Ecolab, Inc. | (1 | ) | (270 | ) | ||||
PPG Industries, Inc. | (1 | ) | (115 | ) | ||||
|
| |||||||
(766 | ) | |||||||
|
| |||||||
Communications Equipment — (3.1)% |
| |||||||
Cisco Systems, Inc. | (25 | ) | (1,053 | ) | ||||
Juniper Networks, Inc. | (68 | ) | (1,466 | ) | ||||
|
| |||||||
(2,519 | ) | |||||||
|
| |||||||
Construction Materials — (0.6)% |
| |||||||
Martin Marietta Materials, Inc. | (1 | ) | (198 | ) | ||||
Vulcan Materials Co. | (2 | ) | (281 | ) | ||||
|
| |||||||
(479 | ) | |||||||
|
| |||||||
Consumer Finance — (1.0)% |
| |||||||
Discover Financial Services | (6 | ) | (237 | ) | ||||
Synchrony Financial | (31 | ) | (611 | ) | ||||
|
| |||||||
(848 | ) | |||||||
|
| |||||||
Containers & Packaging — (2.4)% |
| |||||||
AptarGroup, Inc. | (2 | ) | (205 | ) | ||||
Avery Dennison Corp. | (3 | ) | (294 | ) | ||||
International Paper Co. | (20 | ) | (673 | ) | ||||
Sealed Air Corp. | (9 | ) | (243 | ) | ||||
Sonoco Products Co. | (11 | ) | (557 | ) | ||||
|
| |||||||
(1,972 | ) | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Diversified Telecommunication Services — (1.5)% |
| |||||||
AT&T, Inc. | (29 | ) | (892 | ) | ||||
CenturyLink, Inc. | (29 | ) | (312 | ) | ||||
|
| |||||||
(1,204 | ) | |||||||
|
| |||||||
Electric Utilities — (1.8)% |
| |||||||
Edison International | (5 | ) | (291 | ) | ||||
Exelon Corp. | (9 | ) | (322 | ) | ||||
Pinnacle West Capital Corp. | (3 | ) | (211 | ) | ||||
Southern Co. (The) | (11 | ) | (642 | ) | ||||
|
| |||||||
(1,466 | ) | |||||||
|
| |||||||
Electrical Equipment — (1.0)% |
| |||||||
Acuity Brands, Inc. | (6 | ) | (500 | ) | ||||
Hubbell, Inc. | (2 | ) | (280 | ) | ||||
|
| |||||||
(780 | ) | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components — (0.4)% |
| |||||||
Cognex Corp. | (6 | ) | (330 | ) | ||||
|
| |||||||
Energy Equipment & Services — (1.3)% |
| |||||||
Baker Hughes Co. | (12 | ) | (171 | ) | ||||
Halliburton Co. | (62 | ) | (648 | ) | ||||
Schlumberger Ltd. | (14 | ) | (234 | ) | ||||
|
| |||||||
(1,053 | ) | |||||||
|
| |||||||
Entertainment — (3.3)% |
| |||||||
Activision Blizzard, Inc. | (4 | ) | (227 | ) | ||||
Cinemark Holdings, Inc. | (22 | ) | (315 | ) | ||||
Spotify Technology SA * | (6 | ) | (975 | ) | ||||
Take-Two Interactive Software, Inc. * | (1 | ) | (115 | ) | ||||
Walt Disney Co. (The) | (10 | ) | (1,064 | ) | ||||
|
| |||||||
(2,696 | ) | |||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — (3.2)% |
| |||||||
Apple Hospitality REIT, Inc. | (7 | ) | (71 | ) | ||||
Crown Castle International Corp. | (1 | ) | (228 | ) | ||||
Extra Space Storage, Inc. | (3 | ) | (225 | ) | ||||
Iron Mountain, Inc. | (26 | ) | (632 | ) | ||||
Macerich Co. (The) | (7 | ) | (55 | ) | ||||
Public Storage | (1 | ) | (201 | ) | ||||
Simon Property Group, Inc. | (11 | ) | (748 | ) | ||||
Vornado Realty Trust | (6 | ) | (250 | ) | ||||
Welltower, Inc. | (4 | ) | (192 | ) | ||||
|
| |||||||
(2,602 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.4)% |
| |||||||
Sysco Corp. | (6 | ) | (347 | ) | ||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Food Products — (1.0)% |
| |||||||
Campbell Soup Co. | (12 | ) | (583 | ) | ||||
General Mills, Inc. | (4 | ) | (243 | ) | ||||
|
| |||||||
(826 | ) | |||||||
|
| |||||||
Health Care Equipment & Supplies — (2.2)% |
| |||||||
Abbott Laboratories | (8 | ) | (718 | ) | ||||
Dentsply Sirona, Inc. | (4 | ) | (164 | ) | ||||
Stryker Corp. | (4 | ) | (688 | ) | ||||
Varian Medical Systems, Inc. * | (2 | ) | (240 | ) | ||||
|
| |||||||
(1,810 | ) | |||||||
|
| |||||||
Health Care Providers & Services — (2.0)% |
| |||||||
AmerisourceBergen Corp. | (8 | ) | (710 | ) | ||||
Henry Schein, Inc. * | (15 | ) | (794 | ) | ||||
Patterson Cos., Inc. | (10 | ) | (175 | ) | ||||
|
| |||||||
(1,679 | ) | |||||||
|
| |||||||
Health Care Technology — (0.9)% |
| |||||||
Cerner Corp. | (11 | ) | (731 | ) | ||||
|
| |||||||
Hotels, Restaurants & Leisure — (0.9)% |
| |||||||
Chipotle Mexican Grill, Inc. * | — | (b) | (261 | ) | ||||
Starbucks Corp. | (7 | ) | (509 | ) | ||||
|
| |||||||
(770 | ) | |||||||
|
| |||||||
Household Durables — (0.3)% |
| |||||||
Toll Brothers, Inc. | (9 | ) | (213 | ) | ||||
|
| |||||||
Household Products — (1.7)% |
| |||||||
Clorox Co. (The) | (7 | ) | (1,379 | ) | ||||
|
| |||||||
Industrial Conglomerates — (1.5)% |
| |||||||
3M Co. | (5 | ) | (687 | ) | ||||
General Electric Co. | (83 | ) | (566 | ) | ||||
|
| |||||||
(1,253 | ) | |||||||
|
| |||||||
Insurance — (2.1)% |
| |||||||
Aflac, Inc. | (14 | ) | (512 | ) | ||||
Aon plc | (1 | ) | (204 | ) | ||||
Everest Re Group Ltd. | (2 | ) | (378 | ) | ||||
Globe Life, Inc. | (5 | ) | (391 | ) | ||||
Principal Financial Group, Inc. | (5 | ) | (197 | ) | ||||
|
| |||||||
(1,682 | ) | |||||||
|
| |||||||
Interactive Media & Services — (0.9)% |
| |||||||
Twitter, Inc. * | (26 | ) | (735 | ) | ||||
|
| |||||||
IT Services — (3.0)% |
| |||||||
EPAM Systems, Inc. * | (1 | ) | (241 | ) | ||||
Jack Henry & Associates, Inc. | (2 | ) | (385 | ) |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
IT Services — continued |
| |||||||
Paychex, Inc. | (11 | ) | (767 | ) | ||||
Western Union Co. (The) | (57 | ) | (1,082 | ) | ||||
|
| |||||||
(2,475 | ) | |||||||
|
| |||||||
Life Sciences Tools & Services — (1.8)% |
| |||||||
Agilent Technologies, Inc. | (8 | ) | (588 | ) | ||||
Mettler-Toledo International, Inc. * | (1 | ) | (389 | ) | ||||
Waters Corp. * | (3 | ) | (510 | ) | ||||
|
| |||||||
(1,487 | ) | |||||||
|
| |||||||
Machinery — (2.4)% |
| |||||||
Caterpillar, Inc. | (6 | ) | (654 | ) | ||||
Donaldson Co., Inc. | (12 | ) | (523 | ) | ||||
Illinois Tool Works, Inc. | (4 | ) | (577 | ) | ||||
PACCAR, Inc. | (3 | ) | (204 | ) | ||||
|
| |||||||
(1,958 | ) | |||||||
|
| |||||||
Media — (2.9)% |
| |||||||
Fox Corp., Class A | (7 | ) | (184 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (20 | ) | (343 | ) | ||||
Omnicom Group, Inc. | (18 | ) | (1,038 | ) | ||||
Sirius XM Holdings, Inc. | (131 | ) | (777 | ) | ||||
|
| |||||||
(2,342 | ) | |||||||
|
| |||||||
Multiline Retail — (1.1)% |
| |||||||
Kohl’s Corp. | (14 | ) | (268 | ) | ||||
Macy’s, Inc. | (65 | ) | (383 | ) | ||||
Nordstrom, Inc. | (13 | ) | (242 | ) | ||||
|
| |||||||
(893 | ) | |||||||
|
| |||||||
Multi-Utilities — (1.4)% |
| |||||||
Consolidated Edison, Inc. | (9 | ) | (689 | ) | ||||
Public Service Enterprise Group, Inc. | (10 | ) | (498 | ) | ||||
|
| |||||||
(1,187 | ) | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels — (4.1)% |
| |||||||
Enbridge, Inc. (Canada) | (15 | ) | (452 | ) | ||||
Exxon Mobil Corp. | (17 | ) | (790 | ) | ||||
Hess Corp. | (16 | ) | (784 | ) | ||||
HollyFrontier Corp. | (6 | ) | (193 | ) | ||||
Marathon Oil Corp. | (27 | ) | (164 | ) | ||||
Occidental Petroleum Corp. | (53 | ) | (885 | ) | ||||
Valero Energy Corp. | (1 | ) | (63 | ) | ||||
|
| |||||||
(3,331 | ) | |||||||
|
| |||||||
Paper & Forest Products — (0.3)% |
| |||||||
Domtar Corp. | (12 | ) | (280 | ) | ||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 15 |
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (35 | ) | (192 | ) | ||||
|
| |||||||
Professional Services — (1.2)% |
| |||||||
Robert Half International, Inc. | (21 | ) | (974 | ) | ||||
|
| |||||||
Road & Rail — (1.3)% |
| |||||||
Heartland Express, Inc. | (20 | ) | (397 | ) | ||||
JB Hunt Transport Services, Inc. | (4 | ) | (427 | ) | ||||
Schneider National, Inc., Class B | (10 | ) | (210 | ) | ||||
|
| |||||||
(1,034 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.3)% |
| |||||||
Broadcom, Inc. | (1 | ) | (217 | ) | ||||
Intel Corp. | (5 | ) | (270 | ) | ||||
QUALCOMM, Inc. | (7 | ) | (585 | ) | ||||
|
| |||||||
(1,072 | ) | |||||||
|
| |||||||
Software — (1.0)% |
| |||||||
Oracle Corp. | (8 | ) | (430 | ) | ||||
Splunk, Inc. * | (2 | ) | (331 | ) | ||||
Teradata Corp. * | (4 | ) | (89 | ) | ||||
|
| |||||||
(850 | ) | |||||||
|
| |||||||
Specialty Retail — (0.8)% |
| |||||||
Bed Bath & Beyond, Inc. | (21 | ) | (130 | ) | ||||
CarMax, Inc. * | (1 | ) | (77 | ) | ||||
Gap, Inc. (The) | (6 | ) | (49 | ) | ||||
Williams-Sonoma, Inc. | (6 | ) | (392 | ) | ||||
|
| |||||||
(648 | ) | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — (3.0)% |
| |||||||
NetApp, Inc. | (32 | ) | (1,414 | ) | ||||
Seagate Technology plc | (9 | ) | (428 | ) | ||||
Western Digital Corp. | (10 | ) | (445 | ) | ||||
Xerox Holdings Corp. | (10 | ) | (192 | ) | ||||
|
| |||||||
(2,479 | ) | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Textiles, Apparel & Luxury Goods — (0.2)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (2 | ) | (49 | ) | ||||
Hanesbrands, Inc. | (13 | ) | (131 | ) | ||||
|
| |||||||
(180 | ) | |||||||
|
| |||||||
Trading Companies & Distributors — (0.3)% |
| |||||||
Fastenal Co. | (7 | ) | (263 | ) | ||||
|
| |||||||
Total Common Stocks | (58,647 | ) | ||||||
|
| |||||||
Total Short Positions | (58,647 | ) | ||||||
|
| |||||||
Total Investments — 21.9% | 17,934 | |||||||
Other Assets Less Liabilities — 78.1% | 64,011 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 81,945 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
CVR | Contingent Value Rights | |
NYRS | New York Registry Shares | |
REIT | Real Estate Investment Trust | |
(a) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $14,141,000 and $63,226,000 respectively. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING Currency | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Short Contracts | ||||||||||||||||||||
S&P 500E-Mini Index | (8 | ) | 06/2020 | USD | (1,161 | ) | (25 | ) | ||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 17 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||
ASSETS: | ||||||||
Investments innon-affiliates, at value | $ | 245,749 | $ | 62,402 | ||||
Investments in affiliates, at value | 81,005 | 14,179 | ||||||
Cash | — | 2,678 | ||||||
Deposits at broker for futures contracts | — | 250 | ||||||
Deposits at broker for securities sold short | 79,761 | 63,226 | ||||||
Receivables: | ||||||||
Investment securities sold | 21,074 | 4,308 | ||||||
Fund shares sold | 1,347 | 1,309 | ||||||
Dividends fromnon-affiliates | 42 | 52 | ||||||
Dividends from affiliates | 60 | 12 | ||||||
Variation margin on futures contracts | — | 18 | ||||||
|
|
|
| |||||
Total Assets | 429,038 | 148,434 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Due to broker | 89 | 2,677 | ||||||
Securities sold short, at value | 76,873 | 58,647 | ||||||
Dividend expense tonon-affiliates on securities sold short | — | 69 | ||||||
Investment securities purchased | 26,439 | 4,756 | ||||||
Interest expense tonon-affiliates on securities sold short | 17 | 10 | ||||||
Fund shares redeemed | 2,465 | 215 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 285 | 28 | ||||||
Administration fees | 17 | 1 | ||||||
Distribution fees | 4 | 5 | ||||||
Service fees | 27 | 13 | ||||||
Custodian and accounting fees | 15 | 11 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | (a) | |||||
Other | 70 | 57 | ||||||
|
|
|
| |||||
Total Liabilities | 106,301 | 66,489 | ||||||
|
|
|
| |||||
Net Assets | $ | 322,737 | $ | 81,945 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 301,219 | $ | 96,086 | ||||
Total distributable earnings (loss) | 21,518 | (14,141 | ) | |||||
|
|
|
| |||||
Total Net Assets | $ | 322,737 | $ | 81,945 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 13,449 | $ | 15,849 | ||||
Class C | 2,496 | 2,703 | ||||||
Class I | 122,947 | 43,590 | ||||||
Class L | — | 19,803 | ||||||
Class R6 | 183,845 | — | ||||||
|
|
|
| |||||
Total | $ | 322,737 | $ | 81,945 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
Class A | 735 | 1,253 | ||||||
Class C | 141 | 235 | ||||||
Class I | 6,633 | 3,248 | ||||||
Class L | — | 1,436 | ||||||
Class R6 | 9,798 | — | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 18.28 | $ | 12.65 | ||||
Class C — Offering price per share (b) | 17.75 | 11.48 | ||||||
Class I — Offering and redemption price per share | 18.53 | 13.42 | ||||||
Class L — Offering and redemption price per share | — | 13.79 | ||||||
Class R6 — Offering and redemption price per share | 18.76 | — | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 19.29 | $ | 13.35 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 208,883 | $ | 51,048 | ||||
Cost of investments in affiliates | 80,949 | 14,162 | ||||||
Proceeds from securities sold short | 76,334 | 64,173 |
(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.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 19 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income fromnon-affiliates | $ | — | (a) | $ | — | (a) | ||
Interest income fromnon-affiliates on securities sold short | 221 | 199 | ||||||
Dividend income fromnon-affiliates | 905 | 365 | ||||||
Dividend income from affiliates | 540 | 69 | ||||||
|
|
|
| |||||
Total investment income | 1,666 | 633 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 1,860 | 173 | ||||||
Administration fees | 116 | 22 | ||||||
Distribution fees: | ||||||||
Class A | 19 | 17 | ||||||
Class C | 10 | 11 | ||||||
Service fees: | ||||||||
Class A | 19 | 17 | ||||||
Class C | 3 | 4 | ||||||
Class I | 154 | 32 | ||||||
Class L | — | 8 | ||||||
Custodian and accounting fees | 16 | 14 | ||||||
Interest expense to affiliates | — | (a) | — | (a) | ||||
Professional fees | 48 | 31 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 13 | 13 | ||||||
Printing and mailing costs | 5 | 14 | ||||||
Registration and filing fees | 49 | 27 | ||||||
Transfer agency fees (See Note 2.H.) | 4 | 5 | ||||||
Dividend expense tonon-affiliates on securities sold short | 826 | 685 | ||||||
Other | 5 | 4 | ||||||
|
|
|
| |||||
Total expenses | 3,147 | 1,077 | ||||||
|
|
|
| |||||
Less fees waived | (99 | ) | (96 | ) | ||||
|
|
|
| |||||
Net expenses | 3,048 | 981 | ||||||
|
|
|
| |||||
Net investment income (loss) | (1,382 | ) | (348 | ) | ||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments innon-affiliates | 4,442 | 3,847 | ||||||
Investments in affiliates | (42 | ) | (3 | ) | ||||
Options purchased | (255 | ) | — | |||||
Futures contracts | — | 796 | ||||||
Securities sold short | 3,300 | 792 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 7,445 | 5,432 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments innon-affiliates | 13,163 | (573 | ) | |||||
Investments in affiliates | 42 | 14 | ||||||
Futures contracts | — | (26 | ) | |||||
Securities sold short | (377 | ) | 300 | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 12,828 | (285 | ) | |||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 20,273 | 5,147 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 18,891 | $ | 4,799 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (1,382 | ) | $ | 1,539 | $ | (348 | ) | $ | 108 | ||||||
Net realized gain (loss) | 7,445 | (16,144 | ) | 5,432 | 26,257 | |||||||||||
Change in net unrealized appreciation/depreciation | 12,828 | 6,014 | (285 | ) | (23,376 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 18,891 | (8,591 | ) | 4,799 | 2,989 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | — | (720 | ) | (1,556 | ) | (1,481 | ) | |||||||||
Class C | — | (66 | ) | (450 | ) | (543 | ) | |||||||||
Class I | (191 | ) | (2,975 | ) | (2,515 | ) | (3,249 | ) | ||||||||
Class L | — | — | (1,689 | ) | (8,556 | ) | ||||||||||
Class R2 (a) | — | — | (b) | — | — | |||||||||||
Class R5 (a) | — | — | (b) | — | — | |||||||||||
Class R6 | (727 | ) | (1,030 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (918 | ) | (4,791 | ) | (6,210 | ) | (13,829 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (14,271 | ) | 70,324 | 20,959 | (111,968 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,702 | 56,942 | 19,548 | (122,808 | ) | |||||||||||
Beginning of period | 319,035 | 262,093 | 62,397 | 185,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 322,737 | $ | 319,035 | $ | 81,945 | $ | 62,397 | ||||||||
|
|
|
|
|
|
|
|
(a) | Liquidated on February 26, 2019 for JPMorgan Opportunistic Equity Long/Short Fund. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 21 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,779 | $ | 4,832 | $ | 3,887 | $ | 3,101 | ||||||||
Distributions reinvested | — | 717 | 1,458 | 1,394 | ||||||||||||
Cost of shares redeemed | (8,655 | ) | (35,501 | ) | (3,379 | ) | (4,003 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (6,876 | ) | $ | (29,952 | ) | $ | 1,966 | $ | 492 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 182 | $ | 825 | $ | 658 | $ | 446 | ||||||||
Distributions reinvested | — | 66 | 426 | 506 | ||||||||||||
Cost of shares redeemed | (409 | ) | (1,660 | ) | (1,901 | ) | (2,914 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (227 | ) | $ | (769 | ) | $ | (817 | ) | $ | (1,962 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 57,856 | $ | 145,908 | $ | 42,380 | $ | 11,144 | ||||||||
Distributions reinvested | 185 | 2,820 | 2,407 | 3,139 | ||||||||||||
Cost of shares redeemed | (75,242 | ) | (159,718 | ) | (28,498 | ) | (18,992 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | (17,201 | ) | $ | (10,990 | ) | $ | 16,289 | $ | (4,709 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 10,085 | $ | 2,711 | ||||||||
Distributions reinvested | — | — | 1,660 | 8,526 | ||||||||||||
Cost of shares redeemed | — | — | (8,224 | ) | (117,026 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | $ | — | $ | — | $ | 3,521 | $ | (105,789 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2(a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 4 | $ | — | $ | — | ||||||||
Distributions reinvested | — | — | (b) | — | — | |||||||||||
Cost of shares redeemed | — | (28 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | (24 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5(a) | ||||||||||||||||
Distributions reinvested | $ | — | $ | — | (b) | $ | — | $ | — | |||||||
Cost of shares redeemed | — | (24 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | (24 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 48,129 | $ | 125,697 | $ | — | $ | — | ||||||||
Distributions reinvested | 131 | 375 | — | — | ||||||||||||
Cost of shares redeemed | (38,227 | ) | (13,989 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 10,033 | $ | 112,083 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (14,271 | ) | $ | 70,324 | $ | 20,959 | $ | (111,968 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Liquidated on February 26, 2019 for JPMorgan Opportunistic Equity Long/Short Fund. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 99 | 273 | 316 | 225 | ||||||||||||
Reinvested | — | 40 | 126 | 106 | ||||||||||||
Redeemed | (480 | ) | (1,985 | ) | (278 | ) | (290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (381 | ) | (1,672 | ) | 164 | 41 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 11 | 47 | 58 | 34 | ||||||||||||
Reinvested | — | 4 | 40 | 42 | ||||||||||||
Redeemed | (24 | ) | (96 | ) | (172 | ) | (229 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (13 | ) | (45 | ) | (74 | ) | (153 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 3,198 | 8,147 | 3,217 | 765 | ||||||||||||
Reinvested | 10 | 156 | 196 | 228 | ||||||||||||
Redeemed | (4,121 | ) | (8,966 | ) | (2,172 | ) | (1,325 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (913 | ) | (663 | ) | 1,241 | (332 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class L |
| |||||||||||||||
Issued | — | — | 744 | 183 | ||||||||||||
Reinvested | — | — | 132 | 603 | ||||||||||||
Redeemed | — | — | (622 | ) | (8,081 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | 254 | (7,295 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2(a) | ||||||||||||||||
Issued | — | — | (b) | — | — | |||||||||||
Reinvested | — | — | (b) | — | — | |||||||||||
Redeemed | — | (1 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | (1 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5(a) | ||||||||||||||||
Reinvested | — | — | (b) | — | — | |||||||||||
Redeemed | — | (1 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | (1 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 2,625 | 6,949 | — | — | ||||||||||||
Reinvested | 7 | 20 | — | — | ||||||||||||
Redeemed | (2,057 | ) | (775 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 575 | 6,194 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Liquidated on February 26, 2019 for JPMorgan Opportunistic Equity Long/Short Fund. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 23 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance |
| |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Opportunistic Equity Long/Short Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 17.34 | $ | (0.11 | ) | $ | 1.05 | $ | 0.94 | $ | — | $ | — | $ | — | |||||||||||||
Year Ended October 31, 2019 | 18.22 | — | (g) | (0.55 | ) | (0.55 | ) | — | (0.33 | ) | (0.33 | ) | ||||||||||||||||
Year Ended October 31, 2018 | 18.13 | (0.21 | ) | 0.53 | 0.32 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 17.12 | (0.19 | ) | 2.46 | 2.27 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 17.37 | (0.16 | ) | 0.07 | (0.09 | ) | — | (0.16 | ) | (0.16 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.75 | (0.25 | ) | 1.93 | 1.68 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 16.87 | (0.15 | ) | 1.03 | 0.88 | — | — | — | ||||||||||||||||||||
Year Ended October 31, 2019 | 17.83 | (0.08 | ) | (0.55 | ) | (0.63 | ) | — | (0.33 | ) | (0.33 | ) | ||||||||||||||||
Year Ended October 31, 2018 | 17.83 | (0.29 | ) | 0.52 | 0.23 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 16.94 | (0.27 | ) | 2.42 | 2.15 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 17.27 | (0.24 | ) | 0.07 | (0.17 | ) | — | (0.16 | ) | (0.16 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.73 | (0.37 | ) | 1.97 | 1.60 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.58 | (0.09 | ) | 1.07 | 0.98 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended October 31, 2019 | 18.43 | 0.07 | (0.59 | ) | (0.52 | ) | — | (0.33 | ) | (0.33 | ) | |||||||||||||||||
Year Ended October 31, 2018 | 18.28 | (0.16 | ) | 0.54 | 0.38 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 17.21 | (0.14 | ) | 2.47 | 2.33 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 17.42 | (0.12 | ) | 0.07 | (0.05 | ) | — | (0.16 | ) | (0.16 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.75 | (0.26 | ) | 1.99 | 1.73 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.83 | (0.07 | ) | 1.08 | 1.01 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended October 31, 2019 | 18.63 | 0.17 | (0.64 | ) | (0.47 | ) | — | (0.33 | ) | (0.33 | ) | |||||||||||||||||
Year Ended October 31, 2018 | 18.44 | (0.12 | ) | 0.54 | 0.42 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 17.31 | (0.10 | ) | 2.49 | 2.39 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 17.48 | (0.08 | ) | 0.07 | (0.01 | ) | — | (0.16 | ) | (0.16 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.76 | (0.23 | ) | 2.01 | 1.78 | — | (0.06 | ) | (0.06 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.80% and 1.87% for the six months ended April 30, 2020, 1.79% and 1.90% for the year ended October 31, 2019, 1.82% and 1.90% for the year ended October 31, 2018, 1.83% and 2.02% for the year ended October 31, 2017, 1.80% and 2.07% for the year ended October 31, 2016 and 1.81% and 2.20% for the year ended October 31, 2015; for Class C are 2.30% and 2.40% for the period ended April 30, 2020, 2.28% and 2.39% for the year ended October 31, 2019, 2.32% and 2.40% for the year ended October 31, 2018, 2.31% and 2.52% for the year ended October 31, 2017, 2.29% and 2.52% for the year ended October 31, 2016 and 2.39% and 3.18% for the year ended October 31, 2015; for Class I are 1.55% and 1.62% for the period ended April 30, 2020, 1.53% and 1.64% for the year ended October 31, 2019, 1.57% and 1.65% for the year ended October 31, 2018, 1.56% and 1.73% for the year ended October 31, 2017, 1.54% and 1.71% for the year ended October 31, 2016 and 1.66% and 2.20% for the year ended October 31, 2015; for Class R6 are 1.30% and 1.36% for the period ended April 30, 2020, 1.29% and 1.39% for the year ended October 31, 2019, 1.32% and 1.38% for the year ended October 31, 2018, 1.31% and 1.47% for the year ended October 31, 2017, 1.29% and 1.60% for the year ended October 31, 2016 and 1.47% and 3.39% for the year ended October 31, 2015, respectively. |
(g) | Amount rounds to less than $0.005. |
(h) | Amount rounds to less than 0.005%. |
(i) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of | Net expenses (including dividend and interest expense for securities sold short) (e)(f) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (f) | Portfolio turnover rate (excluding securities sold short) (c) | Portfolio turnover rate (including securities sold short) (c) | |||||||||||||||||||||||
$ | 18.28 | 5.42 | % | $ | 13,449 | 2.33 | % | (1.21 | )% | 2.40 | % | 223 | % | 493 | % | |||||||||||||||
17.34 | (3.10 | ) | 19,352 | 2.25 | 0.00 | (h) | 2.36 | 636 | 1232 | |||||||||||||||||||||
18.22 | 1.80 | 50,803 | 2.55 | (1.11 | ) | 2.63 | 548 | 995 | ||||||||||||||||||||||
18.13 | 13.58 | 49,338 | 2.42 | (1.05 | ) | 2.61 | 493 | 795 | ||||||||||||||||||||||
17.12 | (0.53 | ) | 43,298 | 2.26 | (0.96 | ) | 2.53 | 463 | 749 | |||||||||||||||||||||
17.37 | 10.74 | 30,480 | 2.38 | (i) | (1.70 | )(i) | 2.77 | (i) | 347 | 734 | ||||||||||||||||||||
17.75 | 5.22 | 2,496 | 2.83 | (1.75 | ) | 2.93 | 223 | 493 | ||||||||||||||||||||||
16.87 | (3.62 | ) | 2,599 | 2.74 | (0.45 | ) | 2.85 | 636 | 1232 | |||||||||||||||||||||
17.83 | 1.32 | 3,544 | 3.05 | (1.61 | ) | 3.13 | 548 | 995 | ||||||||||||||||||||||
17.83 | 13.00 | 2,594 | 2.90 | (1.53 | ) | 3.11 | 493 | 795 | ||||||||||||||||||||||
16.94 | (1.00 | ) | 3,273 | 2.75 | (1.46 | ) | 2.98 | 463 | 749 | |||||||||||||||||||||
17.27 | 10.25 | 823 | 2.96 | (i) | (2.17 | )(i) | 3.75 | (i) | 347 | 734 | ||||||||||||||||||||
18.53 | 5.55 | 122,947 | 2.08 | (1.00 | ) | 2.15 | 223 | 493 | ||||||||||||||||||||||
17.58 | (2.89 | ) | 132,665 | 1.99 | 0.40 | 2.10 | 636 | 1232 | ||||||||||||||||||||||
18.43 | 2.12 | 151,261 | 2.30 | (0.87 | ) | 2.38 | 548 | 995 | ||||||||||||||||||||||
18.28 | 13.86 | 103,091 | 2.15 | (0.81 | ) | 2.32 | 493 | 795 | ||||||||||||||||||||||
17.21 | (0.29 | ) | 158,589 | 2.00 | (0.69 | ) | 2.17 | 463 | 749 | |||||||||||||||||||||
17.42 | 11.06 | 116,091 | 2.23 | (i) | (1.53 | )(i) | 2.77 | (i) | 347 | 734 | ||||||||||||||||||||
18.76 | 5.66 | 183,845 | 1.83 | (0.76 | ) | 1.89 | 223 | 493 | ||||||||||||||||||||||
17.83 | (2.59 | ) | 164,419 | 1.75 | 0.91 | 1.85 | 636 | 1232 | ||||||||||||||||||||||
18.63 | 2.32 | 56,436 | 2.05 | (0.66 | ) | 2.11 | 548 | 995 | ||||||||||||||||||||||
18.44 | 14.13 | 6,350 | 1.90 | (0.56 | ) | 2.06 | 493 | 795 | ||||||||||||||||||||||
17.31 | (0.06 | ) | 8,432 | 1.75 | (0.45 | ) | 2.06 | 463 | 749 | |||||||||||||||||||||
17.48 | 11.37 | 21 | 2.04 | (i) | (1.27 | )(i) | 3.96 | (i) | 347 | 734 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 25 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
JPMorgan Research Market Neutral Fund |
| |||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 13.11 | $ | (0.08 | ) | $ | 1.10 | $ | 1.02 | $ | (1.48 | ) | ||||||||
Year Ended October 31, 2019 | 14.29 | (0.04 | ) | 0.31 | 0.27 | (1.45 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.69 | �� | (0.11 | ) | 0.10 | (0.01 | ) | (0.39 | ) | |||||||||||
Year Ended October 31, 2017 | 13.84 | (0.22 | ) | 1.07 | 0.85 | — | ||||||||||||||
Year Ended October 31, 2016 | 14.25 | (0.28 | ) | �� | (0.13 | ) | (0.41 | ) | — | |||||||||||
Year Ended October 31, 2015 | 15.17 | (0.31 | ) | (0.22 | ) | (0.53 | ) | (0.39 | ) | |||||||||||
Class C | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 12.06 | (0.10 | ) | 1.00 | 0.90 | (1.48 | ) | |||||||||||||
Year Ended October 31, 2019 | 13.32 | (0.10 | ) | 0.29 | 0.19 | (1.45 | ) | |||||||||||||
Year Ended October 31, 2018 | 13.79 | (0.17 | ) | 0.09 | (0.08 | ) | (0.39 | ) | ||||||||||||
Year Ended October 31, 2017 | 13.06 | (0.27 | ) | 1.00 | 0.73 | — | ||||||||||||||
Year Ended October 31, 2016 | 13.51 | (0.32 | ) | (0.13 | ) | (0.45 | ) | — | ||||||||||||
Year Ended October 31, 2015 | 14.48 | (0.35 | ) | (0.23 | ) | (0.58 | ) | (0.39 | ) | |||||||||||
Class I | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 13.80 | (0.08 | ) | 1.18 | 1.10 | (1.48 | ) | |||||||||||||
Year Ended October 31, 2019 | 14.93 | — | (g) | 0.32 | 0.32 | (1.45 | ) | |||||||||||||
Year Ended October 31, 2018 | 15.30 | (0.07 | ) | 0.09 | 0.02 | (0.39 | ) | |||||||||||||
Year Ended October 31, 2017 | 14.37 | (0.18 | ) | 1.11 | 0.93 | — | ||||||||||||||
Year Ended October 31, 2016 | 14.76 | (0.25 | ) | (0.14 | ) | (0.39 | ) | — | ||||||||||||
Year Ended October 31, 2015 | 15.66 | (0.26 | ) | (0.25 | ) | (0.51 | ) | (0.39 | ) | |||||||||||
Class L | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 14.13 | (0.07 | ) | 1.21 | 1.14 | (1.48 | ) | |||||||||||||
Year Ended October 31, 2019 | 15.24 | 0.04 | 0.30 | 0.34 | (1.45 | ) | ||||||||||||||
Year Ended October 31, 2018 | 15.58 | (0.05 | ) | 0.10 | 0.05 | (0.39 | ) | |||||||||||||
Year Ended October 31, 2017 | 14.62 | (0.17 | ) | 1.13 | 0.96 | — | ||||||||||||||
Year Ended October 31, 2016 | 14.99 | (0.23 | ) | (0.14 | ) | (0.37 | ) | — | ||||||||||||
Year Ended October 31, 2015 | 15.87 | (0.23 | ) | (0.26 | ) | (0.49 | ) | (0.39 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.22% and 1.58% for the six months ended April 30, 2020, 1.22% and 1.62% for the year ended October 31, 2019, 1.22% and 1.55% for the year ended October 31, 2018, 1.24% and 1.53% for the year ended October 31, 2017, 1.22% and 1.53% for the year ended October 31, 2016 and 1.43% and 1.89% for the year ended October 31, 2015; for Class C are 1.72% and 2.07% for the period ended April 30, 2020, 1.73% and 2.09% for the year ended October 31, 2019, 1.73% and 2.02% for the year ended October 31, 2018, 1.72% and 2.07% for the year ended October 31, 2017, 1.72% and 2.02% for the year ended October 31, 2016 and 1.90% and 2.32% for the year ended October 31, 2015; for Class I are 0.96% and 1.28% for the period ended April 30, 2020, 0.96% and 1.32% for the year ended October 31, 2019, 0.96% and 1.25% for the year ended October 31, 2018, 0.96% and 1.25% for the year ended October 31, 2017, 0.96% and 1.27% for the year ended October 31, 2016 and 1.18% and 1.57% for the year ended October 31, 2015; for Class L are 0.82% and 1.14% for the period ended April 30, 2020, 0.83% and 1.13% for the year ended October 31, 2019, 0.82% and 1.10% for the year ended October 31, 2018, 0.82% and 1.10% for the year ended October 31, 2017, 0.81% and 1.06% for the year ended October 31, 2016 and 0.95% and 1.44% for the year ended October 31, 2015, respectively. |
(g) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (e)(f) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (f) | Portfolio turnover rate (excluding securities sold short) (c) | Portfolio turnover rate (including securities sold short) (c) | |||||||||||||||||||||||
$ | 12.65 | 8.85 | % | $ | 15,849 | 3.59 | % | (1.32 | )% | 3.95 | % | 138 | % | 305 | % | |||||||||||||||
13.11 | 2.01 | 14,276 | 3.69 | (0.26 | ) | 4.09 | 125 | 356 | ||||||||||||||||||||||
14.29 | (0.01 | ) | 14,973 | 3.50 | (0.73 | ) | 3.83 | 131 | 252 | |||||||||||||||||||||
14.69 | 6.14 | 17,932 | 3.66 | (1.51 | ) | 3.95 | 109 | 278 | ||||||||||||||||||||||
13.84 | (2.88 | ) | 25,393 | 3.33 | (2.07 | ) | 3.64 | 133 | 298 | |||||||||||||||||||||
14.25 | (3.59 | ) | 62,910 | 3.57 | (1.94 | ) | 4.03 | 163 | 370 | |||||||||||||||||||||
11.48 | 8.60 | 2,703 | 4.09 | (1.70 | ) | 4.44 | 138 | 305 | ||||||||||||||||||||||
12.06 | 1.52 | 3,731 | 4.20 | (0.74 | ) | 4.56 | 125 | 356 | ||||||||||||||||||||||
13.32 | (0.53 | ) | 6,155 | 4.01 | (1.26 | ) | 4.30 | 131 | 252 | |||||||||||||||||||||
13.79 | 5.59 | 10,920 | 4.14 | (2.01 | ) | 4.49 | 109 | 278 | ||||||||||||||||||||||
13.06 | (3.33 | ) | 15,003 | 3.83 | (2.53 | ) | 4.13 | 133 | 298 | |||||||||||||||||||||
13.51 | (4.12 | ) | 23,790 | 4.04 | (2.63 | ) | 4.46 | 163 | 370 | |||||||||||||||||||||
13.42 | 8.99 | 43,590 | 3.33 | (1.23 | ) | 3.65 | 138 | 305 | ||||||||||||||||||||||
13.80 | 2.27 | 27,694 | 3.43 | 0.01 | 3.79 | 125 | 356 | |||||||||||||||||||||||
14.93 | 0.20 | 34,927 | 3.24 | (0.47 | ) | 3.53 | 131 | 252 | ||||||||||||||||||||||
15.30 | 6.47 | 44,219 | 3.37 | (1.24 | ) | 3.68 | 109 | 278 | ||||||||||||||||||||||
14.37 | (2.64 | ) | 53,221 | 3.07 | (1.82 | ) | 3.38 | 133 | 298 | |||||||||||||||||||||
14.76 | (3.34 | ) | 337,990 | 3.32 | (1.74 | ) | 3.71 | 163 | 370 | |||||||||||||||||||||
13.79 | 9.07 | 19,803 | 3.19 | (0.94 | ) | 3.51 | 138 | 305 | ||||||||||||||||||||||
14.13 | 2.36 | 16,696 | 3.30 | 0.26 | 3.60 | 125 | 356 | |||||||||||||||||||||||
15.24 | 0.39 | 129,150 | 3.10 | (0.33 | ) | 3.38 | 131 | 252 | ||||||||||||||||||||||
15.58 | 6.57 | 146,460 | 3.26 | (1.13 | ) | 3.52 | 109 | 278 | ||||||||||||||||||||||
14.62 | (2.47 | ) | 253,734 | 2.92 | (1.61 | ) | 3.17 | 133 | 298 | |||||||||||||||||||||
14.99 | (3.17 | ) | 232,339 | 3.09 | (1.48 | ) | 3.58 | 163 | 370 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 27 |
Table of Contents
AS OF APRIL 30, 2020 (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 anopen-end management investment company.
The following are 2 separate funds of the Trust (each a “Fund” and collectively, the “Funds”) covered by this report:
Classes Offered | Diversification Classification | |||
JPMorgan Opportunistic Equity Long/Short Fund | Class A, Class C, Class I, Class R2(1), Class R5(1) and Class R6 | Non-Diversified | ||
JPMorgan Research Market Neutral Fund | Class A, Class C, Class I and Class L | Diversified |
(1) | On February 26, 2019, Class R2 and Class R5 Shares were liquidated. |
The investment objective of the JPMorgan Opportunistic Equity Long/Short Fund (“Opportunistic Equity Long/Short Fund”) is to seek capital appreciation.
The investment objective of the JPMorgan Research Market Neutral Fund (“Research Market Neutral Fund”) is to seek to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.
Prior to January 23, 2015, Opportunistic Equity Long/Short Fund was not publicly offered for investment.
Class L Shares of the Research Market Neutral Fund are publicly offered only on a limited basis. Investors are not eligible to purchase Class L shares of the Fund unless they meet certain requirements as described in the Fund’s prospectus.
Class A Shares generally provide for afront-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, and Class R6 Shares. Certain Class A Shares, for whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. 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 Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments inopen-end investment companies excluding exchange-traded funds (“ETFs”) (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
28 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Opportunistic Equity Long/Short Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 326,754 | $ | — | $ | — | $ | 326,754 | ||||||||
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Total Liabilities for Securities Sold Short(a) | $ | (76,873 | ) | $ | — | $ | — | $ | (76,873 | ) | ||||||
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Research Market Neutral Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 76,581 | $ | — | $ | — | $ | 76,581 | ||||||||
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Total Liabilities for Securities Sold Short(a) | $ | (58,647 | ) | $ | — | $ | — | $ | (58,647 | ) | ||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | (25 | ) | $ | — | $ | — | $ | (25 | ) | ||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certaindeminimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
APRIL 30, 2020 | J.P. MORGAN SPECIALTY FUNDS | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The Funds did not lend out any securities during the six months ended April 30, 2020.
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the tables below are in thousands.
Opportunistic Equity Long/Short Fund
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a) (b) | $ | 94,829 | $ | 382,486 | $ | 396,310 | $ | (42 | ) | $ | 42 | $ | 81,005 | 80,940 | $ | 540 | $ | — | ||||||||||||||||||
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Research Market Neutral Fund |
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For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a) (b) | $ | 9,419 | $ | 113,756 | $ | 109,007 | $ | (3 | ) | $ | 14 | $ | 14,179 | 14,168 | $ | 69 | $ | — | ||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of April 30, 2020. |
D. Options — Opportunistic Equity Long/Short Fund purchased and sold (“wrote”) put and call options on various instruments including futures, securities, currencies and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio 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. Swaptions and Eurodollar options are settled for cash.
Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
The table below discloses the volume of the Fund’s options contracts activity during the six months ended April 30, 2020 (amounts in thousands):
Opportunistic Equity Long/Short Fund | ||||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 120 | (a) |
(a) | For the period November 1, 2019 through November 30, 2019. |
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).
E. Futures Contracts — Research Market Neutral Fund used index futures contracts to more effectively manage the long and short equity exposures in the portfolio.
30 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
Table of Contents
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 Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Fund to equity price 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 Statements 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 table below discloses the volume of the Fund’s futures contracts activity during the six months ended April 30, 2020 (amounts in thousands):
Research Market Neutral Fund | ||||
Futures Contracts — Equity: | ||||
Average Notional Balance Long | $ | 900 | (a) | |
Average Notional Balance Short | 1,119 | |||
Ending Notional Balance Short | 1,161 |
(a) | For the period March 1, 2020 through March 31, 2020. |
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).
F. Short Sales — The Funds engaged in short sales as part of their normal investment activities. In a short sale, the Funds sell securities they do not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Funds borrow securities from a broker. To close out a short position, the Funds deliver the same securities to the broker.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Funds are obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported onex-dividend date on the Statements of Operations as Dividend expense on securities sold short.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Funds will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Funds replace the borrowed security. The Funds will record a realized gain if the price of the borrowed security declines between those dates.
As of April 30, 2020, the Funds had outstanding short sales as listed on their SOIs.
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, and dividend expense on securities sold short, are recorded on theex-dividend date or when a Fund first learns of the dividend.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
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 applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2020 are as follows (amounts in thousands):
Class A | Class C | Class I | Class L | Class R6 | Total | |||||||||||||||||||
Opportunistic Equity Long/Short Fund | ||||||||||||||||||||||||
Transfer agency fees | $ | 1 | $ | — | (a) | $ | 3 | n/a | $ | — | (a) | $ | 4 | |||||||||||
Research Market Neutral Fund | ||||||||||||||||||||||||
Transfer agency fees | 3 | — | (a) | 1 | $ | 1 | n/a | 5 |
(a) | Amount rounds to less than one thousand. |
I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
J. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually for the Funds 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 each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of each Fund’s respective average daily net assets as follows:
Opportunistic Equity Long/Short Fund | 1.20 | % | ||
Research Market Neutral Fund | 0.60 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2020, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I, Class L and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund
32 | J.P. MORGAN SPECIALTY FUNDS | APRIL 30, 2020 |
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shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | |||||||
Opportunistic Equity Long/Short Fund | 0.25 | % | 0.75 | % | ||||
Research Market Neutral Fund | 0.25 | 0.75 |
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended April 30, 2020, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||||||
Opportunistic Equity Long/Short Fund | $ | 2 | $ | — | (a) | |||
Research Market Neutral Fund | — | (a) | — |
(a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | |||||||||||||
Opportunistic Equity Long/Short Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | |||||||||
Research Market Neutral Fund | 0.25 | 0.25 | 0.25 | 0.10 | % |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expense. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections, and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | Class R6 | ||||||||||||||||
Opportunistic Equity Long/Short Fund | 1.85 | % | 2.35 | % | 1.60 | % | n/a | 1.35 | % | |||||||||||
Research Market Neutral Fund(1) | 1.25 | 1.75 | 0.99 | 0.85 | % | n/a |
(1) | Effective June 1, 2020, the contractual expense limitation decreased to 0.95%, 1.45% and 0.69% for Class A, Class C and Class I Shares, respectively, and are in place until at least May 31, 2021 for Class A and Class C Shares, and May 31, 2022 for Class I Shares. |
The expense limitation agreements were in effect for the six months ended April 30, 2020 and are in place until at least February 28, 2021.
For the six months ended April 30, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | |||||||||||||
Opportunistic Equity Long/Short Fund | $ | 12 | $ | 8 | $ | 4 | $ | 24 | ||||||||
Research Market Neutral Fund | 62 | 21 | 4 | 87 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amounts of these waivers/reimbursements resulting from investments in these money market funds for the six months ended April 30, 2020 were as follows (amounts in thousands):
Opportunistic Equity Long/Short Fund | $ | 75 | ||
Research Market Neutral Fund | 9 |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds 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 April 30, 2020, 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) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Opportunistic Equity Long/Short Fund | $ | 532,320 | $ | 519,982 | $ | 643,136 | $ | 616,037 | ||||||||
Research Market Neutral Fund | 73,493 | 67,345 | 83,196 | 75,548 |
During the six months ended April 30, 2020, 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 April 30, 2020 were as follows (amounts in thousands):
Aggregate Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Opportunistic Equity Long/Short Fund | $ | 213,498 | $ | 37,894 | $ | 1,511 | $ | 36,383 | ||||||||
Research Market Neutral Fund | 1,037 | 19,563 | 2,691 | 16,872 |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
As of October 31, 2019, the following Funds had capital loss carryforwards as follows (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Opportunistic Equity Long/Short Fund | $ | 14,061 | $ | — | ||||
Research Market Neutral Fund | 33,682 | * | — |
* | Amount includes capital loss carry forwards which are limited in future years under Internal Revenue Code sections381-384. |
During the year ended October 31, 2019, the following Fund utilized capital loss carryforwards as follows (amounts in thousands):
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
Research Market Neutral Fund | $ | 2,302 | $ | — |
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6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the six months ended April 30, 2020.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2020.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2020.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2020, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
Number of individual shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |||||||
Opportunistic Equity Long/Short Fund | 2 | 58.3 | % | |||||
Research Market Neutral Fund | 3 | 49.1 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
Because Opportunistic Equity Long/Short Fund may invest a substantial portion of its assets in REITs, the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
Since Opportunistic Equity Long/Short Fund isnon-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
As of April 30, 2020, the Funds pledged substantially all of their assets to Citigroup Global Markets, Inc. for securities sold short. For the Funds, deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citigroup Global Markets, Inc.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak ofCOVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of thisCOVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate otherpre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of thisCOVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Subsequent Events
On May 12, 2020, the Board of Trustees approved the conversion of the Research Market Neutral Fund’s Class L Shares into Class I Shares, which is scheduled to occur on or about July 2, 2020. Additionally, on May 12, 2020, the Board of Trustees approved changes to the investment advisory fee and the expense limitation agreement for the Research Market Neutral Fund. Effective June 1, 2020, the investment advisory fee for the Research Market Neutral Fund was reduced from 0.60% to 0.35%.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, November 1, 2019, and continued to hold your shares at the end of the reporting period, April 30, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Opportunistic Equity Long/Short Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.20 | $ | 11.90 | 2.33 | % | ||||||||
Hypothetical | 1,000.00 | 1,013.28 | 11.66 | 2.33 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,052.20 | 14.44 | 2.83 | ||||||||||||
Hypothetical | 1,000.00 | 1,010.79 | 14.15 | 2.83 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,055.50 | 10.63 | 2.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,014.52 | 10.42 | 2.08 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,056.60 | 9.36 | 1.83 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.76 | 9.17 | 1.83 | ||||||||||||
JPMorgan Research Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,088.50 | 18.64 | 3.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,007.01 | 17.91 | 3.59 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,086.00 | 21.21 | 4.09 | ||||||||||||
Hypothetical | 1,000.00 | 1,004.53 | 20.38 | 4.09 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,089.90 | 17.30 | 3.33 | ||||||||||||
Hypothetical | 1,000.00 | 1,008.30 | 16.63 | 3.33 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,090.70 | 16.58 | 3.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,009.00 | 15.93 | 3.19 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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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. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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 Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2020. All rights reserved. April 2020. | SAN-SPEC-420 |
Table of Contents
Semi-Annual Report
J.P. Morgan International Equity Funds
April 30, 2020 (Unaudited)
JPMorgan Emerging Markets Equity Fund
JPMorgan Emerging Markets Research Enhanced Equity Fund
JPMorgan Europe Dynamic Fund
JPMorgan International Advantage Fund
JPMorgan International Equity Fund
JPMorgan International Focus Fund
(formerly known as JPMorgan International Unconstrained Equity Fund)
JPMorgan International Hedged Equity Fund
JPMorgan International Research Enhanced Equity Fund
JPMorgan International Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
Table of Contents
Letter to Shareholders | 1 | |||
Market Overview | 2 | |||
3 | ||||
7 | ||||
9 | ||||
12 | ||||
14 | ||||
16 | ||||
19 | ||||
21 | ||||
23 | ||||
Schedules of Portfolio Investments | 26 | |||
Financial Statements | 60 | |||
Financial Highlights | 84 | |||
Notes to Financial Statements | 102 | |||
Schedule of Shareholder Expenses | 127 | |||
Liquidity Risk Management Program | 131 |
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. 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 any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
June 11, 2020 (Unaudited)
Dear Shareholders,
Many have faced significant challenges since my last letter, whether related to the COVID-19 pandemic or the recent acts of racism and discrimination around the world. While many have endured uncertainty and abrupt changes in their personal and professional lives related to these challenges, you can be confident that J.P. Morgan Asset Management is well-prepared for adverse events and is taking action to ensure that our clients and mutual fund shareholders continue to receive the service that is the foundation of our enterprise.
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“Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions.” — Andrea L. Lisher |
Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions. While our own employees transitioned to working from home, they worked tirelessly to
guide our clients and shareholders through this unprecedented time. We are here for you — our clients and fund shareholders — regardless of the economic, market or social and civic environment. That’s how we have always operated and we will not waiver in that commitment.
JPMorgan Chase & Co. has also recommitted its firm stance against any form of racism, discrimination, or social injustice. As Brian Lamb, Global Head of Diversity & Inclusion, recently said, “We are working across the entire firm — being intentional to strengthen our inclusive environment where our employees, customers and partners feel welcomed and valued in the communities where we do business.” To learn more, please visit JPMorgan Chase & Co.’s Diversity & Inclusion website.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 1 |
Table of Contents
J.P. Morgan International Equity Funds
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
While developed equity markets generally rallied in the final months of 2019, the global response to the COVID-19 pandemic led to a dramatic increase in financial market volatility and drove asset prices sharply lower in February and March of 2020 before equity prices posted a small rebound in April.
Global equity markets, led by the U.S. and Europe, largely recorded gains for the final two months of 2019 on the back of accommodative policies from leading central banks and investor expectations of a reduction in trade tensions. Even as economic data showed slowing or flat growth in China, Europe and the U.S. in the final quarter of 2019, there were no indicators that the longest recorded economic expansion in the U.S. would necessarily end. In the second half of December 2019, the U.S. and China reached a “Phase One” agreement that reduced trade tariffs and headed off the implementation of new tariffs. Combined with less aggressive U.S. trade rhetoric toward Mexico and toward European and Japanese auto industries, the U.S.-China trade agreement fueled price gains in developed equity markets.
In the U.K., the Conservative Party won a large majority in national elections in December, which appeared to remove investor concerns about the possibility of a non-negotiated “hard Brexit” departure from the EU. Equity prices in the U.K. and the British pound briefly rallied on the election result.
Early January 2020 saw continued investor support for global equities that weathered a brief flare up of military tension between the U.S. and Iran. However, investor sentiment began to turn as the outbreak of COVID-19 began to impact large parts of China’s economy. Emerging markets equities led a slump in global equity markets and U.S. and European government bonds largely gained. Notably, prices for benchmark Brent crude oil plummeted 11.9% in January amid shrinking demand from China and other economies hit by the pandemic.
U.S. equity prices found support in early February as companies began to report better-than-expected earnings from the final quarter of 2019. By the end of the month, global equity prices had fallen significantly and global demand for petroleum had declined for the first time since the 2009 financial crisis. China’s central bank responded to the impact of COVID-19 by cutting the prime lending rate and regional authorities across China enacted a range of actions to counter the sharp drop in economic activity. By the end of February, yields on benchmark 10-year U.S. Treasury bonds had fallen to a record low 1.1% as investors sought the perceived safety of government-backed bonds.
The month of March proved to be worse for global equities and a range of other asset classes as COVID-19 was declared a pandemic and national, regional and municipal governments implemented at-home quarantines and a range of other actions designed to prevent hospitals and health care systems from being overwhelmed. The U.S. Federal Reserve slashed interest rates, restarted its quantitative easing or asset purchasing program, and unleashed an array of programs to maintain liquidity and functioning in short-term commercial debt markets. The European Central Bank also stepped in to shore up economic activity via negative interest rates and a commitment to continue purchasing assets until no longer necessary. Statements of broad support from both central banks, along with fiscal stimulus and/or wage protection policies from national governments across the globe, helped to reduce record high volatility in financial markets. However, leading equity indexes lost 20% or more of their value during the first quarter of 2020. Corporate bond prices generally fell and the prices of Brent crude oil ended the first quarter down by 60%. Only developed market sovereign bonds and commodity gold experienced price appreciation in March 2020.
Global equity markets rebounded slightly in April and fixed income markets rallied somewhat as investors reacted positively to the actions of central banks and national governments to mitigate the economic impact of the pandemic. Price gains were seen in large cap technology stocks and pharmaceutical sector stocks. Fixed income investments benefitted from accommodative central bank policies and high quality corporate credit outperformed government bonds for the month. However, a glut in global petroleum markets sent futures prices for benchmark West Texas Intermediate crude oil into negative territory.
For the six months ended April 30, 2020, the S&P 500 Index returned -3.16%, the MSCI EAFE Index returned -14.00% and the MSCI Emerging Markets Index returned 10.39%. Among bond market indexes, the Bloomberg Barclays U.S. Aggregate Index returned 4.86% and the Bloomberg Barclays Emerging Markets Index returned -5.69%.
2 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | (10.07)% | |||
MSCI Emerging Markets Index (net of foreign withholding taxes) | (10.50)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 7,785,761 |
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s underweight allocation to the energy sector and its security selection in the communication services sector were leading contributors to performance relative to the Benchmark, while the Fund’s overweight allocation and security selection in the financials sector and its overweight allocation to the consumer staples sector were leading detractors from relative performance.
By country, the Fund’s overweight allocations to China and Belarus were leading contributors to performance relative to the Benchmark, while the Fund’s overweight allocation and security selection in India and its underweight allocation to Taiwan were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in EPAM Systems Inc., its overweight position in Wuxi Biologics (Cayman) Inc., and its underweight position in Petroleo Brasiliero SA. Shares of EPAM Systems, a U.S.-based global provider of software development and platform engineering services, rose after the company raised its forecast for first quarter 2020 results. Shares of Wuxi Biologics (Cayman), a Chinese developer of biological testing and drug research, rose amid investor expectations of increased demand for its products and services
in response to the COVID-19 pandemic. Shares of Petroleo Brasiliero, a Brazilian oil & natural gas producer, fell amid a global decline in demand for petroleum and a sharp drop in oil prices in 2020.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in IndusInd Bank Ltd. and HDFC Bank Ltd., and its overweight position in Grupo Financiero Banorte SA de CV. Shares of IndusInd Bank and HDFC Bank, both Indian banking and financial services providers, fell amid investor expectations at-home quarantine orders issued by the Indian government in response to the COVID-19 pandemic would lead to a sharp contraction in the India’s economy. Shares of Grupo Financiero Banorte, a Mexican banking and financial services company, fell amid investor expectations for a sharp contraction in Mexico’s economy in response to the COVID-19 pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed an active strategy in which portfolio construction was focused on the highest-conviction ideas found at the security level. The Fund’s portfolio managers used bottom-up fundamental research to determine the Fund’s security weightings, researching companies in an attempt to determine their underlying value and potential for future earnings growth.
As a result of this process, the Fund’s largest sector overweight allocations relative to the Benchmark were in the financials and consumer staples sectors and its largest relative underweight allocations were in the energy and materials sectors. The Fund’s largest country overweight allocations relative to the Benchmark were in India and China and its largest relative underweight allocations were in South Korea and Taiwan.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 3 |
Table of Contents
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Alibaba Group Holding Ltd., ADR (China) | 5.8 | % | |||||
2. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 5.3 | ||||||
3. | Tencent Holdings Ltd. (China) | 4.9 | ||||||
4. | Samsung Electronics Co. Ltd. (South Korea) | 4.1 | ||||||
5. | Housing Development Finance Corp. Ltd. (India) | 3.1 | ||||||
6. | EPAM Systems, Inc. (United States) | 3.1 | ||||||
7. | AIA Group Ltd. (Hong Kong) | 3.0 | ||||||
8. | Ping An Insurance Group Co. of China Ltd., Class H (China) | 2.5 | ||||||
9. | Tata Consultancy Services Ltd. (India) | 2.4 | ||||||
10. | NetEase, Inc., ADR (China) | 2.4 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
China | 34.9 | % | ||
India | 16.3 | |||
Taiwan | 8.9 | |||
Hong Kong | 6.4 | |||
South Korea | 5.5 | |||
Brazil | 4.8 | |||
United States | 3.1 | |||
Mexico | 2.4 | |||
Argentina | 2.2 | |||
Indonesia | 2.1 | |||
South Africa | 1.7 | |||
Portugal | 1.6 | |||
Hungary | 1.5 | |||
Macau | 1.3 | |||
Turkey | 1.2 | |||
Others (each less than 1.0%) | 2.9 | |||
Short-Term Investments | 3.2 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
4 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||||||
With Sales Charge** | (14.98 | )% | (12.50 | )% | 2.71 | % | 2.21 | % | ||||||||||
Without Sales Charge | (10.26 | ) | (7.65 | ) | 3.82 | 2.77 | ||||||||||||
CLASS C SHARES | February 28, 2006 | |||||||||||||||||
With CDSC*** | (11.48 | ) | (9.14 | ) | 3.30 | 2.25 | ||||||||||||
Without CDSC | (10.48 | ) | (8.14 | ) | 3.30 | 2.25 | ||||||||||||
CLASS I SHARES | September 10, 2001 | (10.14 | ) | (7.43 | ) | 4.07 | 3.02 | |||||||||||
CLASS L SHARES | November 15, 1993 | (10.07 | ) | �� | (7.33 | ) | 4.21 | 3.17 | ||||||||||
CLASS R2 SHARES | July 31, 2017 | (10.37 | ) | (7.93 | ) | 3.59 | 2.65 | |||||||||||
CLASS R3 SHARES | July 31, 2017 | (10.25 | ) | (7.70 | ) | 3.80 | 2.76 | |||||||||||
CLASS R4 SHARES | July 31, 2017 | (10.17 | ) | (7.49 | ) | 4.04 | 3.00 | |||||||||||
CLASS R5 SHARES | September 9, 2016 | (10.08 | ) | (7.32 | ) | 4.22 | 3.17 | |||||||||||
CLASS R6 SHARES | December 23, 2013 | (10.05 | ) | (7.24 | ) | 4.32 | 3.23 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information pleasecall 1-800-480-4111.
Returns for Class R5 Shares and Class R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares and Class R6 Shares would have been different than those shown because Class R5 Shares and Class R6 Shares have different expenses than Class L Shares.
Returns shown for Class R2 Shares and Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R2 Shares and Class R3 Shares would have been lower than those shown because Class R2 Shares and Class R3 Shares have higher expenses than Class A Shares.
Returns for Class R4 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower than those shown because Class R4 Shares have higher expenses than Class I Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Emerging Markets Equity Fund and the MSCI Emerging Markets Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. 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 MSCI Emerging Markets Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The MSCI Emerging Markets Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 5 |
Table of Contents
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
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.
6 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class R6 Shares)* | (11.73)% | |||
MSCI Emerging Markets Index (net of foreign withholding taxes) | (10.50)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 2,382,905 |
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Research Enhanced Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class R6 Shares underperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the financials and industrials sectors was a leading contributor to relative performance, while the Fund’s security selection in the energy and consumer discretionary sectors was a leading detractor from relative performance.
By country, the Fund’s security selection in South Korea and Taiwan was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in Saudi Arabia and Poland was a leading contributor relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Itau Unibanco Holding SA, CVC Brasil Operadora SA and China Oilfield Services Ltd. Shares of Itau Unibanco Holding, a Brazilian banking and financial services company, fell amid investor expectations for a sharp contraction in Brazil’s economy in response to the COVID-19 pandemic. Shares of CVC Brasil Operadora, a Brazilian travel agency, fell amid investor expectations that its leisure travel would be severely curtailed in response to the COVID-19 pandemic. Shares of China Oilfield Services Ltd., a Chinese offshore oilfield services provider, fell amid a sharp decline in global prices for petroleum and natural gas in 2020.
Leading individual contributors to relative performance included the Fund’s underweight positions in HDFC Ltd. and Axis Bank Ltd. and its overweight position in Yonyou Network Technology Co. Shares of HDFC, and Indian banking and financial services company, fell amid investor expectations that at-home quarantine orders issued by the Indian government in response to the COVID-19 pandemic would lead to a sharp contraction in the India’s economy. Shares of Axis Bank, an Indian financial services company, fell after it reported a loss for the quarter ended March 31, 2020. Shares of Yonyou Network Technology, a Chinese provider of cloud computing, software and services to businesses, rose amid investor expectation that cloud computing services would experience greater demand during at-home quarantines in response to the COVID-19 pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a combination of disciplined portfolio construction with in-depth fundamental research conducted
by a global network of research analysts to identify what they believed to be overvalued and undervalued stocks.
As a result of this process, the Fund’s smallest underweight allocations relative to the Benchmark were in the consumer discretionary and real estate sectors and its largest relative underweight allocations were in the financials and materials sectors. By country, the Fund’s largest overweight allocations relative to the Benchmark were in Mexico and Russia and its largest relative underweight allocations were in Taiwan and Malaysia.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Alibaba Group Holding Ltd., ADR (China) | 7.1 | % | |||||
2. | Tencent Holdings Ltd. (China) | 6.1 | ||||||
3. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 5.1 | ||||||
4. | Samsung Electronics Co. Ltd. (South Korea) | 4.6 | ||||||
5. | China Construction Bank Corp., Class H (China) | 1.8 | ||||||
6. | Ping An Insurance Group Co. of China Ltd., Class H (China) | 1.5 | ||||||
7. | Reliance Industries Ltd. (India) | 1.2 | ||||||
8. | Housing Development Finance Corp. Ltd. (India) | 1.1 | ||||||
9. | Naspers Ltd., Class N (South Africa) | 1.0 | ||||||
10. | SK Hynix, Inc. (South Korea) | 0.9 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
China | 39.3 | % | ||
South Korea | 12.3 | |||
Taiwan | 12.0 | |||
India | 8.7 | |||
Brazil | 4.6 | |||
Russia | 4.1 | |||
South Africa | 3.5 | |||
Mexico | 2.4 | |||
Saudi Arabia | 2.4 | |||
Thailand | 1.6 | |||
Indonesia | 1.6 | |||
Turkey | 1.1 | |||
Malaysia | 1.1 | |||
Others (each less than 1.0%) | 4.0 | |||
Short-Term Investments | 1.3 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 7 |
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | SINCE INCEPTION | |||||||||||
CLASS I SHARES | January 30, 2019 | (11.79 | )% | (12.63 | )% | (0.58 | )% | |||||||
CLASS R6 SHARES | December 11, 2018 | (11.73 | ) | (12.51 | ) | (0.44 | ) |
* | Not annualized. |
LIFE OF FUND PERFORMANCE(12/11/18 TO 4/30/20)
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 pleasecall 1-800-480-4111.
The Fund commenced operations on December 11, 2018.
Returns for Class I Shares prior to its inception date are based on the performance of Class R6 Shares. The actual returns of Class I Shares would have been lower than those shown because Class I Shares have higher expenses than Class R6 Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan Emerging Markets Research Enhanced Equity Fund and the MSCI Emerging Markets Index (net of foreign withholding taxes) from December 11, 2018 to April 30, 2020. 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 MSCI Emerging Markets Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of
withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The MSCI Emerging Markets Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. Investors cannot invest directly in an index.
Class R6 Shares have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
8 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | (16.65)% | |||
MSCI Europe Index (net of foreign withholding taxes) | (15.47)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 417,455 |
INVESTMENT OBJECTIVE**
The JPMorgan Europe Dynamic Fund (the “Fund”) seeks total return from long-term capital growth. Total return consists of capital growth and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the MSCI Europe Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s underweight allocation and security selection in the food, beverages & tobacco sector and its security selection in the transportation sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the consumer services sector and its underweight allocation in the banks sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’sout-of-Benchmark positions in Nestle SA and Dart Group PLC and its overweight position in Peugeot SA. Shares of Nestle, a Swiss maker of prepared foods and consumer goods, fell after the company reported a decline in sales for the first quarter of 2020. Shares of Dart Group, a U.K. provider of leisure airline travel, distribution and logistics, fell amid a halt to most airline traffic in response to theCOVID-19
pandemic. Shares of Peugeot, a French automaker, fell amid a sharp decline in new car sales in early 2020.
Leading individual contributors to relative performance included the Fund’s overweight positions in Roche Holding SA, Evolution Gaming Group AB and Polymetal International PLC. Shares of Roche Holding, a Swiss pharmaceutical company, rose amid investor expectations that it would benefit from a potential vaccine, treatment or test for theCOVID-19 virus. Shares of Evolution Gaming Group, a Swedish online casino and gaming provider not held in the Benchmark, rose as investors sought companies they believed were well positioned to weather financial market volatility in 2020. Shares of Polymetal International, a gold and silver mining company not held in the Benchmark, rose amid investor expectations for rising demand for precious metals in the face of financial market volatility in 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed had these style characteristics. Portfolio positions were based onbottom-up security selection rather thantop-down asset allocation decisions.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 9 |
Table of Contents
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Roche Holding AG (Switzerland) | 4.7 | % | |||||
2. | Novartis AG (Registered) (Switzerland) | 3.9 | ||||||
3. | Nestle SA (Registered) (Switzerland) | 3.4 | ||||||
4. | Sanofi (France) | 3.2 | ||||||
5. | Allianz SE (Registered) (Germany) | 2.2 | ||||||
6. | Linde plc (United Kingdom) | 2.1 | ||||||
7. | Enel SpA (Italy) | 2.1 | ||||||
8. | Koninklijke Ahold Delhaize NV (Netherlands) | 2.1 | ||||||
9. | Kering SA (France) | 1.9 | ||||||
10. | Swisscom AG (Registered) (Switzerland) | 1.8 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Switzerland | 19.0 | % | ||
United Kingdom | 15.9 | |||
France | 13.6 | |||
Germany | 11.9 | |||
Netherlands | 7.4 | |||
Italy | 4.5 | |||
Sweden | 3.6 | |||
Belgium | 2.2 | |||
Australia | 2.1 | |||
Austria | 2.0 | |||
Finland | 1.8 | |||
Russia | 1.8 | |||
Ireland | 1.7 | |||
Spain | 1.3 | |||
Others (each less than 1.0%) | 1.3 | |||
Short-Term Investments | 9.9 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
10 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||
CLASS A SHARES | November 2, 1995 | |||||||||||||||
With Sales Charge** | (21.02)% | (19.45 | )% | (3.87 | )% | 2.83 | % | |||||||||
Without Sales Charge | (16.65) | (14.97 | ) | (2.83 | ) | 3.39 | ||||||||||
CLASS C SHARES | November 1, 1998 | |||||||||||||||
With CDSC*** | (17.82) | (16.36 | ) | (3.31 | ) | 2.87 | ||||||||||
Without CDSC | (16.82) | (15.36 | ) | (3.31 | ) | 2.87 | ||||||||||
CLASS I SHARES | September 10, 2001 | (16.56) | (14.73 | ) | (2.56 | ) | 3.67 | |||||||||
CLASS L SHARES | September 10, 2001 | (16.47) | (14.63 | ) | (2.41 | ) | 3.86 | |||||||||
CLASS R6 SHARES | October 1, 2018 | (16.44) | (14.56 | ) | (2.39 | ) | 3.87 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class L Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Europe Dynamic Fund and the MSCI Europe Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI Europe Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who
do not benefit from double taxation treaties. The MSCI Europe Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 11 |
Table of Contents
JPMorgan International Advantage Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | (16.19)% | |||
MSCI EAFE Index (net of foreign withholding taxes) | (14.21)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 1,494,850 |
INVESTMENT OBJECTIVE**
The JPMorgan International Advantage Fund (the “Fund”) seeks to maximize long-term capital growth by investing primarily in equity securities in developed markets outside the U.S.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the industrials sector and its underweight allocation and security selection in the consumer staples sector were leading detractors from performance relative to the Benchmark, while the Fund’s overweight allocation in the information technology sector and its security selection in the communication services sector were leading contributors to relative performance.
By country, the Fund’s security selection in Germany and Japan was a leading detractor from relative performance, while the Fund’s security selection in the U.K. and its underweight allocation to France were leading contributors to relative performance.
The Fund targeted investments in companies that exhibited specific growth, value and quality characteristics during the period. Due to the relatively large number of securities held in the Fund during the reporting period, the impact of individual holdings on the Fund’s relative performance tended to be small.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed were attractive based on their proprietary multifactor model.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Nestle SA (Registered) (Switzerland) | 2.8 | % | |||||
2. | Roche Holding AG (Switzerland) | 2.7 | ||||||
3. | Novartis AG (Registered) (Switzerland) | 2.2 | ||||||
4. | Sanofi (France) | 1.9 | ||||||
5. | BHP Group Ltd. (Australia) | 1.6 | ||||||
6. | Novo Nordisk A/S, Class B (Denmark) | 1.5 | ||||||
7. | Toyota Motor Corp. (Japan) | 1.5 | ||||||
8. | Allianz SE (Registered) (Germany) | 1.5 | ||||||
9. | Rio Tinto plc (Australia) | 1.3 | ||||||
10. | Schneider Electric SE (France) | 1.3 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Japan | 24.5 | % | ||
Switzerland | 11.3 | |||
United Kingdom | 10.5 | |||
Australia | 8.9 | |||
France | 6.7 | |||
Netherlands | 6.2 | |||
Germany | 6.0 | |||
Sweden | 2.6 | |||
Denmark | 2.4 | |||
Hong Kong | 2.4 | |||
Singapore | 2.4 | |||
Spain | 1.8 | |||
Belgium | 1.2 | |||
Italy | 1.1 | |||
Norway | 1.0 | |||
Others (each less than 1.0%) | 4.2 | |||
Short-Term Investments | 6.8 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
12 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||||||
With Sales Charge** | (20.58 | )% | (19.93 | )% | (3.55 | )% | 1.79 | % | ||||||||||
Without Sales Charge | (16.19 | ) | (15.51 | ) | (2.50 | ) | 2.34 | |||||||||||
CLASS C SHARES | February 28, 2006 | |||||||||||||||||
With CDSC*** | (17.34 | ) | (16.92 | ) | (2.98 | ) | 1.83 | |||||||||||
Without CDSC | (16.34 | ) | (15.92 | ) | (2.98 | ) | 1.83 | |||||||||||
CLASS I SHARES | February 28, 2006 | (16.01 | ) | (15.27 | ) | (2.19 | ) | 2.62 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (16.29 | ) | (15.77 | ) | (2.76 | ) | 2.07 | ||||||||||
CLASS R6 SHARES | May 29, 2015 | (15.95 | ) | (15.12 | ) | (2.02 | ) | 2.85 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of the now liquidated Institutional Class Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Institutional Class Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan International Advantage Fund and the MSCI EAFE Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. 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 MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Index (net of foreign withholding taxes) is a free
float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 13 |
Table of Contents
JPMorgan International Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (12.50)% | |||
MSCI EAFE Index (net of foreign withholding taxes) | (14.21)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 2,667,454 |
INVESTMENT OBJECTIVE**
The JPMorgan International Equity Fund (the “Fund”) seeks total return from long-term capital growth and income. Total return consists of capital growth and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the financials sector and its security selection and overweight allocation to the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s underweight position in the health care sector and its security selection in the consumer staples sector were leading detractors from relative performance.
By region, the Fund’s security selection in Europe, excluding the U.K., and in the Pacific, excluding Japan, was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight allocation to Japan was the sole regional detractor from relative performance.
Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Roche Holding SA, Tencent Holdings Ltd. and Novo Nordisk A/S. Shares of Roche Holding, a Swiss pharmaceutical company, rose amid investor expectations that it would benefit from a potential vaccine, treatment or test for theCOVID-19 virus. Shares of Tencent Holdings, a Hong Kong online gaming, advertising and services company, rose amid growth in earnings and revenue and investor expectations for increased traffic to its services duringat-home quarantines as a result of theCOVID-19 pandemic. Shares of Novo Nordisk, a Danish pharmaceuticals company, rose after the company reported better-than-expected results for the fourth quarter of 2019.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Itau Unibanco Holding SA, ING Groep NV and Royal Dutch Shell PLC. Shares of Itau Unibanco Holding, a Brazilian banking and financial services company, fell amid investor expectations for a sharp contraction in Brazil’s economy in response to theCOVID-19 pandemic. Shares of ING Groep, a Dutch banking, financial services and insurance provider, fell after the company reported lower-than-expected earnings for the fourth quarter of 2019. Shares of Royal Dutch Shell, a British/Dutch oil and natural gas producer and retailer, fell as global energy demand contracted and global oil prices fell sharply in 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They usedbottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Nestle SA (Registered) (Switzerland) | 4.0 | % | |||||
2. | Roche Holding AG (Switzerland) | 3.5 | ||||||
3. | Novartis AG (Registered) (Switzerland) | 2.6 | ||||||
4. | AIA Group Ltd. (Hong Kong) | 2.3 | ||||||
5. | GlaxoSmithKline plc (United Kingdom) | 2.3 | ||||||
6. | Novo Nordisk A/S, Class B (Denmark) | 2.2 | ||||||
7. | ASML Holding NV (Netherlands) | 2.1 | ||||||
8. | Diageo plc (United Kingdom) | 2.0 | ||||||
9. | SAP SE (Germany) | 2.0 | ||||||
10. | Sony Corp. (Japan) | 1.9 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Japan | 14.8 | % | ||
United Kingdom | 14.2 | |||
Switzerland | 13.3 | |||
France | 12.8 | |||
Germany | 7.8 | |||
Netherlands | 4.1 | |||
Denmark | 4.0 | |||
Hong Kong | 4.0 | |||
China | 3.6 | |||
Australia | 3.4 | |||
Sweden | 2.3 | |||
Taiwan | 1.6 | |||
South Korea | 1.4 | |||
Finland | 1.2 | |||
India | 1.2 | |||
United States | 1.2 | |||
Spain | 1.0 | |||
Singapore | 1.0 | |||
Others (each less than 1.0%) | 2.0 | |||
Short-Term Investments | 5.1 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
14 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | February 28, 2002 | |||||||||||||||||
With Sales Charge** | (17.21 | )% | (14.00 | )% | (1.02 | )% | 2.89 | % | ||||||||||
Without Sales Charge | (12.60 | ) | (9.25 | ) | 0.05 | 3.45 | ||||||||||||
CLASS C SHARES | January 31, 2003 | |||||||||||||||||
With CDSC*** | (13.88 | ) | (10.79 | ) | (0.46 | ) | 2.92 | |||||||||||
Without CDSC | (12.88 | ) | (9.79 | ) | (0.46 | ) | 2.92 | |||||||||||
CLASS I SHARES | January 1, 1997 | (12.50 | ) | (9.03 | ) | 0.30 | 3.70 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | (12.77 | ) | (9.55 | ) | (0.23 | ) | 3.17 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | (12.45 | ) | (8.94 | ) | 0.44 | 3.88 | |||||||||||
CLASS R6 SHARES | November 30, 2010 | (12.43 | ) | (8.86 | ) | 0.52 | 3.95 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Equity Fund and the MSCI EAFE Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. 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 MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The
MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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 applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 15 |
Table of Contents
JPMorgan International Focus Fund
(formerly known as JPMorgan International Unconstrained Equity Fund)
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (9.60)% | |||
MSCI All Country World Index,Ex-U.S. (net of foreign withholding taxes) | (13.22)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 2,535,256 |
INVESTMENT OBJECTIVE**
The JPMorgan International Focus Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI All Country World Index,Ex-U.S. (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the consumer discretionary and financials sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the health care and materials sectors was a leading detractor from relative performance.
By region, the Fund’s security selection in continental Europe and the U.K. was a leading contributor to relative performance, while the Fund’s underweight position in Japan was the sole regional detractor from relative performance.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Delivery Hero AG, Tencent Holdings Ltd. and Novo Nordisk A/S. Shares of Delivery Hero, a German online food delivery service, rose amid investor expectations for increased demand duringat-home quarantines as a result of theCOVID-19 pandemic. Shares of Tencent Holdings, a Hong Kong online gaming, advertising and services
company, rose amid growth in earnings and revenue and investor expectations for increased traffic to its services duringat-home quarantines as a result of theCOVID-19 pandemic. Shares of Novo Nordisk, a Danish pharmaceuticals company, rose after the company reported better-than-expected results for the fourth quarter of 2019.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Airbus SE, Continental AG and HDFC Bank Ltd. Shares of Airbus, a French airplanes and aerospace company, fell after the company slashed production due to decreased demand amid theCOVID-19 pandemic. Shares of Continental, a German rubber tire manufacturer, fell amid a sharp decline in automobile sales in 2020. Shares of HDFC Bank, an Indian banking and financial services provider, fell amid investor expectations thatat-home quarantine orders issued by the Indian government in response to theCOVID-19 pandemic would lead to a sharp contraction in India’s economy.
HOW WAS THE FUND POSITIONED?
By harnessing their team’s global sector specialists, the Fund’s portfolio managers sought to build a high-conviction, benchmark-agnostic portfolio of growth, value and unique companies, whose future prospects, the managers believed, were under-appreciated by the market and thus possessed the potential to deliver higher-than-expected earnings that could have a positive effect on the share price.
16 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Nestle SA (Registered) (Switzerland) | 4.7 | % | |||||
2. | Tencent Holdings Ltd. (China) | 3.6 | ||||||
3. | AIA Group Ltd. (Hong Kong) | 3.3 | ||||||
4. | HDFC Bank Ltd., ADR (India) | 3.1 | ||||||
5. | Alibaba Group Holding Ltd., ADR (China) | 3.0 | ||||||
6. | Ping An Insurance Group Co. of China Ltd., Class H (China) | 2.9 | ||||||
7. | Roche Holding AG (Switzerland) | 2.7 | ||||||
8. | GlaxoSmithKline plc (United Kingdom) | 2.7 | ||||||
9. | Novo Nordisk A/S, Class B (Denmark) | 2.6 | ||||||
10. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 2.6 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
United Kingdom | 18.9 | % | ||
Switzerland | 10.5 | |||
Germany | 9.5 | |||
China | 9.4 | |||
Canada | 6.4 | |||
France | 6.3 | |||
Japan | 5.3 | |||
Hong Kong | 3.3 | |||
India | 3.1 | |||
Sweden | 2.9 | |||
Denmark | 2.6 | |||
Taiwan | 2.6 | |||
Netherlands | 2.5 | |||
South Korea | 2.3 | |||
Australia | 1.9 | |||
Belgium | 1.5 | |||
United States | 1.5 | |||
Indonesia | 1.4 | |||
Finland | 1.3 | |||
Short-Term Investments | 6.8 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 17 |
Table of Contents
JPMorgan International Focus Fund
(formerly known as JPMorgan International Unconstrained Equity Fund)
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | November 30, 2011 | |||||||||||||||||
With Sales Charge** | (14.49 | )% | (12.08 | )% | 0.30 | % | 5.16 | % | ||||||||||
Without Sales Charge | (9.75 | ) | (7.21 | ) | 1.39 | 5.84 | ||||||||||||
CLASS C SHARES | November 30, 2011 | |||||||||||||||||
With CDSC*** | (10.92 | ) | (8.67 | ) | 0.89 | 5.31 | ||||||||||||
Without CDSC | (9.92 | ) | (7.67 | ) | 0.89 | 5.31 | ||||||||||||
CLASS I SHARES | November 30, 2011 | (9.60 | ) | (6.96 | ) | 1.69 | 6.14 | |||||||||||
CLASS R2 SHARES | November 30, 2011 | (9.86 | ) | (7.48 | ) | 1.11 | 5.55 | |||||||||||
CLASS R5 SHARES | November 30, 2011 | (9.54 | ) | (6.84 | ) | 1.80 | 6.29 | |||||||||||
CLASS R6 SHARES | November 30, 2011 | (9.53 | ) | (6.79 | ) | 1.87 | 6.35 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE(11/30/11 TO 4/30/20)
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 November 30, 2011.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Focus Fund and the MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) from November 30, 2011 to April 30, 2020. 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 MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through May 30, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside of 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.
18 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (8.56)% | |||
MSCI EAFE Index (net of foreign withholding taxes) | (14.21)% | |||
ICE BofAML 3-Month U.S. Treasury Bill Index | 0.85% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 95,467 |
INVESTMENT OBJECTIVE**
The JPMorgan International Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) and underperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the utilities and basic industries sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the retail and consumer staples sectors was a leading detractor from relative performance.
By country, the Fund’s overweight position and security selection in Australia and its security selection in Italy were leading contributors to performance relative to the Benchmark, while the Fund’s security selection and underweight position in Japan and its security selection in France were leading detractors from relative performance.
Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Roche Holding SA, Novo Nordisk A/S and Nintendo Ltd. Shares of Roche Holding, a Swiss pharmaceutical company, rose amid investor expectations that it would benefit from a potential vaccine, treatment or test for the COVID-19. Shares of Novo Nordisk, a Danish pharmaceuticals company, rose after the company reported better-than-expected results for the fourth quarter of 2019. Shares of Nintendo, a Japanese developer of home entertainment products, rose amid increased demand for its products by households under quarantine as a result of the COVID-19 pandemic.
Leading individual detractors from relative performance included the Fund’s overweight positions in Airbus SE, Anheuser-Busch InBev SA and Standard Chartered PLC. Shares of Airbus, a French airplanes and aerospace company, fell after the company slashed production due to decreased demand amid the COVID-19 pandemic. Shares of Anheuser-Busch, a Belgian beer and beverages company, fell after it reported a sharp decline in fourth quarter 2019 profit as sales in China declined sharply amid COVID-19 quarantines and U.S. sales were hurt by increased demand for alcoholic seltzer products. Shares of Standard Chartered, a U.K. banking and financial services company, fell after the company cancelled dividend payments to shareholders under pressure from regulators to free up capital for lending during the COVID-19 pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Nestle SA (Registered) (Switzerland) | 3.9 | % | |||||
2. | Roche Holding AG (Switzerland) | 3.0 | ||||||
3. | Novartis AG (Registered) (Switzerland) | 2.4 | ||||||
4. | Toyota Motor Corp. (Japan) | 2.2 | ||||||
5. | ASML Holding NV (Netherlands) | 2.1 | ||||||
6. | SAP SE (Germany) | 2.0 | ||||||
7. | Sanofi (France) | 2.0 | ||||||
8. | Novo Nordisk A/S, Class B (Denmark) | 2.0 | ||||||
9. | Air Liquide SA (France) | 1.6 | ||||||
10. | Diageo plc (United Kingdom) | 1.5 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Japan | 23.7 | % | ||
United Kingdom | 15.9 | |||
France | 12.6 | |||
Switzerland | 11.7 | |||
Germany | 9.7 | |||
Netherlands | 4.7 | |||
Australia | 4.7 | |||
Denmark | 3.3 | |||
Spain | 3.2 | |||
Hong Kong | 2.1 | |||
Italy | 2.1 | |||
Sweden | 1.3 | |||
Ireland | 1.0 | |||
Others (each less than 1.0%) | 3.1 | |||
Short-Term Investments | 0.9 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 19 |
Table of Contents
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | March 15, 2019 | |||||||||||||||
With Sales Charge** | (13.44 | )% | (11.40 | )% | (9.03 | )% | ||||||||||
Without Sales Charge | (8.67 | ) | (6.51 | ) | (4.57 | ) | ||||||||||
CLASS C SHARES | March 15, 2019 | |||||||||||||||
With CDSC*** | (9.86 | ) | (7.94 | ) | (5.02 | ) | ||||||||||
Without CDSC | (8.86 | ) | (6.94 | ) | (5.02 | ) | ||||||||||
CLASS I SHARES | March 15, 2019 | (8.56 | ) | (6.28 | ) | (4.32 | ) | |||||||||
CLASS R5 SHARES | March 15, 2019 | (8.46 | ) | (6.11 | ) | (4.16 | ) | |||||||||
CLASS R6 SHARES | March 15, 2019 | (8.44 | ) | (6.04 | ) | (4.09 | ) |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE(3/15/19 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
The Fund commenced operations on March 15, 2019.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Hedged Equity Fund, the MSCI EAFE Index (net of foreign withholding taxes) and the ICE BofAML3-Month U.S. Treasury Bill Index from March 15, 2019 to April 30, 2020. 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 MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate tonon-resident institutional investors who do not benefit from double taxation treaties. The performance of the ICE BofAML3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization
weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The ICE BofAML3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
20 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (15.11)% | |||
MSCI EAFE Index (net of foreign withholding taxes) | (14.21)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 4,303,710 |
INVESTMENT OBJECTIVE**
The JPMorgan International Research Enhanced Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s security selection in the retail and consumer staples sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the utilities and basic industries sectors was a leading contributor to relative performance.
By region, the Fund’s security selection in Japan and Europe was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the Pacific, excluding Japan, was the sole regional contributor to relative performance.
Due to the Fund holding a relatively large number of securities during the reporting period, the impact of individual holdings on the Fund’s relative performance tended to be small.
HOW WAS THE FUND POSITIONED?
The Fund sought to outperform the Benchmark over time, while seeking to achieve sector, geographic and risk characteristics similar to that of the Benchmark. Using the fundamental equity insights generated by analysts, the Fund’s portfolio managers took a marginally overweight position in securities included within the universe of the Benchmark that they considered undervalued, while marginally underweighting or not holding securities in the Benchmark that they considered overvalued.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Nestle SA (Registered) (Switzerland) | 3.6 | % | |||||
2. | Roche Holding AG (Switzerland) | 2.8 | ||||||
3. | Novartis AG (Registered) (Switzerland) | 2.2 | ||||||
4. | Toyota Motor Corp. (Japan) | 1.9 | ||||||
5. | ASML Holding NV (Netherlands) | 1.9 | ||||||
6. | SAP SE (Germany) | 1.8 | ||||||
7. | Sanofi (France) | 1.8 | ||||||
8. | Novo Nordisk A/S, Class B (Denmark) | 1.8 | ||||||
9. | Air Liquide SA (France) | 1.5 | ||||||
10. | Diageo plc (United Kingdom) | 1.4 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Japan | 21.4 | % | ||
United Kingdom | 14.5 | |||
France | 11.5 | |||
Switzerland | 10.6 | |||
Germany | 8.8 | |||
Australia | 4.3 | |||
Netherlands | 4.3 | |||
Denmark | 3.0 | |||
Spain | 2.9 | |||
Italy | 1.9 | |||
Hong Kong | 1.9 | |||
Sweden | 1.2 | |||
Others (each less than 1.0%) | 3.9 | |||
Short-Term Investments | 9.8 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 21 |
Table of Contents
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | April 23, 1993 | |||||||||||||||||
With Sales Charge** | (19.65 | )% | (17.56 | )% | (1.84 | )% | 2.11 | % | ||||||||||
Without Sales Charge | (15.21 | ) | (12.98 | ) | (0.77 | ) | 2.66 | |||||||||||
CLASS I SHARES | October 28, 1992 | (15.11 | ) | (12.76 | ) | (0.52 | ) | 2.92 | ||||||||||
CLASS R6 SHARES | November 1, 2017 | (15.10 | ) | (12.69 | ) | (0.47 | ) | 2.95 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Research Enhanced Equity Fund and the MSCI EAFE Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. 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 MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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 applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside of 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.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
22 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | (23.10)% | |||
MSCI EAFE Value Index (net of foreign withholding taxes) | (21.28)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 274,690 |
INVESTMENT OBJECTIVE**
The JPMorgan International Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares underperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2020.
By sector, the Fund’s underweight allocations to the utilities sector and the pharmaceuticals, biotechnology and life sciences sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the materials and real estate sectors was a leading contributor to relative performance.
By region, the Fund’s security selection in continental Europe and the U.K. was a leading detractor from relative performance, while the Fund’s security selection in the Pacific, excluding Japan, was the sole regional contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Sanofi SA, Softbank Group Corp. and Takeda Pharmaceutical Co. Shares of Sanofi, a French pharmaceuticals company not held in the Fund, rose after the company reported growth in earnings and sales for the first quarter of 2020. Shares of Softbank, a Japanese investment company not held by the Fund, rose after the
company announced it would sell an estimated $41 billion in assets and repurchase $18 billion of its shares. Shares of Takeda Pharmaceutical, a Japanese drug maker not held in the Fund, rose amid investor expectations that the company could benefit from the development of tests, treatments or a vaccine for COVID-19.
Leading individual contributors to relative performance included the Fund’s underweight positions in BP PLC, Banco Santander SA and HSBC Holdings PLC. Shares of BP, a U.K. oil and natural gas producer and retailer, fell amid declining global demand for petroleum and a sharp drop in global oil prices in 2020. Shares of Banco Santander, a Spanish banking and financial services company not held in the Fund, fell after the company reported a sharp drop in earnings as it set aside funds for anticipated loan losses amid the COVID-19 pandemic. Shares of HSBC Holdings, a U.K. banking and financial services company, fell after the company reported a sharp drop in earnings in the face of the COVID-19 pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed behavioral-based and quantitative screens in addition to conducting fundamental analysis to seek out companies that they believed had attractive valuations. As a result of this process, the Fund’s largest overweight sector positions relative to the Benchmark were in the media & entertainment and materials sectors, while the largest underweight sector positions were in the utilities and capital goods sectors.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 23 |
Table of Contents
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Toyota Motor Corp. (Japan) | 2.6 | % | |||||
2. | Royal Dutch Shell plc, Class A (Netherlands) | 2.5 | ||||||
3. | BHP Group Ltd. (Australia) | 1.9 | ||||||
4. | British American Tobacco plc (United Kingdom) | 1.9 | ||||||
5. | Novartis AG (Registered) (Switzerland) | 1.8 | ||||||
6. | TOTAL SA (France) | 1.7 | ||||||
7. | BP plc (United Kingdom) | 1.6 | ||||||
8. | Rio Tinto plc (Australia) | 1.4 | ||||||
9. | Bayer AG (Registered) (Germany) | 1.3 | ||||||
10. | Allianz SE (Registered) (Germany) | 1.1 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
Japan | 25.5 | % | ||
United Kingdom | 13.8 | |||
Germany | 8.2 | |||
France | 7.9 | |||
Australia | 7.6 | |||
Switzerland | 7.4 | |||
Netherlands | 5.1 | |||
Sweden | 3.1 | |||
Spain | 2.7 | |||
Norway | 2.5 | |||
Hong Kong | 2.1 | |||
Italy | 1.9 | |||
Finland | 1.7 | |||
Belgium | 1.3 | |||
Singapore | 1.2 | |||
Denmark | 1.1 | |||
Others (each less than 1.0%) | 3.9 | |||
Short-Term Investments | 3.0 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
24 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||||||
With Sales Charge** | (27.30 | )% | (27.86 | )% | (6.47 | )% | (0.63 | )% | ||||||||||
Without Sales Charge | (23.25 | ) | (23.88 | ) | (5.46 | ) | (0.09 | ) | ||||||||||
CLASS C SHARES | July 11, 2006 | |||||||||||||||||
With CDSC*** | (24.44 | ) | (25.28 | ) | (5.93 | ) | (0.60 | ) | ||||||||||
Without CDSC | (23.44 | ) | (24.28 | ) | (5.93 | ) | (0.60 | ) | ||||||||||
CLASS I SHARES | September 10, 2001 | (23.13 | ) | (23.68 | ) | (5.18 | ) | 0.18 | ||||||||||
CLASS L SHARES | November 4, 1993 | (23.10 | ) | (23.59 | ) | (5.08 | ) | 0.31 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | (23.35 | ) | (24.05 | ) | (5.70 | ) | (0.35 | ) | |||||||||
CLASS R5 SHARES | September 9, 2016 | (23.04 | ) | (23.53 | ) | (5.07 | ) | 0.31 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | (23.08 | ) | (23.51 | ) | (4.96 | ) | 0.42 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111. Effective May 2018, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed under the current strategies.
Returns for Class R5 Shares and Class R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares and Class R6 Shares would have been different than those shown because Class R5 Shares and Class R6 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan International Value Fund and the MSCI EAFE Value Index (net of foreign withholding taxes) from April 30, 2010 to April 30, 2020. 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 MSCI EAFE Value Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding
tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Value Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of value-oriented stocks in the world’s equity markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 25 |
Table of Contents
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.2% |
| |||||||
Argentina — 2.2% |
| |||||||
MercadoLibre, Inc. * | 298 | 174,076 | ||||||
|
| |||||||
Brazil — 4.9% |
| |||||||
B3 SA — Brasil Bolsa Balcao | 11,978 | 84,254 | ||||||
Itau Unibanco Holding SA, ADR | 18,778 | 79,056 | ||||||
Lojas Renner SA | 11,073 | 78,379 | ||||||
Pagseguro Digital Ltd., Class A * | 963 | 24,393 | ||||||
Raia Drogasil SA | 2,013 | 38,999 | ||||||
XP, Inc., Class A * (a) | 2,949 | 74,187 | ||||||
|
| |||||||
379,268 | ||||||||
|
| |||||||
China — 35.4% |
| |||||||
Alibaba Group Holding Ltd., ADR * | 2,267 | 459,399 | ||||||
Budweiser Brewing Co. APAC Ltd. * (a) (b) | 47,491 | 129,053 | ||||||
China Gas Holdings Ltd. | 29,783 | 108,371 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 6,237 | 107,290 | ||||||
Huazhu Group Ltd., ADR(a) | 933 | 33,583 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | 6,631 | 27,088 | ||||||
Kweichow Moutai Co. Ltd., Class A | 406 | 72,003 | ||||||
Meituan Dianping, Class B * (b) | 12,712 | 170,201 | ||||||
Midea Group Co. Ltd., Class A | 11,045 | 82,463 | ||||||
NetEase, Inc., ADR | 544 | 187,589 | ||||||
New Oriental Education & Technology Group, Inc., ADR * | 1,069 | 136,413 | ||||||
Ping An Bank Co. Ltd., Class A | 64,681 | 125,739 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 19,123 | 194,596 | ||||||
Shenzhen MindrayBio-Medical Electronics Co. Ltd., Class A | 1,384 | 49,394 | ||||||
Shenzhou International Group Holdings Ltd. | 8,409 | 97,055 | ||||||
Sunny Optical Technology Group Co. Ltd. | 5,876 | 81,829 | ||||||
Tencent Holdings Ltd. | 7,307 | 384,120 | ||||||
Wuxi Biologics Cayman, Inc. * (a) (b) | 12,029 | 187,248 | ||||||
Yum China Holdings, Inc. | 2,589 | 125,445 | ||||||
|
| |||||||
2,758,879 | ||||||||
|
| |||||||
Egypt — 0.6% |
| |||||||
Commercial International Bank Egypt SAE (Registered), GDR (b) | 11,635 | 44,613 | ||||||
|
| |||||||
Hong Kong — 6.5% |
| |||||||
AIA Group Ltd. | 25,884 | 237,559 | ||||||
AIA Group Ltd. | 795 | 7,385 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 3,338 | 107,017 | ||||||
Techtronic Industries Co. Ltd. | 20,673 | 156,749 | ||||||
|
| |||||||
508,710 | ||||||||
|
| |||||||
Hungary — 1.5% |
| |||||||
OTP Bank Nyrt. | 3,991 | 118,202 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
India — 16.5% |
| |||||||
Asian Paints Ltd. | 1,773 | 41,370 | ||||||
Britannia Industries Ltd. | 1,686 | 70,544 | ||||||
HDFC Bank Ltd. | 11,598 | 152,297 | ||||||
HDFC Bank Ltd., ADR | 2,412 | 104,541 | ||||||
HDFC Life Insurance Co. Ltd. * (b) | 13,421 | 88,880 | ||||||
Hindustan Unilever Ltd. | 3,253 | 94,190 | ||||||
Housing Development Finance Corp. Ltd. | 9,651 | 244,117 | ||||||
IndusInd Bank Ltd. | 5,379 | 32,816 | ||||||
ITC Ltd. | 39,908 | 96,146 | ||||||
Kotak Mahindra Bank Ltd. | 5,689 | 102,162 | ||||||
Maruti Suzuki India Ltd. | 986 | 69,993 | ||||||
Tata Consultancy Services Ltd. | 7,107 | 188,139 | ||||||
|
| |||||||
1,285,195 | ||||||||
|
| |||||||
Indonesia — 2.1% |
| |||||||
Bank Central Asia Tbk. PT | 53,178 | 92,114 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 401,578 | 73,042 | ||||||
|
| |||||||
165,156 | ||||||||
|
| |||||||
Macau — 1.4% |
| |||||||
Sands China Ltd. | 26,224 | 106,169 | ||||||
|
| |||||||
Mexico — 2.4% |
| |||||||
Grupo Financiero Banorte SAB de CV, Class O (a) | 24,159 | 66,140 | ||||||
Infraestructura Energetica Nova SAB de CV | 8,509 | 28,239 | ||||||
Wal-Mart de Mexico SAB de CV | 38,929 | 93,959 | ||||||
|
| |||||||
188,338 | ||||||||
|
| |||||||
Panama — 0.5% |
| |||||||
Copa Holdings SA, Class A | 910 | 40,244 | ||||||
|
| |||||||
Peru — 0.8% |
| |||||||
Credicorp Ltd. | 412 | 61,377 | ||||||
|
| |||||||
Portugal — 1.7% |
| |||||||
Jeronimo Martins SGPS SA | 7,531 | 127,669 | ||||||
|
| |||||||
Russia — 0.8% |
| |||||||
Sberbank of Russia PJSC | 23,235 | 61,229 | ||||||
Sberbank of Russia PJSC | 292 | 770 | ||||||
|
| |||||||
61,999 | ||||||||
|
| |||||||
South Africa — 1.8% |
| |||||||
Bid Corp. Ltd. | 4,381 | 57,100 | ||||||
Capitec Bank Holdings Ltd. (a) | 1,310 | 63,883 | ||||||
Mr Price Group Ltd. | 2,200 | 15,675 | ||||||
|
| |||||||
136,658 | ||||||||
|
| |||||||
South Korea — 5.6% |
| |||||||
NCSoft Corp. | 204 | 107,950 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
South Korea — continued |
| |||||||
Samsung Electronics Co. Ltd. | 7,901 | 324,865 | ||||||
|
| |||||||
432,815 | ||||||||
|
| |||||||
Spain — 0.1% |
| |||||||
Prosegur Cia de Seguridad SA | 4,049 | 8,929 | ||||||
|
| |||||||
Taiwan — 9.1% |
| |||||||
Largan Precision Co. Ltd. | 595 | 81,106 | ||||||
President Chain Store Corp. | 4,522 | 46,761 | ||||||
Sea Ltd., ADR* (a) | 2,798 | 155,486 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 7,941 | 421,912 | ||||||
|
| |||||||
705,265 | ||||||||
|
| |||||||
Turkey — 1.2% |
| |||||||
BIM Birlesik Magazalar A/S | 10,764 | 85,471 | ||||||
Ford Otomotiv Sanayi A/S | 1,087 | 9,846 | ||||||
|
| |||||||
95,317 | ||||||||
|
| |||||||
United States — 3.1% |
| |||||||
EPAM Systems, Inc. * | 1,105 | 244,037 | ||||||
|
| |||||||
Total Common Stocks | 7,642,916 | |||||||
|
| |||||||
Short-Term Investments — 3.2% |
| |||||||
Investment Companies — 1.6% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) | 124,472 | 124,572 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 81,033 | 81,049 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 48,254 | 48,254 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 129,303 | |||||||
|
| |||||||
Total Short-Term Investments | 253,875 | |||||||
|
| |||||||
Total Investments — 101.4% | 7,896,791 | |||||||
Liabilities in Excess of | (111,030 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 7,785,761 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Banks | 14.9 | % | ||
Internet & Direct Marketing Retail | 10.2 | |||
Insurance | 6.7 | |||
IT Services | 5.8 | |||
Entertainment | 5.7 | |||
Food & Staples Retailing | 5.7 | |||
Semiconductors & Semiconductor Equipment | 5.3 | |||
Interactive Media & Services | 4.9 | |||
Technology Hardware, Storage & Peripherals | 4.1 | |||
Capital Markets | 3.4 | |||
Hotels, Restaurants & Leisure | 3.4 | |||
Thrifts & Mortgage Finance | 3.1 | |||
Food Products | 2.6 | |||
Beverages | 2.6 | |||
Life Sciences Tools & Services | 2.4 | |||
Electronic Equipment, Instruments & Components | 2.1 | |||
Machinery | 2.0 | |||
Gas Utilities | 1.7 | |||
Diversified Consumer Services | 1.7 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Tobacco | 1.2 | |||
Household Products | 1.2 | |||
Household Durables | 1.0 | |||
Automobiles | 1.0 | |||
Multiline Retail | 1.0 | |||
Others (each less than 1.0%) | 1.9 | |||
Short-Term Investments | 3.2 |
Abbreviations
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
PJSC | Public Joint Stock Company | |
PT | Limited liability company | |
SGPS | Holding company | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $126,114,000. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 27 |
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.7% |
| |||||||
Argentina — 0.1% |
| |||||||
MercadoLibre, Inc. * | 5 | 2,855 | ||||||
|
| |||||||
Brazil — 4.5% |
| |||||||
Ambev SA * | 2,785 | 5,823 | ||||||
B3 SA — Brasil Bolsa Balcao | 980 | 6,894 | ||||||
Banco Bradesco SA (Preference) | 3,493 | 12,339 | ||||||
Banco do Brasil SA * | 859 | 4,474 | ||||||
Cogna Educacao | 1,407 | 1,428 | ||||||
CVC Brasil Operadora e Agencia de Viagens SA * | 274 | 705 | ||||||
Equatorial Energia SA | 455 | 1,542 | ||||||
Gerdau SA (Preference) | 2,732 | 5,902 | ||||||
Itau Unibanco Holding SA (Preference) | 3,309 | 13,954 | ||||||
Itausa — Investimentos Itau SA (Preference) | 2,792 | 4,626 | ||||||
Localiza Rent a Car SA * | 644 | 4,070 | ||||||
Lojas Renner SA | 877 | 6,206 | ||||||
Petroleo Brasileiro SA (Preference) | 3,723 | 12,364 | ||||||
Raia Drogasil SA | 255 | 4,940 | ||||||
Telefonica Brasil SA (Preference) | 311 | 2,630 | ||||||
TIM Participacoes SA, ADR * | 446 | 5,179 | ||||||
Vale SA, ADR * | 1,684 | 13,890 | ||||||
|
| |||||||
106,966 | ||||||||
|
| |||||||
Chile — 0.2% |
| |||||||
Banco Santander Chile, ADR (a) | 174 | 2,929 | ||||||
Cencosud SA | 1,383 | 1,673 | ||||||
Cia Cervecerias Unidas SA, ADR | 113 | 1,608 | ||||||
|
| |||||||
6,210 | ||||||||
|
| |||||||
China — 38.5% |
| |||||||
51job, Inc., ADR * (a) | 69 | 4,164 | ||||||
Aier Eye Hospital Group Co. Ltd., Class A | 389 | 2,404 | ||||||
Alibaba Group Holding Ltd., ADR * | 822 | 166,566 | ||||||
ANTA Sports Products Ltd. | 283 | 2,410 | ||||||
Baidu, Inc., ADR * | 115 | 11,559 | ||||||
Bank of China Ltd., Class H | 49,027 | 18,665 | ||||||
Baoshan Iron & Steel Co. Ltd., Class A | 9,459 | 6,460 | ||||||
BeiGene Ltd., ADR * (a) | 13 | 1,965 | ||||||
Beijing Enterprises Holdings Ltd. | 558 | 1,977 | ||||||
Beijing Shiji Information Technology Co. Ltd., Class A | 563 | 2,407 | ||||||
BOE Technology Group Co. Ltd., Class A | 8,025 | 4,195 | ||||||
CGN Power Co. Ltd., Class H * (b) | 20,326 | 5,113 | ||||||
China Conch Venture Holdings Ltd. | 1,452 | 6,943 | ||||||
China Construction Bank Corp., Class H | 51,452 | 41,299 | ||||||
China Gas Holdings Ltd. | 2,652 | 9,649 | ||||||
China Lesso Group Holdings Ltd. | 2,928 | 4,196 | ||||||
China Life Insurance Co. Ltd., Class H | 5,920 | 12,626 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
China — continued |
| |||||||
China Merchants Bank Co. Ltd., Class H | 4,005 | 18,953 | ||||||
China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A | 2,686 | 6,415 | ||||||
China Mobile Ltd. | 2,339 | 18,803 | ||||||
China Molybdenum Co. Ltd., Class H | 11,691 | 3,527 | ||||||
China Oilfield Services Ltd., Class H | 5,470 | 4,261 | ||||||
China Overseas Land & Investment Ltd. | 3,572 | 13,195 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 2,055 | 6,798 | ||||||
China Petroleum & Chemical Corp., Class H | 10,358 | 5,162 | ||||||
China Resources Land Ltd. | 2,478 | 10,240 | ||||||
China Shenhua Energy Co. Ltd., Class H | 4,356 | 7,716 | ||||||
China State Construction International Holdings Ltd. | 5,300 | 4,109 | ||||||
China Unicom Hong Kong Ltd. | 9,158 | 5,923 | ||||||
China Vanke Co. Ltd., Class H | 2,742 | 9,213 | ||||||
CNOOC Ltd. | 12,794 | 14,145 | ||||||
Country Garden Holdings Co. Ltd. | 4,357 | 5,644 | ||||||
Country Garden Services Holdings Co. Ltd. | 1,320 | 6,099 | ||||||
CSPC Pharmaceutical Group Ltd. | 3,910 | 7,741 | ||||||
ENN Energy Holdings Ltd. | 649 | 7,311 | ||||||
Far East Horizon Ltd. | 2,895 | 2,344 | ||||||
Fosun International Ltd. | 2,569 | 3,225 | ||||||
GDS Holdings Ltd., ADR * (a) | 70 | 4,003 | ||||||
Geely Automobile Holdings Ltd. | 4,295 | 6,681 | ||||||
Haier Electronics Group Co. Ltd. | 37 | 102 | ||||||
Hangzhou Robam Appliances Co. Ltd., Class A | 1,226 | 5,451 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 30,390 | 20,377 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | 692 | 2,829 | ||||||
Innovent Biologics, Inc. * (b) | 1,122 | 5,526 | ||||||
JD.com, Inc., ADR * | 316 | 13,617 | ||||||
Jiangsu Hengrui Medicine Co. Ltd., Class A * | 518 | 6,709 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 391 | 5,398 | ||||||
Jointown Pharmaceutical Group Co. Ltd., Class A | 1,186 | 2,979 | ||||||
JonjeeHi-Tech Industrial And Commercial Holding Co. Ltd., Class A | 515 | 3,398 | ||||||
Kingdee International Software Group Co. Ltd. | 4,746 | 6,788 | ||||||
Kunlun Energy Co. Ltd. | 5,808 | 3,784 | ||||||
Kweichow Moutai Co. Ltd., Class A | 31 | 5,427 | ||||||
Laobaixing Pharmacy Chain JSC, Class A | 443 | 4,713 | ||||||
Longfor Group Holdings Ltd. (b) | 1,993 | 10,130 | ||||||
Midea Group Co. Ltd., Class A | 435 | 3,246 | ||||||
NARI Technology Co. Ltd., Class A | 1,575 | 4,428 | ||||||
NetEase, Inc., ADR | 51 | 17,720 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
China — continued | ||||||||
New Oriental Education & Technology Group, Inc., ADR * | 81 | 10,361 | ||||||
Nexteer Automotive Group Ltd. | 1,507 | 774 | ||||||
PetroChina Co. Ltd., Class H | 11,278 | 4,051 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 7,370 | 7,053 | ||||||
Ping An Bank Co. Ltd., Class A | 3,658 | 7,112 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 3,462 | 35,230 | ||||||
Poly Developments and Holdings Group Co. Ltd., Class A | 2,317 | 5,240 | ||||||
Postal Savings Bank of China Co. Ltd., Class H (b) | 13,198 | 7,886 | ||||||
Prosus NV * | 63 | 4,800 | ||||||
SAIC Motor Corp. Ltd., Class A | 2,011 | 5,306 | ||||||
Shenzhou International Group Holdings Ltd. | 715 | 8,248 | ||||||
Sinopharm Group Co. Ltd., Class H | 1,293 | 3,487 | ||||||
Sunny Optical Technology Group Co. Ltd. | 659 | 9,175 | ||||||
Suofeiya Home Collection Co. Ltd., Class A | 2,772 | 7,274 | ||||||
Tencent Holdings Ltd. | 2,728 | 143,420 | ||||||
Trip.com Group Ltd., ADR * | 255 | 6,578 | ||||||
Vipshop Holdings Ltd., ADR * | 193 | 3,073 | ||||||
Weifu High-Technology Group Co. Ltd., Class A | 1,963 | 5,568 | ||||||
WuXi AppTec Co. Ltd., Class H (b) | 177 | 2,500 | ||||||
Wuxi Biologics Cayman, Inc. * (b) | 698 | 10,865 | ||||||
Xinyangfeng Agricultural Technology Co. Ltd., Class A | 3,054 | 3,602 | ||||||
Yonyou Network Technology Co. Ltd., Class A | 690 | 4,462 | ||||||
Yum China Holdings, Inc. | 280 | 13,578 | ||||||
Zhejiang Chint Electrics Co. Ltd., Class A | 1,204 | 4,200 | ||||||
Zhejiang Supor Co. Ltd., Class A | 512 | 4,733 | ||||||
Zhejiang Weixing New Building Materials Co. Ltd., Class A | 1,410 | 2,411 | ||||||
|
| |||||||
917,715 | ||||||||
|
| |||||||
Colombia — 0.1% |
| |||||||
Bancolombia SA | 336 | 2,153 | ||||||
Ecopetrol SA, ADR (a) | 146 | 1,523 | ||||||
|
| |||||||
3,676 | ||||||||
|
| |||||||
Czech Republic — 0.2% |
| |||||||
Komercni banka A/S * | 155 | 3,278 | ||||||
Moneta Money Bank A/S (b) | 1,179 | 2,450 | ||||||
|
| |||||||
5,728 | ||||||||
|
| |||||||
Greece — 0.2% |
| |||||||
OPAP SA | 444 | 3,977 | ||||||
|
| |||||||
Hong Kong — 0.3% |
| |||||||
Hutchison China MediTech Ltd., ADR * (a) | 123 | 2,652 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Hong Kong — continued |
| |||||||
Sino Biopharmaceutical Ltd. | 1,539 | 2,243 | ||||||
Techtronic Industries Co. Ltd. | 475 | 3,598 | ||||||
|
| |||||||
8,493 | ||||||||
|
| |||||||
Hungary — 0.6% |
| |||||||
OTP Bank Nyrt. | 256 | 7,570 | ||||||
Richter Gedeon Nyrt. | 282 | 6,031 | ||||||
|
| |||||||
13,601 | ||||||||
|
| |||||||
India — 8.5% |
| |||||||
Axis Bank Ltd. | 1,567 | 9,157 | ||||||
Bajaj Auto Ltd. | 79 | 2,757 | ||||||
Bosch Ltd. | 14 | 1,926 | ||||||
Container Corp. of India Ltd. | 543 | 2,684 | ||||||
HCL Technologies Ltd. | 867 | 6,220 | ||||||
HDFC Bank Ltd., ADR | 84 | 3,654 | ||||||
Hindalco Industries Ltd. | 1,518 | 2,576 | ||||||
Hindustan Unilever Ltd. | 479 | 13,860 | ||||||
Housing Development Finance Corp. Ltd. | 987 | 24,958 | ||||||
ICICI Bank Ltd., ADR | 436 | 4,256 | ||||||
IndusInd Bank Ltd. | 337 | 2,055 | ||||||
Infosys Ltd., ADR | 2,145 | 19,800 | ||||||
ITC Ltd. | 3,235 | 7,794 | ||||||
Larsen & Toubro Ltd. | 527 | 6,251 | ||||||
Maruti Suzuki India Ltd. | 143 | 10,130 | ||||||
NTPC Ltd. | 4,552 | 5,703 | ||||||
Oil & Natural Gas Corp. Ltd. | 3,741 | 3,959 | ||||||
Petronet LNG Ltd. | 1,205 | 3,881 | ||||||
Power Grid Corp. of India Ltd. | 3,181 | 6,819 | ||||||
Reliance Industries Ltd. | 1,400 | 27,218 | ||||||
Shriram Transport Finance Co. Ltd. | 354 | 3,627 | ||||||
Tata Consultancy Services Ltd. | 618 | 16,372 | ||||||
UltraTech Cement Ltd. | 167 | 7,776 | ||||||
United Spirits Ltd. * | 675 | 4,808 | ||||||
UPL Ltd. | 1,026 | 5,677 | ||||||
|
| |||||||
203,918 | ||||||||
|
| |||||||
Indonesia — 1.6% |
| |||||||
Astra International Tbk. PT | 14,174 | 3,625 | ||||||
Bank Central Asia Tbk. PT | 7,672 | 13,289 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 43,424 | 7,898 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 49,570 | 11,399 | ||||||
United Tractors Tbk. PT | 1,087 | 1,186 | ||||||
|
| |||||||
37,397 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 29 |
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Malaysia — 1.0% |
| |||||||
CIMB Group Holdings Bhd. | 3,654 | 2,921 | ||||||
IHH Healthcare Bhd. | 2,936 | 3,573 | ||||||
Petronas Chemicals Group Bhd. | 3,822 | 4,947 | ||||||
Public Bank Bhd. | 1,919 | 7,294 | ||||||
Tenaga Nasional Bhd. | 2,110 | 5,974 | ||||||
|
| |||||||
24,709 | ||||||||
|
| |||||||
Mexico — 2.4% |
| |||||||
Alfa SAB de CV, Class A | 3,579 | 1,466 | ||||||
America Movil SAB de CV, Series L | 21,024 | 12,701 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (a) | 3,086 | 1,708 | ||||||
Fomento Economico Mexicano SAB de CV, ADR | 136 | 8,726 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 538 | 3,343 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B (a) | 407 | 4,066 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 2,284 | 6,254 | ||||||
Grupo Mexico SAB de CV, Series B (a) | 3,998 | 8,502 | ||||||
Wal-Mart de Mexico SAB de CV | 4,236 | 10,224 | ||||||
|
| |||||||
56,990 | ||||||||
|
| |||||||
Peru — 0.4% |
| |||||||
Credicorp Ltd. | 65 | 9,717 | ||||||
|
| |||||||
Philippines — 0.4% |
| |||||||
Ayala Corp. | 241 | 2,746 | ||||||
Ayala Land, Inc. | 5,662 | 3,534 | ||||||
International Container Terminal Services, Inc. | 1,434 | 2,508 | ||||||
|
| |||||||
8,788 | ||||||||
|
| |||||||
Poland — 0.5% |
| |||||||
CD Projekt SA | 84 | 7,383 | ||||||
Dino Polska SA * (b) | 96 | 4,042 | ||||||
|
| |||||||
11,425 | ||||||||
|
| |||||||
Qatar — 0.4% |
| |||||||
Qatar National Bank QPSC | 1,865 | 8,796 | ||||||
|
| |||||||
Russia — 4.0% |
| |||||||
Alrosa PJSC | 6,268 | 5,191 | ||||||
Gazprom PJSC, ADR | 2,179 | 11,033 | ||||||
LUKOIL PJSC, ADR | 291 | 18,992 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 6,441 | 3,465 | ||||||
MMC Norilsk Nickel PJSC, ADR | 148 | 4,102 | ||||||
Mobile TeleSystems PJSC, ADR | 446 | 3,819 | ||||||
Moscow ExchangeMICEX-RTS PJSC | 4,402 | 7,115 | ||||||
Novatek PJSC, GDR (b) | 20 | 2,814 | ||||||
Sberbank of Russia PJSC, ADR | 1,701 | 17,872 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Russia — continued |
| |||||||
Severstal PJSC, GDR (b) | 426 | 5,073 | ||||||
Tatneft PJSC, ADR | 220 | 9,772 | ||||||
X5 Retail Group NV, GDR (b) | 225 | 6,637 | ||||||
|
| |||||||
95,885 | ||||||||
|
| |||||||
Saudi Arabia — 2.4% |
| |||||||
Al Rajhi Bank | 971 | 14,761 | ||||||
Alinma Bank * | 1,540 | 6,510 | ||||||
Almarai Co. JSC | 363 | 4,733 | ||||||
Bupa Arabia for Cooperative Insurance Co. | 106 | 3,015 | ||||||
Mouwasat Medical Services Co. | 163 | 3,685 | ||||||
National Commercial Bank | 785 | 7,745 | ||||||
Saudi Basic Industries Corp. | 371 | 7,366 | ||||||
Saudi Telecom Co. | 219 | 5,274 | ||||||
Savola Group (The) | 301 | 3,244 | ||||||
|
| |||||||
56,333 | ||||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
BOC Aviation Ltd. (b) | 331 | 2,263 | ||||||
|
| |||||||
South Africa — 3.4% |
| |||||||
Absa Group Ltd. | 1,052 | 5,194 | ||||||
Bid Corp. Ltd. | 410 | 5,337 | ||||||
Bidvest Group Ltd. (The) | 615 | 4,993 | ||||||
Capitec Bank Holdings Ltd. | 112 | 5,474 | ||||||
Clicks Group Ltd. | 479 | 5,956 | ||||||
FirstRand Ltd. (a) | 4,101 | 8,950 | ||||||
Mr Price Group Ltd. | 560 | 3,988 | ||||||
MTN Group Ltd. | 1,278 | 3,359 | ||||||
Naspers Ltd., Class N | 148 | 23,065 | ||||||
Pick n Pay Stores Ltd. | 983 | 3,077 | ||||||
Shoprite Holdings Ltd. | 313 | 1,810 | ||||||
SPAR Group Ltd. (The) | 593 | 5,652 | ||||||
Vodacom Group Ltd. | 616 | 4,094 | ||||||
|
| |||||||
80,949 | ||||||||
|
| |||||||
South Korea — 12.1% |
| |||||||
BGF retail Co. Ltd. | 17 | 2,166 | ||||||
Hana Financial Group, Inc. | 346 | 7,906 | ||||||
Hanon Systems | 394 | 2,970 | ||||||
Hyundai Glovis Co. Ltd. | 30 | 2,536 | ||||||
Hyundai Mobis Co. Ltd. | 61 | 8,609 | ||||||
Hyundai Motor Co. | 123 | 9,543 | ||||||
KB Financial Group, Inc. | 350 | 10,023 | ||||||
Kia Motors Corp. | 319 | 7,789 | ||||||
KIWOOM Securities Co. Ltd. | 39 | 2,403 | ||||||
KT&G Corp. | 118 | 7,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
South Korea — continued |
| |||||||
LG Chem Ltd. | 39 | 12,248 | ||||||
LG Household & Health Care Ltd. | 9 | 10,680 | ||||||
Lotte Chemical Corp. | 34 | 5,961 | ||||||
Mando Corp. | 136 | 2,663 | ||||||
NAVER Corp. | 77 | 12,538 | ||||||
NCSoft Corp. | 20 | 10,803 | ||||||
POSCO | 69 | 10,456 | ||||||
Samsung Electronics Co. Ltd. | 2,602 | 106,985 | ||||||
Samsung SDI Co. Ltd. | 37 | 8,846 | ||||||
Shinhan Financial Group Co. Ltd. | 356 | 9,038 | ||||||
SK Holdings Co. Ltd. | 21 | 3,205 | ||||||
SK Hynix, Inc. | 318 | 21,869 | ||||||
SK Innovation Co. Ltd. | 59 | 4,781 | ||||||
S-Oil Corp. | 99 | 5,681 | ||||||
|
| |||||||
287,602 | ||||||||
|
| |||||||
Taiwan — 11.7% |
| |||||||
Advantech Co. Ltd. | 544 | 5,145 | ||||||
ASE Technology Holding Co. Ltd. | 1,600 | 3,564 | ||||||
Catcher Technology Co. Ltd. | 1,034 | 7,832 | ||||||
Chailease Holding Co. Ltd. | 2,067 | 7,852 | ||||||
China Life Insurance Co. Ltd. | 7,735 | 5,282 | ||||||
CTBC Financial Holding Co. Ltd. | 18,159 | 12,101 | ||||||
Delta Electronics, Inc. | 2,283 | 10,648 | ||||||
E.Sun Financial Holding Co. Ltd. | 12,076 | 10,972 | ||||||
Formosa Chemicals & Fibre Corp. | 1,361 | 3,447 | ||||||
Formosa Plastics Corp. | 4,186 | 12,287 | ||||||
Fubon Financial Holding Co. Ltd. | 5,107 | 7,221 | ||||||
Global Unichip Corp. | 349 | 2,804 | ||||||
Globalwafers Co. Ltd. | 381 | 4,849 | ||||||
Hiwin Technologies Corp. | 918 | 8,756 | ||||||
Hon Hai Precision Industry Co. Ltd. | 3,154 | 8,106 | ||||||
Inventec Corp. | 2,978 | 2,340 | ||||||
Largan Precision Co. Ltd. | 91 | 12,405 | ||||||
MediaTek, Inc. * | 545 | 7,526 | ||||||
Nanya Technology Corp. | 1,755 | 3,767 | ||||||
Quanta Computer, Inc. | 1,584 | 3,423 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 2,229 | 118,437 | ||||||
Uni-President Enterprises Corp. | 4,350 | 10,129 | ||||||
Vanguard International Semiconductor Corp. | 2,069 | 4,800 | ||||||
Yuanta Financial Holding Co. Ltd. | 11,254 | 6,415 | ||||||
|
| |||||||
280,108 | ||||||||
|
| |||||||
Thailand — 1.6% |
| |||||||
Kasikornbank PCL | 1,665 | 4,342 | ||||||
Minor International PCL | 5,361 | 3,464 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Thailand — continued |
| |||||||
PTT Exploration & Production PCL | 2,202 | 5,683 | ||||||
PTT Global Chemical PCL | 1,294 | 1,490 | ||||||
PTT PCL | 9,237 | 10,086 | ||||||
Siam Cement PCL (The) (Registered) | 821 | 8,722 | ||||||
Thai Oil PCL | 3,126 | 3,911 | ||||||
|
| |||||||
37,698 | ||||||||
|
| |||||||
Turkey — 1.1% |
| |||||||
BIM Birlesik Magazalar A/S | 655 | 5,204 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 2,324 | 2,679 | ||||||
Ford Otomotiv Sanayi A/S | 274 | 2,482 | ||||||
KOC Holding A/S | 1,257 | 2,759 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 884 | 2,826 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S * | 307 | 3,993 | ||||||
Turkcell Iletisim Hizmetleri A/S | 2,936 | 5,848 | ||||||
|
| |||||||
25,791 | ||||||||
|
| |||||||
United Arab Emirates — 0.3% |
| |||||||
DP World plc | 200 | 3,193 | ||||||
Emaar Properties PJSC | 4,120 | 3,022 | ||||||
|
| |||||||
6,215 | ||||||||
|
| |||||||
United Kingdom — 0.1% |
| |||||||
Mondi plc | 102 | 1,824 | ||||||
|
| |||||||
Total Common Stocks | 2,305,629 | |||||||
|
| |||||||
Short-Term Investments — 1.3% |
| |||||||
Investment Companies — 1.0% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) (Cost $24,060) | 24,064 | 24,084 | ||||||
|
| |||||||
Investment of Cash Collateral From Securities Loaned — 0.3% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 2,991 | 2,991 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 3,246 | 3,246 | ||||||
|
| |||||||
Total Investment of Cash Collateral From Securities Loaned | 6,237 | |||||||
|
| |||||||
Total Short-term Investments | 30,321 | |||||||
|
| |||||||
Total Investments — 98.0% | 2,335,950 | |||||||
Other Assets Less Liabilities — 2.0% | 46,955 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 2,382,905 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 31 |
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Banks | 15.3 | % | ||
Internet & Direct Marketing Retail | 9.4 | |||
Semiconductors & Semiconductor Equipment | 7.2 | |||
Interactive Media & Services | 7.2 | |||
Oil, Gas & Consumable Fuels | 6.8 | |||
Technology Hardware, Storage & Peripherals | 5.4 | |||
Insurance | 3.3 | |||
Metals & Mining | 3.1 | |||
Real Estate Management & Development | 2.8 | |||
Food & Staples Retailing | 2.6 | |||
Chemicals | 2.4 | |||
Wireless Telecommunication Services | 2.3 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Automobiles | 2.2 | |||
IT Services | 2.0 | |||
Entertainment | 1.5 | |||
Beverages | 1.3 | |||
Diversified Financial Services | 1.1 | |||
Pharmaceuticals | 1.1 | |||
Diversified Telecommunication Services | 1.1 | |||
Thrifts & Mortgage Finance | 1.1 | |||
Food Products | 1.0 | |||
Gas Utilities | 1.0 | |||
Auto Components | 1.0 | |||
Others (each less than 1.0%) | 14.2 | |||
Short-Term Investments | 1.3 |
Abbreviations
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
JSC | Joint Stock Company | |
PJSC | Public Joint Stock Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
RTS | Russian Trading System | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $5,853,000. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
MSCI Emerging MarketsE-Mini Index | 697 | 06/2020 | USD | 31,574 | 2,062 | |||||||||||||||
|
|
Abbreviations
MSCI | Morgan Stanley Capital International | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.0% |
| |||||||
Australia — 2.3% |
| |||||||
BHP Group plc | 262 | 4,404 | ||||||
Rio Tinto plc | 111 | 5,142 | ||||||
|
| |||||||
9,546 | ||||||||
|
| |||||||
Austria — 2.2% |
| |||||||
ams AG * | 151 | 1,981 | ||||||
Erste Group Bank AG | 211 | 4,565 | ||||||
Wienerberger AG | 134 | 2,513 | ||||||
|
| |||||||
9,059 | ||||||||
|
| |||||||
Belgium — 2.4% |
| |||||||
KBC Group NV | 82 | 4,441 | ||||||
UCB SA * | 60 | 5,485 | ||||||
|
| |||||||
9,926 | ||||||||
|
| |||||||
Finland — 2.0% |
| |||||||
Neste OYJ | 231 | 8,173 | ||||||
|
| |||||||
France — 14.9% |
| |||||||
Atos SE * | 52 | 3,721 | ||||||
BNP Paribas SA | 147 | 4,620 | ||||||
Credit Agricole SA | 338 | 2,717 | ||||||
Eiffage SA | 45 | 3,715 | ||||||
Kering SA (a) | 17 | 8,619 | ||||||
Peugeot SA | 278 | 3,941 | ||||||
Safran SA | 69 | 6,433 | ||||||
Sanofi (a) | 153 | 14,904 | ||||||
Schneider Electric SE * (a) | 68 | 6,241 | ||||||
TOTAL SA | 205 | 7,270 | ||||||
|
| |||||||
62,181 | ||||||||
|
| |||||||
Germany — 13.1% |
| |||||||
Allianz SE (Registered) | 55 | 10,189 | ||||||
Bayer AG (Registered) | 87 | 5,718 | ||||||
Deutsche Post AG (Registered) | 141 | 4,176 | ||||||
Deutsche Telekom AG (Registered) | 536 | 7,839 | ||||||
DWS Group GmbH & Co. KGaA (b) | 100 | 3,171 | ||||||
HelloFresh SE * | 196 | 6,972 | ||||||
LEG Immobilien AG | 36 | 4,142 | ||||||
Schaeffler AG (Preference) | 800 | 5,399 | ||||||
TeamViewer AG * | 72 | 3,142 | ||||||
Volkswagen AG (Preference) | 28 | 3,958 | ||||||
|
| |||||||
54,706 | ||||||||
|
| |||||||
Ireland — 1.8% |
| |||||||
AIB Group plc * | 1,884 | 2,564 | ||||||
Bank of Ireland Group plc | 1,358 | 2,735 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Ireland — continued |
| |||||||
Ryanair Holdings plc, ADR * | 37 | 2,356 | ||||||
|
| |||||||
7,655 | ||||||||
|
| |||||||
Italy — 4.9% |
| |||||||
Enel SpA | 1,413 | 9,655 | ||||||
Falck Renewables SpA | 556 | 2,731 | ||||||
Nexi SpA * (b) | 369 | 5,593 | ||||||
Poste Italiane SpA (b) | 304 | 2,588 | ||||||
|
| |||||||
20,567 | ||||||||
|
| |||||||
Netherlands — 8.1% |
| |||||||
ASM International NV | 73 | 8,009 | ||||||
ASR Nederland NV | 153 | 4,121 | ||||||
BE Semiconductor Industries NV * (a) | 85 | 3,526 | ||||||
Euronext NV (b) | 31 | 2,638 | ||||||
Koninklijke Ahold Delhaize NV (a) | 395 | 9,581 | ||||||
Wolters Kluwer NV (a) | 83 | 6,077 | ||||||
|
| |||||||
33,952 | ||||||||
|
| |||||||
Norway — 0.7% |
| |||||||
Scatec Solar ASA (b) | 210 | 3,052 | ||||||
|
| |||||||
Russia — 2.0% |
| |||||||
Polymetal International plc | 398 | 8,141 | ||||||
|
| |||||||
South Africa — 0.8% |
| |||||||
Anglo American plc | 182 | 3,241 | ||||||
|
| |||||||
Spain — 1.5% |
| |||||||
Endesa SA | 276 | 6,131 | ||||||
|
| |||||||
Sweden — 3.9% |
| |||||||
Embracer Group AB * | 110 | 1,166 | ||||||
Evolution Gaming Group AB (b) | 76 | 3,460 | ||||||
Hennes & Mauritz AB, Class B (a) | 215 | 2,942 | ||||||
Sinch AB * (b) | 78 | 4,036 | ||||||
SKF AB, Class B | 307 | 4,846 | ||||||
|
| |||||||
16,450 | ||||||||
|
| |||||||
Switzerland — 20.9% |
| |||||||
ALSO Holding AG (Registered) * | 6 | 1,194 | ||||||
LafargeHolcim Ltd. (Registered) * | 158 | 6,581 | ||||||
Nestle SA (Registered) | 146 | 15,483 | ||||||
Novartis AG (Registered) | 210 | 17,949 | ||||||
Roche Holding AG | 62 | 21,405 | ||||||
SIG Combibloc Group AG * | 257 | 4,170 | ||||||
STMicroelectronics NV | 200 | 5,152 | ||||||
Swisscom AG (Registered) | 16 | 8,434 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 33 |
Table of Contents
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Switzerland — continued |
| |||||||
Zurich Insurance Group AG | 22 | 6,970 | ||||||
|
| |||||||
87,338 | ||||||||
|
| |||||||
United Kingdom — 17.5% |
| |||||||
AstraZeneca plc | 44 | 4,606 | ||||||
Barratt Developments plc | 676 | 4,408 | ||||||
Berkeley Group Holdings plc | 51 | 2,688 | ||||||
British American Tobacco plc | 109 | 4,195 | ||||||
Calisen plc * | 1,313 | 3,059 | ||||||
Centrica plc | 2,449 | 1,225 | ||||||
Dialog Semiconductor plc * | 111 | 3,491 | ||||||
Dunelm Group plc | 240 | 2,768 | ||||||
Games Workshop Group plc | 23 | 1,710 | ||||||
Intermediate Capital Group plc | 374 | 5,293 | ||||||
Linde plc | 53 | 9,795 | ||||||
National Express Group plc | 611 | 2,104 | ||||||
Next plc | 83 | 4,942 | ||||||
Prudential plc | 220 | 3,102 | ||||||
Reckitt Benckiser Group plc | 45 | 3,728 | ||||||
Segro plc, REIT | 558 | 5,849 | ||||||
Spirent Communications plc | 1,401 | 4,237 | ||||||
Taylor Wimpey plc | 3,193 | 5,896 | ||||||
|
| |||||||
73,096 | ||||||||
|
| |||||||
Total Common Stocks |
| 413,214 | ||||||
|
| |||||||
Short-Term Investments — 10.9% | ||||||||
Investment Companies — 1.0% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) | 4,181 | 4,185 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 9.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 30,000 | 30,006 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 11,283 | 11,283 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 41,289 | |||||||
|
| |||||||
Total Short-Term Investments | 45,474 | |||||||
|
| |||||||
Total Investments — 109.9% | 458,688 | |||||||
Liabilities in Excess of | (41,233 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 417,455 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 15.3 | % | ||
Insurance | 5.9 | |||
Semiconductors & Semiconductor Equipment | 4.8 | |||
Banks | 4.7 | |||
Metals & Mining | 4.6 | |||
Diversified Telecommunication Services | 3.5 | |||
Electric Utilities | 3.4 | |||
Food Products | 3.4 | |||
Oil, Gas & Consumable Fuels | 3.4 | |||
Household Durables | 2.8 | |||
Capital Markets | 2.4 | |||
Chemicals | 2.1 | |||
Food & Staples Retailing | 2.1 | |||
IT Services | 2.0 | |||
Construction Materials | 2.0 | |||
Textiles, Apparel & Luxury Goods | 1.9 | |||
Automobiles | 1.7 | |||
Software | 1.6 | |||
Internet & Direct Marketing Retail | 1.5 | |||
Aerospace & Defense | 1.4 | |||
Electrical Equipment | 1.4 | |||
Professional Services | 1.3 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Independent Power and Renewable Electricity Producers | 1.3 | |||
Specialty Retail | 1.2 | |||
Auto Components | 1.2 | |||
Multiline Retail | 1.1 | |||
Machinery | 1.1 | |||
Others (each less than 1.0%) | 9.7 | |||
Short-Term Investments | 9.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Abbreviations
ADR | American Depositary Receipt | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $35,227,000. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | 32 | 06/2020 | EUR | 1,011 | 215 | |||||||||||||||
FTSE 100 Index | 7 | 06/2020 | GBP | 517 | 74 | |||||||||||||||
|
| |||||||||||||||||||
289 | ||||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 35 |
Table of Contents
JPMorgan International Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.0% |
| |||||||
Australia — 9.3% |
| |||||||
AGL Energy Ltd. | 414 | 4,549 | ||||||
Ansell Ltd. | 354 | 6,529 | ||||||
Aurizon Holdings Ltd. | 3,801 | 11,548 | ||||||
Austal Ltd. | 975 | 2,115 | ||||||
Beach Energy Ltd. | 4,653 | 4,535 | ||||||
BHP Group Ltd. | 1,213 | 24,772 | ||||||
Caltex Australia Ltd. | 185 | 2,982 | ||||||
Coca-Cola Amatil Ltd. | 881 | 4,905 | ||||||
Coles Group Ltd. | 1,070 | 10,734 | ||||||
CSL Ltd. | 53 | 10,487 | ||||||
CSR Ltd. | 2,498 | 6,004 | ||||||
Fortescue Metals Group Ltd. | 948 | 7,246 | ||||||
IGO Ltd. | 1,327 | 4,025 | ||||||
IOOF Holdings Ltd. | 470 | 1,312 | ||||||
JBHi-Fi Ltd. (a) | 281 | 6,344 | ||||||
Lendlease Group * | 570 | 4,538 | ||||||
Metcash Ltd. | 1,883 | 3,037 | ||||||
Orica Ltd. | 228 | 2,641 | ||||||
Rio Tinto plc | 444 | 20,603 | ||||||
|
| |||||||
138,906 | ||||||||
|
| |||||||
Austria — 0.4% |
| |||||||
BAWAG Group AG * (b) | 58 | 1,961 | ||||||
Wienerberger AG | 256 | 4,788 | ||||||
|
| |||||||
6,749 | ||||||||
|
| |||||||
Belgium — 1.3% |
| |||||||
Ageas | 337 | 12,131 | ||||||
bpost SA | 245 | 1,712 | ||||||
D’ieteren SA/NV | 38 | 1,925 | ||||||
KBC Group NV | 66 | 3,563 | ||||||
|
| |||||||
19,331 | ||||||||
|
| |||||||
China — 0.8% |
| |||||||
BOC Hong Kong Holdings Ltd. | 3,687 | 11,316 | ||||||
|
| |||||||
Denmark — 2.5% |
| |||||||
Carlsberg A/S, Class B | 95 | 11,953 | ||||||
Novo Nordisk A/S, Class B | 378 | 24,096 | ||||||
Scandinavian Tobacco Group A/S, Class A (b) | 147 | 1,687 | ||||||
|
| |||||||
37,736 | ||||||||
|
| |||||||
France — 7.0% |
| |||||||
Capgemini SE | 57 | 5,343 | ||||||
Cie de Saint-Gobain | 204 | 5,427 | ||||||
Eiffage SA | 152 | 12,433 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 17 | 6,499 | ||||||
Peugeot SA | 757 | 10,737 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
France — continued |
| |||||||
Sanofi (a) | 295 | 28,808 | ||||||
Schneider Electric SE * (a) | 220 | 20,306 | ||||||
Sopra Steria Group | 30 | 3,518 | ||||||
SPIE SA | 350 | 5,278 | ||||||
TOTAL SA | 103 | 3,640 | ||||||
Veolia Environnement SA | 105 | 2,234 | ||||||
|
| |||||||
104,223 | ||||||||
|
| |||||||
Germany — 6.2% |
| |||||||
Allianz SE (Registered) | 126 | 23,259 | ||||||
Bayer AG (Registered) | 71 | 4,653 | ||||||
Deutsche Pfandbriefbank AG (b) | 540 | 3,971 | ||||||
Freenet AG | 531 | 10,079 | ||||||
Hannover Rueck SE | 68 | 10,853 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 77 | 16,923 | ||||||
RWE AG | 150 | 4,322 | ||||||
SAP SE | 85 | 10,075 | ||||||
Schaeffler AG (Preference) | 1,310 | 8,845 | ||||||
|
| |||||||
92,980 | ||||||||
|
| |||||||
Hong Kong — 2.5% |
| |||||||
AIA Group Ltd. | 852 | 7,817 | ||||||
Power Assets Holdings Ltd. | 1,705 | 11,424 | ||||||
VTech Holdings Ltd. | 558 | 4,204 | ||||||
WH Group Ltd. (b) | 7,227 | 6,893 | ||||||
Xinyi Glass Holdings Ltd. | 5,866 | 6,794 | ||||||
|
| |||||||
37,132 | ||||||||
|
| |||||||
Ireland — 0.3% |
| |||||||
Greencore Group plc | 1,151 | 2,635 | ||||||
Ryanair Holdings plc, ADR * | 31 | 1,951 | ||||||
|
| |||||||
4,586 | ||||||||
|
| |||||||
Israel — 0.3% |
| |||||||
Israel Discount Bank Ltd., Class A | 1,560 | 5,060 | ||||||
|
| |||||||
Italy — 1.2% |
| |||||||
Enel SpA | 566 | 3,869 | ||||||
Snam SpA | 3,013 | 13,516 | ||||||
|
| |||||||
17,385 | ||||||||
|
| |||||||
Japan — 25.4% |
| |||||||
Advantest Corp. | 182 | 8,826 | ||||||
Alfresa Holdings Corp. | 106 | 2,112 | ||||||
Amano Corp. | 111 | 2,271 | ||||||
Asahi Group Holdings Ltd. | 84 | 2,895 | ||||||
Astellas Pharma, Inc. | 664 | 10,985 | ||||||
Brother Industries Ltd. | 391 | 6,629 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Japan — continued |
| |||||||
Capcom Co. Ltd. | 214 | 6,544 | ||||||
Chugai Pharmaceutical Co. Ltd. | 33 | 3,958 | ||||||
Dai-ichi Life Holdings, Inc. | 353 | 4,420 | ||||||
Digital Garage, Inc. | 78 | 2,780 | ||||||
Fujitsu Ltd. | 84 | 8,170 | ||||||
GMO internet, Inc. | 100 | 2,174 | ||||||
Hikari Tsushin, Inc. | 11 | 2,109 | ||||||
Hitachi Ltd. | 365 | 10,845 | ||||||
Internet Initiative Japan, Inc. | 95 | 3,261 | ||||||
ITOCHU Corp. | 485 | 9,510 | ||||||
Iwatani Corp. (a) | 119 | 4,055 | ||||||
Japan Aviation Electronics Industry Ltd. | 123 | 1,600 | ||||||
Japan Petroleum Exploration Co. Ltd. | 60 | 1,031 | ||||||
Kaken Pharmaceutical Co. Ltd. | 31 | 1,728 | ||||||
KDDI Corp. | 432 | 12,518 | ||||||
Keyence Corp. | 6 | 2,035 | ||||||
K’s Holdings Corp. | 210 | 2,291 | ||||||
Kyudenko Corp. | 86 | 2,408 | ||||||
Marubeni Corp. | 1,159 | 5,581 | ||||||
Medipal Holdings Corp. | 158 | 3,048 | ||||||
Meitec Corp. | 49 | 2,150 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 3,319 | 13,407 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 1,011 | 4,828 | ||||||
Mitsui Fudosan Co. Ltd. | 454 | 8,344 | ||||||
Morinaga & Co. Ltd. | 95 | 3,896 | ||||||
MS&AD Insurance Group Holdings, Inc. | 126 | 3,627 | ||||||
Nihon Unisys Ltd. | 224 | 6,470 | ||||||
Nippon Telegraph & Telephone Corp. | 424 | 9,658 | ||||||
Nomura Holdings, Inc. | 1,924 | 7,986 | ||||||
Nomura Real Estate Holdings, Inc. | 398 | 6,463 | ||||||
NTT DOCOMO, Inc. | 358 | 10,536 | ||||||
Obayashi Corp. | 323 | 2,827 | ||||||
Ono Pharmaceutical Co. Ltd. | 173 | 4,166 | ||||||
Open House Co. Ltd. | 163 | 3,547 | ||||||
ORIX Corp. | 652 | 7,668 | ||||||
Otsuka Corp. | 101 | 4,582 | ||||||
Rohto Pharmaceutical Co. Ltd. | 137 | 3,986 | ||||||
Saizeriya Co. Ltd. | 76 | 1,509 | ||||||
Sankyu, Inc. | 107 | 4,112 | ||||||
Sawai Pharmaceutical Co. Ltd. | 48 | 2,605 | ||||||
SCSK Corp. | 55 | 2,485 | ||||||
Sekisui House Ltd. | 480 | 8,231 | ||||||
Shinsei Bank Ltd. | 508 | 6,126 | ||||||
Shionogi & Co. Ltd. | 167 | 9,195 | ||||||
Ship Healthcare Holdings, Inc. | 37 | 1,678 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Japan — continued |
| |||||||
Softbank Corp. | 648 | 8,822 | ||||||
Sony Corp. | 267 | 17,176 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 429 | 11,289 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 283 | 8,225 | ||||||
Teijin Ltd. | 176 | 2,813 | ||||||
TIS, Inc. | 377 | 7,191 | ||||||
Tokuyama Corp. | 143 | 3,026 | ||||||
Tokyo Electron Ltd. | 54 | 11,544 | ||||||
Tokyo Tatemono Co. Ltd. | 511 | 5,746 | ||||||
Tokyu Fudosan Holdings Corp. | 1,281 | 6,268 | ||||||
Toyota Motor Corp. | 380 | 23,469 | ||||||
Toyota Tsusho Corp. | 180 | 4,280 | ||||||
TS Tech Co. Ltd. | 119 | 3,238 | ||||||
Zeon Corp. | 397 | 3,477 | ||||||
|
| |||||||
380,430 | ||||||||
|
| |||||||
Netherlands — 6.5% |
| |||||||
ASM International NV | 120 | 13,241 | ||||||
ASML Holding NV (a) | 34 | 9,910 | ||||||
BE Semiconductor Industries NV *(a) | 137 | 5,658 | ||||||
Euronext NV (b) | 135 | 11,339 | ||||||
EXOR NV | 154 | 8,415 | ||||||
Koninklijke Ahold Delhaize NV | 557 | 13,519 | ||||||
Randstad NV * | 145 | 5,831 | ||||||
Royal Dutch Shell plc, Class B | 518 | 8,293 | ||||||
Signify NV (b) | 256 | 5,217 | ||||||
Wolters Kluwer NV (a) | 214 | 15,712 | ||||||
|
| |||||||
97,135 | ||||||||
|
| |||||||
New Zealand — 0.3% |
| |||||||
Spark New Zealand Ltd. | 1,408 | 3,811 | ||||||
|
| |||||||
Norway — 1.0% |
| |||||||
DNB ASA | 657 | 7,955 | ||||||
Norwegian Finans Holding ASA * | 552 | 2,947 | ||||||
Scatec Solar ASA (b) | 291 | 4,238 | ||||||
|
| |||||||
15,140 | ||||||||
|
| |||||||
Portugal — 0.7% |
| |||||||
Jeronimo Martins SGPS SA | 587 | 9,955 | ||||||
|
| |||||||
Singapore — 2.5% |
| |||||||
DBS Group Holdings Ltd. | 1,100 | 15,481 | ||||||
Singapore Telecommunications Ltd. | 5,677 | 11,344 | ||||||
United Overseas Bank Ltd. | 691 | 9,874 | ||||||
|
| |||||||
36,699 | ||||||||
|
| |||||||
South Africa — 0.9% |
| |||||||
Anglo American plc | 784 | 13,948 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 37 |
Table of Contents
JPMorgan International Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Spain — 1.8% |
| |||||||
Enagas SA | 467 | 10,905 | ||||||
Endesa SA | 661 | 14,666 | ||||||
Mediaset Espana Comunicacion SA * (a) | 574 | 2,057 | ||||||
|
| |||||||
27,628 | ||||||||
|
| |||||||
Sweden — 2.7% |
| |||||||
Skandinaviska Enskilda Banken AB, Class A | 952 | 7,835 | ||||||
Skanska AB, Class B * | 578 | 10,995 | ||||||
SKF AB, Class B | 578 | 9,118 | ||||||
Swedish Match AB | 194 | 12,018 | ||||||
|
| |||||||
39,966 | ||||||||
|
| |||||||
Switzerland — 11.7% |
| |||||||
Adecco Group AG (Registered) | 204 | 8,922 | ||||||
Galenica AG * (b) | 79 | 5,651 | ||||||
Julius Baer Group Ltd. * | 163 | 6,420 | ||||||
Landis+Gyr Group AG * | 109 | 7,358 | ||||||
Nestle SA (Registered) | 404 | 42,831 | ||||||
Novartis AG (Registered) | 409 | 34,869 | ||||||
Roche Holding AG | 122 | 42,171 | ||||||
Swiss Life Holding AG (Registered) | 32 | 11,278 | ||||||
Swisscom AG (Registered) | 23 | 12,038 | ||||||
Zurich Insurance Group AG | 11 | 3,584 | ||||||
|
| |||||||
175,122 | ||||||||
|
| |||||||
United Kingdom — 11.0% |
| |||||||
3i Group plc | 1,098 | 10,782 | ||||||
Ashtead Group plc | 571 | 15,605 | ||||||
AstraZeneca plc | 91 | 9,522 | ||||||
Avast plc (b) | 2,379 | 13,702 | ||||||
Barratt Developments plc | 899 | 5,861 | ||||||
Berkeley Group Holdings plc | 168 | 8,797 | ||||||
Computacenter plc | 107 | 1,948 | ||||||
Dialog Semiconductor plc * | 300 | 9,410 | ||||||
Dunelm Group plc | 547 | 6,322 | ||||||
GlaxoSmithKline plc | 818 | 17,059 | ||||||
Howden Joinery Group plc | 291 | 1,921 | ||||||
HSBC Holdings plc | 337 | 1,730 | ||||||
Inchcape plc | 774 | 4,873 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United Kingdom — continued |
| |||||||
Legal & General Group plc | 4,012 | 10,315 | ||||||
Next plc | 113 | 6,701 | ||||||
Pets at Home Group plc | 445 | 1,424 | ||||||
Redrow plc | 709 | 4,120 | ||||||
Savills plc | 83 | 1,010 | ||||||
Tate & Lyle plc | 497 | 4,457 | ||||||
Taylor Wimpey plc | 3,329 | 6,148 | ||||||
Ultra Electronics Holdings plc | 185 | 4,587 | ||||||
Unilever plc | 313 | 16,120 | ||||||
Vistry Group plc | 137 | 1,394 | ||||||
|
| |||||||
163,808 | ||||||||
|
| |||||||
United States — 0.7% |
| |||||||
Ferguson plc | 150 | 10,815 | ||||||
|
| |||||||
Total Common Stocks | 1,449,861 | |||||||
|
| |||||||
Short-Term Investments — 7.0% |
| |||||||
Investment Companies — 1.9% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) | 28,750 | 28,772 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 5.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 32,997 | 33,005 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 43,374 | 43,374 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 76,379 | |||||||
|
| |||||||
Total Short-Term Investments | 105,151 | |||||||
|
| |||||||
Total Investments — 104.0% | 1,555,012 | |||||||
Liabilities in Excess of | (60,162 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 1,494,850 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 12.5 | % | ||
Banks | 6.9 | |||
Insurance | 6.7 | |||
Metals & Mining | 4.5 | |||
Food Products | 3.9 | |||
Semiconductors & Semiconductor Equipment | 3.8 | |||
Household Durables | 3.3 | |||
Trading Companies & Distributors | 3.1 | |||
IT Services | 2.9 | |||
Wireless Telecommunication Services | 2.7 | |||
Diversified Telecommunication Services | 2.6 | |||
Capital Markets | 2.4 | |||
Food��& Staples Retailing | 2.4 | |||
Real Estate Management & Development | 2.3 | |||
Automobiles | 2.2 | |||
Professional Services | 2.1 | |||
Electric Utilities | 1.9 | |||
Construction & Engineering | 1.8 | |||
Electrical Equipment | 1.6 | |||
Oil, Gas & Consumable Fuels | 1.6 | |||
Gas Utilities | 1.6 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Software | 1.5 | |||
Diversified Financial Services | 1.4 | |||
Personal Products | 1.3 | |||
Beverages | 1.3 | |||
Auto Components | 1.2 | |||
Specialty Retail | 1.2 | |||
Road & Rail | 1.0 | |||
Others (each less than 1.0%) | 10.0 | |||
Short-Term Investments | 6.7 |
Abbreviations | ||
ADR | American Depositary Receipt | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
SGPS | Holding company | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $72,637,000. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 39 |
Table of Contents
JPMorgan International Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | 337 | 06/2020 | EUR | 10,643 | 218 | |||||||||||||||
FTSE 100 Index | 81 | 06/2020 | GBP | 5,983 | 192 | |||||||||||||||
TOPIX Index | 53 | 06/2020 | JPY | 7,178 | 181 | |||||||||||||||
|
| |||||||||||||||||||
591 | ||||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
JPY | Japanese Yen | |
TOPIX | Tokyo Stock Price Index |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.4% | ||||||||
Australia — 3.5% | ||||||||
BHP Group Ltd. | 1,421 | 29,018 | ||||||
BHP Group plc | 1,074 | 18,024 | ||||||
Commonwealth Bank of Australia | 508 | 20,531 | ||||||
Rio Tinto plc | 560 | 25,986 | ||||||
|
| |||||||
93,559 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
Erste Group Bank AG | 563 | 12,211 | ||||||
|
| |||||||
Belgium — 0.8% | ||||||||
KBC Group NV | 397 | 21,535 | ||||||
|
| |||||||
China — 3.7% | ||||||||
Alibaba Group Holding Ltd., ADR * | 128 | 25,854 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 3,092 | 31,465 | ||||||
Prosus NV * (a) | 174 | 13,189 | ||||||
Tencent Holdings Ltd. | 544 | 28,587 | ||||||
|
| |||||||
99,095 | ||||||||
|
| |||||||
Denmark — 4.2% | ||||||||
Carlsberg A/S, Class B | 239 | 30,145 | ||||||
Novo Nordisk A/S, Class B | 948 | 60,472 | ||||||
Orsted A/S (b) | 206 | 20,772 | ||||||
|
| |||||||
111,389 | ||||||||
|
| |||||||
Finland — 1.3% | ||||||||
Kone OYJ, Class B | 557 | 33,755 | ||||||
|
| |||||||
France — 13.2% | ||||||||
Accor SA (a) | 628 | 17,483 | ||||||
Airbus SE * | 253 | 16,046 | ||||||
AXA SA | 976 | 17,352 | ||||||
Capgemini SE | 281 | 26,376 | ||||||
EssilorLuxottica SA | 174 | 21,578 | ||||||
Legrand SA | 383 | 25,670 | ||||||
L’Oreal SA | 131 | 38,002 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 120 | 46,491 | ||||||
Orange SA | 2,029 | 24,653 | ||||||
Pernod Ricard SA | 190 | 28,952 | ||||||
Safran SA | 208 | 19,302 | ||||||
Schneider Electric SE * (a) | 435 | 40,244 | ||||||
TOTAL SA | 855 | 30,361 | ||||||
|
| |||||||
352,510 | ||||||||
|
| |||||||
Germany — 8.1% | ||||||||
adidas AG | 119 | 27,153 | ||||||
Allianz SE (Registered) | 215 | 39,489 | ||||||
Deutsche Boerse AG | 189 | 29,319 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 127 | 27,800 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Germany — continued | ||||||||
SAP SE | 464 | 55,267 | ||||||
Symrise AG | 192 | 19,406 | ||||||
Vonovia SE | 368 | 18,209 | ||||||
|
| |||||||
216,643 | ||||||||
|
| |||||||
Hong Kong — 4.1% | ||||||||
AIA Group Ltd. | 6,919 | 63,503 | ||||||
CK Asset Holdings Ltd. | 3,195 | 20,185 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 796 | 25,509 | ||||||
|
| |||||||
109,197 | ||||||||
|
| |||||||
India — 1.2% | ||||||||
HDFC Bank Ltd., ADR | 768 | 33,304 | ||||||
|
| |||||||
Japan — 15.4% | ||||||||
Daikin Industries Ltd. | 257 | 32,917 | ||||||
FANUC Corp. | 125 | 20,418 | ||||||
Hoya Corp. | 297 | 27,094 | ||||||
Kao Corp. | 532 | 41,041 | ||||||
Keyence Corp. | 141 | 50,446 | ||||||
Komatsu Ltd. | 1,408 | 26,641 | ||||||
Kubota Corp. | 2,208 | 27,418 | ||||||
Makita Corp. | 715 | 23,292 | ||||||
Mitsui Fudosan Co. Ltd. | 771 | 14,184 | ||||||
Nidec Corp. | 452 | 26,289 | ||||||
Shin-Etsu Chemical Co. Ltd. | 348 | 38,374 | ||||||
SMC Corp. | 65 | 29,336 | ||||||
Sony Corp. | 817 | 52,603 | ||||||
|
| |||||||
410,053 | ||||||||
|
| |||||||
Macau — 0.9% | ||||||||
Sands China Ltd. | 5,658 | 22,908 | ||||||
|
| |||||||
Netherlands — 4.3% | ||||||||
ASML Holding NV (a) | 200 | 58,513 | ||||||
ING Groep NV | 3,183 | 17,832 | ||||||
Royal Dutch Shell plc, Class A | 2,300 | 37,863 | ||||||
|
| |||||||
114,208 | ||||||||
|
| |||||||
Singapore — 1.0% | ||||||||
DBS Group Holdings Ltd. | 1,937 | 27,271 | ||||||
|
| |||||||
South Korea — 1.5% | ||||||||
Samsung Electronics Co. Ltd., GDR (b) | 37 | 38,094 | ||||||
Samsung Electronics Co. Ltd., GDR (b) | 1 | 1,236 | ||||||
|
| |||||||
39,330 | ||||||||
|
| |||||||
Spain — 1.0% | ||||||||
Industria de Diseno Textil SA | 1,083 | 27,747 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 41 |
Table of Contents
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Sweden — 2.4% | ||||||||
Atlas Copco AB, Class A | 969 | 33,407 | ||||||
Svenska Handelsbanken AB, Class A * | 3,376 | 30,817 | ||||||
|
| |||||||
64,224 | ||||||||
|
| |||||||
Switzerland — 13.8% | ||||||||
Cie Financiere Richemont SA (Registered) | 373 | 21,175 | ||||||
LafargeHolcim Ltd. (Registered) * | 819 | 34,010 | ||||||
Lonza Group AG (Registered) * | 30 | 13,235 | ||||||
Nestle SA (Registered) | 1,053 | 111,503 | ||||||
Novartis AG (Registered) | 849 | 72,426 | ||||||
Roche Holding AG | 280 | 97,104 | ||||||
SGS SA (Registered) | 8 | 18,339 | ||||||
|
| |||||||
367,792 | ||||||||
|
| |||||||
Taiwan — 1.6% | ||||||||
Taiwan Semiconductor Manufacturing Co. | 818 | 43,455 | ||||||
|
| |||||||
United Kingdom — 14.8% | ||||||||
Burberry Group plc | 1,362 | 23,657 | ||||||
Diageo plc | 1,615 | 55,587 | ||||||
GlaxoSmithKline plc | 3,004 | 62,661 | ||||||
Legal & General Group plc | 11,556 | 29,711 | ||||||
Linde plc (a) | 188 | 34,722 | ||||||
London Stock Exchange Group plc | 270 | 25,277 | ||||||
Persimmon plc | 964 | 26,716 | ||||||
Prudential plc | 2,073 | 29,239 | ||||||
RELX plc | 1,435 | 32,655 | ||||||
Smith & Nephew plc | 1,370 | 26,805 | ||||||
Unilever plc | 907 | 46,710 | ||||||
|
| |||||||
393,740 | ||||||||
|
| |||||||
United States — 1.2% | ||||||||
Ferguson plc | 445 | 32,095 | ||||||
|
| |||||||
Total Common Stocks | 2,626,021 | |||||||
|
| |||||||
Short-Term Investments — 5.3% | ||||||||
Investment Companies — 1.1% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) | 28,670 | 28,692 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 4.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 69,011 | 69,025 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 42,530 | 42,530 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 111,555 | |||||||
|
| |||||||
Total Short-Term Investments | 140,247 | |||||||
|
| |||||||
Total Investments — 103.7% | 2,766,268 | |||||||
Liabilities in Excess of | (98,814 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 2,667,454 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 10.6 | % | ||
Insurance | 8.6 | |||
Machinery | 7.0 | |||
Banks | 5.9 | |||
Textiles, Apparel & Luxury Goods | 5.1 | |||
Personal Products | 4.6 | |||
Beverages | 4.1 | |||
Food Products | 4.0 | |||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Chemicals | 3.3 | |||
Electrical Equipment | 3.3 | |||
Capital Markets | 2.9 | |||
Household Durables | 2.9 | |||
Metals & Mining | 2.6 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Software | 2.0 | |||
Health Care Equipment & Supplies | 2.0 | |||
Real Estate Management & Development | 1.9 | |||
Professional Services | 1.8 | |||
Electronic Equipment, Instruments & Components | 1.8 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Technology Hardware, Storage & Peripherals | 1.4 | |||
Internet & Direct Marketing Retail | 1.4 | |||
Aerospace & Defense | 1.3 | |||
Construction Materials | 1.2 | |||
Building Products | 1.2 | |||
Trading Companies & Distributors | 1.2 | |||
Interactive Media & Services | 1.0 | |||
Specialty Retail | 1.0 | |||
IT Services | 1.0 | |||
Others (each less than 1.0%) | 2.2 | |||
Short-Term Investments | 5.0 |
Abbreviations
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
OYJ | Public Limited Company | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $104,180,000. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 43 |
Table of Contents
JPMorgan International Focus Fund
(formerly known as JPMorgan International Unconstrained Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.8% |
| |||||||
Australia — 2.0% |
| |||||||
BHP Group plc | 3,016 | 50,620 | ||||||
|
| |||||||
Belgium — 1.5% |
| |||||||
KBC Group NV | 718 | 38,927 | ||||||
|
| |||||||
Canada — 6.7% |
| |||||||
Alimentation Couche-Tard, Inc., Class B | 1,483 | 41,372 | ||||||
Canadian National Railway Co. | 571 | 47,220 | ||||||
Canadian Pacific Railway Ltd. | 208 | 47,210 | ||||||
Toronto-Dominion Bank (The) | 828 | 34,610 | ||||||
|
| |||||||
170,412 | ||||||||
|
| |||||||
China — 9.9% |
| |||||||
Alibaba Group Holding Ltd., ADR * | 391 | 79,313 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 7,605 | 77,385 | ||||||
Tencent Holdings Ltd. | 1,804 | 94,830 | ||||||
|
| |||||||
251,528 | ||||||||
|
| |||||||
Denmark — 2.7% |
| |||||||
Novo Nordisk A/S, Class B | 1,085 | 69,229 | ||||||
|
| |||||||
Finland — 1.3% |
| |||||||
Kone OYJ, Class B | 542 | 32,832 | ||||||
|
| |||||||
France — 6.6% |
| |||||||
LVMH Moet Hennessy Louis Vuitton SE | 157 | 60,546 | ||||||
Safran SA | 560 | 52,021 | ||||||
Schneider Electric SE * (a) | 601 | 55,561 | ||||||
|
| |||||||
168,128 | ||||||||
|
| |||||||
Germany — 10.0% |
| |||||||
Allianz SE (Registered) | 266 | 48,975 | ||||||
Delivery Hero SE * (a) (b) | 736 | 62,413 | ||||||
Deutsche Boerse AG | 326 | 50,466 | ||||||
SAP SE | 505 | 60,160 | ||||||
Vonovia SE | 625 | 30,927 | ||||||
|
| |||||||
252,941 | ||||||||
|
| |||||||
Hong Kong — 3.5% |
| |||||||
AIA Group Ltd. | 9,546 | 87,611 | ||||||
|
| |||||||
India — 3.3% |
| |||||||
HDFC Bank Ltd., ADR | 1,925 | 83,453 | ||||||
|
| |||||||
Indonesia — 1.5% |
| |||||||
Bank Central Asia Tbk. PT | 21,608 | 37,428 | ||||||
|
| |||||||
Japan — 5.6% |
| |||||||
Keyence Corp. | 130 | 46,340 | ||||||
SMC Corp. | 92 | 41,767 | ||||||
Sony Corp. | 832 | 53,523 | ||||||
|
| |||||||
141,630 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Netherlands — 2.7% |
| |||||||
ASML Holding NV (a) | 233 | 68,076 | ||||||
|
| |||||||
South Korea — 2.5% |
| |||||||
Samsung Electronics Co. Ltd. | 1,520 | 62,511 | ||||||
|
| |||||||
Sweden — 3.0% |
| |||||||
Atlas Copco AB, Class A (a) | 928 | 31,989 | ||||||
Svenska Handelsbanken AB, Class A * | 4,842 | 44,199 | ||||||
|
| |||||||
76,188 | ||||||||
|
| |||||||
Switzerland — 11.0% |
| |||||||
LafargeHolcim Ltd. (Registered) * | 1,258 | 52,244 | ||||||
Nestle SA (Registered) | 1,179 | 124,820 | ||||||
Roche Holding AG | 209 | 72,501 | ||||||
SGS SA (Registered) | 13 | 29,272 | ||||||
|
| |||||||
278,837 | ||||||||
|
| |||||||
Taiwan — 2.7% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1,296 | 68,847 | ||||||
|
| |||||||
United Kingdom — 19.8% |
| |||||||
Burberry Group plc | 1,558 | 27,052 | ||||||
Diageo plc | 1,544 | 53,170 | ||||||
GlaxoSmithKline plc | 3,393 | 70,794 | ||||||
InterContinental Hotels Group plc | 721 | 32,833 | ||||||
Legal & General Group plc | 18,370 | 47,229 | ||||||
Linde plc (a) | 248 | 45,769 | ||||||
London Stock Exchange Group plc | 430 | 40,217 | ||||||
Persimmon plc | 1,490 | 41,283 | ||||||
RELX plc | 1,874 | 42,655 | ||||||
Smith & Nephew plc | 2,365 | 46,275 | ||||||
Unilever NV | 1,119 | 55,727 | ||||||
|
| |||||||
503,004 | ||||||||
|
| |||||||
United States — 1.5% |
| |||||||
Ferguson plc | 539 | 38,881 | ||||||
|
| |||||||
Total Common Stocks | 2,481,083 | |||||||
|
| |||||||
Short-Term Investments — 7.2% |
| |||||||
Investment Companies — 1.3% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (c) (d) (Cost $32,695) | 32,698 | 32,724 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 5.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (c) (d) | 123,991 | 124,016 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (c) (d) | 25,034 | 25,034 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 149,050 | |||||||
|
| |||||||
Total Short-term Investments | 181,774 | |||||||
|
| |||||||
Total Investments — 105.0% | 2,662,857 | |||||||
Liabilities in Excess of | (127,601 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 2,535,256 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Insurance | 9.8 | % | ||
Banks | 9.0 | |||
Pharmaceuticals | 8.0 | |||
Internet & Direct Marketing Retail | 5.3 | |||
Semiconductors & Semiconductor Equipment | 5.1 | |||
Food Products | 4.7 | |||
Machinery | 4.0 | |||
Interactive Media & Services | 3.6 | |||
Household Durables | 3.6 | |||
Road & Rail | 3.5 | |||
Capital Markets | 3.4 |
INDUSTRY | PERCENTAGE | |||
Textiles, Apparel & Luxury Goods | 3.3 | % | ||
Professional Services | 2.7 | |||
Technology Hardware, Storage & Peripherals | 2.3 | |||
Software | 2.3 | |||
Personal Products | 2.1 | |||
Electrical Equipment | 2.1 | |||
Beverages | 2.0 | |||
Construction Materials | 2.0 | |||
Aerospace & Defense | 1.9 | |||
Metals & Mining | 1.9 | |||
Electronic Equipment, Instruments & Components | 1.7 | |||
Health Care Equipment & Supplies | 1.7 | |||
Chemicals | 1.7 | |||
Food & Staples Retailing | 1.5 | |||
Trading Companies & Distributors | 1.5 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Real Estate Management & Development | 1.2 | |||
Short-Term Investments | 6.9 |
Abbreviations
ADR | American Depositary Receipt | |
OYJ | Public Limited Company | |
PT | Limited liability company | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $139,159,000. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 45 |
Table of Contents
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 104.2% |
| |||||||
Australia — 4.9% |
| |||||||
Australia & New Zealand Banking Group Ltd. | 59 | 643 | ||||||
BHP Group Ltd. | 39 | 796 | ||||||
Commonwealth Bank of Australia | 5 | 187 | ||||||
CSL Ltd. | 4 | 782 | ||||||
Dexus, REIT | 51 | 303 | ||||||
Goodman Group, REIT | 68 | 581 | ||||||
Macquarie Group Ltd. | 1 | 85 | ||||||
National Australia Bank Ltd. | 8 | 82 | ||||||
Rio Tinto Ltd. | 15 | 851 | ||||||
Rio Tinto plc | 5 | 245 | ||||||
Westpac Banking Corp. | 12 | 125 | ||||||
|
| |||||||
4,680 | ||||||||
|
| |||||||
Austria — 0.5% |
| |||||||
Erste Group Bank AG | 21 | 445 | ||||||
|
| |||||||
Denmark — 3.4% |
| |||||||
Carlsberg A/S, Class B | 3 | 334 | ||||||
Chr Hansen Holding A/S | 4 | 305 | ||||||
Novo Nordisk A/S, Class B | 31 | 1,961 | ||||||
Orsted A/S (a) | 7 | 677 | ||||||
|
| |||||||
3,277 | ||||||||
|
| |||||||
Finland — 0.6% |
| |||||||
Nokia OYJ | 54 | 195 | ||||||
UPM-Kymmene OYJ | 14 | 391 | ||||||
|
| |||||||
586 | ||||||||
|
| |||||||
France — 13.2% |
| |||||||
Accor SA | 9 | 241 | ||||||
Air Liquide SA | 13 | 1,647 | ||||||
Airbus SE * | 9 | 578 | ||||||
Alstom SA | 20 | 820 | ||||||
AXA SA | 15 | 261 | ||||||
BNP Paribas SA | 22 | 699 | ||||||
Capgemini SE | 6 | 585 | ||||||
L’Oreal SA | 1 | 265 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3 | 1,254 | ||||||
Natixis SA | 6 | 15 | ||||||
Orange SA | 42 | 508 | ||||||
Safran SA | 7 | 624 | ||||||
Sanofi | 20 | 1,994 | ||||||
Schneider Electric SE * | 13 | 1,162 | ||||||
Sodexo SA | 1 | 91 | ||||||
Thales SA | 2 | 182 | ||||||
TOTAL SA | 26 | 936 | ||||||
Unibail-Rodamco-Westfield, REIT | 1 | 40 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
France — continued |
| |||||||
Vinci SA | 9 | 747 | ||||||
|
| |||||||
12,649 | ||||||||
|
| |||||||
Germany — 10.2% |
| |||||||
adidas AG | 5 | 1,070 | ||||||
Allianz SE (Registered) | 1 | 209 | ||||||
BASF SE | 4 | 186 | ||||||
Bayer AG (Registered) | 9 | 617 | ||||||
Brenntag AG | 15 | 698 | ||||||
Daimler AG (Registered) | — | (b) | 9 | |||||
Deutsche Boerse AG | 5 | 734 | ||||||
Deutsche Post AG (Registered) | 26 | 761 | ||||||
Deutsche Telekom AG (Registered) | 78 | 1,141 | ||||||
Deutsche Wohnen SE | 6 | 226 | ||||||
Henkel AG & Co. KGaA (Preference) | 3 | 288 | ||||||
Infineon Technologies AG | 48 | 896 | ||||||
SAP SE | 17 | 2,008 | ||||||
Siemens AG (Registered) | 3 | 272 | ||||||
Volkswagen AG (Preference) | 4 | 581 | ||||||
|
| |||||||
9,696 | ||||||||
|
| |||||||
Hong Kong — 2.2% |
| |||||||
AIA Group Ltd. | 134 | 1,226 | ||||||
CK Asset Holdings Ltd. | 63 | 398 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 16 | 526 | ||||||
|
| |||||||
2,150 | ||||||||
|
| |||||||
Ireland — 1.0% |
| |||||||
CRH plc | 10 | 318 | ||||||
Ryanair Holdings plc, ADR * | 10 | 642 | ||||||
|
| |||||||
960 | ||||||||
|
| |||||||
Italy — 2.2% |
| |||||||
Assicurazioni Generali SpA | 5 | 72 | ||||||
Enel SpA | 204 | 1,393 | ||||||
FinecoBank Banca Fineco SpA * | 53 | 593 | ||||||
UniCredit SpA * | 8 | 61 | ||||||
|
| |||||||
2,119 | ||||||||
|
| |||||||
Japan — 24.9% |
| |||||||
Asahi Group Holdings Ltd. | 3 | 100 | ||||||
Bridgestone Corp. | 17 | 542 | ||||||
Central Japan Railway Co. | 4 | 629 | ||||||
Daicel Corp. | 37 | 300 | ||||||
Daikin Industries Ltd. | 8 | 1,001 | ||||||
Electric Power Development Co. Ltd. | 9 | 184 | ||||||
Hitachi Ltd. | 12 | 368 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Japan — continued |
| |||||||
Honda Motor Co. Ltd. | 46 | 1,122 | ||||||
Japan Airlines Co. Ltd. | 6 | 98 | ||||||
Japan Tobacco, Inc. | 10 | 181 | ||||||
Kao Corp. | 18 | 1,350 | ||||||
Keyence Corp. | 4 | 1,321 | ||||||
Mabuchi Motor Co. Ltd. | 16 | 492 | ||||||
Marui Group Co. Ltd. | 22 | 357 | ||||||
Mitsubishi Corp. | 35 | 740 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 206 | 833 | ||||||
Mitsui Fudosan Co. Ltd. | 37 | 680 | ||||||
Nichirei Corp. | 9 | 228 | ||||||
Nintendo Co. Ltd. | 4 | 1,445 | ||||||
Nippon Telegraph & Telephone Corp. | 54 | 1,230 | ||||||
Nitori Holdings Co. Ltd. | 3 | 521 | ||||||
Nomura Research Institute Ltd. | 9 | 220 | ||||||
Olympus Corp. | 19 | 294 | ||||||
Otsuka Corp. | 13 | 602 | ||||||
Otsuka Holdings Co. Ltd. | 21 | 818 | ||||||
Panasonic Corp. | 43 | 329 | ||||||
Persol Holdings Co. Ltd. | 14 | 166 | ||||||
Renesas Electronics Corp. * | 20 | 103 | ||||||
Seven & i Holdings Co. Ltd. | 15 | 490 | ||||||
SoftBank Group Corp. | 5 | 223 | ||||||
Sony Corp. | 11 | 695 | ||||||
Sumitomo Electric Industries Ltd. | 29 | 294 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 27 | 697 | ||||||
T&D Holdings, Inc. | 28 | 242 | ||||||
Tokio Marine Holdings, Inc. | 17 | 798 | ||||||
Tokyo Gas Co. Ltd. | 10 | 226 | ||||||
Tokyu Corp. | 60 | 899 | ||||||
Toray Industries, Inc. | 57 | 262 | ||||||
Toyota Motor Corp. | 35 | 2,164 | ||||||
West Japan Railway Co. | 6 | 395 | ||||||
Yamato Holdings Co. Ltd. | 9 | 154 | ||||||
|
| |||||||
23,793 | ||||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
ArcelorMittal SA | 14 | 150 | ||||||
|
| |||||||
Netherlands — 4.9% | ||||||||
Akzo Nobel NV | 11 | 851 | ||||||
ASML Holding NV | 7 | 2,126 | ||||||
Heineken NV | 4 | 342 | ||||||
ING Groep NV | 71 | 399 | ||||||
Koninklijke Philips NV | 4 | 191 | ||||||
Royal Dutch Shell plc, Class A | 34 | 564 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Netherlands — continued | ||||||||
Royal Dutch Shell plc, Class B | 15 | 234 | ||||||
|
| |||||||
4,707 | ||||||||
|
| |||||||
Norway — 0.9% | ||||||||
Telenor ASA | 54 | 835 | ||||||
|
| |||||||
Singapore — 0.9% | ||||||||
DBS Group Holdings Ltd. | 53 | 739 | ||||||
United Overseas Bank Ltd. | 6 | 92 | ||||||
|
| |||||||
831 | ||||||||
|
| |||||||
Spain — 3.4% | ||||||||
Banco Santander SA | 125 | 279 | ||||||
Bankia SA | 158 | 161 | ||||||
Iberdrola SA | 151 | 1,503 | ||||||
Industria de Diseno Textil SA | 45 | 1,141 | ||||||
Telefonica SA | 33 | 150 | ||||||
|
| |||||||
3,234 | ||||||||
|
| |||||||
Sweden — 1.4% | ||||||||
Lundin Energy AB | 24 | 606 | ||||||
Svenska Handelsbanken AB, Class A * | 79 | 725 | ||||||
|
| |||||||
1,331 | ||||||||
|
| |||||||
Switzerland — 12.3% | ||||||||
Adecco Group AG (Registered) | 4 | 187 | ||||||
Cie Financiere Richemont SA (Registered) | 9 | 533 | ||||||
Credit Suisse Group AG (Registered) * | 37 | 339 | ||||||
LafargeHolcim Ltd. (Registered) * | 19 | 787 | ||||||
Nestle SA (Registered) | 37 | 3,931 | ||||||
Novartis AG (Registered) | 29 | 2,438 | ||||||
Roche Holding AG | 9 | 3,045 | ||||||
Swiss Re AG | 7 | 487 | ||||||
|
| |||||||
11,747 | ||||||||
|
| |||||||
United Kingdom — 16.7% | ||||||||
3i Group plc | 85 | 831 | ||||||
AstraZeneca plc | 8 | 846 | ||||||
Aviva plc | 22 | 66 | ||||||
Barratt Developments plc | 69 | 450 | ||||||
Beazley plc | 39 | 191 | ||||||
BP plc | 317 | 1,248 | ||||||
British American Tobacco plc | 37 | 1,445 | ||||||
Burberry Group plc | 14 | 248 | ||||||
CK Hutchison Holdings Ltd. | 50 | 371 | ||||||
Diageo plc | 44 | 1,524 | ||||||
GlaxoSmithKline plc | 70 | 1,452 | ||||||
HSBC Holdings plc | 103 | 527 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 47 |
Table of Contents
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — continued | ||||||||
InterContinental Hotels Group plc | 21 | 944 | ||||||
ITV plc | 41 | 39 | ||||||
Lloyds Banking Group plc | 1,444 | 584 | ||||||
M&G plc | 237 | 393 | ||||||
Prudential plc | 57 | 803 | ||||||
RELX plc | 36 | 812 | ||||||
Standard Chartered plc | 100 | 512 | ||||||
Taylor Wimpey plc | 244 | 450 | ||||||
Tesco plc | 218 | 645 | ||||||
Unilever NV | 29 | 1,446 | ||||||
Whitbread plc | 3 | 121 | ||||||
|
| |||||||
15,948 | ||||||||
|
| |||||||
United States — 0.4% | ||||||||
Ferguson plc | 5 | 353 | ||||||
|
| |||||||
Total Common Stocks | 99,491 | |||||||
|
| |||||||
NO. OF CONTRACTS | ||||||||
Options Purchased — 0.7% |
| |||||||
Put Options Purchased — 0.7% |
| |||||||
United States — 0.7% |
| |||||||
MSCI EAFE Index 6/19/2020 at USD 1,350.00, European Style Notional Amount: USD 104,600 Exchange-Traded * | 631 | 637 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 0.9% |
| |||||||
Investment Companies — 0.9% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.17% (c) (d) | 854 | 854 | ||||||
|
| |||||||
Total Investments — 105.8% | 100,982 | |||||||
Liabilities in Excess of | (5,515 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 95,467 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 13.1 | % | ||
Banks | 8.3 | |||
Insurance | 4.3 | |||
Food Products | 4.1 | |||
Automobiles | 3.8 | |||
Diversified Telecommunication Services | 3.8 | |||
Oil, Gas & Consumable Fuels | 3.6 | |||
Electric Utilities | 3.5 | |||
Chemicals | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.1 | |||
Textiles, Apparel & Luxury Goods | 3.1 | |||
Personal Products | 3.0 | |||
Capital Markets | 2.5 | |||
Beverages | 2.3 | |||
Metals & Mining | 2.0 | |||
Software | 2.0 | |||
Household Durables | 1.9 | |||
Road & Rail | 1.9 | |||
Trading Companies & Distributors | 1.8 | |||
Electronic Equipment, Instruments & Components | 1.7 | |||
Specialty Retail | 1.7 | |||
Electrical Equipment | 1.6 | |||
Tobacco | 1.6 | |||
Entertainment | 1.4 | |||
IT Services | 1.4 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Aerospace & Defense | 1.4 | |||
Real Estate Management & Development | 1.3 | |||
Professional Services | 1.2 | |||
Food & Staples Retailing | 1.1 | |||
Construction Materials | 1.1 | |||
Building Products | 1.0 | |||
Others (each less than 1.0%) | 9.7 | |||
Short-Term Investments | 0.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Abbreviations
ADR | American Depositary Receipt | |
EAFE | Europe, Australasia and Far East | |
MSCI | Morgan Stanley Capital International | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | Real Estate Investment Trust | |
USD | United States Dollar |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 13 | 06/2020 | EUR | 410 | 13 | |||||||||||||||
FTSE 100 Index | 2 | 06/2020 | GBP | 148 | 5 | |||||||||||||||
SPI 200 Index | 20 | 06/2020 | AUD | 1,767 | 126 | |||||||||||||||
TOPIX Index | 9 | 06/2020 | JPY | 1,219 | 104 | |||||||||||||||
|
| |||||||||||||||||||
248 | ||||||||||||||||||||
|
|
Abbreviations | ||
AUD | Australian Dollar | |
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
JPY | Japanese Yen | |
SPI | Australian Securities Exchange | |
TOPIX | Tokyo Stock Price Index |
Written Call Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
MSCI EAFE Index | Exchange-Traded | 631 | USD 104,600 | USD 1,510.00 | 6/19/2020 | (9,771 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Written Put Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
MSCI EAFE Index | Exchange-Traded | 631 | USD 104,600 | USD 1,125.00 | 6/19/2020 | (110 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Written Options Contracts (Premiums Received $7,118) |
| (9,881 | ) | |||||||||||||||||||
|
|
Abbreviations | ||
EAFE | Europe, Australasia, and Far East | |
MSCI | Morgan Stanley Capital International | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 49 |
Table of Contents
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 95.1% |
| |||||||
Australia — 4.5% |
| |||||||
Australia & New Zealand Banking Group Ltd. | 2,448 | 26,592 | ||||||
BHP Group Ltd. | 1,612 | 32,916 | ||||||
Commonwealth Bank of Australia | 194 | 7,822 | ||||||
CSL Ltd. | 162 | 32,265 | ||||||
Dexus, REIT | 2,108 | 12,514 | ||||||
Goodman Group, REIT | 2,817 | 23,994 | ||||||
Macquarie Group Ltd. | 55 | 3,675 | ||||||
National Australia Bank Ltd. | 325 | 3,566 | ||||||
Rio Tinto Ltd. | 623 | 35,130 | ||||||
Rio Tinto plc | 222 | 10,301 | ||||||
Westpac Banking Corp. | 504 | 5,249 | ||||||
|
| |||||||
194,024 | ||||||||
|
| |||||||
Austria — 0.4% |
| |||||||
Erste Group Bank AG | 849 | 18,394 | ||||||
IMMOFINANZ AG * | 1 | 26 | ||||||
|
| |||||||
18,420 | ||||||||
|
| |||||||
Denmark — 3.1% |
| |||||||
Carlsberg A/S, Class B | 109 | 13,727 | ||||||
Chr Hansen Holding A/S (a) | 136 | 11,707 | ||||||
Novo Nordisk A/S, Class B | 1,267 | 80,841 | ||||||
Orsted A/S (b) | 277 | 28,002 | ||||||
|
| |||||||
134,277 | ||||||||
|
| |||||||
Finland — 0.6% |
| |||||||
Nokia OYJ | 2,225 | 8,022 | ||||||
UPM-Kymmene OYJ | 591 | 16,199 | ||||||
|
| |||||||
24,221 | ||||||||
|
| |||||||
France — 12.2% |
| |||||||
Accor SA | 357 | 9,926 | ||||||
Air Liquide SA (a) | 533 | 67,740 | ||||||
Airbus SE * | 378 | 23,909 | ||||||
Alstom SA | 827 | 33,926 | ||||||
AXA SA | 606 | 10,769 | ||||||
BNP Paribas SA | 920 | 28,903 | ||||||
Capgemini SE | 257 | 24,186 | ||||||
L’Oreal SA | 37 | 10,881 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 135 | 52,307 | ||||||
Natixis SA | 278 | 656 | ||||||
Orange SA | 1,731 | 21,029 | ||||||
Safran SA | 277 | 25,756 | ||||||
Sanofi (a) | 845 | 82,492 | ||||||
Schneider Electric SE * (a) | 520 | 48,072 | ||||||
Sodexo SA (a) | 47 | 3,719 | ||||||
Thales SA | 99 | 7,531 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
France — continued |
| |||||||
TOTAL SA | 1,089 | 38,650 | ||||||
Unibail-Rodamco-Westfield, REIT | 28 | 1,658 | ||||||
Vinci SA | 375 | 30,742 | ||||||
|
| |||||||
522,852 | ||||||||
|
| |||||||
Germany — 9.3% |
| |||||||
adidas AG | 194 | 44,319 | ||||||
Allianz SE (Registered) | 48 | 8,755 | ||||||
BASF SE | 153 | 7,827 | ||||||
Bayer AG (Registered) | 388 | 25,532 | ||||||
Brenntag AG | 638 | 28,874 | ||||||
Daimler AG (Registered) (a) | 17 | 594 | ||||||
Deutsche Boerse AG | 195 | 30,281 | ||||||
Deutsche Post AG (Registered) | 1,060 | 31,490 | ||||||
Deutsche Telekom AG (Registered) | 3,203 | 46,829 | ||||||
Deutsche Wohnen SE | 230 | 9,310 | ||||||
Henkel AG & Co. KGaA (Preference) | 124 | 11,049 | ||||||
Infineon Technologies AG | 1,990 | 36,991 | ||||||
SAP SE | 697 | 82,987 | ||||||
Siemens AG (Registered) | 124 | 11,476 | ||||||
Volkswagen AG (Preference) | 172 | 23,954 | ||||||
|
| |||||||
400,268 | ||||||||
|
| |||||||
Hong Kong — 2.0% |
| |||||||
AIA Group Ltd. | 5,476 | 50,254 | ||||||
CK Asset Holdings Ltd. | 2,506 | 15,835 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 657 | 21,065 | ||||||
I-CABLE Communications Ltd. * | 254 | 2 | ||||||
|
| |||||||
87,156 | ||||||||
|
| |||||||
Ireland — 0.9% |
| |||||||
CRH plc | 439 | 13,321 | ||||||
Ryanair Holdings plc, ADR * | 418 | 26,550 | ||||||
|
| |||||||
39,871 | ||||||||
|
| |||||||
Italy — 2.0% |
| |||||||
Assicurazioni Generali SpA | 208 | 2,964 | ||||||
Enel SpA | 8,450 | 57,719 | ||||||
FinecoBank Banca Fineco SpA * (a) | 2,198 | 24,492 | ||||||
UniCredit SpA * | 341 | 2,634 | ||||||
|
| |||||||
87,809 | ||||||||
|
| |||||||
Japan — 22.6% |
| |||||||
Asahi Group Holdings Ltd. | 107 | 3,665 | ||||||
Bridgestone Corp. | 696 | 21,658 | ||||||
Central Japan Railway Co. | 147 | 23,131 | ||||||
Daicel Corp. | 1,533 | 12,441 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Japan — continued |
| |||||||
Daikin Industries Ltd. | 310 | 39,820 | ||||||
Electric Power Development Co. Ltd. | 376 | 7,516 | ||||||
Hitachi Ltd. | 486 | 14,418 | ||||||
Honda Motor Co. Ltd. | 1,888 | 45,851 | ||||||
Japan Airlines Co. Ltd. | 226 | 4,030 | ||||||
Japan Tobacco, Inc. | 363 | 6,764 | ||||||
Kao Corp. | 722 | 55,647 | ||||||
Keyence Corp. | 157 | 56,158 | ||||||
Mabuchi Motor Co. Ltd. | 655 | 20,276 | ||||||
Marui Group Co. Ltd. | 880 | 14,408 | ||||||
Mitsubishi Corp. | 1,426 | 30,251 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 8,429 | 34,055 | ||||||
Mitsui Fudosan Co. Ltd. | 1,509 | 27,750 | ||||||
Nichirei Corp. | 359 | 8,968 | ||||||
Nintendo Co. Ltd. | 141 | 58,305 | ||||||
Nippon Telegraph & Telephone Corp. | 2,222 | 50,592 | ||||||
Nitori Holdings Co. Ltd. | 146 | 22,409 | ||||||
Nomura Research Institute Ltd. | 370 | 9,053 | ||||||
Olympus Corp. | 748 | 11,875 | ||||||
Otsuka Corp. | 584 | 26,433 | ||||||
Otsuka Holdings Co. Ltd. | 937 | 36,840 | ||||||
Panasonic Corp. | 1,736 | 13,233 | ||||||
Persol Holdings Co. Ltd. | 584 | 6,715 | ||||||
Renesas Electronics Corp. * | 792 | 4,179 | ||||||
Seven & i Holdings Co. Ltd. | 611 | 20,218 | ||||||
SoftBank Group Corp. | 207 | 8,873 | ||||||
Sony Corp. | 441 | 28,385 | ||||||
Sumitomo Electric Industries Ltd. | 1,176 | 12,095 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,075 | 28,256 | ||||||
T&D Holdings, Inc. | 1,139 | 9,843 | ||||||
Tokio Marine Holdings, Inc. | 693 | 32,527 | ||||||
Tokyo Gas Co. Ltd. | 435 | 9,535 | ||||||
Tokyu Corp. | 2,424 | 36,486 | ||||||
Toray Industries, Inc. | 2,314 | 10,609 | ||||||
Toyota Motor Corp. | 1,413 | 87,350 | ||||||
West Japan Railway Co. | 245 | 15,140 | ||||||
Yamato Holdings Co. Ltd. | 353 | 6,165 | ||||||
|
| |||||||
971,923 | ||||||||
|
| |||||||
Luxembourg — 0.2% |
| |||||||
ArcelorMittal SA | 569 | 6,219 | ||||||
|
| |||||||
Malta — 0.0%(c) |
| |||||||
BGP Holdings plc * ‡ | 449 | 1 | ||||||
|
| |||||||
Netherlands — 4.5% |
| |||||||
Akzo Nobel NV | 463 | 35,163 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Netherlands — continued |
| |||||||
ASML Holding NV (a) | 295 | 86,171 | ||||||
Heineken NV (a) | 166 | 14,086 | ||||||
ING Groep NV | 2,946 | 16,505 | ||||||
Koninklijke Philips NV | 182 | 7,938 | ||||||
Royal Dutch Shell plc, Class A | 1,414 | 23,274 | ||||||
Royal Dutch Shell plc, Class B | 609 | 9,745 | ||||||
|
| |||||||
192,882 | ||||||||
|
| |||||||
Norway — 0.8% |
| |||||||
Telenor ASA | 2,338 | 35,863 | ||||||
|
| |||||||
Singapore — 0.8% |
| |||||||
DBS Group Holdings Ltd. | 2,149 | 30,255 | ||||||
United Overseas Bank Ltd. | 256 | 3,658 | ||||||
|
| |||||||
33,913 | ||||||||
|
| |||||||
Spain — 3.1% |
| |||||||
Banco Santander SA | 5,174 | 11,560 | ||||||
Bankia SA | 6,546 | 6,661 | ||||||
Iberdrola SA | 6,245 | 62,124 | ||||||
Industria de Diseno Textil SA | 1,843 | 47,209 | ||||||
Telefonica SA | 1,378 | 6,302 | ||||||
|
| |||||||
133,856 | ||||||||
|
| |||||||
Sweden — 1.3% |
| |||||||
Lundin Energy AB (a) | 974 | 25,065 | ||||||
Svenska Handelsbanken AB, Class A * | 3,285 | 29,982 | ||||||
|
| |||||||
55,047 | ||||||||
|
| |||||||
Switzerland — 11.2% |
| |||||||
Adecco Group AG (Registered) | 175 | 7,679 | ||||||
Cie Financiere Richemont SA (Registered) | 388 | 22,010 | ||||||
Credit Suisse Group AG (Registered) * | 1,532 | 13,987 | ||||||
LafargeHolcim Ltd. (Registered) * | 782 | 32,480 | ||||||
Nestle SA (Registered) | 1,525 | 161,503 | ||||||
Novartis AG (Registered) | 1,163 | 99,290 | ||||||
Roche Holding AG | 362 | 125,394 | ||||||
Swiss Re AG (a) | 277 | 20,138 | ||||||
|
| |||||||
482,481 | ||||||||
|
| |||||||
United Kingdom — 15.3% |
| |||||||
3i Group plc | 3,504 | 34,420 | ||||||
AstraZeneca plc | 334 | 34,948 | ||||||
Aviva plc | 901 | 2,725 | ||||||
Barratt Developments plc | 2,853 | 18,603 | ||||||
Beazley plc | 1,479 | 7,315 | ||||||
BP plc | 13,097 | 51,608 | ||||||
British American Tobacco plc | 1,562 | 60,223 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 51 |
Table of Contents
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — continued |
| |||||||
Burberry Group plc | 591 | 10,266 | ||||||
CK Hutchison Holdings Ltd. | 2,038 | 15,103 | ||||||
Diageo plc | 1,837 | 63,243 | ||||||
GlaxoSmithKline plc | 2,881 | 60,098 | ||||||
HSBC Holdings plc | 4,196 | 21,569 | ||||||
InterContinental Hotels Group plc | 851 | 38,786 | ||||||
ITV plc | 1,707 | 1,639 | ||||||
Lloyds Banking Group plc | 59,548 | 24,094 | ||||||
M&G plc | 9,790 | 16,230 | ||||||
Prudential plc | 2,358 | 33,265 | ||||||
RELX plc | 1,488 | 33,573 | ||||||
Standard Chartered plc | 4,130 | 21,101 | ||||||
Taylor Wimpey plc | 10,048 | 18,558 | ||||||
Tesco plc | 8,973 | 26,540 | ||||||
Unilever NV | 1,202 | 59,836 | ||||||
Whitbread plc | 138 | 5,165 | ||||||
|
| |||||||
658,908 | ||||||||
|
| |||||||
United States — 0.3% |
| |||||||
Ferguson plc | 202 | 14,574 | ||||||
|
| |||||||
Total Common Stocks | 4,094,565 | |||||||
|
| |||||||
Short-term Investments — 10.3% |
| |||||||
Investment Companies — 3.2% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (d) (e) | 138,222 | 138,332 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 7.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (d) (e) | 132,004 | 132,031 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (d) (e) | 173,313 | 173,313 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 305,344 | |||||||
|
| |||||||
Total Short-Term Investments | 443,676 | |||||||
|
| |||||||
Total Investments — 105.4% | 4,538,241 | |||||||
Liabilities in Excess of | (234,531 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 4,303,710 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 12.0 | % | ||
Banks | 7.6 | |||
Insurance | 3.9 | |||
Food Products | 3.8 | |||
Diversified Telecommunication Services | 3.5 | |||
Automobiles | 3.5 | |||
Oil, Gas & Consumable Fuels | 3.3 | |||
Electric Utilities | 3.3 | |||
Chemicals | 3.2 | |||
Textiles, Apparel & Luxury Goods | 2.8 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Personal Products | 2.8 | |||
Capital Markets | 2.3 | |||
Beverages | 2.1 | |||
Metals & Mining | 1.9 | |||
Software | 1.8 | |||
Household Durables | 1.7 | |||
Road & Rail | 1.6 | |||
Trading Companies & Distributors | 1.6 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Specialty Retail | 1.5 | |||
Electrical Equipment | 1.5 | |||
Tobacco | 1.5 | |||
IT Services | 1.3 | |||
Entertainment | 1.3 | |||
Hotels, Restaurants & Leisure | 1.3 | |||
Aerospace & Defense | 1.3 | |||
Real Estate Management & Development | 1.2 | |||
Professional Services | 1.1 | |||
Food & Staples Retailing | 1.0 | |||
Construction Materials | 1.0 | |||
Others (each less than 1.0%) | 9.1 | |||
Short-Term Investments | 9.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Abbreviations
ADR | American Depositary Receipt | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $282,127,000. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
SPI 200 Index | 1,011 | 06/2020 | AUD | 89,303 | 6,793 | |||||||||||||
TOPIX Index | 373 | 06/2020 | JPY | 50,520 | 4,704 | |||||||||||||
|
| |||||||||||||||||
11,497 | ||||||||||||||||||
|
|
Abbreviations | ||
AUD | Australian Dollar | |
JPY | Japanese Yen | |
SPI | Australian Securities Exchange | |
TOPIX | Tokyo Stock Price Index |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 53 |
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.5% | ||||||||
Australia — 7.6% | ||||||||
AGL Energy Ltd. | 65 | 709 | ||||||
Alumina Ltd. | 319 | 353 | ||||||
Australia & New Zealand Banking Group Ltd. | 168 | 1,820 | ||||||
Beach Energy Ltd. | 324 | 316 | ||||||
BHP Group Ltd. | 252 | 5,147 | ||||||
BlueScope Steel Ltd. | 76 | 496 | ||||||
Caltex Australia Ltd. | 22 | 361 | ||||||
Challenger Ltd. | 163 | 518 | ||||||
CSR Ltd. | 137 | 330 | ||||||
Fortescue Metals Group Ltd. | 152 | 1,159 | ||||||
Harvey Norman Holdings Ltd. | 166 | 298 | ||||||
IOOF Holdings Ltd. | 111 | 309 | ||||||
JBHi-Fi Ltd. | 27 | 601 | ||||||
Macquarie Group Ltd. | 6 | 407 | ||||||
Metcash Ltd. | 263 | 425 | ||||||
National Australia Bank Ltd. | 173 | 1,896 | ||||||
Origin Energy Ltd. | 165 | 595 | ||||||
Qantas Airways Ltd. | 163 | 405 | ||||||
QBE Insurance Group Ltd. | 58 | 314 | ||||||
Rio Tinto plc | 82 | 3,809 | ||||||
South32 Ltd. | 507 | 638 | ||||||
|
| |||||||
20,906 | ||||||||
|
| |||||||
Austria — 0.8% | ||||||||
AT&S Austria Technologie & Systemtechnik AG | 17 | 294 | ||||||
BAWAG Group AG * (a) | 15 | 511 | ||||||
Erste Group Bank AG | 29 | 625 | ||||||
Raiffeisen Bank International AG | 25 | 434 | ||||||
Telekom Austria AG | 62 | 434 | ||||||
|
| |||||||
2,298 | ||||||||
|
| |||||||
Belgium — 1.2% | ||||||||
Ageas | 21 | 770 | ||||||
Bekaert SA | 16 | 333 | ||||||
bpost SA | 44 | 306 | ||||||
KBC Group NV | 22 | 1,219 | ||||||
Orange Belgium SA | 23 | 380 | ||||||
Telenet Group Holding NV | 9 | 392 | ||||||
|
| |||||||
3,400 | ||||||||
|
| |||||||
China — 0.5% | ||||||||
BOC Hong Kong Holdings Ltd. | 331 | 1,016 | ||||||
CITIC Telecom International Holdings Ltd. | 1,206 | 446 | ||||||
|
| |||||||
1,462 | ||||||||
|
| |||||||
Denmark — 1.1% | ||||||||
Jyske Bank A/S (Registered) * | 13 | 348 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Denmark — continued | ||||||||
Matas A/S | 58 | 393 | ||||||
Pandora A/S | 13 | 467 | ||||||
Scandinavian Tobacco Group A/S, Class A (a) | 55 | 636 | ||||||
Solar A/S, Class B | 6 | 218 | ||||||
Spar Nord Bank A/S * | 46 | 318 | ||||||
Sydbank A/S | 24 | 396 | ||||||
TCM Group A/S * (a) | 24 | 346 | ||||||
|
| |||||||
3,122 | ||||||||
|
| |||||||
Finland — 1.7% | ||||||||
Fortum OYJ (b) | 28 | 467 | ||||||
Kemira OYJ | 30 | 361 | ||||||
Konecranes OYJ | 14 | 303 | ||||||
Nordea Bank Abp | 222 | 1,422 | ||||||
Sanoma OYJ | 34 | 310 | ||||||
TietoEVRY OYJ | 13 | 314 | ||||||
UPM-Kymmene OYJ | 39 | 1,082 | ||||||
Valmet OYJ | 19 | 436 | ||||||
|
| |||||||
4,695 | ||||||||
|
| |||||||
France — 7.9% | ||||||||
Arkema SA | 5 | 427 | ||||||
Atos SE * | 10 | 738 | ||||||
AXA SA | 110 | 1,953 | ||||||
BNP Paribas SA | 69 | 2,174 | ||||||
Cie de Saint-Gobain | 36 | 959 | ||||||
Cie Generale des Etablissements Michelin SCA | 12 | 1,163 | ||||||
Credit Agricole SA | 96 | 770 | ||||||
Derichebourg SA | 117 | 330 | ||||||
Eutelsat Communications SA | 32 | 356 | ||||||
Faurecia SE | 12 | 442 | ||||||
Gecina SA, REIT | 5 | 592 | ||||||
Groupe Crit | 9 | 480 | ||||||
IPSOS | 19 | 365 | ||||||
Kaufman & Broad SA | 17 | 601 | ||||||
Metropole Television SA | 25 | 281 | ||||||
Natixis SA | 123 | 291 | ||||||
Peugeot SA | 38 | 539 | ||||||
Publicis Groupe SA (b) | 20 | 601 | ||||||
Quadient | 22 | 308 | ||||||
Rexel SA | 34 | 314 | ||||||
Rothschild & Co. | 17 | 328 | ||||||
Societe Generale SA | 58 | 907 | ||||||
Sopra Steria Group | 3 | 348 | ||||||
SPIE SA | 27 | 400 | ||||||
Television Francaise 1 * | 47 | 230 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
France — continued | ||||||||
TOTAL SA | 134 | 4,746 | ||||||
Veolia Environnement SA | 43 | 914 | ||||||
|
| |||||||
21,557 | ||||||||
|
| |||||||
Georgia — 0.3% | ||||||||
Bank of Georgia Group plc | 27 | 340 | ||||||
TBC Bank Group plc | 33 | 337 | ||||||
|
| |||||||
677 | ||||||||
|
| |||||||
Germany — 8.2% | ||||||||
1&1 Drillisch AG | 16 | 369 | ||||||
Aareal Bank AG | 15 | 237 | ||||||
Allianz SE (Registered) | 17 | 3,099 | ||||||
Aurubis AG | 8 | 392 | ||||||
Bayer AG (Registered) | 56 | 3,682 | ||||||
Bayerische Motoren Werke AG | 22 | 1,287 | ||||||
Deutsche Pfandbriefbank AG (a) | 29 | 215 | ||||||
Deutsche Post AG (Registered) | 12 | 356 | ||||||
Deutsche Telekom AG (Registered) | 210 | 3,075 | ||||||
DWS Group GmbH & Co. KGaA (a) | 10 | 326 | ||||||
Evonik Industries AG | 24 | 602 | ||||||
Freenet AG | 22 | 417 | ||||||
Fresenius SE & Co. KGaA | 29 | 1,267 | ||||||
HeidelbergCement AG | 13 | 602 | ||||||
HOCHTIEF AG | 5 | 362 | ||||||
JOST Werke AG (a) | 18 | 494 | ||||||
Jungheinrich AG (Preference) | 17 | 309 | ||||||
KION Group AG | 8 | 377 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 5 | 1,116 | ||||||
Porsche Automobil Holding SE (Preference) | 13 | 669 | ||||||
Schaeffler AG (Preference) | 51 | 344 | ||||||
Software AG | 12 | 416 | ||||||
Volkswagen AG (Preference) | 13 | 1,818 | ||||||
Wuestenrot & Wuerttembergische AG | 35 | 611 | ||||||
|
| |||||||
22,442 | ||||||||
|
| |||||||
Hong Kong — 2.1% | ||||||||
CK Asset Holdings Ltd. | 199 | 1,254 | ||||||
CK Infrastructure Holdings Ltd. | 90 | 532 | ||||||
Haitong International Securities Group Ltd. | 1,246 | 292 | ||||||
Hang Lung Properties Ltd. | 253 | 541 | ||||||
Shun Tak Holdings Ltd. | 976 | 341 | ||||||
Sun Hung Kai Properties Ltd. | 100 | 1,361 | ||||||
VTech Holdings Ltd. | 45 | 338 | ||||||
Wheelock & Co. Ltd. | 113 | 828 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Hong Kong — continued | ||||||||
Xinyi Glass Holdings Ltd. | 298 | 345 | ||||||
|
| |||||||
5,832 | ||||||||
|
| |||||||
India — 0.1% | ||||||||
Rhi Magnesita NV | 9 | 285 | ||||||
|
| |||||||
Ireland — 0.2% | ||||||||
Smurfit Kappa Group plc | 17 | 536 | ||||||
|
| |||||||
Israel — 0.4% | ||||||||
Bank LeumiLe-Israel BM | 133 | 718 | ||||||
Israel Discount Bank Ltd., Class A | 135 | 437 | ||||||
|
| |||||||
1,155 | ||||||||
|
| |||||||
Italy — 1.9% | ||||||||
Anima Holding SpA (a) | 109 | 387 | ||||||
Banca Farmafactoring SpA * (a) | 80 | 413 | ||||||
Intesa Sanpaolo SpA | 981 | 1,531 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 93 | 539 | ||||||
Poste Italiane SpA (a) | 52 | 445 | ||||||
Rizzoli Corriere Della Sera Mediagroup SpA | 570 | 445 | ||||||
UniCredit SpA * | 131 | 1,013 | ||||||
Unipol Gruppo SpA | 97 | 334 | ||||||
|
| |||||||
5,107 | ||||||||
|
| |||||||
Japan — 25.4% | ||||||||
77 Bank Ltd. (The) | 28 | 376 | ||||||
Acom Co. Ltd. | 70 | 282 | ||||||
AEON Financial Service Co. Ltd. | 34 | 349 | ||||||
Aeon Mall Co. Ltd. | 32 | 399 | ||||||
Aiful Corp. * | 198 | 436 | ||||||
Alfresa Holdings Corp. | 20 | 403 | ||||||
Aozora Bank Ltd. | 24 | 420 | ||||||
Bridgestone Corp. | 37 | 1,161 | ||||||
Brother Industries Ltd. | 42 | 707 | ||||||
Chiba Bank Ltd. (The) | 103 | 479 | ||||||
Concordia Financial Group Ltd. | 155 | 474 | ||||||
Credit Saison Co. Ltd. | 35 | 393 | ||||||
Dai-ichi Life Holdings, Inc. | 92 | 1,149 | ||||||
DIC Corp. | 13 | 309 | ||||||
DMG Mori Co. Ltd. | 45 | 458 | ||||||
Dowa Holdings Co. Ltd. | 14 | 384 | ||||||
Electric Power Development Co. Ltd. | 25 | 498 | ||||||
Exedy Corp. | 22 | 350 | ||||||
Fuji Electric Co. Ltd. | 13 | 301 | ||||||
FUJIFILM Holdings Corp. | 7 | 310 | ||||||
Fuyo General Lease Co. Ltd. | 8 | 385 | ||||||
GS Yuasa Corp. | 21 | 294 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 55 |
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Japan — continued | ||||||||
Hachijuni Bank Ltd. (The) | 121 | 430 | ||||||
Hitachi Ltd. | 33 | 976 | ||||||
Hokuhoku Financial Group, Inc. | 45 | 369 | ||||||
Honda Motor Co. Ltd. | 94 | 2,271 | ||||||
ITOCHU Corp. | 55 | 1,086 | ||||||
Iwatani Corp. | 13 | 441 | ||||||
Izumi Co. Ltd. | 11 | 310 | ||||||
Japan Post Insurance Co. Ltd. | 38 | 482 | ||||||
Japan Tobacco, Inc. | 74 | 1,369 | ||||||
JXTG Holdings, Inc. | 227 | 804 | ||||||
Kaken Pharmaceutical Co. Ltd. | 6 | 352 | ||||||
Kamigumi Co. Ltd. | 24 | 423 | ||||||
Kandenko Co. Ltd. | 43 | 362 | ||||||
KDDI Corp. | 101 | 2,917 | ||||||
Kintetsu World Express, Inc. | 24 | 352 | ||||||
K’s Holdings Corp. | 43 | 473 | ||||||
Kyudenko Corp. | 15 | 409 | ||||||
Kyushu Financial Group, Inc. | 106 | 446 | ||||||
Makino Milling Machine Co. Ltd. | 12 | 342 | ||||||
Marubeni Corp. | 161 | 773 | ||||||
Mebuki Financial Group, Inc. | 252 | 530 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 35 | 431 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 708 | 2,861 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 111 | 532 | ||||||
Mitsui & Co. Ltd. | 99 | 1,385 | ||||||
Mitsui Fudosan Co. Ltd. | 16 | 300 | ||||||
Mixi, Inc. | 20 | 342 | ||||||
MS&AD Insurance Group Holdings, Inc. | 34 | 988 | ||||||
Nexon Co. Ltd. | 18 | 297 | ||||||
Nichias Corp. | 15 | 294 | ||||||
Nichiha Corp. | 19 | 347 | ||||||
Nippon Light Metal Holdings Co. Ltd. | 223 | 351 | ||||||
Nippon Telegraph & Telephone Corp. | 82 | 1,858 | ||||||
Nomura Holdings, Inc. | 244 | 1,013 | ||||||
Nomura Real Estate Holdings, Inc. | 28 | 460 | ||||||
NTT DOCOMO, Inc. | 77 | 2,275 | ||||||
Open House Co. Ltd. | 14 | 307 | ||||||
ORIX Corp. | 100 | 1,171 | ||||||
Prima Meat Packers Ltd. | 18 | 404 | ||||||
Rengo Co. Ltd. | 38 | 295 | ||||||
Saizeriya Co. Ltd. | 21 | 424 | ||||||
Sankyu, Inc. | 9 | 334 | ||||||
Sanwa Holdings Corp. | 38 | 297 | ||||||
Sawai Pharmaceutical Co. Ltd. | 6 | 311 | ||||||
SBI Holdings, Inc. | 34 | 626 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Japan — continued | ||||||||
Sekisui House Ltd. | 47 | 813 | ||||||
Shimamura Co. Ltd. | 3 | 208 | ||||||
Shinsei Bank Ltd. | 45 | 548 | ||||||
Shizuoka Bank Ltd. (The) | 95 | 579 | ||||||
Softbank Corp. | 30 | 411 | ||||||
Sompo Holdings, Inc. | 13 | 425 | ||||||
Sony Corp. | 28 | 1,776 | ||||||
Sumitomo Bakelite Co. Ltd. | 11 | 289 | ||||||
Sumitomo Forestry Co. Ltd. | 31 | 383 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 81 | 2,125 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 31 | 908 | ||||||
Sumitomo Rubber Industries Ltd. | 43 | 420 | ||||||
Suzuken Co. Ltd. | 9 | 351 | ||||||
T&D Holdings, Inc. | 68 | 585 | ||||||
Teijin Ltd. | 37 | 582 | ||||||
Toho Holdings Co. Ltd. | 22 | 445 | ||||||
Tokai Rika Co. Ltd. | 27 | 340 | ||||||
Tokuyama Corp. | 26 | 549 | ||||||
Tokyo Steel Manufacturing Co. Ltd. | 56 | 355 | ||||||
Tokyo Tatemono Co. Ltd. | 38 | 432 | ||||||
Tokyu Fudosan Holdings Corp. | 115 | 560 | ||||||
Tosoh Corp. | 39 | 482 | ||||||
Towa Pharmaceutical Co. Ltd. | 20 | 414 | ||||||
Toyoda Gosei Co. Ltd. | 20 | 363 | ||||||
Toyota Motor Corp. | 117 | 7,221 | ||||||
Toyota Tsusho Corp. | 30 | 709 | ||||||
TS Tech Co. Ltd. | 20 | 550 | ||||||
Tsubakimoto Chain Co. | 15 | 351 | ||||||
Ube Industries Ltd. | 22 | 374 | ||||||
Ulvac, Inc. | 12 | 334 | ||||||
Yamaha Motor Co. Ltd. | 39 | 503 | ||||||
Yamato Kogyo Co. Ltd. | 18 | 351 | ||||||
Yokohama Rubber Co. Ltd. (The) | 30 | 382 | ||||||
Zeon Corp. | 45 | 397 | ||||||
|
| |||||||
69,652 | ||||||||
|
| |||||||
Luxembourg — 0.4% | ||||||||
ArcelorMittal SA | 66 | 719 | ||||||
RTL Group SA | 15 | 486 | ||||||
|
| |||||||
1,205 | ||||||||
|
| |||||||
Malta — 0.1% | ||||||||
Kindred Group plc, SDR | 68 | 323 | ||||||
|
| |||||||
Netherlands — 5.1% |
| |||||||
Arcadis NV * | 17 | 257 |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Netherlands — continued |
| |||||||
ASR Nederland NV | 19 | 517 | ||||||
ING Groep NV | 236 | 1,321 | ||||||
Intertrust NV (a) | 24 | 372 | ||||||
Koninklijke Ahold Delhaize NV (b) | 76 | 1,847 | ||||||
NIBC Holding NV (a) (b) | 60 | 456 | ||||||
NN Group NV | 28 | 798 | ||||||
Randstad NV * | 17 | 693 | ||||||
Royal Dutch Shell plc, Class A | 422 | 6,943 | ||||||
Signify NV (a) | 22 | 440 | ||||||
Van Lanschot Kempen NV, CVA | 21 | 322 | ||||||
|
| |||||||
13,966 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Air New Zealand Ltd. | 242 | 197 | ||||||
|
| |||||||
Norway — 2.5% |
| |||||||
Austevoll Seafood ASA | 47 | 366 | ||||||
DNB ASA | 88 | 1,068 | ||||||
Equinor ASA | 72 | 1,004 | ||||||
Europris ASA (a) | 128 | 468 | ||||||
Fjordkraft Holding ASA (a) | 47 | 317 | ||||||
Komplett Bank ASA * | 388 | 156 | ||||||
Norwegian Finans Holding ASA * | 71 | 379 | ||||||
Olav Thon Eiendomsselskap ASA | 26 | 329 | ||||||
Selvaag Bolig ASA | 100 | 415 | ||||||
SpareBank 1 Nord Norge | 84 | 504 | ||||||
SpareBank 1 SMN | 64 | 468 | ||||||
SpareBank 1SR-Bank ASA | 66 | 416 | ||||||
Storebrand ASA | 51 | 255 | ||||||
Telenor ASA | 44 | 672 | ||||||
|
| |||||||
6,817 | ||||||||
|
| |||||||
Russia — 0.2% | ||||||||
Evraz plc | 132 | 436 | ||||||
|
| |||||||
Singapore — 1.2% |
| |||||||
DBS Group Holdings Ltd. | 80 | 1,132 | ||||||
Jardine Cycle & Carriage Ltd. | 19 | 263 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 217 | 1,385 | ||||||
United Overseas Bank Ltd. | 37 | 527 | ||||||
|
| |||||||
3,307 | ||||||||
|
| |||||||
South Africa — 0.5% | ||||||||
Anglo American plc | 80 | 1,415 | ||||||
|
| |||||||
Spain — 2.7% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 33 | 814 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 459 | 1,500 | ||||||
Banco de Sabadell SA | 725 | 301 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Spain — continued |
| |||||||
CaixaBank SA | 330 | 593 | ||||||
ContourGlobal plc (a) | 175 | 357 | ||||||
Enagas SA | 28 | 648 | ||||||
Grupo Catalana Occidente SA | 25 | 492 | ||||||
Mediaset Espana Comunicacion SA * | 73 | 262 | ||||||
Repsol SA | 110 | 997 | ||||||
Telefonica SA | 331 | 1,515 | ||||||
|
| |||||||
7,479 | ||||||||
|
| |||||||
Sweden — 3.0% | ||||||||
AcadeMedia AB (a) | 73 | 376 | ||||||
Betsson AB * | 91 | 514 | ||||||
Bilia AB, Class A | 29 | 197 | ||||||
Bravida Holding AB * (a) | 48 | 386 | ||||||
Clas Ohlson AB, Class B | 44 | 387 | ||||||
Dometic Group AB * (c) | 47 | 313 | ||||||
Hoist Finance AB * (a) (b) | 129 | 356 | ||||||
Intrum AB (b) | 25 | 380 | ||||||
Inwido AB | 80 | 459 | ||||||
LeoVegas AB (a) | 136 | 477 | ||||||
Lindab International AB | 54 | 498 | ||||||
Resurs Holding AB (a) | 74 | 271 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 151 | 1,241 | ||||||
SKF AB, Class B | 41 | 648 | ||||||
Svenska Handelsbanken AB, Class A * | 110 | 1,008 | ||||||
Tethys Oil AB | 88 | 448 | ||||||
Volvo AB, Class B | 31 | 403 | ||||||
|
| |||||||
8,362 | ||||||||
|
| |||||||
Switzerland — 7.4% | ||||||||
Adecco Group AG (Registered) | 18 | 806 | ||||||
BKW AG | 4 | 307 | ||||||
Credit Suisse Group AG (Registered) * | 117 | 1,065 | ||||||
Dufry AG (Registered) | 11 | 349 | ||||||
Glencore plc * | 729 | 1,365 | ||||||
Julius Baer Group Ltd. * | 10 | 375 | ||||||
LafargeHolcim Ltd. (Registered) * | 23 | 975 | ||||||
Novartis AG (Registered) | 59 | 5,020 | ||||||
Roche Holding AG | 2 | 707 | ||||||
Sulzer AG (Registered) | 5 | 349 | ||||||
Swiss Life Holding AG (Registered) | 3 | 1,111 | ||||||
Swiss Re AG (b) | 22 | 1,565 | ||||||
Swisscom AG (Registered) | 2 | 1,063 | ||||||
UBS Group AG (Registered) * | 237 | 2,540 | ||||||
Zurich Insurance Group AG | 9 | 2,736 | ||||||
|
| |||||||
20,333 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 57 |
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — 13.7% | ||||||||
Aggreko plc | 32 | 185 | ||||||
Aviva plc | 290 | 876 | ||||||
Babcock International Group plc | 81 | 428 | ||||||
Barclays plc | 1,148 | 1,533 | ||||||
Barratt Developments plc | 93 | 606 | ||||||
Bellway plc | 14 | 460 | ||||||
Berkeley Group Holdings plc | 6 | 320 | ||||||
BP plc | 1,118 | 4,404 | ||||||
British American Tobacco plc | 132 | 5,098 | ||||||
British Land Co. plc (The), REIT | 110 | 563 | ||||||
BT Group plc | 683 | 995 | ||||||
Capital & Counties Properties plc, REIT | 138 | 287 | ||||||
CK Hutchison Holdings Ltd. | 181 | 1,342 | ||||||
Close Brothers Group plc | 21 | 292 | ||||||
Crest Nicholson Holdings plc | 110 | 355 | ||||||
Dialog Semiconductor plc * | 8 | 243 | ||||||
Dixons Carphone plc | 249 | 242 | ||||||
Drax Group plc | 155 | 406 | ||||||
easyJet plc | 39 | 297 | ||||||
Fiat Chrysler Automobiles NV | 94 | 819 | ||||||
Forterra plc (a) | 91 | 277 | ||||||
Gamesys Group plc * | 44 | 481 | ||||||
Great Portland Estates plc, REIT | 35 | 297 | ||||||
Imperial Brands plc | 78 | 1,643 | ||||||
Inchcape plc | 89 | 559 | ||||||
International Consolidated Airlines Group SA | 87 | 243 | ||||||
ITV plc | 600 | 576 | ||||||
J Sainsbury plc | 248 | 617 | ||||||
Just Group plc * | 380 | 266 | ||||||
Land Securities Group plc, REIT | 68 | 570 | ||||||
Legal & General Group plc | 478 | 1,229 | ||||||
Lloyds Banking Group plc | 4,342 | 1,757 | ||||||
M&G plc | 277 | 460 | ||||||
Mitchells & Butlers plc * | 24 | 54 | ||||||
Morgan Sindall Group plc | 21 | 333 | ||||||
Ninety One plc * | 36 | 77 | ||||||
OneSavings Bank plc | 99 | 303 | ||||||
Paragon Banking Group plc | 78 | 328 | ||||||
Premier Foods plc * | 489 | 280 | ||||||
Prudential plc | 165 | 2,334 | ||||||
Reach plc | 206 | 204 | ||||||
Redrow plc | 70 | 405 | ||||||
ScS Group plc | 125 | 257 | ||||||
St Modwen Properties plc | 65 | 300 | ||||||
Taylor Wimpey plc | 360 | 665 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United Kingdom — continued | ||||||||
Vesuvius plc | 81 | 407 | ||||||
Virgin Money UK plc * | 399 | 381 | ||||||
Vistry Group plc | 43 | 432 | ||||||
Vodafone Group plc | 889 | 1,254 | ||||||
WPP plc | 124 | 959 | ||||||
|
| |||||||
37,699 | ||||||||
|
| |||||||
United States — 0.2% | ||||||||
Samsonite International SA (a) | 197 | 167 | ||||||
TI Fluid Systems plc (a) | 180 | 362 | ||||||
|
| |||||||
529 | ||||||||
|
| |||||||
Total Common Stocks | 265,194 | |||||||
|
| |||||||
Short-Term Investments — 3.0% | ||||||||
Investment Companies — 1.8% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (d) (e) | 4,972 | 4,976 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (d) (e) | — | (f) | — | (f) | ||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (d) (e) | 3,129 | 3,129 | ||||||
|
| |||||||
Total Investment of Cash Collateral from |
| 3,129 | ||||||
|
| |||||||
Total Short-Term Investments | 8,105 | |||||||
|
| |||||||
Total Investments — 99.5% |
| 273,299 | ||||||
Other Assets Less Liabilities — 0.5% |
| 1,391 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 274,690 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Banks | 16.9 | % | ||
Insurance | 9.0 | |||
Oil, Gas & Consumable Fuels | 7.7 | |||
Metals & Mining | 6.5 | |||
Automobiles | 5.5 | |||
Pharmaceuticals | 3.8 | |||
Diversified Telecommunication Services | 3.7 | |||
Tobacco | 3.2 | |||
Capital Markets | 2.9 | |||
Wireless Telecommunication Services | 2.9 | |||
Real Estate Management & Development | 2.7 | |||
Household Durables | 2.6 | |||
Auto Components | 2.4 | |||
Media | 2.0 | |||
Machinery | 1.8 | |||
Chemicals | 1.8 | |||
Trading Companies & Distributors | 1.6 | |||
Diversified Financial Services | 1.3 | |||
Specialty Retail | 1.1 | |||
Food & Staples Retailing | 1.1 | |||
Building Products | 1.0 | |||
Others (each less than 1.0%) | 15.5 | |||
Short-Term Investments | 3.0 |
Abbreviations | ||
CVA | Dutch Certification | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | Real Estate Investment Trust | |
SCA | Limited partnership with share capital | |
SDR | Swedish Depositary Receipt | |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $2,936,000. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of April 30, 2020. | |
(f) | Amount rounds to less than one thousand. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
EURO STOXX 50 Index | 57 | 06/2020 | EUR | 1,800 | 184 | |||||||||||||
FTSE 100 Index | 25 | 06/2020 | GBP | 1,847 | 179 | |||||||||||||
TOPIX Index | 11 | 06/2020 | JPY | 1,490 | 133 | |||||||||||||
|
| |||||||||||||||||
496 | ||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
JPY | Japanese Yen | |
TOPIX | Tokyo Stock Price Index |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 59 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | ||||||||||
ASSETS: | ||||||||||||
Investments innon-affiliates, at value | $ | 7,642,916 | $ | 2,305,629 | $ | 413,214 | ||||||
Investments in affiliates, at value | 124,572 | 24,084 | 4,185 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | 129,303 | 6,237 | 41,289 | |||||||||
Cash | 2,985 | 3,109 | 100 | |||||||||
Foreign currency, at value | 3,842 | 3,331 | 138 | |||||||||
Deposits at broker for futures contracts | — | 4,223 | 267 | |||||||||
Receivables: | ||||||||||||
Due from custodian | — | 2,946 | — | |||||||||
Investment securities sold | — | 3,552 | 5,184 | |||||||||
Fund shares sold | 64,504 | 36,982 | 6 | |||||||||
Dividends fromnon-affiliates | 8,688 | 2,895 | 646 | |||||||||
Dividends from affiliates | 78 | 14 | 8 | |||||||||
Tax reclaims | 136 | 47 | 3,336 | |||||||||
Securities lending income (See Note 2.C.) | 76 | 49 | 13 | |||||||||
Other assets | — | 196 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 7,977,100 | 2,393,294 | 468,386 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 35,735 | 2,946 | 8,999 | |||||||||
Collateral received on securities loaned (See Note 2.C.) | 129,303 | 6,237 | 41,289 | |||||||||
Fund shares redeemed | 18,391 | — | 218 | |||||||||
Variation margin on futures contracts | — | 673 | 10 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,954 | 357 | 194 | |||||||||
Administration fees | 427 | 70 | 25 | |||||||||
Distribution fees | 137 | — | 21 | |||||||||
Service fees | 549 | — | (a) | 30 | ||||||||
Custodian and accounting fees | 1,819 | 61 | 52 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | — | (a) | — | ||||||||
Deferred foreign capital gains tax | 999 | — | — | |||||||||
Other | 23 | 45 | 93 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 191,339 | 10,389 | 50,931 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 7,785,761 | $ | 2,382,905 | $ | 417,455 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 7,060,131 | $ | 2,696,140 | $ | 574,080 | ||||||
Total distributable earnings (loss) | 725,630 | (313,235 | ) | (156,625 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 7,785,761 | $ | 2,382,905 | $ | 417,455 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 535,839 | $ | — | $ | 69,580 | ||||||
Class C | 54,761 | — | 12,752 | |||||||||
Class I | 2,453,732 | 8 | 56,453 | |||||||||
Class L | 1,146,624 | — | 50,754 | |||||||||
Class R2 | 210 | — | — | |||||||||
Class R3 | 3,361 | — | — | |||||||||
Class R4 | 1,928 | — | — | |||||||||
Class R5 | 40,652 | — | — | |||||||||
Class R6 | 3,548,654 | 2,382,897 | 227,916 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,785,761 | $ | 2,382,905 | $ | 417,455 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 19,962 | — | 3,542 | |||||||||
Class C | 2,107 | — | 734 | |||||||||
Class I | 89,344 | 1 | 2,818 | |||||||||
Class L | 41,431 | — | 2,502 | |||||||||
Class R2 | 8 | — | — | |||||||||
Class R3 | 126 | — | — | |||||||||
Class R4 | 70 | — | — | |||||||||
Class R5 | 1,472 | — | — | |||||||||
Class R6 | 128,395 | 162,263 | 11,289 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 26.84 | $ | — | $ | 19.65 | ||||||
Class C — Offering price per share (b) | 25.99 | — | 17.38 | |||||||||
Class I — Offering and redemption price per share | 27.46 | 14.77 | 20.04 | |||||||||
Class L — Offering and redemption price per share | 27.68 | — | 20.28 | |||||||||
Class R2 — Offering and redemption price per share | 26.60 | — | — | |||||||||
Class R3 — Offering and redemption price per share | 26.71 | — | — | |||||||||
Class R4 — Offering and redemption price per share | 27.37 | — | — | |||||||||
Class R5 — Offering and redemption price per share | 27.62 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 27.64 | 14.69 | 20.19 | |||||||||
Class A maximum sales charge | 5.25 | % | — | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 28.33 | $ | — | $ | 20.74 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 6,727,034 | $ | 2,532,594 | $ | 427,263 | ||||||
Cost of investments in affiliates | 124,454 | 24,060 | 4,178 | |||||||||
Cost of foreign currency | 3,826 | 3,341 | 137 | |||||||||
Investment securities on loan, at value (See Note 2.C.) | 126,114 | 5,853 | 35,227 | |||||||||
Cost of investment of cash collateral (See Note 2.C.) | 129,267 | 6,236 | 41,284 |
(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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 61 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
JPMorgan International Advantage Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | ||||||||||
ASSETS: | ||||||||||||
Investments innon-affiliates, at value | $ | 1,449,861 | $ | 2,626,021 | $ | 2,481,083 | ||||||
Investments in affiliates, at value | 28,772 | 28,692 | 32,724 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | 76,379 | 111,555 | 149,050 | |||||||||
Cash | 50 | 35 | 429 | |||||||||
Foreign currency, at value | 1,249 | 238 | — | |||||||||
Deposits at broker for futures contracts | 3,516 | — | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 11,896 | 3 | 17,590 | |||||||||
Fund shares sold | 13 | 3,056 | 27,893 | |||||||||
Dividends fromnon-affiliates | 8,087 | 7,671 | 5,833 | |||||||||
Dividends from affiliates | 16 | 13 | 19 | |||||||||
Tax reclaims | 8,408 | 7,811 | 1,701 | |||||||||
Securities lending income (See Note 2.C.) | 37 | 27 | 35 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,588,284 | 2,785,122 | 2,716,357 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Foreign currency due to custodian, at value | — | — | 12 | |||||||||
Investment securities purchased | 15,995 | 1,766 | 30,243 | |||||||||
Collateral received on securities loaned (See Note 2.C.) | 76,379 | 111,555 | 149,050 | |||||||||
Fund shares redeemed | 151 | 2,898 | 649 | |||||||||
Variation margin on futures contracts | 66 | 1 | 4 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 505 | 914 | 966 | |||||||||
Administration fees | 37 | 74 | 12 | |||||||||
Distribution fees | 11 | 66 | 32 | |||||||||
Service fees | 7 | 76 | 51 | |||||||||
Custodian and accounting fees | 180 | 230 | 32 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 1 | 1 | ||||||||
Other | 103 | 87 | 49 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 93,434 | 117,668 | 181,101 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,494,850 | $ | 2,667,454 | $ | 2,535,256 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Advantage Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 1,938,781 | �� | $ | 2,359,232 | $ | 2,731,375 | |||||
Total distributable earnings (loss) | (443,931 | ) | 308,222 | (196,119 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,494,850 | $ | 2,667,454 | $ | 2,535,256 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 6,150 | $ | 302,646 | $ | 115,420 | ||||||
Class C | 923 | 11,229 | 14,513 | |||||||||
Class I | 21,165 | 179,476 | 194,013 | |||||||||
Class R2 | 23,550 | 2,074 | 1,420 | |||||||||
Class R5 | — | 4,022 | 2,437 | |||||||||
Class R6 | 1,443,062 | 2,168,007 | 2,207,453 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,494,850 | $ | 2,667,454 | $ | 2,535,256 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 388 | 20,636 | 6,049 | |||||||||
Class C | 57 | 810 | 773 | |||||||||
Class I | 1,281 | 12,039 | 10,038 | |||||||||
Class R2 | 1,508 | 143 | 75 | |||||||||
Class R5 | — | 269 | 126 | |||||||||
Class R6 | 88,761 | 145,136 | 114,275 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 15.86 | $ | 14.67 | $ | 19.08 | ||||||
Class C — Offering price per share (b) | 16.13 | 13.86 | 18.79 | |||||||||
Class I — Offering and redemption price per share | 16.52 | 14.91 | 19.33 | |||||||||
Class R2 — Offering and redemption price per share | 15.62 | 14.55 | 18.92 | |||||||||
Class R5 — Offering and redemption price per share | — | 14.98 | 19.31 | |||||||||
Class R6 — Offering and redemption price per share | 16.26 | 14.94 | 19.32 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 16.74 | $ | 15.48 | $ | 20.14 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 1,518,438 | $ | 2,202,688 | $ | 2,469,881 | ||||||
Cost of investments in affiliates | 28,749 | 28,678 | 32,695 | |||||||||
Cost of foreign currency | 1,250 | 240 | — | |||||||||
Investment securities on loan, at value (See Note 2.C.) | 72,637 | 104,180 | 139,159 | |||||||||
Cost of investment of cash collateral (See Note 2.C.) | 76,371 | 111,540 | 149,023 |
(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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 63 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
JPMorgan International Hedged Equity Fund | JPMorgan | JPMorgan International Value Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments innon-affiliates, at value | $ | 99,491 | $ | 4,094,565 | $ | 265,194 | ||||||
Investments in affiliates, at value | 854 | 138,332 | 4,976 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | — | 305,344 | 3,129 | |||||||||
Options purchased, at value | 637 | — | — | |||||||||
Cash | 528 | 50 | 50 | |||||||||
Foreign currency, at value | 56 | 4,837 | 197 | |||||||||
Deposits at broker for futures contracts | 467 | 11,949 | 735 | |||||||||
Deposits at broker for options contracts | 236 | — | — | |||||||||
Receivables: | ||||||||||||
Due from custodian | — | — | 286 | |||||||||
Investment securities sold | 5,170 | 132,979 | 27 | |||||||||
Fund shares sold | 104 | 4,880 | 404 | |||||||||
Dividends fromnon-affiliates | 408 | 16,964 | 1,875 | |||||||||
Dividends from affiliates | 1 | 76 | 4 | |||||||||
Tax reclaims | 177 | 11,735 | 2,566 | |||||||||
Securities lending income (See Note 2.C.) | — | 52 | 6 | |||||||||
Variation margin on futures contracts | 38 | 2,257 | — | |||||||||
Due from adviser | 10 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 108,177 | 4,724,020 | 279,449 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 2,751 | 112,060 | 676 | |||||||||
Collateral received on securities loaned (See Note 2.C.) | — | 305,344 | 3,129 | |||||||||
Fund shares redeemed | 7 | 1,540 | 394 | |||||||||
Variation margin on futures contracts | — | — | 20 | |||||||||
Outstanding options written, at fair value | 9,881 | — | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | — | 548 | 91 | |||||||||
Administration fees | — | 184 | — | |||||||||
Distribution fees | — | (a) | 38 | 29 | ||||||||
Service fees | 20 | 28 | 27 | |||||||||
Custodian and accounting fees | 40 | 278 | 57 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | — | (a) | ||||||||
Other | 11 | 290 | 336 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 12,710 | 420,310 | 4,759 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 95,467 | $ | 4,303,710 | $ | 274,690 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Hedged Equity Fund | JPMorgan | JPMorgan International Value Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 103,536 | $ | 5,086,460 | $ | 413,510 | ||||||
Total distributable earnings (loss) | (8,069 | ) | (782,750 | ) | (138,820 | ) | ||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 95,467 | $ | 4,303,710 | $ | 274,690 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 794 | $ | 192,355 | $ | 130,147 | ||||||
Class C | 116 | — | 5,446 | |||||||||
Class I | 94,519 | 208,853 | 28,328 | |||||||||
Class L | — | — | 17,257 | |||||||||
Class R2 | — | — | 390 | |||||||||
Class R5 | 19 | — | 75 | |||||||||
Class R6 | 19 | 3,902,502 | 93,047 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 95,467 | $ | 4,303,710 | $ | 274,690 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 57 | 12,995 | 14,424 | |||||||||
Class C | 8 | — | 623 | |||||||||
Class I | 6,724 | 13,940 | 3,060 | |||||||||
Class L | — | — | 1,876 | |||||||||
Class R2 | — | — | 44 | |||||||||
Class R5 | 1 | — | 8 | |||||||||
Class R6 | 1 | 261,479 | 10,159 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 14.02 | $ | 14.80 | $ | 9.02 | ||||||
Class C — Offering price per share (b) | 13.99 | — | 8.74 | |||||||||
Class I — Offering and redemption price per share | 14.06 | 14.98 | 9.26 | |||||||||
Class L — Offering and redemption price per share | — | — | 9.20 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 8.88 | |||||||||
Class R5 — Offering and redemption price per share | 14.08 | — | 9.14 | |||||||||
Class R6 — Offering and redemption price per share | 14.08 | 14.92 | 9.16 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 14.80 | $ | 15.62 | $ | 9.52 | ||||||
|
|
|
|
|
| |||||||
Cost of investments innon-affiliates | $ | 104,403 | $ | 4,399,744 | $ | 343,026 | ||||||
Cost of investments in affiliates | 854 | 138,217 | 4,972 | |||||||||
Cost of options purchased | 5,959 | — | — | |||||||||
Cost of foreign currency | 56 | 4,822 | 197 | |||||||||
Investment securities on loan, at value (See Note 2.C.) | — | 282,127 | 2,936 | |||||||||
Cost of investment of cash collateral (See Note 2.C.) | — | 305,319 | 3,129 | |||||||||
Premiums received from options written | 7,118 | — | — |
(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.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 65 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income fromnon-affiliates | $ | 6 | $ | 17 | $ | 4 | ||||||
Interest income from affiliates | 3 | 4 | — | |||||||||
Dividend income fromnon-affiliates | 43,444 | 21,417 | 5,980 | |||||||||
Dividend income from affiliates | 1,173 | 390 | 106 | |||||||||
Non-cash dividend income fromnon-affiliates | — | — | 278 | |||||||||
Income from securities lending (net) (See Note 2.C.) | 90 | 104 | 18 | |||||||||
Foreign taxes withheld (net) | (3,265 | ) | (1,792 | ) | (881 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income | 41,451 | 20,140 | 5,505 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 24,467 | 3,038 | 1,501 | |||||||||
Administration fees | 2,699 | 911 | 188 | |||||||||
Distribution fees: | ||||||||||||
Class A | 715 | — | 111 | |||||||||
Class C | 226 | — | 63 | |||||||||
Class R2 | — | (a) | — | — | ||||||||
Class R3 | 4 | — | — | |||||||||
Service fees: | ||||||||||||
Class A | 715 | — | 111 | |||||||||
Class C | 75 | — | 21 | |||||||||
Class I | 2,662 | — | (a) | 95 | ||||||||
Class L | 530 | — | 30 | |||||||||
Class R2 | — | (a) | — | — | ||||||||
Class R3 | 4 | — | — | |||||||||
Class R4 | 2 | — | — | |||||||||
Class R5 | 21 | — | — | |||||||||
Custodian and accounting fees | 2,188 | 287 | 48 | |||||||||
Interest expense to affiliates | 6 | 8 | 2 | |||||||||
Professional fees | 84 | 46 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 27 | 16 | 13 | |||||||||
Printing and mailing costs | 193 | 7 | 15 | |||||||||
Registration and filing fees | 154 | 118 | 43 | |||||||||
Transfer agency fees (See Note 2.J.) | 166 | 3 | 15 | |||||||||
Offering costs (See Note 2.H.) | — | 5 | — | |||||||||
Other | 41 | 17 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 34,979 | 4,456 | 2,322 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (2,338 | ) | (261 | ) | (34 | ) | ||||||
Less expense reimbursements | (93 | ) | (5 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 32,548 | 4,190 | 2,288 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 8,903 | 15,950 | 3,217 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | (58,837 | )(b) | (95,298 | ) | (32,466 | ) | ||||||
Investments in affiliates | (59 | ) | (3 | ) | 15 | |||||||
Futures contracts | — | 2,657 | 2,810 | |||||||||
Foreign currency transactions | 594 | (1,159 | ) | 122 | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (58,302 | ) | (93,803 | ) | (29,519 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments innon-affiliates | (806,995 | )(c) | (267,850 | ) | (59,429 | ) | ||||||
Investments in affiliates | 137 | 21 | 12 | |||||||||
Futures contracts | — | 2,062 | 301 | |||||||||
Foreign currency translations | (261 | ) | (88 | ) | (8 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (807,119 | ) | (265,855 | ) | (59,124 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (865,421 | ) | (359,658 | ) | (88,643 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (856,518 | ) | $ | (343,708 | ) | $ | (85,426 | ) | |||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
(b) | Net of foreign capital gains tax of approximately $(145,000) for JPMorgan Emerging Markets Equity Fund. |
(c) | Net of change in foreign capital gains tax of approximately $19,418,000 for JPMorgan Emerging Markets Equity Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Advantage Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income fromnon-affiliates | $ | 21 | $ | 3 | $ | — | (a) | |||||
Interest income from affiliates | — | — | 5 | |||||||||
Dividend income fromnon-affiliates | 26,357 | 34,007 | 24,951 | |||||||||
Dividend income from affiliates | 311 | 370 | 343 | |||||||||
Income from securities lending (net) (See Note 2.C.) | 75 | 96 | 87 | |||||||||
Foreign taxes withheld (net) | (2,203 | ) | (2,825 | ) | (1,762 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income | 24,561 | 31,651 | 23,624 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 4,613 | 7,251 | 8,080 | |||||||||
Administration fees | 692 | 1,088 | 1,010 | |||||||||
Distribution fees: | ||||||||||||
Class A | 155 | 400 | 150 | |||||||||
Class C | 5 | 49 | 66 | |||||||||
Class R2 | 70 | 5 | 3 | |||||||||
Service fees: | ||||||||||||
Class A | 155 | 400 | 150 | |||||||||
Class C | 2 | 16 | 22 | |||||||||
Class I | 93 | 243 | 249 | |||||||||
Class R2 | 35 | 3 | 2 | |||||||||
Class R5 | — | 2 | 1 | |||||||||
Custodian and accounting fees | 222 | 262 | 100 | |||||||||
Interest expense to affiliates | 23 | 13 | 29 | |||||||||
Professional fees | 70 | 69 | 50 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 17 | 20 | 17 | |||||||||
Printing and mailing costs | 8 | 29 | 21 | |||||||||
Registration and filing fees | 45 | 54 | 72 | |||||||||
Transfer agency fees (See Note 2.J.) | 45 | 38 | 22 | |||||||||
Other | 30 | 29 | 20 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 6,280 | 9,971 | 10,064 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (1,214 | ) | (1,769 | ) | (2,113 | ) | ||||||
Less expense reimbursements | — | (a) | (1 | ) | (7 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 5,066 | 8,201 | 7,944 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 19,495 | 23,450 | 15,680 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | (91,235 | ) | (70,225 | ) | (167,850 | ) | ||||||
Investments in affiliates | (48 | ) | (29 | ) | 18 | |||||||
Futures contracts | (5,042 | ) | — | — | ||||||||
Foreign currency transactions | 471 | (42 | ) | (1,503 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (95,854 | ) | (70,296 | ) | (169,335 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments innon-affiliates | (253,979 | ) | (337,081 | ) | (121,074 | ) | ||||||
Investments in affiliates | 24 | 20 | 47 | |||||||||
Futures contracts | (1,426 | ) | — | — | ||||||||
Foreign currency translations | 66 | 168 | 119 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (255,315 | ) | (336,893 | ) | (120,908 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (351,169 | ) | (407,189 | ) | (290,243 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (331,674 | ) | $ | (383,739 | ) | $ | (274,563 | ) | |||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 67 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Hedged Equity Fund | JPMorgan | JPMorgan International Value Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Interest income fromnon-affiliates | $ | 1 | $ | 39 | $ | 3 | ||||||
Interest income from affiliates | — | (a) | — | (a) | — | |||||||
Dividend income fromnon-affiliates | 1,397 | 68,634 | 6,519 | |||||||||
Dividend income from affiliates | 20 | 1,357 | 63 | |||||||||
Income from securities lending (net) (See Note 2.C.) | — | 136 | 35 | |||||||||
Foreign taxes withheld (net) | (131 | ) | (7,045 | ) | (725 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income | 1,287 | 63,121 | 5,895 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 109 | 4,807 | 956 | |||||||||
Administration fees | 33 | 1,803 | 130 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1 | 248 | 203 | |||||||||
Class C | — | (a) | — | 29 | ||||||||
Class R2 | — | — | 1 | |||||||||
Service fees: | ||||||||||||
Class A | 1 | 248 | 203 | |||||||||
Class C | — | (a) | — | 9 | ||||||||
Class I | 108 | 277 | 51 | |||||||||
Class L | — | — | 13 | |||||||||
Class R2 | — | — | 1 | |||||||||
Class R5 | — | (a) | — | — | (a) | |||||||
Custodian and accounting fees | 47 | 344 | 57 | |||||||||
Interest expense to affiliates | 3 | 13 | 2 | |||||||||
Professional fees | 55 | 96 | 54 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 12 | 21 | 13 | |||||||||
Printing and mailing costs | 1 | 123 | 17 | |||||||||
Registration and filing fees | 35 | 7 | 48 | |||||||||
Transfer agency fees (See Note 2.J.) | 1 | 47 | 10 | |||||||||
Offering costs (See Note 2.H.) | 39 | — | — | |||||||||
Other | 6 | 75 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 451 | 8,109 | 1,802 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (131 | ) | (1,788 | ) | (393 | ) | ||||||
Less expense reimbursements | (56 | ) | — | — | (a) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 264 | 6,321 | 1,409 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,023 | 56,800 | 4,486 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments innon-affiliates | (6,903 | ) | (264,291 | ) | (16,043 | ) | ||||||
Investments in affiliates | — | (55 | ) | 2 | ||||||||
Options purchased | 23,651 | — | — | |||||||||
Futures contracts | (760 | ) | (32,296 | ) | (1,685 | ) | ||||||
Foreign currency transactions | (21 | ) | (1,379 | ) | (83 | ) | ||||||
Options written | (12,085 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 3,882 | (298,021 | ) | (17,809 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments innon-affiliates | (6,452 | ) | (525,910 | ) | (72,619 | ) | ||||||
Investments in affiliates | — | 122 | 3 | |||||||||
Options purchased | (4,937 | ) | — | — | ||||||||
Futures contracts | 252 | 9,940 | 453 | |||||||||
Foreign currency translations | 10 | 559 | 16 | |||||||||
Options written | (2,683 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | (13,810 | ) | (515,289 | ) | (72,147 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (9,928 | ) | (813,310 | ) | (89,956 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (8,905 | ) | $ | (756,510 | ) | $ | (85,470 | ) | |||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,903 | $ | 55,860 | $ | 15,950 | $ | 11,213 | ||||||||
Net realized gain (loss) | (58,302 | ) | (2,141 | ) | (93,803 | ) | 2,423 | |||||||||
Change in net unrealized appreciation/depreciation | (807,119 | ) | 1,186,420 | (265,855 | ) | 40,909 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (856,518 | ) | 1,240,139 | (343,708 | ) | 54,545 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (3,084 | ) | (1,554 | ) | — | — | ||||||||||
Class C | (79 | ) | (59 | ) | — | — | ||||||||||
Class I (b) | (15,303 | ) | (6,646 | ) | — | (c) | — | |||||||||
Class L | (8,491 | ) | (4,471 | ) | — | — | ||||||||||
Class R2 | (1 | ) | (1 | ) | — | — | ||||||||||
Class R3 | (21 | ) | (1 | ) | — | — | ||||||||||
Class R4 | (11 | ) | (11 | ) | — | — | ||||||||||
Class R5 | (349 | ) | (296 | ) | — | — | ||||||||||
Class R6 | (29,101 | ) | (30,900 | ) | (24,046 | ) | (26 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (56,440 | ) | (43,939 | ) | (24,046 | ) | (26 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 2,385,042 | 516,272 | 660,085 | 2,036,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,472,084 | 1,712,472 | 292,331 | 2,090,574 | ||||||||||||
Beginning of period | 6,313,677 | 4,601,205 | 2,090,574 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,785,761 | $ | 6,313,677 | $ | 2,382,905 | $ | 2,090,574 | ||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was December 11, 2018. |
(b) | Commencement of offering of class of shares effective January 30, 2019 for JPMorgan Emerging Markets Research Enhanced Equity Fund. |
(c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 69 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Europe Dynamic Fund | JPMorgan International Advantage Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | �� | |||||||||||||||
Net investment income (loss) | $ | 3,217 | $ | 16,941 | $ | 19,495 | $ | 104,540 | ||||||||
Net realized gain (loss) | (29,519 | ) | (56,539 | ) | (95,854 | ) | (246,836 | ) | ||||||||
Change in net unrealized appreciation/depreciation | (59,124 | ) | 83,325 | (255,315 | ) | 254,655 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (85,426 | ) | 43,727 | (331,674 | ) | 112,359 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (2,780 | ) | (2,841 | ) | (8,620 | ) | (3,427 | ) | ||||||||
Class C | (497 | ) | (583 | ) | (54 | ) | (25 | ) | ||||||||
Class I | (2,605 | ) | (3,245 | ) | (5,381 | ) | (1,458 | ) | ||||||||
Class L | (2,069 | ) | (2,456 | ) | — | — | ||||||||||
Class R2 | — | — | (1,467 | ) | (638 | ) | ||||||||||
Class R6 | (8,878 | ) | (7,813 | ) | (92,520 | ) | (82,457 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (16,829 | ) | (16,938 | ) | (108,042 | ) | (88,005 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (22,535 | ) | (169,891 | ) | 123,217 | (1,616,261 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (124,790 | ) | (143,102 | ) | (316,499 | ) | (1,591,907 | ) | ||||||||
Beginning of period | 542,245 | 685,347 | 1,811,349 | 3,403,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 417,455 | $ | 542,245 | $ | 1,494,850 | $ | 1,811,349 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 23,450 | $ | 101,506 | $ | 15,680 | $ | 8,884 | ||||||||
Net realized gain (loss) | (70,296 | ) | (46,740 | ) | (169,335 | ) | (22,506 | ) | ||||||||
Change in net unrealized appreciation/depreciation | (336,893 | ) | 522,611 | (120,908 | ) | 157,799 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (383,739 | ) | 577,377 | (274,563 | ) | 144,177 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (9,505 | ) | (8,158 | ) | (46 | ) | (1,618 | ) | ||||||||
Class C | (344 | ) | (520 | ) | — | (296 | ) | |||||||||
Class I | (6,207 | ) | (5,904 | ) | (431 | ) | (3,745 | ) | ||||||||
Class R2 | (65 | ) | (56 | ) | — | (15 | ) | |||||||||
Class R5 | (124 | ) | (691 | ) | (9 | ) | (72 | ) | ||||||||
Class R6 | (80,146 | ) | (140,365 | ) | (10,047 | ) | (4,394 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (96,391 | ) | (155,694 | ) | (10,533 | ) | (10,140 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 150,578 | (1,693,771 | ) | 220,711 | 1,990,374 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (329,552 | ) | (1,272,088 | ) | (64,385 | ) | 2,124,411 | |||||||||
Beginning of period | 2,997,006 | 4,269,094 | 2,599,641 | 475,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,667,454 | $ | 2,997,006 | $ | 2,535,256 | $ | 2,599,641 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 71 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Hedged Equity Fund | JPMorgan International Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,023 | $ | 1,122 | $ | 56,800 | $ | 151,040 | ||||||||
Net realized gain (loss) | 3,882 | 10 | (298,021 | ) | (161,154 | ) | ||||||||||
Change in net unrealized appreciation/depreciation | (13,810 | ) | 1,073 | (515,289 | ) | 483,831 | ||||||||||
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|
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| |||||||||
Change in net assets resulting from operations | (8,905 | ) | 2,205 | (756,510 | ) | 473,717 | ||||||||||
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| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (5 | ) | — | (5,482 | ) | (6,271 | ) | |||||||||
Class C | (1 | ) | — | — | — | |||||||||||
Class I | (1,362 | ) | — | (6,829 | ) | (5,060 | ) | |||||||||
Class R5 | — | (b) | — | — | — | |||||||||||
Class R6 | (1 | ) | — | (143,050 | ) | (149,729 | ) | |||||||||
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| |||||||||
Total distributions to shareholders | (1,369 | ) | — | (155,361 | ) | (161,060 | ) | |||||||||
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| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 45,499 | 58,037 | 381,107 | (178,801 | ) | |||||||||||
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NET ASSETS: | ||||||||||||||||
Change in net assets | 35,225 | 60,242 | (530,764 | ) | 133,856 | |||||||||||
Beginning of period | 60,242 | — | 4,834,474 | 4,700,618 | ||||||||||||
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End of period | $ | 95,467 | $ | 60,242 | $ | 4,303,710 | $ | 4,834,474 | ||||||||
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(a) | Commencement of operations was March 15, 2019. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Value Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 4,486 | $ | 16,269 | ||||
Net realized gain (loss) | (17,809 | ) | (46,232 | ) | ||||
Change in net unrealized appreciation/depreciation | (72,147 | ) | 36,164 | |||||
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| |||||
Change in net assets resulting from operations | (85,470 | ) | 6,201 | |||||
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| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (7,133 | ) | (7,451 | ) | ||||
Class C | (299 | ) | (419 | ) | ||||
Class I | (1,823 | ) | (2,481 | ) | ||||
Class L | (1,237 | ) | (2,611 | ) | ||||
Class R2 | (21 | ) | (40 | ) | ||||
Class R5 | (4 | ) | (3 | ) | ||||
Class R6 | (5,532 | ) | (5,309 | ) | ||||
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Total distributions to shareholders | (16,049 | ) | (18,314 | ) | ||||
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| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (17,063 | ) | (116,184 | ) | ||||
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| |||||
NET ASSETS: | ||||||||
Change in net assets | (118,582 | ) | (128,297 | ) | ||||
Beginning of period | 393,272 | 521,569 | ||||||
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| |||||
End of period | $ | 274,690 | $ | 393,272 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 73 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 237,869 | $ | 312,341 | $ | — | $ | — | ||||||||
Distributions reinvested | 3,026 | 1,529 | — | — | ||||||||||||
Cost of shares redeemed | (153,385 | ) | (252,175 | ) | — | — | ||||||||||
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Change in net assets resulting from Class A capital transactions | $ | 87,510 | $ | 61,695 | $ | — | $ | — | ||||||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 16,153 | $ | 19,144 | $ | — | $ | — | ||||||||
Distributions reinvested | 76 | 58 | — | — | ||||||||||||
Cost of shares redeemed | (10,577 | ) | (17,205 | ) | — | — | ||||||||||
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Change in net assets resulting from Class C capital transactions | $ | 5,652 | $ | 1,997 | $ | — | $ | — | ||||||||
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Class I(b) | ||||||||||||||||
Proceeds from shares issued | $ | 1,606,660 | $ | 1,177,539 | $ | 8 | $ | 12,188 | ||||||||
Distributions reinvested | 13,741 | 5,945 | — | (c) | — | |||||||||||
Cost of shares redeemed | (614,642 | ) | (465,628 | ) | (3 | ) | (11,910 | ) | ||||||||
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Change in net assets resulting from Class I capital transactions | $ | 1,005,759 | $ | 717,856 | $ | 5 | $ | 278 | ||||||||
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Class L | ||||||||||||||||
Proceeds from shares issued | $ | 571,163 | $ | 534,452 | $ | — | $ | — | ||||||||
Distributions reinvested | 8,347 | 3,845 | — | — | ||||||||||||
Cost of shares redeemed | (226,907 | ) | (228,859 | ) | — | — | ||||||||||
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Change in net assets resulting from Class L capital transactions | $ | 352,603 | $ | 309,438 | $ | — | $ | — | ||||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 117 | $ | 51 | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (26 | ) | (26 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | 92 | $ | 26 | $ | — | $ | — | ||||||||
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Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 2,020 | $ | 2,108 | $ | — | $ | — | ||||||||
Distributions reinvested | 21 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (521 | ) | (478 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R3 capital transactions | $ | 1,520 | $ | 1,631 | $ | — | $ | — | ||||||||
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Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 1,087 | $ | 1,602 | $ | — | $ | — | ||||||||
Distributions reinvested | 11 | 11 | — | — | ||||||||||||
Cost of shares redeemed | (243 | ) | (608 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R4 capital transactions | $ | 855 | $ | 1,005 | $ | — | $ | — | ||||||||
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Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 10,691 | $ | 42,685 | $ | — | $ | — | ||||||||
Distributions reinvested | 349 | 296 | — | — | ||||||||||||
Cost of shares redeemed | (7,875 | ) | (9,680 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R5 capital transactions | $ | 3,165 | $ | 33,301 | $ | — | $ | — | ||||||||
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Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 1,233,624 | $ | 1,266,740 | $ | 821,949 | $ | 2,052,510 | ||||||||
Distributions reinvested | 28,461 | 30,363 | 24,046 | 26 | ||||||||||||
Cost of shares redeemed | (334,199 | ) | (1,907,780 | ) | (185,915 | ) | (16,759 | ) | ||||||||
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Change in net assets resulting from Class R6 capital transactions | $ | 927,886 | $ | (610,677 | ) | $ | 660,080 | $ | 2,035,777 | |||||||
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Total change in net assets resulting from capital transactions | $ | 2,385,042 | $ | 516,272 | $ | 660,085 | $ | 2,036,055 | ||||||||
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(a) | Commencement of operations was December 11, 2018. |
(b) | Commencement of offering of class of shares effective January 30, 2019 for JPMorgan Emerging Markets Research Enhanced Equity Fund. |
(c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 7,867 | 11,352 | — | — | ||||||||||||
Reinvested | 95 | 64 | — | — | ||||||||||||
Redeemed | (5,439 | ) | (9,475 | ) | — | — | ||||||||||
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Change in Class A Shares | 2,523 | 1,941 | — | — | ||||||||||||
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Class C | ||||||||||||||||
Issued | 544 | 712 | — | — | ||||||||||||
Reinvested | 2 | 3 | — | — | ||||||||||||
Redeemed | (394 | ) | (650 | ) | — | — | ||||||||||
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Change in Class C Shares | 152 | 65 | — | — | ||||||||||||
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Class I(b) | ||||||||||||||||
Issued | 54,439 | 41,001 | 1 | 744 | ||||||||||||
Reinvested | 423 | 243 | — | (c) | — | |||||||||||
Redeemed | (21,567 | ) | (16,821 | ) | — | (c) | (744 | ) | ||||||||
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Change in Class I Shares | 33,295 | 24,423 | 1 | — | (c) | |||||||||||
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Class L | ||||||||||||||||
Issued | 19,333 | 18,682 | — | — | ||||||||||||
Reinvested | 255 | 156 | — | — | ||||||||||||
Redeemed | (8,024 | ) | (8,295 | ) | — | — | ||||||||||
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Change in Class L Shares | 11,564 | 10,543 | — | — | ||||||||||||
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Class R2 | ||||||||||||||||
Issued | 4 | 2 | — | — | ||||||||||||
Reinvested | — | (c) | — | (c) | — | — | ||||||||||
Redeemed | (1 | ) | (1 | ) | — | — | ||||||||||
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Change in Class R2 Shares | 3 | 1 | — | — | ||||||||||||
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Class R3 | ||||||||||||||||
Issued | 71 | 75 | — | — | ||||||||||||
Reinvested | 1 | — | (c) | — | — | |||||||||||
Redeemed | (18 | ) | (17 | ) | — | — | ||||||||||
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Change in Class R3 Shares | 54 | 58 | — | — | ||||||||||||
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Class R4 | ||||||||||||||||
Issued | 36 | 62 | — | — | ||||||||||||
Reinvested | — | (c) | — | (c) | — | — | ||||||||||
Redeemed | (8 | ) | (21 | ) | — | — | ||||||||||
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Change in Class R4 Shares | 28 | 41 | — | — | ||||||||||||
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Class R5 | ||||||||||||||||
Issued | 366 | 1,616 | — | — | ||||||||||||
Reinvested | 11 | 12 | — | — | ||||||||||||
Redeemed | (257 | ) | (344 | ) | — | — | ||||||||||
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Change in Class R5 Shares | 120 | 1,284 | — | — | ||||||||||||
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Class R6 | ||||||||||||||||
Issued | 40,965 | 43,818 | 47,861 | 125,486 | ||||||||||||
Reinvested | 871 | 1,233 | 1,356 | 2 | ||||||||||||
Redeemed | (11,337 | ) | (66,518 | ) | (11,415 | ) | (1,027 | ) | ||||||||
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Change in Class R6 Shares | 30,499 | (21,467 | ) | 37,802 | 124,461 | |||||||||||
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|
(a) | Commencement of operations was December 11, 2018. |
(b) | Commencement of offering of class of shares effective January 30, 2019 for JPMorgan Emerging Markets Research Enhanced Equity Fund. |
(c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 75 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Europe Dynamic Fund | JPMorgan International Advantage Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,788 | $ | 5,583 | $ | 54,404 | $ | 38,451 | ||||||||
Distributions reinvested | 2,695 | 2,751 | 8,609 | 3,422 | ||||||||||||
Cost of shares redeemed | (14,953 | ) | (39,739 | ) | (174,742 | ) | (45,280 | ) | ||||||||
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Change in net assets resulting from Class A capital transactions | $ | (10,470 | ) | $ | (31,405 | ) | $ | (111,729 | ) | $ | (3,407 | ) | ||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 126 | $ | 246 | $ | 114 | $ | 175 | ||||||||
Distributions reinvested | 476 | 552 | 54 | 25 | ||||||||||||
Cost of shares redeemed | (4,283 | ) | (12,991 | ) | (193 | ) | (662 | ) | ||||||||
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Change in net assets resulting from Class C capital transactions | $ | (3,681 | ) | $ | (12,193 | ) | $ | (25 | ) | $ | (462 | ) | ||||
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Class I | ||||||||||||||||
Proceeds from shares issued | $ | 3,354 | $ | 10,005 | $ | 45,514 | $ | 19,041 | ||||||||
Distributions reinvested | 2,443 | 3,023 | 5,375 | 1,457 | ||||||||||||
Cost of shares redeemed | (20,510 | ) | (69,458 | ) | (71,431 | ) | (15,652 | ) | ||||||||
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Change in net assets resulting from Class I capital transactions | $ | (14,713 | ) | $ | (56,430 | ) | $ | (20,542 | ) | $ | 4,846 | |||||
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Class L | ||||||||||||||||
Proceeds from shares issued | $ | 6,671 | $ | 13,398 | $ | — | $ | — | ||||||||
Distributions reinvested | 2,057 | 2,405 | — | — | ||||||||||||
Cost of shares redeemed | (11,049 | ) | (346,212 | ) | — | — | ||||||||||
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| |||||||||
Change in net assets resulting from Class L capital transactions | $ | (2,321 | ) | $ | (330,409 | ) | $ | — | $ | — | ||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,208 | $ | 6,565 | ||||||||
Distributions reinvested | — | — | 1,448 | 631 | ||||||||||||
Cost of shares redeemed | — | — | (5,799 | ) | (8,605 | ) | ||||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (1,143 | ) | $ | (1,409 | ) | ||||||
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Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 4,849 | $ | 294,863 | $ | 213,209 | $ | 108,992 | ||||||||
Distributions reinvested | 8,878 | 7,813 | 92,498 | 82,457 | ||||||||||||
Cost of shares redeemed | (5,077 | ) | (42,130 | ) | (49,051 | ) | (1,807,278 | ) | ||||||||
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Change in net assets resulting from Class R6 capital transactions | $ | 8,650 | $ | 260,546 | $ | 256,656 | $ | (1,615,829 | ) | |||||||
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Total change in net assets resulting from capital transactions | $ | (22,535 | ) | $ | (169,891 | ) | $ | 123,217 | $ | (1,616,261 | ) | |||||
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SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Europe Dynamic Fund | JPMorgan International Advantage Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 76 | 248 | 2,723 | 2,015 | ||||||||||||
Reinvested | 110 | 131 | 438 | 193 | ||||||||||||
Redeemed | (697 | ) | (1,745 | ) | (10,625 | ) | (2,379 | ) | ||||||||
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| |||||||||
Change in Class A Shares | (511 | ) | (1,366 | ) | (7,464 | ) | (171 | ) | ||||||||
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Class C | ||||||||||||||||
Issued | 7 | 12 | 6 | 8 | ||||||||||||
Reinvested | 22 | 30 | 3 | 2 | ||||||||||||
Redeemed | (217 | ) | (646 | ) | (12 | ) | (34 | ) | ||||||||
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| |||||||||
Change in Class C Shares | (188 | ) | (604 | ) | (3 | ) | (24 | ) | ||||||||
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Class I | ||||||||||||||||
Issued | 142 | 440 | 2,179 | 962 | ||||||||||||
Reinvested | 97 | 141 | 262 | 79 | ||||||||||||
Redeemed | (920 | ) | (3,038 | ) | (4,402 | ) | (792 | ) | ||||||||
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|
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| |||||||||
Change in Class I Shares | (681 | ) | (2,457 | ) | (1,961 | ) | 249 | |||||||||
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| |||||||||
Class L | ||||||||||||||||
Issued | 315 | 577 | — | — | ||||||||||||
Reinvested | 81 | 111 | — | — | ||||||||||||
Redeemed | (516 | ) | (14,510 | ) | — | — | ||||||||||
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| |||||||||
Change in Class L Shares | (120 | ) | (13,822 | ) | — | — | ||||||||||
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| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 181 | 348 | ||||||||||||
Reinvested | — | — | 75 | 36 | ||||||||||||
Redeemed | — | — | (323 | ) | (455 | ) | ||||||||||
|
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| |||||||||
Change in Class R2 Shares | — | — | (67 | ) | (71 | ) | ||||||||||
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| |||||||||
Class R6 | ||||||||||||||||
Issued | 263 | 12,295 | 10,435 | 5,671 | ||||||||||||
Reinvested | 352 | 363 | 4,595 | 4,558 | ||||||||||||
Redeemed | (221 | ) | (1,764 | ) | (2,541 | ) | (91,586 | ) | ||||||||
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|
| |||||||||
Change in Class R6 Shares | 394 | 10,894 | 12,489 | (81,357 | ) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 77 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 97,651 | $ | 125,560 | $ | 27,186 | $ | 47,607 | ||||||||
Distributions reinvested | 9,447 | 8,068 | 45 | 1,609 | ||||||||||||
Cost of shares redeemed | (78,545 | ) | (76,633 | ) | (13,197 | ) | (32,948 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 28,553 | $ | 56,995 | $ | 14,034 | $ | 16,268 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 813 | $ | 2,176 | $ | 1,451 | $ | 2,738 | ||||||||
Distributions reinvested | 324 | 495 | — | 294 | ||||||||||||
Cost of shares redeemed | (2,392 | ) | (8,733 | ) | (3,465 | ) | (10,067 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (1,255 | ) | $ | (6,062 | ) | $ | (2,014 | ) | $ | (7,035 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 79,743 | $ | 77,428 | $ | 86,854 | $ | 86,285 | ||||||||
Distributions reinvested | 6,146 | 5,819 | 416 | 3,656 | ||||||||||||
Cost of shares redeemed | (64,032 | ) | (90,398 | ) | (46,662 | ) | (125,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 21,857 | $ | (7,151 | ) | $ | 40,608 | $ | (35,283 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,156 | $ | 1,194 | $ | 743 | $ | 494 | ||||||||
Distributions reinvested | 59 | 29 | — | 15 | ||||||||||||
Cost of shares redeemed | (838 | ) | (1,136 | ) | (212 | ) | (377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 377 | $ | 87 | $ | 531 | $ | 132 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 1,096 | $ | 744 | $ | 350 | $ | 603 | ||||||||
Distributions reinvested | 123 | 691 | 9 | 72 | ||||||||||||
Cost of shares redeemed | (274 | ) | (18,958 | ) | (750 | ) | (1,414 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 945 | $ | (17,523 | ) | $ | (391 | ) | $ | (739 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 230,222 | $ | 458,174 | $ | 254,951 | $ | 2,126,631 | ||||||||
Distributions reinvested | 80,145 | 140,364 | 10,047 | 4,394 | ||||||||||||
Cost of shares redeemed | (210,266 | ) | (2,318,655 | ) | (97,055 | ) | (113,994 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 100,101 | $ | (1,720,117 | ) | $ | 167,943 | $ | 2,017,031 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 150,578 | $ | (1,693,771 | ) | $ | 220,711 | $ | 1,990,374 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Equity Fund | JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 6,055 | 7,833 | 1,299 | 2,430 | ||||||||||||
Reinvested | 541 | 554 | 2 | 93 | ||||||||||||
Redeemed | (4,967 | ) | (4,832 | ) | (673 | ) | (1,724 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,629 | 3,555 | 628 | 799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 56 | 147 | 70 | 141 | ||||||||||||
Reinvested | 20 | 36 | — | 17 | ||||||||||||
Redeemed | (159 | ) | (577 | ) | (181 | ) | (527 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (83 | ) | (394 | ) | (111 | ) | (369 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 4,845 | 4,793 | 4,107 | 4,374 | ||||||||||||
Reinvested | 346 | 394 | 18 | 209 | ||||||||||||
Redeemed | (4,019 | ) | (5,690 | ) | (2,381 | ) | (6,516 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 1,172 | (503 | ) | 1,744 | (1,933 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 69 | 74 | 36 | 25 | ||||||||||||
Reinvested | 3 | 2 | — | 1 | ||||||||||||
Redeemed | (51 | ) | (73 | ) | (11 | ) | (19 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 21 | 3 | 25 | 7 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 64 | 45 | 16 | 30 | ||||||||||||
Reinvested | 7 | 47 | 1 | 4 | ||||||||||||
Redeemed | (17 | ) | (1,108 | ) | (35 | ) | (71 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 54 | (1,016 | ) | (18 | ) | (37 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 14,062 | 27,715 | 11,919 | 102,465 | ||||||||||||
Reinvested | 4,510 | 9,522 | 444 | 252 | ||||||||||||
Redeemed | (12,969 | ) | (137,801 | ) | (4,663 | ) | (5,610 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 5,603 | (100,564 | ) | 7,700 | 97,107 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 79 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Hedged Equity Fund | JPMorgan International Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 605 | $ | 321 | $ | 77,723 | $ | 51,799 | ||||||||
Distributions reinvested | 5 | — | 5,420 | 6,196 | ||||||||||||
Cost of shares redeemed | (90 | ) | — | (70,651 | ) | (62,547 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 520 | $ | 321 | $ | 12,492 | $ | (4,552 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 7 | $ | 118 | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | — | — | — | ||||||||||||
Cost of shares redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 8 | $ | 118 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 62,691 | $ | 57,561 | $ | 125,017 | $ | 82,525 | ||||||||
Distributions reinvested | 1,362 | — | 6,822 | 5,050 | ||||||||||||
Cost of shares redeemed | (19,083 | ) | (3 | ) | (64,919 | ) | (66,489 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 44,970 | $ | 57,558 | $ | 66,920 | $ | 21,086 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 20 | $ | — | $ | — | ||||||||
Distributions reinvested | — | (b) | — | — | — | |||||||||||
Cost of shares redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | (b) | $ | 20 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 20 | $ | 496,013 | $ | 567,656 | ||||||||
Distributions reinvested | 1 | — | 143,050 | 149,727 | ||||||||||||
Cost of shares redeemed | — | — | (337,368 | ) | (912,718 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 1 | $ | 20 | $ | 301,695 | $ | (195,335 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 45,499 | $ | 58,037 | $ | 381,107 | $ | (178,801 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was March 15, 2019. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Hedged Equity Fund | JPMorgan International Research Enhanced Equity Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Period Ended October 31, 2019 (a) | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 42 | 21 | 5,057 | 3,097 | ||||||||||||
Reinvested | — | (b) | — | 298 | 402 | |||||||||||
Redeemed | (6 | ) | — | (4,254 | ) | (3,722 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 36 | 21 | 1,101 | (223 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | — | (b) | 8 | — | — | |||||||||||
Reinvested | — | (b) | — | — | — | |||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | (b) | 8 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 4,184 | 3,829 | 7,579 | 4,837 | ||||||||||||
Reinvested | 87 | — | 371 | 324 | ||||||||||||
Redeemed | (1,376 | ) | — | (b) | (4,230 | ) | (3,915 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 2,895 | 3,829 | 3,720 | 1,246 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | 1 | — | — | ||||||||||||
Reinvested | — | (b) | — | — | — | |||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | (b) | 1 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | 1 | 28,737 | 32,819 | ||||||||||||
Reinvested | — | (b) | — | 7,817 | 9,647 | |||||||||||
Redeemed | — | — | (20,055 | ) | (53,561 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | (b) | 1 | 16,499 | (11,095 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was March 15, 2019. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 81 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Value Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 14,333 | $ | 27,178 | ||||
Distributions reinvested | 7,043 | 7,349 | ||||||
Cost of shares redeemed | (25,014 | ) | (90,605 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | (3,638 | ) | $ | (56,078 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 143 | $ | 419 | ||||
Distributions reinvested | 270 | 378 | ||||||
Cost of shares redeemed | (2,233 | ) | (5,138 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | (1,820 | ) | $ | (4,341 | ) | ||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | $ | 4,179 | $ | 8,440 | ||||
Distributions reinvested | 1,679 | 2,109 | ||||||
Cost of shares redeemed | (10,546 | ) | (29,305 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | $ | (4,688 | ) | $ | (18,756 | ) | ||
|
|
|
| |||||
Class L | ||||||||
Proceeds from shares issued | $ | 1,004 | $ | 2,046 | ||||
Distributions reinvested | 569 | 762 | ||||||
Cost of shares redeemed | (7,149 | ) | (42,881 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class L capital transactions | $ | (5,576 | ) | $ | (40,073 | ) | ||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 74 | $ | 312 | ||||
Distributions reinvested | 17 | 15 | ||||||
Cost of shares redeemed | (242 | ) | (590 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | (151 | ) | $ | (263 | ) | ||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 17 | $ | 16 | ||||
Distributions reinvested | 4 | 3 | ||||||
Cost of shares redeemed | (8 | ) | — | (a) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 13 | $ | 19 | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 20,767 | $ | 40,286 | ||||
Distributions reinvested | 5,075 | 4,629 | ||||||
Cost of shares redeemed | (27,045 | ) | (41,607 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | (1,203 | ) | $ | 3,308 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (17,063 | ) | $ | (116,184 | ) | ||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan International Value Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 1,326 | 2,279 | ||||||
Reinvested | 572 | 663 | ||||||
Redeemed | (2,320 | ) | (7,568 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (422 | ) | (4,626 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 12 | 37 | ||||||
Reinvested | 23 | 35 | ||||||
Redeemed | (204 | ) | (449 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (169 | ) | (377 | ) | ||||
|
|
|
| |||||
Class I | ||||||||
Issued | 353 | 695 | ||||||
Reinvested | 133 | 186 | ||||||
Redeemed | (1,055 | ) | (2,449 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | (569 | ) | (1,568 | ) | ||||
|
|
|
| |||||
Class L | ||||||||
Issued | 90 | 184 | ||||||
Reinvested | 45 | 67 | ||||||
Redeemed | (686 | ) | (3,624 | ) | ||||
|
|
|
| |||||
Change in Class L Shares | (551 | ) | (3,373 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 8 | 27 | ||||||
Reinvested | 1 | 1 | ||||||
Redeemed | (25 | ) | (52 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | (16 | ) | (24 | ) | ||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 2 | 2 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (1 | ) | — | (a) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 1 | 2 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 1,975 | 3,351 | ||||||
Reinvested | 407 | 412 | ||||||
Redeemed | (2,353 | ) | (3,438 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 29 | 325 | ||||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 83 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Emerging Markets Equity Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 30.07 | $ | (0.01 | ) | $ | (3.05 | ) | $ | (3.06 | ) | $ | (0.17 | ) | ||||||
Year Ended October 31, 2019 | 23.84 | 0.19 | 6.16 | 6.35 | (0.12 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.58 | 0.14 | (3.84 | ) | (3.70 | ) | (0.04 | ) | ||||||||||||
Year Ended October 31, 2017 | 21.79 | 0.09 | 5.80 | 5.89 | (0.10 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.53 | 0.09 | 2.28 | 2.37 | (0.11 | ) | ||||||||||||||
Year Ended October 31, 2015 | 23.72 | 0.12 | (f) | (4.12 | ) | (4.00 | ) | (0.19 | ) | |||||||||||
Class C | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 29.07 | (0.08 | ) | (2.96 | ) | (3.04 | ) | (0.04 | ) | |||||||||||
Year Ended October 31, 2019 | 23.08 | 0.04 | 5.98 | 6.02 | (0.03 | ) | ||||||||||||||
Year Ended October 31, 2018 | 26.80 | 0.02 | (3.74 | ) | (3.72 | ) | — | (g) | ||||||||||||
Year Ended October 31, 2017 | 21.18 | (0.04 | ) | 5.67 | 5.63 | (0.01 | ) | |||||||||||||
Year Ended October 31, 2016 | 18.96 | (0.01 | ) | 2.23 | 2.22 | — | ||||||||||||||
Year Ended October 31, 2015 | 23.03 | 0.03 | (f) | (4.02 | ) | (3.99 | ) | (0.08 | ) | |||||||||||
Class I | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 30.79 | 0.03 | (3.11 | ) | (3.08 | ) | (0.25 | ) | ||||||||||||
Year Ended October 31, 2019 | 24.45 | 0.27 | 6.29 | 6.56 | (0.22 | ) | ||||||||||||||
Year Ended October 31, 2018 | 28.29 | 0.24 | (3.96 | ) | (3.72 | ) | (0.12 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.33 | 0.16 | 5.94 | 6.10 | (0.14 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.98 | 0.13 | 2.35 | 2.48 | (0.13 | ) | ||||||||||||||
Year Ended October 31, 2015 | 24.24 | 0.19 | (f) | (4.21 | ) | (4.02 | ) | (0.24 | ) | |||||||||||
Class L | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 31.03 | 0.04 | (3.12 | ) | (3.08 | ) | (0.27 | ) | ||||||||||||
Year Ended October 31, 2019 | 24.63 | 0.29 | 6.35 | 6.64 | (0.24 | ) | ||||||||||||||
Year Ended October 31, 2018 | 28.49 | 0.26 | (3.99 | ) | (3.73 | ) | (0.13 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.49 | 0.21 | 5.96 | 6.17 | (0.17 | ) | ||||||||||||||
Year Ended October 31, 2016 | 20.15 | 0.17 | 2.35 | 2.52 | (0.18 | ) | ||||||||||||||
Year Ended October 31, 2015 | 24.42 | 0.23 | (f) | (4.26 | ) | (4.03 | ) | (0.24 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 29.78 | (0.05 | ) | (3.02 | ) | (3.07 | ) | (0.11 | ) | |||||||||||
Year Ended October 31, 2019 | 23.73 | 0.08 | 6.13 | 6.21 | (0.16 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.57 | 0.07 | (3.83 | ) | (3.76 | ) | (0.08 | ) | ||||||||||||
July 31, 2017 (h) through October 31, 2017 | 26.40 | (0.01 | ) | 1.18 | 1.17 | — | ||||||||||||||
Class R3 | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 29.96 | (0.02 | ) | (3.02 | ) | (3.04 | ) | (0.21 | ) | |||||||||||
Year Ended October 31, 2019 | 23.78 | 0.25 | 6.06 | 6.31 | (0.13 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.59 | 0.22 | (3.92 | ) | (3.70 | ) | (0.11 | ) | ||||||||||||
July 31, 2017 (h) through October 31, 2017 | 26.40 | 0.01 | 1.18 | 1.19 | — | |||||||||||||||
Class R4 | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 30.68 | 0.02 | (3.11 | ) | (3.09 | ) | (0.22 | ) | ||||||||||||
Year Ended October 31, 2019 | 24.42 | 0.27 | 6.25 | 6.52 | (0.26 | ) | ||||||||||||||
Year Ended October 31, 2018 | 28.28 | 0.18 | (3.91 | ) | (3.73 | ) | (0.13 | ) | ||||||||||||
July 31, 2017 (h) through October 31, 2017 | 27.05 | 0.02 | 1.21 | 1.23 | — | |||||||||||||||
Class R5 | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 30.96 | 0.04 | (3.12 | ) | (3.08 | ) | (0.26 | ) | ||||||||||||
Year Ended October 31, 2019 | 24.60 | 0.31 | 6.31 | 6.62 | (0.26 | ) | ||||||||||||||
Year Ended October 31, 2018 | 28.47 | 0.39 | (4.11 | ) | (3.72 | ) | (0.15 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.49 | 0.15 | 6.01 | 6.16 | (0.18 | ) | ||||||||||||||
September 9, 2016 (h) through October 31, 2016 | 22.40 | 0.01 | 0.08 | 0.09 | — | |||||||||||||||
Class R6 | ||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 31.00 | 0.06 | (3.13 | ) | (3.07 | ) | (0.29 | ) | ||||||||||||
Year Ended October 31, 2019 | 24.60 | 0.31 | 6.35 | 6.66 | (0.26 | ) | ||||||||||||||
Year Ended October 31, 2018 | 28.46 | 0.29 | (3.99 | ) | (3.70 | ) | (0.16 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.46 | 0.21 | 5.98 | 6.19 | (0.19 | ) | ||||||||||||||
Year Ended October 31, 2016 | 20.13 | 0.19 | 2.35 | 2.54 | (0.21 | ) | ||||||||||||||
Year Ended October 31, 2015 | 24.44 | 0.22 | (f) | (4.23 | ) | (4.01 | ) | (0.30 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | 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. |
(g) | Amount rounds to less than $0.005. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 26.84 | (10.26 | )% | $ | 535,839 | 1.24 | % | (0.10 | )% | 1.34 | % | 7 | % | |||||||||||||
30.07 | 26.77 | 524,357 | 1.24 | 0.69 | 1.47 | 34 | ||||||||||||||||||||
23.84 | (13.44 | ) | 369,490 | 1.24 | 0.51 | 1.52 | 13 | |||||||||||||||||||
27.58 | 27.22 | 525,451 | 1.35 | 0.36 | 1.58 | 22 | ||||||||||||||||||||
21.79 | 12.25 | 411,713 | 1.44 | 0.44 | 1.76 | 23 | ||||||||||||||||||||
19.53 | (16.95 | ) | 274,710 | 1.61 | 0.57 | (f) | 1.88 | 35 | ||||||||||||||||||
25.99 | (10.48 | ) | 54,761 | 1.74 | (0.60 | ) | 1.85 | 7 | ||||||||||||||||||
29.07 | 26.12 | 56,830 | 1.74 | 0.15 | 1.98 | 34 | ||||||||||||||||||||
23.08 | (13.87 | ) | 43,612 | 1.74 | 0.06 | 2.02 | 13 | |||||||||||||||||||
26.80 | 26.58 | 48,497 | 1.85 | (0.15 | ) | 2.09 | 22 | |||||||||||||||||||
21.18 | 11.71 | 39,568 | 1.95 | (0.06 | ) | 2.26 | 23 | |||||||||||||||||||
18.96 | (17.38 | ) | 43,387 | 2.10 | 0.13 | (f) | 2.33 | 35 | ||||||||||||||||||
27.46 | (10.14 | ) | 2,453,732 | 0.99 | 0.17 | 1.08 | 7 | |||||||||||||||||||
30.79 | 27.04 | 1,725,882 | 0.99 | 0.94 | 1.21 | 34 | ||||||||||||||||||||
24.45 | (13.23 | ) | 773,142 | 0.99 | 0.84 | 1.26 | 13 | |||||||||||||||||||
28.29 | 27.54 | 629,451 | 1.10 | 0.62 | 1.30 | 22 | ||||||||||||||||||||
22.33 | 12.51 | 301,959 | 1.20 | 0.66 | 1.43 | 23 | ||||||||||||||||||||
19.98 | (16.70 | ) | 502,729 | 1.35 | 0.88 | (f) | 1.48 | 35 | ||||||||||||||||||
27.68 | (10.07 | ) | 1,146,624 | 0.89 | 0.27 | 0.93 | 7 | |||||||||||||||||||
31.03 | 27.20 | 926,781 | 0.89 | 1.00 | 1.06 | 34 | ||||||||||||||||||||
24.63 | (13.16 | ) | 475,997 | 0.89 | 0.91 | 1.11 | 13 | |||||||||||||||||||
28.49 | 27.72 | 430,860 | 0.95 | 0.84 | 1.14 | 22 | ||||||||||||||||||||
22.49 | 12.71 | 390,647 | 1.04 | 0.84 | 1.22 | 23 | ||||||||||||||||||||
20.15 | (16.60 | ) | 316,635 | 1.21 | 1.05 | (f) | 1.31 | 35 | ||||||||||||||||||
26.60 | (10.37 | ) | 210 | 1.54 | (0.37 | ) | 1.99 | 7 | ||||||||||||||||||
29.78 | 26.35 | 145 | 1.54 | 0.31 | 2.26 | 34 | ||||||||||||||||||||
23.73 | (13.69 | ) | 95 | 1.54 | 0.26 | 2.04 | 13 | |||||||||||||||||||
27.57 | 4.43 | 21 | 1.60 | (0.17 | ) | 1.80 | 22 | |||||||||||||||||||
26.71 | (10.25 | ) | 3,361 | 1.29 | (0.14 | ) | 1.35 | 7 | ||||||||||||||||||
29.96 | 26.67 | 2,151 | 1.29 | 0.90 | 1.49 | 34 | ||||||||||||||||||||
23.78 | (13.49 | ) | 341 | 1.29 | 0.81 | 1.59 | 13 | |||||||||||||||||||
27.59 | 4.51 | 21 | 1.35 | 0.08 | 1.55 | 22 | ||||||||||||||||||||
27.37 | (10.17 | ) | 1,928 | 1.04 | 0.15 | 1.10 | 7 | |||||||||||||||||||
30.68 | 26.98 | 1,300 | 1.04 | 0.94 | 1.23 | 34 | ||||||||||||||||||||
24.42 | (13.25 | ) | 26 | 1.04 | 0.63 | 1.62 | 13 | |||||||||||||||||||
28.28 | 4.55 | 21 | 1.10 | 0.33 | 1.30 | 22 | ||||||||||||||||||||
27.62 | (10.08 | ) | 40,652 | 0.89 | 0.25 | 0.95 | 7 | |||||||||||||||||||
30.96 | 27.19 | 41,872 | 0.89 | 1.08 | 1.08 | 34 | ||||||||||||||||||||
24.60 | (13.14 | ) | 1,672 | 0.89 | 1.37 | 1.11 | 13 | |||||||||||||||||||
28.47 | 27.72 | 217 | 0.95 | 0.58 | 3.36 | 22 | ||||||||||||||||||||
22.49 | 0.40 | 20 | 0.90 | 0.28 | 1.08 | 23 | ||||||||||||||||||||
27.64 | (10.05 | ) | 3,548,654 | 0.79 | 0.37 | 0.84 | 7 | |||||||||||||||||||
31.00 | 27.36 | 3,034,359 | 0.79 | 1.09 | 0.96 | 34 | ||||||||||||||||||||
24.60 | (13.08 | ) | 2,936,830 | 0.79 | 1.00 | 1.01 | 13 | |||||||||||||||||||
28.46 | 27.87 | 2,813,349 | 0.85 | 0.85 | 1.01 | 22 | ||||||||||||||||||||
22.46 | 12.83 | 1,980,671 | 0.94 | 0.96 | 1.08 | 23 | ||||||||||||||||||||
20.13 | (16.54 | ) | 1,128,390 | 1.10 | 0.99 | (f) | 1.16 | 35 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 85 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund |
| |||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 16.78 | $ | 0.09 | $ | (2.06 | ) | $ | (1.97 | ) | $ | — | $ | (0.04 | ) | $ | (0.04 | ) | ||||||||||
January 30, 2019 (g) through October 31, 2019 | 16.22 | 0.31 | 0.25 | 0.56 | — | — | — | |||||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 16.80 | 0.11 | (2.05 | ) | (1.94 | ) | (0.13 | ) | (0.04 | ) | (0.17 | ) | ||||||||||||||||
December 11, 2018 (h) through October 31, 2019 | 15.00 | 0.42 | 1.46 | 1.88 | (0.08 | ) | — | (0.08 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(g) | Commencement of offering of class of shares. |
(h) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income (loss) (f) | Expenses without waivers and reimbursements (f) | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 14.77 | (11.79 | )% | $ | 8 | 0.43 | % | 1.17 | % | 3.50 | % | 22 | % | |||||||||||||
16.78 | 3.45 | 5 | 0.44 | 2.52 | 0.70 | 28 | ||||||||||||||||||||
14.69 | (11.73 | ) | 2,382,897 | 0.35 | 1.31 | 0.37 | 22 | |||||||||||||||||||
16.80 | 12.60 | 2,090,569 | 0.34 | 2.90 | 0.46 | 28 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 87 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Europe Dynamic Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 24.25 | $ | 0.11 | $ | (4.01 | ) | $ | (3.90 | ) | $ | (0.70 | ) | |||||||
Year Ended October 31, 2019 | 23.01 | 0.61 | 1.18 | 1.79 | (0.55 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.04 | 0.42 | (4.08 | ) | (3.66 | ) | (0.37 | ) | ||||||||||||
Year Ended October 31, 2017 | 21.94 | 0.37 | 5.15 | 5.52 | (0.42 | ) | ||||||||||||||
Year Ended October 31, 2016 | 24.41 | 0.37 | (2.55 | ) | (2.18 | ) | (0.29 | ) | ||||||||||||
Year Ended October 31, 2015 | 24.54 | 0.36 | 0.32 | 0.68 | (0.81 | ) | ||||||||||||||
Class C |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 21.47 | 0.04 | (3.55 | ) | (3.51 | ) | (0.58 | ) | ||||||||||||
Year Ended October 31, 2019 | 20.39 | 0.44 | 1.06 | 1.50 | (0.42 | ) | ||||||||||||||
Year Ended October 31, 2018 | 24.00 | 0.25 | (3.62 | ) | (3.37 | ) | (0.24 | ) | ||||||||||||
Year Ended October 31, 2017 | 19.52 | 0.23 | 4.58 | 4.81 | (0.33 | ) | ||||||||||||||
Year Ended October 31, 2016 | 21.77 | 0.23 | (2.27 | ) | (2.04 | ) | (0.21 | ) | ||||||||||||
Year Ended October 31, 2015 | 21.99 | 0.21 | 0.29 | 0.50 | (0.72 | ) | ||||||||||||||
Class I |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 24.75 | 0.13 | (4.07 | ) | (3.94 | ) | (0.77 | ) | ||||||||||||
Year Ended October 31, 2019 | 23.48 | 0.67 | 1.21 | 1.88 | (0.61 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.60 | 0.49 | (4.17 | ) | (3.68 | ) | (0.44 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.37 | 0.46 | 5.25 | 5.71 | (0.48 | ) | ||||||||||||||
Year Ended October 31, 2016 | 24.83 | 0.44 | (2.59 | ) | (2.15 | ) | (0.31 | ) | ||||||||||||
Year Ended October 31, 2015 | 24.95 | 0.45 | 0.32 | 0.77 | (0.89 | ) | ||||||||||||||
Class L |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 25.05 | 0.16 | (4.14 | ) | (3.98 | ) | (0.79 | ) | ||||||||||||
Year Ended October 31, 2019 | 23.70 | 0.65 | 1.27 | 1.92 | (0.57 | ) | ||||||||||||||
Year Ended October 31, 2018 | 27.85 | 0.51 | (4.18 | ) | (3.67 | ) | (0.48 | ) | ||||||||||||
Year Ended October 31, 2017 | 22.61 | 0.52 | 5.27 | 5.79 | (0.55 | ) | ||||||||||||||
Year Ended October 31, 2016 | 25.13 | 0.49 | (2.60 | ) | (2.11 | ) | (0.41 | ) | ||||||||||||
Year Ended October 31, 2015 | 25.23 | 0.54 | 0.28 | 0.82 | (0.92 | ) | ||||||||||||||
Class R6 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 24.96 | 0.17 | (4.12 | ) | (3.95 | ) | (0.82 | ) | ||||||||||||
Year Ended October 31, 2019 | 23.70 | 0.75 | 1.19 | 1.94 | (0.68 | ) | ||||||||||||||
October 1, 2018 (f) through October 31, 2018 | 26.32 | 0.01 | (2.63 | ) | (2.62 | ) | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 19.65 | (16.65 | )% | $ | 69,580 | 1.24 | % | 0.93 | % | 1.27 | % | 73 | % | |||||||||||||
24.25 | 8.14 | 98,294 | 1.24 | 2.67 | 1.31 | 83 | ||||||||||||||||||||
23.01 | (13.72 | ) | 124,681 | 1.24 | 1.58 | 1.29 | 149 | |||||||||||||||||||
27.04 | 25.65 | 165,020 | 1.36 | 1.52 | 1.36 | 189 | ||||||||||||||||||||
21.94 | (8.98 | ) | 162,767 | 1.42 | 1.66 | 1.43 | 142 | |||||||||||||||||||
24.41 | 2.86 | 219,548 | 1.41 | 1.48 | 1.41 | 167 | ||||||||||||||||||||
17.38 | (16.91 | ) | 12,752 | 1.74 | 0.40 | 1.77 | 73 | |||||||||||||||||||
21.47 | 7.64 | 19,798 | 1.74 | 2.15 | 1.80 | 83 | ||||||||||||||||||||
20.39 | (14.18 | ) | 31,125 | 1.74 | 1.08 | 1.79 | 149 | |||||||||||||||||||
24.00 | 25.02 | 46,615 | 1.85 | 1.07 | 1.86 | 189 | ||||||||||||||||||||
19.52 | (9.42 | ) | 50,152 | 1.91 | 1.16 | 1.92 | 142 | |||||||||||||||||||
21.77 | 2.37 | 75,145 | 1.91 | 0.98 | 1.91 | 167 | ||||||||||||||||||||
20.04 | (16.56 | ) | 56,453 | 0.99 | 1.15 | 1.01 | 73 | |||||||||||||||||||
24.75 | 8.44 | 86,582 | 0.99 | 2.86 | 1.05 | 83 | ||||||||||||||||||||
23.48 | (13.53 | ) | 139,858 | 0.99 | 1.84 | 1.04 | 149 | |||||||||||||||||||
27.60 | 26.06 | 187,678 | 1.06 | 1.85 | 1.07 | 189 | ||||||||||||||||||||
22.37 | (8.73 | ) | 145,080 | 1.10 | 1.95 | 1.10 | 142 | |||||||||||||||||||
24.83 | 3.22 | 579,389 | 1.07 | 1.81 | 1.07 | 167 | ||||||||||||||||||||
20.28 | (16.51 | ) | 50,754 | 0.85 | 1.37 | 0.85 | 73 | |||||||||||||||||||
25.05 | 8.49 | 65,686 | 0.89 | 2.77 | 0.90 | 83 | ||||||||||||||||||||
23.70 | (13.41 | ) | 389,665 | 0.88 | 1.88 | 0.89 | 149 | |||||||||||||||||||
27.85 | 26.22 | 578,183 | 0.90 | 2.07 | 0.91 | 189 | ||||||||||||||||||||
22.61 | (8.48 | ) | 424,388 | 0.90 | 2.16 | 0.90 | 142 | |||||||||||||||||||
25.13 | 3.36 | 194,930 | 0.90 | 2.16 | 0.91 | 167 | ||||||||||||||||||||
20.19 | (16.48 | ) | 227,916 | 0.75 | 1.49 | 0.75 | 73 | |||||||||||||||||||
24.96 | 8.65 | 271,885 | 0.79 | 3.17 | 0.79 | 83 | ||||||||||||||||||||
23.70 | (9.95 | ) | 18 | 0.82 | 0.67 | 0.83 | 149 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 89 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan International Advantage Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 19.90 | $ | 0.06 | $ | (3.09 | ) | $ | (3.03 | ) | $ | (1.01 | ) | |||||||
Year Ended October 31, 2019 | 19.49 | 0.52 | 0.31 | 0.83 | (0.42 | ) | ||||||||||||||
Year Ended October 31, 2018 | 22.22 | 0.44 | (2.77 | ) | (2.33 | ) | (0.40 | ) | ||||||||||||
Year Ended October 31, 2017 | 18.44 | 0.33 | 3.83 | 4.16 | (0.38 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.36 | 0.40 | (f) | (0.99 | ) | (0.59 | ) | (0.33 | ) | |||||||||||
Year Ended October 31, 2015 | 19.49 | 0.34 | (f) | (0.26 | ) | 0.08 | (0.21 | ) | ||||||||||||
Class C |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 20.13 | 0.11 | (3.23 | ) | (3.12 | ) | (0.88 | ) | ||||||||||||
Year Ended October 31, 2019 | 19.70 | 0.43 | 0.31 | 0.74 | (0.31 | ) | ||||||||||||||
Year Ended October 31, 2018 | 22.40 | 0.37 | (2.83 | ) | (2.46 | ) | (0.24 | ) | ||||||||||||
Year Ended October 31, 2017 | 18.57 | 0.22 | 3.87 | 4.09 | (0.26 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.52 | 0.28 | (f) | (0.97 | ) | (0.69 | ) | (0.26 | ) | |||||||||||
Year Ended October 31, 2015 | 19.63 | 0.23 | (f) | (0.24 | ) | (0.01 | ) | (0.10 | ) | |||||||||||
Class I |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 20.71 | 0.13 | (3.25 | ) | (3.12 | ) | (1.07 | ) | ||||||||||||
Year Ended October 31, 2019 | 20.30 | 0.60 | 0.29 | 0.89 | (0.48 | ) | ||||||||||||||
Year Ended October 31, 2018 | 23.12 | 0.54 | (2.90 | ) | (2.36 | ) | (0.46 | ) | ||||||||||||
Year Ended October 31, 2017 | 19.20 | 0.42 | 3.97 | 4.39 | (0.47 | ) | ||||||||||||||
Year Ended October 31, 2016 | 20.13 | 0.46 | (f) | (1.01 | ) | (0.55 | ) | (0.38 | ) | |||||||||||
Year Ended October 31, 2015 | 20.22 | 0.42 | (f) | (0.26 | ) | 0.16 | (0.25 | ) | ||||||||||||
Class R2 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 19.57 | 0.13 | (3.13 | ) | (3.00 | ) | (0.95 | ) | ||||||||||||
Year Ended October 31, 2019 | 19.21 | 0.46 | 0.29 | 0.75 | (0.39 | ) | ||||||||||||||
Year Ended October 31, 2018 | 22.01 | 0.52 | (2.88 | ) | (2.36 | ) | (0.44 | ) | ||||||||||||
Year Ended October 31, 2017 | 18.29 | 0.01 | 4.07 | 4.08 | (0.36 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.21 | 0.36 | (f) | (1.01 | ) | (0.65 | ) | (0.27 | ) | |||||||||||
Year Ended October 31, 2015 | 19.31 | 0.38 | (f) | (0.34 | ) | 0.04 | (0.14 | ) | ||||||||||||
Class R6 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 20.40 | 0.21 | (3.25 | ) | (3.04 | ) | (1.10 | ) | ||||||||||||
Year Ended October 31, 2019 | 20.00 | 0.64 | 0.28 | 0.92 | (0.52 | ) | ||||||||||||||
Year Ended October 31, 2018 | 22.78 | 0.58 | (2.87 | ) | (2.29 | ) | (0.49 | ) | ||||||||||||
Year Ended October 31, 2017 | 18.91 | 0.43 | 3.92 | 4.35 | (0.48 | ) | ||||||||||||||
Year Ended October 31, 2016 | 19.84 | 0.49 | (f) | (1.01 | ) | (0.52 | ) | (0.41 | ) | |||||||||||
May 29, 2015 (g) through October 31, 2015 | 21.08 | 0.12 | (f) | (1.36 | ) | (1.24 | ) | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | 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. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
|
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| |||||||||||||
$ | 15.86 | (16.19 | )% | $ | 6,150 | 0.95 | % | 0.63 | % | 1.14 | % | 42 | % | |||||||||||||
19.90 | 4.51 | 156,230 | 0.96 | 2.72 | 1.20 | 74 | ||||||||||||||||||||
19.49 | (10.69 | ) | 156,382 | 1.00 | 2.02 | 1.22 | 51 | |||||||||||||||||||
22.22 | 22.98 | 232,530 | 1.21 | 1.66 | 1.22 | 82 | ||||||||||||||||||||
18.44 | (3.07 | ) | 164,327 | 1.25 | 2.21 | (f) | 1.29 | 38 | ||||||||||||||||||
19.36 | 0.45 | 152,834 | 1.29 | 1.75 | (f) | 1.49 | 33 | |||||||||||||||||||
16.13 | (16.34 | ) | 923 | 1.45 | 1.22 | 1.74 | 42 | |||||||||||||||||||
20.13 | 3.92 | 1,210 | 1.47 | 2.19 | 1.72 | 74 | ||||||||||||||||||||
19.70 | (11.08 | ) | 1,652 | 1.50 | 1.69 | 1.74 | 51 | |||||||||||||||||||
22.40 | 22.30 | 1,773 | 1.75 | 1.07 | 1.81 | 82 | ||||||||||||||||||||
18.57 | (3.56 | ) | 2,287 | 1.75 | 1.52 | (f) | 1.87 | 38 | ||||||||||||||||||
19.52 | (0.05 | ) | 2,789 | 1.78 | 1.17 | (f) | 1.91 | 33 | ||||||||||||||||||
16.52 | (16.06 | ) | 21,165 | 0.70 | 1.30 | 0.88 | 42 | |||||||||||||||||||
20.71 | 4.70 | 67,146 | 0.71 | 3.02 | 0.94 | 74 | ||||||||||||||||||||
20.30 | (10.43 | ) | 60,739 | 0.75 | 2.37 | 0.96 | 51 | |||||||||||||||||||
23.12 | 23.39 | 52,871 | 0.90 | 1.99 | 0.99 | 82 | ||||||||||||||||||||
19.20 | (2.73 | ) | 16,363 | 0.90 | 2.44 | (f) | 1.08 | 38 | ||||||||||||||||||
20.13 | 0.80 | 19,292 | 0.97 | 2.04 | (f) | 1.12 | 33 | |||||||||||||||||||
15.62 | (16.29 | ) | 23,550 | 1.25 | 1.43 | 1.57 | 42 | |||||||||||||||||||
19.57 | 4.15 | 30,819 | 1.26 | 2.44 | 1.66 | 74 | ||||||||||||||||||||
19.21 | (10.93 | ) | 31,619 | 1.30 | 2.45 | 1.69 | 51 | |||||||||||||||||||
22.01 | 22.70 | 8,790 | 1.49 | 0.07 | 1.54 | 82 | ||||||||||||||||||||
18.29 | (3.36 | ) | 503 | 1.50 | 2.02 | (f) | 1.75 | 38 | ||||||||||||||||||
19.21 | 0.24 | 227 | 1.52 | 1.91 | (f) | 1.69 | 33 | |||||||||||||||||||
16.26 | (15.95 | ) | 1,443,062 | 0.50 | 2.28 | 0.62 | 42 | |||||||||||||||||||
20.40 | 4.94 | 1,555,944 | 0.52 | 3.27 | 0.69 | 74 | ||||||||||||||||||||
20.00 | (10.26 | ) | 3,152,864 | 0.55 | 2.59 | 0.71 | 51 | |||||||||||||||||||
22.78 | 23.59 | 2,859,645 | 0.71 | 2.12 | 0.71 | 82 | ||||||||||||||||||||
18.91 | (2.59 | ) | 2,487,086 | 0.71 | 2.65 | (f) | 0.72 | 38 | ||||||||||||||||||
19.84 | (5.88 | ) | 1,854,941 | 0.73 | 1.47 | (f) | 0.74 | 33 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 91 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan International Equity Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 17.27 | $ | 0.10 | $ | (2.20 | ) | $ | (2.10 | ) | $ | (0.50 | ) | $ | — | $ | (0.50 | ) | ||||||||||
Year Ended October 31, 2019 | 15.56 | 0.33 | 1.89 | 2.22 | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 17.81 | 0.33 | (2.33 | ) | (2.00 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 14.24 | 0.22 | 3.39 | 3.61 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.75 | 0.22 | (0.51 | ) | (0.29 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.25 | 0.23 | (0.50 | ) | (0.27 | ) | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 16.29 | 0.05 | (2.08 | ) | (2.03 | ) | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 14.68 | 0.23 | 1.80 | 2.03 | (0.24 | ) | (0.18 | ) | (0.42 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 16.83 | 0.25 | (2.23 | ) | (1.98 | ) | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 13.50 | 0.12 | 3.22 | 3.34 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.02 | 0.13 | (0.47 | ) | (0.34 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 14.52 | 0.15 | (0.48 | ) | (0.33 | ) | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.56 | 0.12 | (2.23 | ) | (2.11 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 15.82 | 0.36 | 1.93 | 2.29 | (0.37 | ) | (0.18 | ) | (0.55 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 18.09 | 0.41 | (2.40 | ) | (1.99 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 14.45 | 0.26 | 3.44 | 3.70 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.95 | 0.24 | (0.48 | ) | (0.24 | ) | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.45 | 0.29 | (0.53 | ) | (0.24 | ) | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.14 | 0.08 | (2.19 | ) | (2.11 | ) | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 15.44 | 0.28 | 1.88 | 2.16 | (0.28 | ) | (0.18 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 17.70 | 0.29 | (2.33 | ) | (2.04 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 14.17 | 0.17 | 3.38 | 3.55 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.69 | 0.18 | (0.50 | ) | (0.32 | ) | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.19 | 0.20 | (0.51 | ) | (0.31 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.60 | 0.13 | (2.24 | ) | (2.11 | ) | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 15.85 | 0.38 | 1.94 | 2.32 | (0.39 | ) | (0.18 | ) | (0.57 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 18.13 | 0.41 | (2.40 | ) | (1.99 | ) | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 14.47 | 0.21 | 3.52 | 3.73 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.97 | 0.27 | (0.49 | ) | (0.22 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.46 | 0.29 | (0.49 | ) | (0.20 | ) | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 17.61 | 0.14 | (2.24 | ) | (2.10 | ) | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 15.86 | 0.40 | 1.93 | 2.33 | (0.40 | ) | (0.18 | ) | (0.58 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 18.13 | 0.43 | (2.39 | ) | (1.96 | ) | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 14.46 | 0.29 | 3.46 | 3.75 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 14.97 | 0.29 | (0.51 | ) | (0.22 | ) | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 15.46 | 0.32 | (0.52 | ) | (0.20 | ) | (0.29 | ) | — | (0.29 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 14.67 | (12.60 | )% | $ | 302,646 | 0.95 | % | 1.26 | % | 1.12 | % | 14 | % | |||||||||||||
17.27 | 14.93 | 328,312 | 0.95 | 2.03 | 1.22 | 25 | ||||||||||||||||||||
15.56 | (11.42 | ) | 240,394 | 0.95 | 1.88 | 1.32 | 33 | |||||||||||||||||||
17.81 | 25.43 | 302,130 | 1.23 | 1.39 | 1.35 | 17 | ||||||||||||||||||||
14.24 | (1.83 | ) | 216,932 | 1.31 | 1.62 | 1.49 | 11 | |||||||||||||||||||
14.75 | (1.89 | ) | 224,370 | 1.31 | 1.50 | 1.59 | 13 | |||||||||||||||||||
13.86 | (12.88 | ) | 11,229 | 1.45 | 0.67 | 1.63 | 14 | |||||||||||||||||||
16.29 | 14.39 | 14,549 | 1.45 | 1.51 | 1.74 | 25 | ||||||||||||||||||||
14.68 | (11.89 | ) | 18,899 | 1.45 | 1.48 | 1.83 | 33 | |||||||||||||||||||
16.83 | 24.79 | 24,281 | 1.74 | 0.83 | 1.88 | 17 | ||||||||||||||||||||
13.50 | (2.31 | ) | 22,235 | 1.81 | 0.97 | 2.06 | 11 | |||||||||||||||||||
14.02 | (2.36 | ) | 28,313 | 1.81 | 1.02 | 2.05 | 13 | |||||||||||||||||||
14.91 | (12.50 | ) | 179,476 | 0.70 | 1.49 | 0.86 | 14 | |||||||||||||||||||
17.56 | 15.20 | 190,885 | 0.70 | 2.22 | 0.96 | 25 | ||||||||||||||||||||
15.82 | (11.20 | ) | 179,831 | 0.70 | 2.30 | 1.06 | 33 | |||||||||||||||||||
18.09 | 25.69 | 139,715 | 0.99 | 1.59 | 1.10 | 17 | ||||||||||||||||||||
14.45 | (1.50 | ) | 94,362 | 1.06 | 1.69 | 1.24 | 11 | |||||||||||||||||||
14.95 | (1.66 | ) | 522,402 | 1.06 | 1.84 | 1.19 | 13 | |||||||||||||||||||
14.55 | (12.77 | ) | 2,074 | 1.25 | 0.99 | 1.40 | 14 | |||||||||||||||||||
17.14 | 14.58 | 2,099 | 1.25 | 1.75 | 1.57 | 25 | ||||||||||||||||||||
15.44 | (11.68 | ) | 1,833 | 1.25 | 1.64 | 1.60 | 33 | |||||||||||||||||||
17.70 | 25.12 | 2,096 | 1.49 | 1.07 | 1.71 | 17 | ||||||||||||||||||||
14.17 | (2.08 | ) | 1,461 | 1.56 | 1.28 | 1.95 | 11 | |||||||||||||||||||
14.69 | (2.14 | ) | 1,203 | 1.56 | 1.28 | 1.92 | 13 | |||||||||||||||||||
14.98 | (12.45 | ) | 4,022 | 0.60 | 1.61 | 0.72 | 14 | |||||||||||||||||||
17.60 | 15.38 | 3,778 | 0.60 | 2.31 | 0.83 | 25 | ||||||||||||||||||||
15.85 | (11.16 | ) | 19,516 | 0.60 | 2.31 | 0.91 | 33 | |||||||||||||||||||
18.13 | 25.88 | 21,891 | 0.84 | 1.36 | 0.93 | 17 | ||||||||||||||||||||
14.47 | (1.34 | ) | 58,836 | 0.86 | 1.93 | 1.02 | 11 | |||||||||||||||||||
14.97 | (1.42 | ) | 57,500 | 0.86 | 1.88 | 1.06 | 13 | |||||||||||||||||||
14.94 | (12.43 | ) | 2,168,007 | 0.50 | 1.68 | 0.61 | 14 | |||||||||||||||||||
17.61 | 15.50 | 2,457,383 | 0.50 | 2.46 | 0.72 | 25 | ||||||||||||||||||||
15.86 | (11.04 | ) | 3,808,621 | 0.50 | 2.42 | 0.81 | 33 | |||||||||||||||||||
18.13 | 26.04 | 3,516,978 | 0.74 | 1.84 | 0.81 | 17 | ||||||||||||||||||||
14.46 | (1.36 | ) | 3,030,640 | 0.81 | 2.05 | 0.91 | 11 | |||||||||||||||||||
14.97 | (1.37 | ) | 2,088,835 | 0.80 | 2.03 | 0.91 | 13 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 93 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 21.15 | $ | 0.08 | $ | (2.14 | ) | $ | (2.06 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | ||||||||||
Year Ended October 31, 2019 | 18.24 | 0.26 | 3.02 | 3.28 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 21.14 | 0.36 | (3.13 | ) | (2.77 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.24 | 0.16 | 4.09 | 4.25 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.61 | 0.22 | (f) | (0.55 | ) | (0.33 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
Year Ended October 31, 2015 | 18.59 | 0.09 | (f) | 0.39 | 0.48 | (0.17 | ) | (1.29 | ) | (1.46 | ) | |||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 20.86 | 0.02 | (2.09 | ) | (2.07 | ) | — | — | — | |||||||||||||||||||
Year Ended October 31, 2019 | 17.98 | 0.16 | 2.97 | 3.13 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 20.90 | 0.26 | (3.09 | ) | (2.83 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.04 | 0.05 | 4.06 | 4.11 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.45 | 0.13 | (f) | (0.53 | ) | (0.40 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Year Ended October 31, 2015 | 18.44 | (0.02 | )(f) | 0.39 | 0.37 | (0.07 | ) | (1.29 | ) | (1.36 | ) | |||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 21.43 | 0.11 | (2.16 | ) | (2.05 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 18.49 | 0.31 | 3.04 | 3.35 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 21.41 | 0.44 | (3.19 | ) | (2.75 | ) | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.45 | 0.23 | 4.13 | 4.36 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.71 | 0.24 | (f) | (0.50 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Year Ended October 31, 2015 | 18.67 | 0.15 | (f) | 0.38 | 0.53 | (0.20 | ) | (1.29 | ) | (1.49 | ) | |||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 20.99 | 0.06 | (2.13 | ) | (2.07 | ) | — | — | — | |||||||||||||||||||
Year Ended October 31, 2019 | 18.14 | 0.21 | 2.98 | 3.19 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 21.11 | 0.35 | (3.17 | ) | (2.82 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.21 | 0.06 | 4.14 | 4.20 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.57 | 0.15 | (f) | (0.51 | ) | (0.36 | ) | — | — | — | ||||||||||||||||||
Year Ended October 31, 2015 | 18.55 | 0.03 | (f) | 0.39 | 0.42 | (0.11 | ) | (1.29 | ) | (1.40 | ) | |||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 21.42 | 0.11 | (2.15 | ) | (2.04 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 18.49 | 0.34 | 3.03 | 3.37 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 21.39 | 0.53 | (3.25 | ) | (2.72 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.44 | 0.20 | 4.17 | 4.37 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.75 | 0.27 | (f) | (0.52 | ) | (0.25 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||
Year Ended October 31, 2015 | 18.72 | 0.16 | (f) | 0.39 | 0.55 | (0.23 | ) | (1.29 | ) | (1.52 | ) | |||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 21.44 | 0.13 | (2.16 | ) | (2.03 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 18.50 | 0.27 | 3.13 | 3.40 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 21.40 | 0.44 | (3.16 | ) | (2.72 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 17.45 | 0.26 | 4.12 | 4.38 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 17.76 | 0.29 | (f) | (0.52 | ) | (0.23 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
Year Ended October 31, 2015 | 18.73 | (0.01 | )(f) | 0.57 | 0.56 | (0.24 | ) | (1.29 | ) | (1.53 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 19.08 | (9.75 | )% | $ | 115,420 | 1.00 | % | 0.78 | % | 1.21 | % | 18 | % | |||||||||||||
21.15 | 18.41 | 114,629 | 1.00 | 1.33 | 1.32 | 34 | ||||||||||||||||||||
18.24 | (13.20 | ) | 84,325 | 1.00 | 1.75 | 1.38 | 63 | |||||||||||||||||||
21.14 | 25.16 | 67,684 | 1.24 | 0.83 | 1.46 | 38 | ||||||||||||||||||||
17.24 | (1.86 | ) | 14,034 | 1.24 | 1.28 | (f) | 1.61 | 51 | ||||||||||||||||||
17.61 | 3.04 | 5,824 | 1.24 | 0.49 | (f) | 2.31 | 42 | |||||||||||||||||||
18.79 | (9.92 | ) | 14,513 | 1.50 | 0.19 | 1.72 | 18 | |||||||||||||||||||
20.86 | 17.73 | 18,447 | 1.50 | 0.83 | 1.84 | 34 | ||||||||||||||||||||
17.98 | (13.60 | ) | 22,532 | 1.50 | 1.29 | 1.89 | 63 | |||||||||||||||||||
20.90 | 24.51 | 14,534 | 1.74 | 0.27 | 2.00 | 38 | ||||||||||||||||||||
17.04 | (2.28 | ) | 4,626 | 1.74 | 0.75 | (f) | 2.14 | 51 | ||||||||||||||||||
17.45 | 2.39 | 3,439 | 1.74 | (0.12 | )(f) | 2.79 | 42 | |||||||||||||||||||
19.33 | (9.60 | ) | 194,013 | 0.75 | 1.06 | 0.95 | 18 | |||||||||||||||||||
21.43 | 18.62 | 177,764 | 0.75 | 1.57 | 1.08 | 34 | ||||||||||||||||||||
18.49 | (12.96 | ) | 189,061 | 0.75 | 2.09 | 1.13 | 63 | |||||||||||||||||||
21.41 | 25.60 | 131,356 | 0.89 | 1.14 | 1.19 | 38 | ||||||||||||||||||||
17.45 | (1.47 | ) | 9,929 | 0.89 | 1.41 | (f) | 1.35 | 51 | ||||||||||||||||||
17.71 | 3.29 | 59,858 | 0.89 | 0.83 | (f) | 1.84 | 42 | |||||||||||||||||||
18.92 | (9.86 | ) | 1,420 | 1.30 | 0.55 | 1.57 | 18 | |||||||||||||||||||
20.99 | 18.01 | 1,049 | 1.30 | 1.05 | 1.74 | 34 | ||||||||||||||||||||
18.14 | (13.46 | ) | 773 | 1.30 | 1.70 | 1.72 | 63 | |||||||||||||||||||
21.11 | 24.85 | 97 | 1.49 | 0.31 | 2.79 | 38 | ||||||||||||||||||||
17.21 | (2.05 | ) | 20 | 1.49 | 0.87 | (f) | 4.37 | 51 | ||||||||||||||||||
17.57 | 2.67 | 20 | 1.51 | 0.19 | (f) | 5.11 | 42 | |||||||||||||||||||
19.31 | (9.59 | ) | 2,437 | 0.65 | 1.03 | 0.89 | 18 | |||||||||||||||||||
21.42 | 18.76 | 3,082 | 0.65 | 1.71 | 1.04 | 34 | ||||||||||||||||||||
18.49 | (12.84 | ) | 3,341 | 0.65 | 2.56 | 1.07 | 63 | |||||||||||||||||||
21.39 | 25.67 | 90 | 0.79 | 1.01 | 2.44 | 38 | ||||||||||||||||||||
17.44 | (1.38 | ) | 20 | 0.80 | 1.57 | (f) | 3.59 | 51 | ||||||||||||||||||
17.75 | 3.43 | 20 | 0.81 | 0.89 | (f) | 4.43 | 42 | |||||||||||||||||||
19.32 | (9.53 | ) | 2,207,453 | 0.55 | 1.20 | 0.70 | 18 | |||||||||||||||||||
21.44 | 18.95 | 2,284,670 | 0.55 | 1.32 | 0.77 | 34 | ||||||||||||||||||||
18.50 | (12.81 | ) | 175,198 | 0.55 | 2.12 | 0.87 | 63 | |||||||||||||||||||
21.40 | 25.72 | 143,868 | 0.74 | 1.37 | 0.95 | 38 | ||||||||||||||||||||
17.45 | (1.29 | ) | 81,146 | 0.74 | 1.70 | (f) | 1.02 | 51 | ||||||||||||||||||
17.76 | 3.48 | 5,335 | 0.74 | (0.05 | )(f) | 2.87 | 42 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 95 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan International Hedged Equity Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 15.58 | $ | 0.18 | $ | (1.50 | ) | $ | (1.32 | ) | $ | (0.24 | ) | |||||||
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.19 | 0.39 | 0.58 | — | |||||||||||||||
Class C |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 15.53 | 0.11 | (1.48 | ) | (1.37 | ) | (0.17 | ) | ||||||||||||
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.16 | 0.37 | 0.53 | — | |||||||||||||||
Class I |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 15.61 | 0.18 | (1.49 | ) | (1.31 | ) | (0.24 | ) | ||||||||||||
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.32 | 0.29 | 0.61 | — | |||||||||||||||
Class R5 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 15.62 | 0.18 | (1.47 | ) | (1.29 | ) | (0.25 | ) | ||||||||||||
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.34 | 0.28 | 0.62 | — | |||||||||||||||
Class R6 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 15.63 | 0.18 | (1.47 | ) | (1.29 | ) | (0.26 | ) | ||||||||||||
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.35 | 0.28 | 0.63 | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(g) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income (loss) (f) | Expenses without waivers and reimbursements (f) | Portfolio turnover rate (c) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 14.02 | (8.67 | )% | $ | 794 | 0.85 | % | 2.46 | % | 1.26 | % | 38 | % | |||||||||||||
15.58 | 3.87 | 330 | 0.85 | 1.95 | 1.31 | 9 | ||||||||||||||||||||
13.99 | (8.92 | ) | 116 | 1.35 | 1.46 | 1.78 | 38 | |||||||||||||||||||
15.53 | 3.53 | 119 | 1.35 | 1.73 | 1.92 | 9 | ||||||||||||||||||||
14.06 | (8.56 | ) | 94,519 | 0.60 | 2.37 | 0.99 | 38 | |||||||||||||||||||
15.61 | 4.07 | 59,751 | 0.60 | 3.38 | 1.19 | 9 | ||||||||||||||||||||
14.08 | (8.46 | ) | 19 | 0.45 | 2.33 | 0.97 | 38 | |||||||||||||||||||
15.62 | 4.13 | 21 | 0.45 | 3.59 | 1.03 | 9 | ||||||||||||||||||||
14.08 | (8.44 | ) | 19 | 0.35 | 2.43 | 0.88 | 38 | |||||||||||||||||||
15.63 | 4.20 | 21 | 0.35 | 3.69 | 0.93 | 9 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 97 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 17.93 | $ | 0.18 | $ | (2.82 | ) | $ | (2.64 | ) | $ | (0.49 | ) | $ | — | $ | (0.49 | ) | ||||||||||
Year Ended October 31, 2019 | 16.79 | 0.51 | 1.15 | 1.66 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.76 | 0.45 | (2.04 | ) | (1.59 | ) | (0.19 | ) | (0.19 | ) | (0.38 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 15.54 | 0.34 | 3.23 | 3.57 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.54 | 0.40 | (f) | (0.89 | ) | (0.49 | ) | (0.36 | ) | (0.15 | ) | (0.51 | ) | |||||||||||||||
Year Ended October 31, 2015 | 20.38 | 0.43 | (0.60 | ) | (0.17 | ) | (0.40 | ) | (3.27 | ) | (3.67 | ) | ||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.17 | 0.20 | (2.85 | ) | (2.65 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.01 | 0.56 | 1.16 | 1.72 | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.92 | 0.35 | (1.91 | ) | (1.56 | ) | (0.16 | ) | (0.19 | ) | (0.35 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 15.68 | 0.41 | 3.23 | 3.64 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.70 | 0.46 | (f) | (0.92 | ) | (0.46 | ) | (0.41 | ) | (0.15 | ) | (0.56 | ) | |||||||||||||||
Year Ended October 31, 2015 | 20.54 | 0.48 | (0.60 | ) | (0.12 | ) | (0.45 | ) | (3.27 | ) | (3.72 | ) | ||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.11 | 0.20 | (2.83 | ) | (2.63 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 16.97 | 0.57 | 1.16 | 1.73 | (0.59 | ) | — | (0.59 | ) | |||||||||||||||||||
November 1, 2017 (h) through October 31, 2018 | 18.98 | 0.56 | (2.16 | ) | (1.60 | ) | (0.22 | ) | (0.19 | ) | (0.41 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | 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. |
(g) | Amount rounds to less than 0.005%. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 14.80 | (15.21 | )% | $ | 192,355 | 0.60 | % | 2.11 | % | 0.83 | % | 22 | % | |||||||||||||
17.93 | 10.39 | 213,256 | 0.60 | 3.00 | 0.83 | 22 | ||||||||||||||||||||
16.79 | (8.66 | ) | 203,437 | 0.60 | 2.40 | 0.84 | 42 | |||||||||||||||||||
18.76 | 23.41 | 298,112 | 0.59 | 1.98 | 0.90 | 33 | ||||||||||||||||||||
15.54 | (2.94 | ) | 69,626 | 0.60 | 2.60 | (f) | 1.02 | 24 | ||||||||||||||||||
16.54 | (0.29 | ) | 82,667 | 0.60 | 2.51 | 0.99 | 39 | |||||||||||||||||||
14.98 | (15.11 | ) | 208,853 | 0.34 | 2.36 | 0.56 | 22 | |||||||||||||||||||
18.17 | 10.65 | 185,680 | 0.35 | 3.28 | 0.56 | 22 | ||||||||||||||||||||
17.01 | (8.42 | ) | 152,610 | 0.35 | 1.85 | 0.56 | 42 | |||||||||||||||||||
18.92 | 23.71 | 4,740,590 | 0.34 | 2.37 | 0.58 | 33 | ||||||||||||||||||||
15.68 | (2.72 | ) | 1,241,856 | 0.34 | 2.98 | (f) | 0.59 | 24 | ||||||||||||||||||
16.70 | 0.00 | (g) | 779,908 | 0.35 | 2.79 | 0.60 | 39 | |||||||||||||||||||
14.92 | (15.10 | ) | 3,902,502 | 0.24 | 2.38 | 0.30 | 22 | |||||||||||||||||||
18.11 | 10.78 | 4,435,538 | 0.25 | 3.37 | 0.31 | 22 | ||||||||||||||||||||
16.97 | (8.60 | ) | 4,344,571 | 0.25 | 3.00 | 0.32 | 42 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 99 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan International Value Fund |
| |||||||||||||||||||
Class A |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 12.22 | $ | 0.13 | $ | (2.84 | ) | $ | (2.71 | ) | $ | (0.49 | ) | |||||||
Year Ended October 31, 2019 | 12.44 | 0.44 | (0.20 | ) | 0.24 | (0.46 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.26 | 0.36 | (1.87 | ) | (1.51 | ) | (0.31 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.23 | 0.22 | 2.50 | 2.72 | (0.69 | ) | ||||||||||||||
Year Ended October 31, 2016 | 13.02 | 0.23 | (0.88 | ) | (0.65 | ) | (0.14 | ) | ||||||||||||
Year Ended October 31, 2015 | 14.14 | 0.18 | (f) | (0.83 | ) | (0.65 | ) | (0.47 | ) | |||||||||||
Class C |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 11.81 | 0.10 | (2.76 | ) | (2.66 | ) | (0.41 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.02 | 0.36 | (0.18 | ) | 0.18 | (0.39 | ) | |||||||||||||
Year Ended October 31, 2018 | 13.78 | 0.28 | (1.82 | ) | (1.54 | ) | (0.22 | ) | ||||||||||||
Year Ended October 31, 2017 | 11.88 | 0.15 | 2.42 | 2.57 | (0.67 | ) | ||||||||||||||
Year Ended October 31, 2016 | 12.65 | 0.17 | (0.87 | ) | (0.70 | ) | (0.07 | ) | ||||||||||||
Year Ended October 31, 2015 | 13.72 | 0.10 | (f) | (0.78 | ) | (0.68 | ) | (0.39 | ) | |||||||||||
Class I |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 12.54 | 0.15 | (2.91 | ) | (2.76 | ) | (0.52 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.76 | 0.48 | (0.20 | ) | 0.28 | (0.50 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.62 | 0.41 | (1.92 | ) | (1.51 | ) | (0.35 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.57 | 0.28 | 2.55 | 2.83 | (0.78 | ) | ||||||||||||||
Year Ended October 31, 2016 | 13.37 | 0.28 | (0.91 | ) | (0.63 | ) | (0.17 | ) | ||||||||||||
Year Ended October 31, 2015 | 14.48 | 0.23 | (f) | (0.84 | ) | (0.61 | ) | (0.50 | ) | |||||||||||
Class L |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 12.47 | 0.15 | (2.89 | ) | (2.74 | ) | (0.53 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.70 | 0.46 | (0.17 | ) | 0.29 | (0.52 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.55 | 0.41 | (1.90 | ) | (1.49 | ) | (0.36 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.50 | 0.27 | 2.57 | 2.84 | (0.79 | ) | ||||||||||||||
Year Ended October 31, 2016 | 13.29 | 0.31 | (0.93 | ) | (0.62 | ) | (0.17 | ) | ||||||||||||
Year Ended October 31, 2015 | 14.41 | 0.23 | (f) | (0.83 | ) | (0.60 | ) | (0.52 | ) | |||||||||||
Class R2 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 11.96 | 0.11 | (2.79 | ) | (2.68 | ) | (0.40 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.20 | 0.40 | (0.20 | ) | 0.20 | (0.44 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.01 | 0.31 | (1.84 | ) | (1.53 | ) | (0.28 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.04 | 0.19 | 2.46 | 2.65 | (0.68 | ) | ||||||||||||||
Year Ended October 31, 2016 | 12.83 | 0.19 | (0.87 | ) | (0.68 | ) | (0.11 | ) | ||||||||||||
Year Ended October 31, 2015 | 13.93 | 0.14 | (f) | (0.81 | ) | (0.67 | ) | (0.43 | ) | |||||||||||
Class R5 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 12.40 | 0.16 | (2.88 | ) | (2.72 | ) | (0.54 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.65 | 0.49 | (0.21 | ) | 0.28 | (0.53 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.51 | 0.42 | (1.91 | ) | (1.49 | ) | (0.37 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.51 | 0.23 | 2.59 | 2.82 | (0.82 | ) | ||||||||||||||
September 9, 2016 (g) through October 31, 2016 | 12.55 | 0.03 | (0.07 | ) | (0.04 | ) | — | |||||||||||||
Class R6 |
| |||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 12.43 | 0.16 | (2.88 | ) | (2.72 | ) | (0.55 | ) | ||||||||||||
Year Ended October 31, 2019 | 12.67 | 0.51 | (0.21 | ) | 0.30 | (0.54 | ) | |||||||||||||
Year Ended October 31, 2018 | 14.53 | 0.43 | (1.91 | ) | (1.48 | ) | (0.38 | ) | ||||||||||||
Year Ended October 31, 2017 | 12.51 | 0.31 | 2.53 | 2.84 | (0.82 | ) | ||||||||||||||
Year Ended October 31, 2016 | 13.31 | 0.37 | (0.96 | ) | (0.59 | ) | (0.21 | ) | ||||||||||||
Year Ended October 31, 2015 | 14.42 | 0.18 | (f) | (0.76 | ) | (0.58 | ) | (0.53 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | 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. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
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$ | 9.02 | (23.25 | )% | $ | 130,147 | 1.00 | % | 2.40 | % | 1.25 | % | 29 | % | |||||||||||||
12.22 | 2.30 | 181,458 | 1.00 | 3.69 | 1.28 | 61 | ||||||||||||||||||||
12.44 | (10.88 | ) | 242,231 | 1.00 | 2.59 | 1.27 | 90 | |||||||||||||||||||
14.26 | 23.30 | 316,510 | 1.35 | 1.71 | 1.35 | 31 | ||||||||||||||||||||
12.23 | (5.01 | ) | 573,449 | 1.35 | 1.91 | 1.43 | 61 | |||||||||||||||||||
13.02 | (4.63 | ) | 695,251 | 1.35 | 1.31 | (f) | 1.45 | 74 | ||||||||||||||||||
8.74 | (23.44 | ) | 5,446 | 1.50 | 1.83 | 1.76 | 29 | |||||||||||||||||||
11.81 | 1.82 | 9,358 | 1.50 | 3.15 | 1.80 | 61 | ||||||||||||||||||||
12.02 | (11.37 | ) | 14,055 | 1.50 | 2.06 | 1.78 | 90 | |||||||||||||||||||
13.78 | 22.67 | 20,997 | 1.85 | 1.21 | 1.87 | 31 | ||||||||||||||||||||
11.88 | (5.54 | ) | 24,453 | 1.85 | 1.43 | 1.91 | 61 | |||||||||||||||||||
12.65 | (5.01 | ) | 31,296 | 1.85 | 0.79 | (f) | 1.90 | 74 | ||||||||||||||||||
9.26 | (23.13 | ) | 28,328 | 0.75 | 2.64 | 1.00 | 29 | |||||||||||||||||||
12.54 | 2.56 | 45,503 | 0.75 | 3.91 | 1.03 | 61 | ||||||||||||||||||||
12.76 | (10.62 | ) | 66,291 | 0.75 | 2.84 | 1.02 | 90 | |||||||||||||||||||
14.62 | 23.66 | 144,875 | 1.04 | 2.07 | 1.04 | 31 | ||||||||||||||||||||
12.57 | (4.74 | ) | 157,867 | 1.01 | 2.28 | 1.02 | 61 | |||||||||||||||||||
13.37 | (4.28 | ) | 233,045 | 1.03 | 1.62 | (f) | 1.03 | 74 | ||||||||||||||||||
9.20 | (23.10 | ) | 17,257 | 0.65 | 2.65 | 0.84 | 29 | |||||||||||||||||||
12.47 | 2.69 | 30,256 | 0.65 | 3.81 | 0.87 | 61 | ||||||||||||||||||||
12.70 | (10.57 | ) | 73,651 | 0.65 | 2.84 | 0.87 | 90 | |||||||||||||||||||
14.55 | 23.88 | 201,672 | 0.87 | 2.03 | 0.88 | 31 | ||||||||||||||||||||
12.50 | (4.63 | ) | 523,251 | 0.90 | 2.53 | 0.91 | 61 | |||||||||||||||||||
13.29 | (4.23 | ) | 1,480,321 | 0.95 | 1.63 | (f) | 0.99 | 74 | ||||||||||||||||||
8.88 | (23.29 | ) | 390 | 1.30 | 2.03 | 1.65 | 29 | |||||||||||||||||||
11.96 | 2.00 | 722 | 1.30 | 3.47 | 1.69 | 61 | ||||||||||||||||||||
12.20 | (11.19 | ) | 1,025 | 1.30 | 2.27 | 1.59 | 90 | |||||||||||||||||||
14.01 | 23.02 | 1,369 | 1.58 | 1.52 | 1.73 | 31 | ||||||||||||||||||||
12.04 | (5.28 | ) | 1,182 | 1.59 | 1.65 | 1.91 | 61 | |||||||||||||||||||
12.83 | (4.84 | ) | 1,929 | 1.60 | 1.01 | (f) | 2.01 | 74 | ||||||||||||||||||
9.14 | (23.12 | ) | 75 | 0.65 | 2.89 | 0.85 | 29 | |||||||||||||||||||
12.40 | 2.64 | 88 | 0.65 | 4.08 | 0.87 | 61 | ||||||||||||||||||||
12.65 | (10.58 | ) | 70 | 0.65 | 2.97 | 0.91 | 90 | |||||||||||||||||||
14.51 | 23.81 | 62 | 0.93 | 1.69 | 4.00 | 31 | ||||||||||||||||||||
12.51 | (0.32 | ) | 20 | 0.79 | 1.52 | 0.79 | 61 | |||||||||||||||||||
9.16 | (23.08 | ) | 93,047 | 0.55 | 2.88 | 0.74 | 29 | |||||||||||||||||||
12.43 | 2.83 | 125,887 | 0.55 | 4.22 | 0.77 | 61 | ||||||||||||||||||||
12.67 | (10.49 | ) | 124,246 | 0.55 | 3.06 | 0.77 | 90 | |||||||||||||||||||
14.53 | 23.99 | 108,302 | 0.80 | 2.28 | 0.82 | 31 | ||||||||||||||||||||
12.51 | (4.45 | ) | 27,998 | 0.72 | 3.00 | 0.73 | 61 | |||||||||||||||||||
13.31 | (4.04 | ) | 2,354 | 0.73 | 1.32 | (f) | 0.73 | 74 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 101 |
Table of Contents
AS OF APRIL 30, 2020 (Unaudited)
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004, November 12, 2004 and November 11, 2015, respectively, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004, November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), asopen-end management investment companies.
The following are 9 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
Classes Offered | Trust | Diversification Classification | ||||
JPMorgan Emerging Markets Equity Fund | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified | |||
JPMorgan Emerging Markets Research Enhanced Equity Fund(1) | Class I(2) and Class R6 | JPM IV | Diversified | |||
JPMorgan Europe Dynamic Fund | Class A, Class C, Class I, Class L and Class R6 | JPM I | Diversified | |||
JPMorgan International Advantage Fund | Class A, Class C, Class I, Class R2 and Class R6 | JPM I | Diversified | |||
JPMorgan International Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
JPMorgan International Focus Fund(3) | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
JPMorgan International Hedged Equity Fund(4) | Class A, Class C, Class I, Class R5 and Class R6 | JPM IV | Diversified | |||
JPMorgan International Research Enhanced Equity Fund | Class A, Class I and Class R6 | JPM II | Diversified | |||
JPMorgan International Value Fund | Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6 | JPM I | Diversified |
(1) | The JPMorgan Emerging Markets Research Enhanced Equity Fund commenced operations on December 11, 2018. |
(2) | Class I commenced operations on January 30, 2019. |
(3) | Effective April 20, 2020, JPMorgan International Unconstrained Equity Fund changed its name to JPMorgan International Focus Fund. |
(4) | The JPMorgan International Hedged Equity Fund commenced operations on March 15, 2019. |
Class L Shares of the JPMorgan Emerging Markets Equity Fund (“Emerging Markets Equity Fund”), JPMorgan Europe Dynamic Fund (“Europe Dynamic Fund”) and JPMorgan International Value Fund (“International Value Fund”) are publicly offered on a limited basis. As of October 9, 2017, Class A Shares of the JPMorgan International Research Enhanced Equity Fund (“International Research Enhanced Equity Fund”) were publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of Emerging Markets Equity Fund, Europe Dynamic Fund and International Value Fund and Class A Shares of International Research Enhanced Equity Fund unless they meet certain requirements as described in the Funds’ prospectus.
The investment objective of Emerging Markets Equity Fund is to seek to provide high total return.
The investment objective of JPMorgan Emerging Markets Research Enhanced Equity Fund (“Emerging Markets Research Enhanced Equity Fund”), JPMorgan International Focus Fund (“International Focus Fund”), International Research Enhanced Equity Fund and International Value Fund is to seek to provide long-term capital appreciation.
The investment objective of Europe Dynamic Fund is to seek total return from long-term capital growth. Total return consists of capital growth and current income.
The investment objective of JPMorgan International Advantage Fund (“International Advantage Fund”) is to seek to maximize long-term capital growth by investing primarily in equity securities in developed markets outside the U.S.
The investment objective of JPMorgan International Equity Fund (“International Equity Fund”) is to seek total return from long-term capital growth and income. Total return consists of capital growth and current income.
The investment objective of JPMorgan International Hedged Equity Fund (“International Hedged Equity Fund”) is to seek to provide capital appreciation.
Class A Shares generally provide for afront-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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 Funds.
102 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 103 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Emerging Markets Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 174,076 | $ | — | $ | — | $ | 174,076 | ||||||||
Brazil | 379,268 | — | — | 379,268 | ||||||||||||
China | 942,429 | 1,816,450 | — | 2,758,879 | ||||||||||||
Egypt | — | 44,613 | — | 44,613 | ||||||||||||
Hong Kong | — | 508,710 | — | 508,710 | ||||||||||||
Hungary | — | 118,202 | — | 118,202 | ||||||||||||
India | 104,541 | 1,180,654 | — | 1,285,195 | ||||||||||||
Indonesia | — | 165,156 | — | 165,156 | ||||||||||||
Macau | — | 106,169 | — | 106,169 | ||||||||||||
Mexico | 188,338 | — | — | 188,338 | ||||||||||||
Panama | 40,244 | — | — | 40,244 | ||||||||||||
Peru | 61,377 | — | — | 61,377 | ||||||||||||
Portugal | — | 127,669 | — | 127,669 | ||||||||||||
Russia | 770 | 61,229 | — | 61,999 | ||||||||||||
South Africa | — | 136,658 | — | 136,658 | ||||||||||||
South Korea | — | 432,815 | — | 432,815 | ||||||||||||
Spain | — | 8,929 | — | 8,929 | ||||||||||||
Taiwan | 577,398 | 127,867 | — | 705,265 | ||||||||||||
Turkey | 9,846 | 85,471 | — | 95,317 | ||||||||||||
United States | 244,037 | — | — | 244,037 | ||||||||||||
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Total Common Stocks | 2,722,324 | 4,920,592 | — | 7,642,916 | ||||||||||||
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Short-Term Investments | ||||||||||||||||
Investment Companies | 124,572 | — | — | 124,572 | ||||||||||||
Investment of cash collateral from securities loaned | 129,303 | — | — | 129,303 | ||||||||||||
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| |||||||||
Total Short-Term Investments | 253,875 | — | — | 253,875 | ||||||||||||
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|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,976,199 | $ | 4,920,592 | $ | — | $ | 7,896,791 | ||||||||
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104 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
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Emerging Markets Research Enhanced Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 2,855 | $ | — | $ | — | $ | 2,855 | ||||||||
Brazil | 106,966 | — | — | 106,966 | ||||||||||||
Chile | 6,210 | — | — | 6,210 | ||||||||||||
China | 257,984 | 659,731 | — | 917,715 | ||||||||||||
Colombia | 3,676 | — | — | 3,676 | ||||||||||||
Czech Republic | — | 5,728 | — | 5,728 | ||||||||||||
Greece | — | 3,977 | — | 3,977 | ||||||||||||
Hong Kong | 2,652 | 5,841 | — | 8,493 | ||||||||||||
Hungary | — | 13,601 | — | 13,601 | ||||||||||||
India | 27,710 | 176,208 | — | 203,918 | ||||||||||||
Indonesia | — | 37,397 | — | 37,397 | ||||||||||||
Malaysia | — | 24,709 | — | 24,709 | ||||||||||||
Mexico | 56,990 | — | — | 56,990 | ||||||||||||
Peru | 9,717 | — | — | 9,717 | ||||||||||||
Philippines | — | 8,788 | — | 8,788 | ||||||||||||
Poland | — | 11,425 | — | 11,425 | ||||||||||||
Qatar | — | 8,796 | — | 8,796 | ||||||||||||
Russia | 19,590 | 76,295 | — | 95,885 | ||||||||||||
Saudi Arabia | — | 56,333 | — | 56,333 | ||||||||||||
Singapore | — | 2,263 | — | 2,263 | ||||||||||||
South Africa | 14,937 | 66,012 | — | 80,949 | ||||||||||||
South Korea | — | 287,602 | — | 287,602 | ||||||||||||
Taiwan | 118,437 | 161,671 | — | 280,108 | ||||||||||||
Thailand | 8,865 | 28,833 | — | 37,698 | ||||||||||||
Turkey | 2,482 | 23,309 | — | 25,791 | ||||||||||||
United Arab Emirates | — | 6,215 | — | 6,215 | ||||||||||||
United Kingdom | — | 1,824 | — | 1,824 | ||||||||||||
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| |||||||||
Total Common Stocks | 639,071 | 1,666,558 | — | 2,305,629 | ||||||||||||
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| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 24,084 | — | — | 24,084 | ||||||||||||
Investment of cash collateral from securities loaned | 6,237 | — | — | 6,237 | ||||||||||||
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| |||||||||
Total Short-Term Investments | 30,321 | — | — | 30,321 | ||||||||||||
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| |||||||||
Total Investments in Securities | $ | 669,392 | $ | 1,666,558 | $ | — | $ | 2,335,950 | ||||||||
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Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | 2,062 | $ | — | $ | — | $ | 2,062 | ||||||||
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APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 105 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Europe Dynamic Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 9,546 | $ | — | $ | 9,546 | ||||||||
Austria | — | 9,059 | — | 9,059 | ||||||||||||
Belgium | — | 9,926 | — | 9,926 | ||||||||||||
Finland | — | 8,173 | — | 8,173 | ||||||||||||
France | — | 62,181 | — | 62,181 | ||||||||||||
Germany | 3,142 | 51,564 | — | 54,706 | ||||||||||||
Ireland | 2,356 | 5,299 | — | 7,655 | ||||||||||||
Italy | — | 20,567 | — | 20,567 | ||||||||||||
Netherlands | 18,207 | 15,745 | — | 33,952 | ||||||||||||
Norway | — | 3,052 | — | 3,052 | ||||||||||||
Russia | — | 8,141 | — | 8,141 | ||||||||||||
South Africa | — | 3,241 | — | 3,241 | ||||||||||||
Spain | — | 6,131 | — | 6,131 | ||||||||||||
Sweden | — | 16,450 | — | 16,450 | ||||||||||||
Switzerland | — | 87,338 | — | 87,338 | ||||||||||||
United Kingdom | 3,059 | 70,037 | — | 73,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 26,764 | 386,450 | — | 413,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 4,185 | — | — | 4,185 | ||||||||||||
Investment of cash collateral from securities loaned | 41,289 | — | — | 41,289 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 45,474 | — | — | 45,474 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 72,238 | $ | 386,450 | $ | — | $ | 458,688 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | — | $ | 289 | $ | — | $ | 289 | ||||||||
|
|
|
|
|
|
|
|
106 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
International Advantage Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 4,538 | $ | 134,368 | $ | — | $ | 138,906 | ||||||||
Austria | — | 6,749 | — | 6,749 | ||||||||||||
Belgium | — | 19,331 | — | 19,331 | ||||||||||||
China | — | 11,316 | — | 11,316 | ||||||||||||
Denmark | — | 37,736 | — | 37,736 | ||||||||||||
France | — | 104,223 | — | 104,223 | ||||||||||||
Germany | — | 92,980 | — | 92,980 | ||||||||||||
Hong Kong | — | 37,132 | — | 37,132 | ||||||||||||
Ireland | 1,951 | 2,635 | — | 4,586 | ||||||||||||
Israel | — | 5,060 | — | 5,060 | ||||||||||||
Italy | — | 17,385 | — | 17,385 | ||||||||||||
Japan | — | 380,430 | — | 380,430 | ||||||||||||
Netherlands | 28,953 | 68,182 | — | 97,135 | ||||||||||||
New Zealand | — | 3,811 | — | 3,811 | ||||||||||||
Norway | — | 15,140 | — | 15,140 | ||||||||||||
Portugal | — | 9,955 | — | 9,955 | ||||||||||||
Singapore | — | 36,699 | — | 36,699 | ||||||||||||
South Africa | — | 13,948 | — | 13,948 | ||||||||||||
Spain | — | 27,628 | — | 27,628 | ||||||||||||
Sweden | — | 39,966 | — | 39,966 | ||||||||||||
Switzerland | — | 175,122 | — | 175,122 | ||||||||||||
United Kingdom | — | 163,808 | — | 163,808 | ||||||||||||
United States | — | 10,815 | — | 10,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 35,442 | 1,414,419 | — | 1,449,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 28,772 | — | — | 28,772 | ||||||||||||
Investment of cash collateral from securities loaned | 76,379 | — | — | 76,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 105,151 | — | — | 105,151 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 140,593 | $ | 1,414,419 | $ | — | $ | 1,555,012 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 181 | $ | 410 | $ | — | $ | 591 | ||||||||
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 107 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
International Equity Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 93,559 | $ | — | $ | 93,559 | ||||||||
Austria | — | 12,211 | — | 12,211 | ||||||||||||
Belgium | — | 21,535 | — | 21,535 | ||||||||||||
China | 39,043 | 60,052 | — | 99,095 | ||||||||||||
Denmark | — | 111,389 | — | 111,389 | ||||||||||||
Finland | — | 33,755 | — | 33,755 | ||||||||||||
France | — | 352,510 | — | 352,510 | ||||||||||||
Germany | — | 216,643 | — | 216,643 | ||||||||||||
Hong Kong | — | 109,197 | — | 109,197 | ||||||||||||
India | 33,304 | — | — | 33,304 | ||||||||||||
Japan | — | 410,053 | — | 410,053 | ||||||||||||
Macau | — | 22,908 | — | 22,908 | ||||||||||||
Netherlands | — | 114,208 | — | 114,208 | ||||||||||||
Singapore | — | 27,271 | — | 27,271 | ||||||||||||
South Korea | — | 39,330 | — | 39,330 | ||||||||||||
Spain | — | 27,747 | — | 27,747 | ||||||||||||
Sweden | — | 64,224 | — | 64,224 | ||||||||||||
Switzerland | — | 367,792 | — | 367,792 | ||||||||||||
Taiwan | 43,455 | — | — | 43,455 | ||||||||||||
United Kingdom | — | 393,740 | — | 393,740 | ||||||||||||
United States | — | 32,095 | — | 32,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 115,802 | 2,510,219 | — | 2,626,021 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 28,692 | — | — | 28,692 | ||||||||||||
Investment of cash collateral from securities loaned | 111,555 | — | — | 111,555 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 140,247 | — | — | 140,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 256,049 | $ | 2,510,219 | $ | — | $ | 2,766,268 | ||||||||
|
|
|
|
|
|
|
|
108 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
International Focus Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 50,620 | $ | — | $ | 50,620 | ||||||||
Belgium | — | 38,927 | — | 38,927 | ||||||||||||
Canada | 170,412 | — | — | 170,412 | ||||||||||||
China | 79,313 | 172,215 | — | 251,528 | ||||||||||||
Denmark | — | 69,229 | — | 69,229 | ||||||||||||
Finland | — | 32,832 | — | 32,832 | ||||||||||||
France | — | 168,128 | — | 168,128 | ||||||||||||
Germany | — | 252,941 | — | 252,941 | ||||||||||||
Hong Kong | — | 87,611 | — | 87,611 | ||||||||||||
India | 83,453 | — | — | 83,453 | ||||||||||||
Indonesia | — | 37,428 | — | 37,428 | ||||||||||||
Japan | — | 141,630 | — | 141,630 | ||||||||||||
Netherlands | — | 68,076 | — | 68,076 | ||||||||||||
South Korea | — | 62,511 | — | 62,511 | ||||||||||||
Sweden | — | 76,188 | — | 76,188 | ||||||||||||
Switzerland | — | 278,837 | — | 278,837 | ||||||||||||
Taiwan | 68,847 | — | — | 68,847 | ||||||||||||
United Kingdom | — | 503,004 | — | 503,004 | ||||||||||||
United States | — | 38,881 | — | 38,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 402,025 | 2,079,058 | — | 2,481,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 32,724 | — | — | 32,724 | ||||||||||||
Investment of cash collateral from securities loaned | 149,050 | — | — | 149,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 181,774 | — | — | 181,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 583,799 | $ | 2,079,058 | $ | — | $ | 2,662,857 | ||||||||
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 109 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
International Hedged Equity Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 4,680 | $ | — | $ | 4,680 | ||||||||
Austria | — | 445 | — | 445 | ||||||||||||
Denmark | — | 3,277 | — | 3,277 | ||||||||||||
Finland | — | 586 | — | 586 | ||||||||||||
France | — | 12,649 | — | 12,649 | ||||||||||||
Germany | — | 9,696 | — | 9,696 | ||||||||||||
Hong Kong | — | 2,150 | — | 2,150 | ||||||||||||
Ireland | 642 | 318 | — | 960 | ||||||||||||
Italy | — | 2,119 | — | 2,119 | ||||||||||||
Japan | — | 23,793 | — | 23,793 | ||||||||||||
Luxembourg | — | 150 | — | 150 | ||||||||||||
Netherlands | 342 | 4,365 | — | 4,707 | ||||||||||||
Norway | — | 835 | — | 835 | ||||||||||||
Singapore | — | 831 | — | 831 | ||||||||||||
Spain | — | 3,234 | — | 3,234 | ||||||||||||
Sweden | — | 1,331 | — | 1,331 | ||||||||||||
Switzerland | — | 11,747 | — | 11,747 | ||||||||||||
United Kingdom | — | 15,948 | — | 15,948 | ||||||||||||
United States | — | 353 | — | 353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 984 | 98,507 | — | 99,491 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Put Options Purchased | 637 | — | — | 637 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 854 | — | — | 854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,475 | $ | 98,507 | $ | — | $ | 100,982 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 230 | $ | 18 | $ | — | $ | 248 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Options Written | ||||||||||||||||
Call Options Written | $ | (9,771 | ) | $ | — | $ | — | $ | (9,771 | ) | ||||||
Put Options Written | (110 | ) | — | — | (110 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (9,881 | ) | $ | — | $ | — | $ | (9,881 | ) | ||||||
|
|
|
|
|
|
|
|
110 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
International Research Enhanced Equity Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 194,024 | $ | — | $ | 194,024 | ||||||||
Austria | — | 18,420 | — | 18,420 | ||||||||||||
Denmark | — | 134,277 | — | 134,277 | ||||||||||||
Finland | — | 24,221 | — | 24,221 | ||||||||||||
France | — | 522,852 | — | 522,852 | ||||||||||||
Germany | — | 400,268 | — | 400,268 | ||||||||||||
Hong Kong | 2 | 87,154 | — | 87,156 | ||||||||||||
Ireland | 26,550 | 13,321 | — | 39,871 | ||||||||||||
Italy | — | 87,809 | — | 87,809 | ||||||||||||
Japan | — | 971,923 | — | 971,923 | ||||||||||||
Luxembourg | — | 6,219 | — | 6,219 | ||||||||||||
Malta | — | — | 1 | 1 | ||||||||||||
Netherlands | 14,086 | 178,796 | — | 192,882 | ||||||||||||
Norway | — | 35,863 | — | 35,863 | ||||||||||||
Singapore | — | 33,913 | — | 33,913 | ||||||||||||
Spain | — | 133,856 | — | 133,856 | ||||||||||||
Sweden | — | 55,047 | — | 55,047 | ||||||||||||
Switzerland | — | 482,481 | — | 482,481 | ||||||||||||
United Kingdom | — | 658,908 | — | 658,908 | ||||||||||||
United States | — | 14,574 | — | 14,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 40,638 | 4,053,926 | 1 | 4,094,565 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 138,332 | — | — | 138,332 | ||||||||||||
Investment of cash collateral from securities loaned | 305,344 | — | — | 305,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 443,676 | — | — | 443,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 484,314 | $ | 4,053,926 | $ | 1 | $ | 4,538,241 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 11,497 | $ | — | $ | — | $ | 11,497 | ||||||||
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 111 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
International Value Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 20,906 | $ | — | $ | 20,906 | ||||||||
Austria | 434 | 1,864 | — | 2,298 | ||||||||||||
Belgium | — | 3,400 | — | 3,400 | ||||||||||||
China | — | 1,462 | — | 1,462 | ||||||||||||
Denmark | — | 3,122 | — | 3,122 | ||||||||||||
Finland | — | 4,695 | — | 4,695 | ||||||||||||
France | — | 21,557 | — | 21,557 | ||||||||||||
Georgia | — | 677 | — | 677 | ||||||||||||
Germany | 494 | 21,948 | — | 22,442 | ||||||||||||
Hong Kong | — | 5,832 | — | 5,832 | ||||||||||||
India | — | 285 | — | 285 | ||||||||||||
Ireland | — | 536 | — | 536 | ||||||||||||
Israel | — | 1,155 | — | 1,155 | ||||||||||||
Italy | — | 5,107 | — | 5,107 | ||||||||||||
Japan | — | 69,652 | — | 69,652 | ||||||||||||
Luxembourg | — | 1,205 | — | 1,205 | ||||||||||||
Malta | — | 323 | — | 323 | ||||||||||||
Netherlands | 1,146 | 12,820 | — | 13,966 | ||||||||||||
New Zealand | — | 197 | — | 197 | ||||||||||||
Norway | — | 6,817 | — | 6,817 | ||||||||||||
Russia | — | 436 | — | 436 | ||||||||||||
Singapore | — | 3,307 | — | 3,307 | ||||||||||||
South Africa | — | 1,415 | — | 1,415 | ||||||||||||
Spain | — | 7,479 | — | 7,479 | ||||||||||||
Sweden | — | 8,362 | — | 8,362 | ||||||||||||
Switzerland | — | 20,333 | — | 20,333 | ||||||||||||
United Kingdom | 795 | 36,904 | — | 37,699 | ||||||||||||
United States | 362 | 167 | — | 529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 3,231 | 261,963 | — | 265,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 4,976 | — | — | 4,976 | ||||||||||||
Investment of cash collateral from securities loaned | 3,129 | — | — | 3,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 8,105 | — | — | 8,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 11,336 | $ | 261,963 | $ | — | $ | 273,299 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 133 | $ | 363 | $ | — | $ | 496 | ||||||||
|
|
|
|
|
|
|
|
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
As of April 30, 2020, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A or Regulation S under the Securities Act.
C. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and/or the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be
112 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of April 30, 2020 (amounts in thousands).
Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Emerging Markets Equity Fund | $ | 126,114 | $ | (126,114 | ) | $ | — | |||||
Emerging Markets Research Enhanced Equity Fund | 5,853 | (5,853 | ) | — | ||||||||
Europe Dynamic Fund | 35,227 | (35,227 | ) | — | ||||||||
International Advantage Fund | 72,637 | (72,637 | ) | — | ||||||||
International Equity Fund | 104,180 | (104,180 | ) | — | ||||||||
International Focus Fund | 139,159 | (139,159 | ) | — | ||||||||
International Research Enhanced Equity Fund | 282,127 | (282,127 | ) | — | ||||||||
International Value Fund | 2,936 | (2,936 | ) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. For the six months ended April 30, 2020, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Emerging Markets Equity Fund | $ | 3 | ||
Emerging Markets Research Enhanced Equity Fund | 2 | |||
Europe Dynamic Fund | 1 | |||
International Advantage Fund | 2 | |||
International Equity Fund | 2 | |||
International Focus Fund | 4 | |||
International Research Enhanced Equity Fund | 4 | |||
International Value Fund | 1 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
International Hedged Equity Fund did not have any securities out on loan at April 30, 2020.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 113 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.
Emerging Markets Equity Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 168,369 | $ | 1,329,842 | $ | 1,373,681 | $ | (59 | ) | $ | 101 | $ | 124,572 | 124,472 | $ | 1,173 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 8,001 | 200,000 | 127,000 | 12 | * | 36 | 81,049 | 81,033 | 159 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 5,485 | 192,085 | 149,316 | — | — | 48,254 | 48,254 | 36 | * | — | ||||||||||||||||||||||||||
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Total | $ | 181,855 | $ | 1,721,927 | $ | 1,649,997 | $ | (47 | ) | $ | 137 | $ | 253,875 | $ | 1,368 | $ | — | |||||||||||||||||||
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| |||||||||||||||||||||
Emerging Markets Research Enhanced Equity Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 22,226 | $ | 780,662 | $ | 778,821 | $ | (3 | ) | $ | 20 | $ | 24,084 | 24,064 | $ | 390 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | — | 215,000 | 212,001 | (9 | )* | 1 | 2,991 | 2,991 | 96 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 2,216 | 182,716 | 181,686 | — | — | 3,246 | 3,246 | 28 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 24,442 | $ | 1,178,378 | $ | 1,172,508 | $ | (12 | ) | $ | 21 | $ | 30,321 | $ | 514 | $ | — | |||||||||||||||||||
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| |||||||||||||||||||||
Europe Dynamic Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 130 | $ | 154,102 | $ | 150,069 | $ | 15 | $ | 7 | $ | 4,185 | 4,181 | $ | 106 | $ | — | |||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | — | 35,000 | 5,000 | 1 | * | 5 | 30,006 | 30,000 | 8 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 286 | 47,504 | 36,507 | — | — | 11,283 | 11,283 | 12 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 416 | $ | 236,606 | $ | 191,576 | $ | 16 | $ | 12 | $ | 45,474 | $ | 126 | $ | — | ||||||||||||||||||||
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114 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
International Advantage Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 42,366 | $ | 464,489 | $ | 478,051 | $ | (48 | ) | $ | 16 | $ | 28,772 | 28,750 | $ | 311 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 1,005 | 110,000 | 77,999 | (9 | )* | 8 | 33,005 | 32,997 | 61 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 966 | 138,064 | 95,656 | — | — | 43,374 | 43,374 | 33 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 44,337 | $ | 712,553 | $ | 651,706 | $ | (57 | ) | $ | 24 | $ | 105,151 | $ | 405 | $ | — | |||||||||||||||||||
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| |||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 49,197 | $ | 392,707 | $ | 413,188 | $ | (29 | ) | $ | 5 | $ | 28,692 | 28,670 | $ | 370 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 40,003 | 200,000 | 171,001 | 8 | * | 15 | 69,025 | 69,011 | 176 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 12,516 | 161,986 | 131,972 | — | — | 42,530 | 42,530 | 43 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 101,716 | $ | 754,693 | $ | 716,161 | $ | (21 | ) | $ | 20 | $ | 140,247 | $ | 589 | $ | — | |||||||||||||||||||
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International Focus Fund |
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For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 48,921 | $ | 415,838 | $ | 432,073 | $ | 18 | $ | 20 | $ | 32,724 | 32,698 | $ | 343 | $ | — | |||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 55,000 | 320,000 | 251,000 | (11 | )* | 27 | 124,016 | 123,991 | 223 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 20,853 | 261,394 | 257,213 | — | — | 25,034 | 25,034 | 63 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 124,774 | $ | 997,232 | $ | 940,286 | $ | 7 | $ | 47 | $ | 181,774 | $ | 629 | $ | — | ||||||||||||||||||||
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|
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 115 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
International Hedged Equity Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.17% (a)(b) | $ | 850 | $ | 79,421 | $ | 79,417 | $ | — | $ | — | $ | 854 | 854 | $ | 20 | $ | — | |||||||||||||||||||
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International Research Enhanced Equity Fund |
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For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 154,151 | $ | 718,672 | $ | 734,533 | $ | (55 | ) | $ | 97 | $ | 138,332 | 138,222 | $ | 1,357 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 76,005 | 296,000 | 240,000 | 1 | * | 25 | 132,031 | 132,004 | 187 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 30,261 | 342,584 | 199,532 | — | — | 173,313 | 173,313 | 72 | * | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 260,417 | $ | 1,357,256 | $ | 1,174,065 | $ | (54 | ) | $ | 122 | $ | 443,676 | $ | 1,616 | $ | — | |||||||||||||||||||
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International Value Fund |
| |||||||||||||||||||||||||||||||||||
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a)(b) | $ | 3,487 | $ | 46,394 | $ | 44,910 | $ | 2 | $ | 3 | $ | 4,976 | 4,972 | $ | 63 | $ | — | |||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (a)(b) | 2,000 | 11,000 | 13,000 | — | (c)* | — | — | (c) | — | (c) | 13 | * | — | |||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (a)(b) | 2,026 | 26,388 | 25,285 | — | — | 3,129 | 3,129 | 13 | * | — | ||||||||||||||||||||||||||
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Total | $ | 7,513 | $ | 83,782 | $ | 83,195 | $ | 2 | $ | 3 | $ | 8,105 | $ | 89 | $ | — | ||||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of April 30, 2020. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
116 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Options — International Hedged Equity Fund purchased and sold (“wrote”) put and call options on indices to manage and hedge equity risk within its portfolio. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased —Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a 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 Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the 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’sover-the-counter (“OTC”) options are subject to master netting agreements.
The Fund may be required to post or receive collateral for OTC options. Cash collateral posted by the Fund is considered restricted.
The table below discloses the volume of the Fund’s options contracts activity during the six months ended April 30, 2020 (amounts in thousands, except number of contracts):
International Hedged Equity Fund | ||||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 473 | |||
Average Number of Contracts Written | 946 | |||
Ending Number of Contracts Purchased | 631 | |||
Ending Number of Contracts Written | 1262 |
G. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 117 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Funds’ futures contracts activity during the six months ended April 30, 2020 (amounts in thousands):
Emerging Markets Research Enhanced Equity Fund | Europe Dynamic Fund | International Advantage Fund | International Hedged Equity Fund | International Research Enhanced Equity Fund | International Value Fund | |||||||||||||||||||
Futures Contracts — Equity: | ||||||||||||||||||||||||
Average Notional Balance Long | $ | 46,103 | (a) | $ | 10,036 | $ | 32,282 | $ | 2,954 | $ | 151,128 | $ | 9,549 | |||||||||||
Average Notional Balance Short | — | 7,291 | (b) | — | — | — | — | |||||||||||||||||
Ending Notional Balance Long | 31,574 | 1,528 | 23,804 | 3,544 | 139,823 | 5,137 |
(a) | For the period December 1, 2019 through April 30, 2020. |
(b) | For the period November 1, 2019 through November 30, 2019. |
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
H. Offering and Organization Costs — Total offering costs of approximately $48,000 and $103,000 paid in connection with the offering of shares of Emerging Markets Research Enhanced Equity Fund and International Hedged Equity Fund, respectively, are amortized on a straight line basis over 12 months from the date the Funds commenced operations. Costs paid in connection with the organization of Emerging Markets Research Enhanced Equity Fund and International Hedged Equity Fund, if any, were recorded as an expense at the time it commenced operations. For the six months ended April 30, 2020, total offering costs amortized were approximately $5,000 and $39,000 for the Emerging Markets Research Enhanced Equity Fund and International Hedged Equity Fund, respectively.
I. 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 theex-dividend date or when a Fund first learns of the dividend. Certain Funds may receive other income from investments 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 Funds. These amounts are included in Interest income fromnon-affiliates on the Statements of Operations.
J. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
118 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended April 30, 2020 are as follows (amounts in thousands):
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |||||||||||||||||||||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 28 | $ | 4 | $ | 29 | $ | 8 | $ | 1 | $ | — | (a) | $ | — | (a) | $ | 3 | $ | 93 | $ | 166 | ||||||||||||||||||
Emerging Markets Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | n/a | n/a | — | (a) | n/a | n/a | n/a | n/a | n/a | 3 | 3 | |||||||||||||||||||||||||||||
Europe Dynamic Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 9 | 2 | 3 | — | (a) | n/a | n/a | n/a | n/a | 1 | 15 | |||||||||||||||||||||||||||||
International Advantage Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 9 | 1 | 1 | n/a | 27 | n/a | n/a | n/a | 7 | 45 | ||||||||||||||||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 22 | 2 | 3 | n/a | — | (a) | n/a | n/a | — | (a) | 11 | 38 | ||||||||||||||||||||||||||||
International Focus Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 5 | 2 | 5 | n/a | 1 | n/a | n/a | 1 | 8 | 22 | ||||||||||||||||||||||||||||||
International Hedged Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | — | (a) | 1 | n/a | n/a | n/a | n/a | — | (a) | — | (a) | 1 | ||||||||||||||||||||||||||
International Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 27 | n/a | 2 | n/a | n/a | n/a | n/a | n/a | 18 | 47 | ||||||||||||||||||||||||||||||
International Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 6 | 1 | 2 | — | (a) | 1 | n/a | n/a | — | (a) | — | (a) | 10 |
(a) | Amount rounds to less than one thousand. |
K. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
L. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gain tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
M. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets.
The annual rate for each Fund is as follows:
Emerging Markets Equity Fund | 0.68 | % | ||
Emerging Markets Research Enhanced Equity Fund | 0.25 | |||
Europe Dynamic Fund | 0.60 | |||
International Advantage Fund | 0.50 | |||
International Equity Fund | 0.50 | |||
International Focus Fund | 0.60 | |||
International Hedged Equity Fund | 0.25 | |||
International Research Enhanced Equity Fund | 0.20 | |||
International Value Fund | 0.55 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2020, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements, with the exception of Class R5 Shares and Class R6 Shares of International Hedged Equity Fund which had an effective annualized rate of 0.07%.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | Class R2 | Class R3 | |||||||||||||
Emerging Markets Equity Fund | 0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % | ||||||||
Europe Dynamic Fund | 0.25 | 0.75 | n/a | n/a | ||||||||||||
International Advantage Fund | 0.25 | 0.75 | 0.50 | n/a | ||||||||||||
International Equity Fund | 0.25 | 0.75 | 0.50 | n/a | ||||||||||||
International Focus Fund | 0.25 | 0.75 | 0.50 | n/a | ||||||||||||
International Hedged Equity Fund | 0.25 | 0.75 | n/a | n/a | ||||||||||||
International Research Enhanced Equity Fund | 0.25 | n/a | n/a | n/a | ||||||||||||
International Value Fund | 0.25 | 0.75 | 0.50 | n/a |
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended April 30, 2020, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||||||
Emerging Markets Equity Fund | $ | 65 | $ | — | (a) | |||
Europe Dynamic Fund | 2 | — | ||||||
International Advantage Fund | 1 | — | ||||||
International Equity Fund | 55 | 1 | ||||||
International Focus Fund | 19 | — | (a) | |||||
International Hedged Equity Fund | 1 | — | ||||||
International Research Enhanced Equity Fund | — | (a) | — | |||||
International Value Fund | 18 | — |
(a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | |||||||||||||||||||||||||
Emerging Markets Equity Fund | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | ||||||||||||||||
Emerging Markets Research Enhanced Equity Fund | n/a | n/a | 0.25 | n/a | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
Europe Dynamic Fund | 0.25 | 0.25 | 0.25 | 0.10 | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
International Advantage Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | n/a | ||||||||||||||||||||||||
International Equity Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | ||||||||||||||||||||||||
International Focus Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | ||||||||||||||||||||||||
International Hedged Equity Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.10 | ||||||||||||||||||||||||
International Research Enhanced Equity Fund | 0.25 | n/a | 0.25 | n/a | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
International Value Fund | 0.25 | 0.25 | 0.25 | 0.10 | 0.25 | n/a | n/a | 0.10 |
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JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included as Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||||||||||||||||||||
Emerging Markets Equity Fund | 1.24 | % | 1.74 | % | 0.99 | % | n/a | (1) | 1.54 | % | 1.29 | % | 1.04 | % | 0.89 | % | 0.79 | % | ||||||||||||||||||
Emerging Markets Research Enhanced Equity Fund | n/a | n/a | 0.45 | n/a | n/a | n/a | n/a | n/a | 0.35 | |||||||||||||||||||||||||||
Europe Dynamic Fund | 1.24 | 1.74 | 0.99 | n/a | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||||
International Advantage Fund | 0.95 | 1.45 | 0.70 | n/a | 1.25 | n/a | n/a | n/a | 0.50 | |||||||||||||||||||||||||||
International Equity Fund | 0.95 | 1.45 | 0.70 | n/a | 1.25 | n/a | n/a | 0.60 | 0.50 | |||||||||||||||||||||||||||
International Focus Fund | 1.00 | 1.50 | 0.75 | n/a | 1.30 | n/a | n/a | 0.65 | 0.55 | |||||||||||||||||||||||||||
International Hedged Equity Fund | 0.85 | 1.35 | 0.60 | n/a | n/a | n/a | n/a | 0.45 | 0.35 | |||||||||||||||||||||||||||
International Research Enhanced Equity Fund | 0.60 | n/a | 0.35 | n/a | n/a | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||||||
International Value Fund | 1.00 | 1.50 | 0.75 | n/a | 1.30 | n/a | n/a | 0.65 | 0.55 |
(1) | Effective March 1, 2020, the contractual expense limitation for Class L Shares expired. Prior to March 1, 2020, the contractual expense limitation was 0.95% for Class L Shares. |
Except as noted above, the expense limitation agreements were in effect for the six months ended April 30, 2020 and are in place until February 28, 2021.
For the six months ended April 30, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | ||||||||||||||||
Emerging Markets Equity Fund | $ | 858 | $ | 570 | $ | 755 | $ | 2,183 | $ | 93 | ||||||||||
Emerging Markets Research Enhanced Equity Fund | 115 | 77 | — | (a) | 192 | 5 | ||||||||||||||
Europe Dynamic Fund | — | — | 21 | 21 | — | |||||||||||||||
International Advantage Fund | 651 | 435 | 86 | 1,172 | — | (a) | ||||||||||||||
International Equity Fund | 938 | 624 | 156 | 1,718 | 1 | |||||||||||||||
International Focus Fund | 1,177 | 785 | 98 | 2,060 | 7 | |||||||||||||||
International Hedged Equity Fund | 95 | 32 | 1 | 128 | 56 | |||||||||||||||
International Research Enhanced Equity Fund | 758 | 505 | 343 | 1,606 | — | |||||||||||||||
International Value Fund | 201 | 121 | 63 | 385 | — | (a) |
(a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2020 were as follows (amounts in thousands):
Emerging Markets Equity Fund | $ | 155 | ||
Emerging Markets Research Enhanced Equity Fund | 69 | |||
Europe Dynamic Fund | 13 | |||
International Advantage Fund | 42 | |||
International Equity Fund | 51 | |||
International Focus Fund | 53 | |||
International Hedged Equity Fund | 3 | |||
International Research Enhanced Equity Fund | 182 | |||
International Value Fund | 8 |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended April 30, 2020, Emerging Markets Equity Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended April 30, 2020, 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) | |||||||
Emerging Markets Equity Fund | $ | 2,813,915 | $ | 460,593 | ||||
Emerging Markets Research Enhanced Equity Fund | 1,126,545 | 521,333 | ||||||
Europe Dynamic Fund | 349,625 | 384,501 | ||||||
International Advantage Fund | 789,329 | 735,124 | ||||||
International Equity Fund | 492,514 | 387,276 | ||||||
International Focus Fund | 691,918 | 482,225 | ||||||
International Hedged Equity Fund | 85,280 | 31,484 | ||||||
International Research Enhanced Equity Fund | 1,267,069 | 1,021,570 | ||||||
International Value Fund | 97,764 | 130,638 |
During the six months ended April 30, 2020, there were no purchases or sales of U.S. Government securities.
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5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2020 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Appreciation (Depreciation) | |||||||||||||
Emerging Markets Equity Fund | $ | 6,980,755 | $ | 1,477,626 | $ | 561,590 | $ | 916,036 | ||||||||
Emerging Markets Research Enhanced Equity Fund | 2,562,890 | 123,728 | 348,606 | (224,878 | ) | |||||||||||
Europe Dynamic Fund | 472,725 | 31,262 | 45,010 | (13,748 | ) | |||||||||||
International Advantage Fund | 1,623,558 | 103,894 | 171,849 | (67,955 | ) | |||||||||||
International Equity Fund | 2,342,906 | 593,638 | 170,276 | 423,362 | ||||||||||||
International Focus Fund | 2,651,599 | 149,601 | 138,343 | 11,258 | ||||||||||||
International Hedged Equity Fund | 104,098 | 6,216 | 18,965 | (12,749 | ) | |||||||||||
International Research Enhanced Equity Fund | 4,843,280 | 371,478 | 665,020 | (293,542 | ) | |||||||||||
International Value Fund | 351,127 | 6,647 | 83,979 | (77,332 | ) |
At October 31, 2019, the following Funds had net capital loss carryforwards as follows (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Emerging Markets Equity Fund | $ | 7,673 | $ | 116,595 | ||||
Europe Dynamic Fund | 111,146 | 2,935 | ||||||
International Advantage Fund | 222,918 | 54,545 | ||||||
International Equity Fund | 38,501 | 19,256 | ||||||
International Focus Fund | 42,042 | * | 6,985 | * | ||||
International Hedged Equity Fund | 153 | 297 | ||||||
International Research Enhanced Equity Fund | 16,878 | 145,754 | ||||||
International Value Fund | 38,435 | 7,625 |
At October 31, 2019, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
Emerging Markets Equity Fund | $ | — | $ | 10,702 |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381—384. |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund at April 30, 2020. Average borrowings from the Facility during the six months ended April 30, 2020, were as follows (amounts in thousands, except number of days outstanding):
Average Borrowings | Average Rate Paid | Number of Days | Interest Paid | |||||||||||||
Emerging Markets Research Enhanced Equity Fund | $ | 20,330 | 1.67 | % | 4 | $ | 3 | |||||||||
Europe Dynamic Fund | 2,326 | 1.85 | 3 | — | (a) | |||||||||||
International Advantage Fund | 20,534 | 1.87 | 3 | 4 | ||||||||||||
International Hedged Equity Fund | 3,784 | 0.79 | 2 | — | (a) |
(a) | Amount rounds to less than one thousand. |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted facility during the six months ended April 30, 2020.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2020.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2020, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
Number of or Affiliated | % of the Fund | Number of or Non-Affiliated | % of the Fund | |||||||||||||
Emerging Markets Equity Fund | — | — | % | 2 | 26.1 | % | ||||||||||
Emerging Markets Research Enhanced Equity Fund | 4 | 58.5 | — | — | ||||||||||||
Europe Dynamic Fund | 4 | 60.2 | 1 | 12.0 | ||||||||||||
International Advantage Fund | 5 | 72.9 | — | — | ||||||||||||
International Equity Fund | 2 | 41.0 | 1 | 12.4 | ||||||||||||
International Focus Fund | 4 | 68.5 | — | — | ||||||||||||
International Hedged Equity Fund | 1 | 49.8 | 1 | 19.1 | ||||||||||||
International Research Enhanced Equity Fund | 3 | 31.0 | — | — | ||||||||||||
International Value Fund | — | — | 1 | 72.8 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
As of April 30, 2020, the J.P. Morgan Investor Funds, the JPMorgan SmartRetirement Funds and the SmartRetirement Blend Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | ||||||||||
Emerging Markets Equity Fund | — | % | 12.5 | % | — | % | ||||||
Emerging Markets Research Enhanced Equity Fund | — | 65.0 | 19.1 | |||||||||
Europe Dynamic Fund | 51.8 | — | — | |||||||||
International Advantage Fund | — | 95.8 | — | |||||||||
International Equity Fund | — | 54.6 | — | |||||||||
International Focus Fund | — | 76.1 | — | |||||||||
International Research Enhanced Equity Fund | 15.6 | 64.2 | — |
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The Funds 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 depending on the Fund. Such concentrations may subject the Funds 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 April 30, 2020, the following Funds hadnon-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
China | France | Germany | India | Japan | ||||||||||||||||
Emerging Markets Equity Fund | 35.5 | % | — | % | — | % | 16.5 | % | — | % | ||||||||||
Emerging Markets Research Enhanced Equity Fund | 39.4 | — | — | — | — | |||||||||||||||
Europe Dynamic Fund | — | 14.9 | 13.1 | — | — | |||||||||||||||
International Advantage Fund | — | — | — | — | 25.7 | |||||||||||||||
International Equity Fund | — | 13.3 | — | — | 15.4 | |||||||||||||||
International Focus Fund | 10.0 | — | 10.1 | — | — | |||||||||||||||
International Hedged Equity Fund | — | 12.5 | — | — | 23.6 | |||||||||||||||
International Research Enhanced Equity Fund | — | 12.4 | — | — | 23.0 | |||||||||||||||
International Value Fund | — | — | — | — | 25.8 |
South Korea | Switzerland | Taiwan | United Kingdom | |||||||||||||
Emerging Markets Research Enhanced Equity Fund | 12.3 | % | — | % | 12.0 | % | — | % | ||||||||
Europe Dynamic Fund | — | 20.9 | — | 17.5 | ||||||||||||
International Advantage Fund | — | 11.8 | — | 11.1 | ||||||||||||
International Equity Fund | — | 13.9 | — | 14.8 | ||||||||||||
International Focus Fund | — | 11.1 | — | 20.0 | ||||||||||||
International Hedged Equity Fund | — | 11.6 | — | 15.8 | ||||||||||||
International Research Enhanced Equity Fund | — | 11.4 | — | 15.6 | ||||||||||||
International Value Fund | — | — | — | 14.0 |
As of April 30, 2020, a significant portion of each 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.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak ofCOVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of thisCOVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate otherpre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of thisCOVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
126 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, November 1, 2019, and continued to hold your shares at the end of the reporting period, April 30, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Emerging Markets Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 897.40 | $ | 5.85 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 895.20 | 8.20 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 898.60 | 4.67 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 899.30 | 4.20 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.44 | 4.47 | 0.89 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 896.30 | 7.26 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.21 | 7.72 | 1.54 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 897.50 | 6.09 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 898.30 | 4.91 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.22 | 1.04 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 899.20 | 4.20 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.44 | 4.47 | 0.89 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 899.50 | 3.73 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 127 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 882.10 | $ | 2.01 | 0.43 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.73 | 2.16 | 0.43 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 882.70 | 1.64 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.12 | 1.76 | 0.35 | ||||||||||||
JPMorgan Europe Dynamic Fund | ||||||||||||||||
Class A | 1,000.00 | 833.50 | 5.65 | 1.24 | ||||||||||||
Actual | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 830.90 | 7.92 | 1.74 | ||||||||||||
Actual | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 834.40 | 4.52 | 0.99 | ||||||||||||
Actual | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Hypothetical | ||||||||||||||||
Class L | 1,000.00 | 834.90 | 3.88 | 0.85 | ||||||||||||
Actual | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 835.20 | 3.42 | 0.75 | ||||||||||||
Actual | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Advantage Fund | ||||||||||||||||
Class A | 1,000.00 | 838.10 | 4.34 | 0.95 | ||||||||||||
Actual | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 836.60 | 6.62 | 1.45 | ||||||||||||
Actual | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 839.40 | 3.20 | 0.70 | ||||||||||||
Actual | 1,000.00 | 1,021.38 | 3.52 | 0.70 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R2 | 1,000.00 | 837.10 | 5.71 | 1.25 | ||||||||||||
Actual | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 840.50 | 2.29 | 0.50 | ||||||||||||
Actual | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Equity Fund | ||||||||||||||||
Class A | 1,000.00 | 874.00 | 4.43 | 0.95 | ||||||||||||
Actual | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 871.20 | 6.75 | 1.45 | ||||||||||||
Actual | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 875.00 | 3.26 | 0.70 | ||||||||||||
Actual | 1,000.00 | 1,021.38 | 3.52 | 0.70 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R2 | 1,000.00 | 872.30 | 5.82 | 1.25 | ||||||||||||
Actual | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R5 | 1,000.00 | 875.50 | 2.80 | 0.60 | ||||||||||||
Actual | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Hypothetical |
128 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan International Equity Fund (continued) | ||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 875.70 | $ | 2.33 | 0.50 | % | ||||||||
Actual | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Focus Fund (formerly known as JPMorgan International Unconstrained Equity Fund) | ||||||||||||||||
Class A | 1,000.00 | 902.50 | 4.73 | 1.00 | ||||||||||||
Actual | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 900.80 | 7.09 | 1.50 | ||||||||||||
Actual | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 904.00 | 3.55 | 0.75 | ||||||||||||
Actual | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R2 | 1,000.00 | 901.40 | 6.15 | 1.30 | ||||||||||||
Actual | 1,000.00 | 1,018.40 | 6.52 | 1.30 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R5 | 1,000.00 | 904.10 | 3.08 | 0.65 | ||||||||||||
Actual | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 904.70 | 2.60 | 0.55 | ||||||||||||
Actual | 1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Hedged Equity Fund | ||||||||||||||||
Class A | 1,000.00 | 913.30 | 4.04 | 0.85 | ||||||||||||
Actual | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Hypothetical | ||||||||||||||||
Class C | 1,000.00 | 910.80 | 6.41 | 1.35 | ||||||||||||
Actual | 1,000.00 | 1,018.15 | 6.77 | 1.35 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 914.40 | 2.86 | 0.60 | ||||||||||||
Actual | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R5 | 1,000.00 | 915.40 | 2.14 | 0.45 | ||||||||||||
Actual | 1,000.00 | 1,022.63 | 2.26 | 0.45 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 915.60 | 1.67 | 0.35 | ||||||||||||
Actual | 1,000.00 | 1,023.12 | 1.76 | 0.35 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Research Enhanced Equity Fund | ||||||||||||||||
Class A | 1,000.00 | 847.90 | 2.76 | 0.60 | ||||||||||||
Actual | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 848.90 | 1.56 | 0.34 | ||||||||||||
Actual | 1,000.00 | 1,023.17 | 1.71 | 0.34 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 849.00 | 1.10 | 0.24 | ||||||||||||
Actual | 1,000.00 | 1,023.67 | 1.21 | 0.24 | ||||||||||||
Hypothetical | ||||||||||||||||
JPMorgan International Value Fund | ||||||||||||||||
Class A | 1,000.00 | 767.50 | 4.39 | 1.00 | ||||||||||||
Actual | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Hypothetical |
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 129 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan International Value Fund (continued) | ||||||||||||||||
Class C | $ | 1,000.00 | $ | 765.60 | $ | 6.58 | 1.50 | % | ||||||||
Actual | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Hypothetical | ||||||||||||||||
Class I | 1,000.00 | 768.70 | 3.30 | 0.75 | ||||||||||||
Actual | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Hypothetical | ||||||||||||||||
Class L | 1,000.00 | 769.00 | 2.86 | 0.65 | ||||||||||||
Actual | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R2 | 1,000.00 | 767.10 | 5.71 | 1.30 | ||||||||||||
Actual | 1,000.00 | 1,018.40 | 6.52 | 1.30 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R5 | 1,000.00 | 768.80 | 2.86 | 0.65 | ||||||||||||
Actual | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||
Hypothetical | ||||||||||||||||
Class R6 | 1,000.00 | 769.20 | 2.42 | 0.55 | ||||||||||||
Actual | 1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||
Hypothetical |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
130 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | APRIL 30, 2020 |
Table of Contents
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
APRIL 30, 2020 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 131 |
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. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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 Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2020. All rights reserved. April 2020. | SAN-INTEQ-420 |
Table of Contents
Semi-Annual Report
J.P. Morgan Tax Aware Funds
April 30, 2020 (Unaudited)
JPMorgan Tax Aware Equity Fund
JPMorgan Tax Aware Real Return Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
Table of Contents
Letter to Shareholders | 1 | |||
Market Overview | 2 | |||
Fund Commentaries: | ||||
3 | ||||
6 | ||||
Schedules of Portfolio Investments | 10 | |||
Financial Statements | 22 | |||
Financial Highlights | 28 | |||
Notes to Financial Statements | 32 | |||
Schedule of Shareholder Expenses | 40 | |||
Liquidity Risk Management Program | 41 |
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. 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 any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
June 11, 2020 (Unaudited)
Dear Shareholders,
Many have faced significant challenges since my last letter, whether related to the COVID-19 pandemic or the recent acts of racism and discrimination around the world. While many have endured uncertainty and abrupt changes in their personal and professional lives related to these challenges, you can be confident that J.P. Morgan Asset Management is well-prepared for adverse events and is taking action to ensure that our clients and mutual fund shareholders continue to receive the service that is the foundation of our enterprise.
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“Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions.” — Andrea L. Lisher |
Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions. While our own employees transitioned to working from home, they worked tirelessly to
guide our clients and shareholders through this unprecedented time. We are here for you — our clients and fund shareholders — regardless of the economic, market or social and civic environment. That’s how we have always operated and we will not waiver in that commitment.
JPMorgan Chase & Co. has also recommitted its firm stance against any form of racism, discrimination, or social injustice. As Brian Lamb, Global Head of Diversity & Inclusion, recently said, “We are working across the entire firm — being intentional to strengthen our inclusive environment where our employees, customers and partners feel welcomed and valued in the communities where we do business.” To learn more, please visit JPMorgan Chase & Co.’s Diversity & Inclusion website.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 1 |
Table of Contents
J.P. Morgan Tax Aware Funds
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
While developed markets equity generally rallied in the final months of 2019, the global response to the COVID-19 pandemic led to a dramatic increase in financial market volatility and drove asset prices sharply lower in February and March of 2020 before equity prices posted a small rebound in April 2020.
Global equity markets, led by the U.S. and Europe, largely recorded gains for the final two months of 2019 on the back of accommodative policies from leading central banks and investor expectations of a reduction in trade tensions. Even as economic data showed slowing or flat growth in China, Europe and the U.S. in the final quarter of 2019, there were no indicators that the longest recorded economic expansion in the U.S. would necessarily end. In the second half of December 2019, the U.S. and China reached a “Phase One” agreement that reduced trade tariffs and headed off the implementation of new tariffs. Combined with less aggressive U.S. trade rhetoric toward Mexico and toward European and Japanese auto industries, the U.S.-China trade agreement fueled price gains in developed equity markets.
Early January 2020 saw continued investor support for global equity that weathered a brief flare up in military tension between the U.S. and Iran. However, investor sentiment began to turn as the outbreak of COVID-19 began to impact large parts of China’s economy.
U.S. equity prices found support in early February 2020 as companies began to report better-than-expected earnings from the final quarter of 2019. By the end of the month, equity prices had fallen significantly and yields on benchmark 10-year U.S. Treasury bonds had fallen to a record low 1.1% as investors sought the perceived safety of government-backed bonds.
The month of March 2020 proved to be worse for equity prices and a range of other asset classes as COVID-19 was declared a pandemic and national, regional and municipal governments implemented at-home quarantines and a range of other actions designed to prevent hospitals and health care systems from being overwhelmed. The U.S. Federal Reserve slashed interest rates, restarted its quantitative easing or asset purchasing program, and unleashed an array of programs to maintain liquidity and functioning in short-term commercial debt markets. However, leading equity indexes lost 20% or more of their value during the first quarter of 2020.
U.S. equity markets rebounded slightly in April 2020 and fixed income markets rallied somewhat as investors reacted positively to the actions of central banks and national governments to mitigate the economic impact of the pandemic. Price gains were seen in large cap technology stocks and pharmaceutical sector stocks. Fixed income investments benefitted from accommodative central bank policies and high quality corporate credit outperformed government bonds for the month.
For the six months ended April 30, 2020, the S&P 500 Index returned -3.16% and the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index returned -0.67%.
2 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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JPMorgan Tax Aware Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 0.46% | |||
S&P 500 Index | (3.16)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 1,104,649 |
INVESTMENT OBJECTIVE**
The JPMorgan Tax Aware Equity Fund (the “Fund”) seeks to provide highafter-tax total return from a portfolio of selected equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2020.
The Fund’s overweight allocation and security selection in the media sector and its underweight position in the consumer cyclical sector, where it had no allocation, were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the pharmaceutical/medical technology and financial services sectors was a leading detractor from relative performance.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Amazon.com Inc. and Microsoft Corp. and its underweight position in Boeing Co. Shares of Amazon, a provider of online retail shopping and related services, rose amid consistent earnings growth in 2019 and investor expectations that its business would benefit from consumers shopping from home during theCOVID-19 pandemic. Shares of Microsoft, a provider of software and related services, rose amid consistent earnings growth in 2019 and benefitted from investor demand for large cap stocks as equity prices fell in 2020 in response to theCOVID-19 pandemic. Shares of Boeing, an airplane manufacturing and aerospace company, fell amid investor expectations that orders for new planes would shrink as commercial airlines suffer financial stress due to severe reductions in flights in response to theCOVID-19 pandemic.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Broadcom Ltd, Alphabet Inc. and Zimmer Biomet Holdings Inc. Shares of Broadcom, a semiconductor manufacturer, fell after the company withdrew its forecast for 2020 earnings and revenue in response to uncertainty about the impact ofCOVID-19 on its business. Shares of Alphabet, parent company of Google Inc., fell amid a significant decline in advertising spending in early 2020. Shares of Zimmer Biomet Holdings, a medical devices manufacturer, fell in 2020 amid a sharp global decline in elective surgeries.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers employed abottom-up fundamental approach to security selection, researching companies to determine what the portfolio managers believed to be the companies’ underlying value and potential for future earnings growth.
TOP TEN HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Microsoft Corp. | 9.1 | % | |||||
2. | Amazon.com, Inc. | 7.9 | ||||||
3. | Apple, Inc. | 5.1 | ||||||
4. | Alphabet, Inc., Class A | 3.8 | ||||||
5. | Alphabet, Inc., Class C | 3.7 | ||||||
6. | Mastercard, Inc., Class A | 3.5 | ||||||
7. | UnitedHealth Group, Inc. | 2.9 | ||||||
8. | Union Pacific Corp. | 2.5 | ||||||
9. | Home Depot, Inc. (The) | 2.3 | ||||||
10. | Honeywell International, Inc. | 2.2 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 32.6 | % | ||
Health Care | 14.5 | |||
Consumer Discretionary | 13.7 | |||
Communication Services | 13.2 | |||
Industrials | 10.7 | |||
Financials | 6.1 | |||
Consumer Staples | 4.8 | |||
Utilities | 1.9 | |||
Materials | 1.5 | |||
Energy | 0.7 | |||
Short-Term Investments | 0.3 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 3 |
Table of Contents
JPMorgan Tax Aware Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 6 MONTHS* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||||||||||||||||||||||||||||||
Inception Date of Class | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | ||||||||||||||||||||||||||||||||||||||
CLASS A SHARES | March 22, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||
With Sales Charge** | (5.02 | )% | (6.40 | )% | (1.91 | )% | (2.37 | )% | (3.85 | )% | (0.27 | )% | 7.95 | % | 6.57 | % | 6.08 | % | 10.86 | % | 9.97 | % | 8.87 | % | ||||||||||||||||||||||||||
Without Sales Charge | 0.24 | (1.22 | ) | 1.26 | 3.04 | 1.47 | 3.00 | 9.12 | 7.73 | 7.03 | 11.46 | 10.56 | 9.40 | |||||||||||||||||||||||||||||||||||||
CLASS C SHARES | March 22, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||
With CDSC*** | (0.99 | ) | (2.41 | ) | 0.52 | 1.56 | 0.09 | 2.06 | 8.58 | 7.29 | 6.61 | 10.95 | 10.15 | 8.98 | ||||||||||||||||||||||||||||||||||||
Without CDSC | 0.01 | (1.41 | ) | 1.11 | 2.56 | 1.09 | 2.65 | 8.58 | 7.29 | 6.61 | 10.95 | 10.15 | 8.98 | |||||||||||||||||||||||||||||||||||||
CLASS I SHARES | January 30, 1997 | 0.46 | (1.04 | ) | 1.42 | 3.46 | 1.79 | 3.31 | 9.59 | 8.09 | 7.39 | 11.89 | 10.91 | 9.75 | ||||||||||||||||||||||||||||||||||||
CLASS R6 SHARES | October 1, 2018 | 0.51 | (1.00 | ) | 1.46 | 3.60 | 1.91 | 3.41 | 9.63 | 8.12 | 7.42 | 11.91 | 10.93 | 9.77 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 5.25%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class A, Class C and Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class A, Class C and Class R6 Shares would have been different than those shown because Class A, Class C and Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Tax Aware Equity Fund and the S&P 500 Index from April 30, 2010 to April 30, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and
has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares, with the exception of returns noted above as returns after taxes.
4 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
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.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 5 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (6.27)% | |||
Bloomberg Barclays U.S.1-15 Year Blend(1-17) Municipal Bond Index | (0.67)% | |||
Tax Aware Real Return Composite Benchmark** | (4.23)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $ | 387,051 |
INVESTMENT OBJECTIVE***
The JPMorgan Tax Aware Real Return Fund (the “Fund”) seeks to maximizeafter-tax inflation protected return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares had a negative absolute return and underperformed both the Bloomberg Barclays U.S.1-15 Year Blend(1-17) Municipal Bond Index (the “Benchmark”) and the Tax Aware Real Return Composite Benchmark for the six months ended April 30, 2020.
The Fund’s hedge against inflation, which was implemented through the use of swaps contracts, was the leading detractor from absolute performance and performance relative to the Benchmark. During the reporting period, Bloomberg Barclays inflation swap indexes generally fell, initially as Russia and Saudi Arabia undercut each other’s petroleum prices and then as global prices fell sharply amid the global response to theCOVID-19 pandemic.
Relative to the Benchmark, the Fund’s overweight allocation to leasing sector bonds, aboutone-third of which are rated BBB, detracted from performance as investors sought higher rated bonds. The Fund’s underweight allocation topre-refunded bonds, which are generally higher rated, also detracted from relative performance.
The Fund’s allocation to higher rated state general obligation bonds relative to the Benchmark was a leading contributor to relative performance. The Fund’s underweight positon in industrial development revenue/pollution control revenue bonds, which was the lowest performing sector in the Benchmark, also contributed to relative performance. The Fund had no allocation to the housing sector, which also contributed to relative performance.
HOW WAS THE FUND POSITIONED?
Among the Fund’stax-exempt fixed income investments, the Fund employed abottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk. The Fund maintained its bias to high quality
debt securities, as the Fund’s portfolio managers preferred higher quality issuances. The Fund’s portfolio managers also maintained an inflation-overlay hedging strategy, using zero coupon inflation linked swaps (“inflation swaps”) to purchase protection against inflation along the yield curve.
During the reporting period, the Fund’s portfolio managers decreased the hedge ratio to 80% from 92%.
INVESTMENT APPROACH
The Fund uses inflation swaps in combination withtax-exempt municipal bonds to seek to replicate a portfolio of inflation protected securities. The Fund is designed to protect the total return generated by itstax-exempt fixed income holdings from inflation risk. The inflation swaps used by the Fund are based on cumulative percentage movements in the Consumer Price Index for All Urban Consumers(“CPI-U”). The inflation swaps are structured so that one counterparty agrees to pay the cumulative percentage change in theCPI-U over the duration of the swap. The other counterparty (the Fund) pays a compounded fixed rate (zero coupon inflation-swap rate), which is based on the “breakeven inflation rate,” calculated as the yield difference between a nominal U.S. Treasury security and a U.S. Treasury Inflation Protected Security of equal maturity.
The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying bonds is used as the general basis for the Fund’s inflation swap positioning. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that may result from macroeconomic or technical factors.
6 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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PORTFOLIO COMPOSITION**** | ||||
Municipal Bonds | 98.3 | % | ||
Short-Term Investments | 1.7 |
* | 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 Fund’s Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. |
*** | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 7 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
6 MONTHS* | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||||||||||||||||||||||||||||||||||||
Inception Date of Class | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | ||||||||||||||||||||||||||||||||||||||||
CLASS A SHARES | | August 31, 2005 | | |||||||||||||||||||||||||||||||||||||||||||||||||
With Sales Charge** | (9.90 | )% | (9.90 | )% | (5.42 | )% | (9.43 | )% | (9.43 | )% | (4.69 | )% | (0.74 | )% | (0.79 | )% | (0.01 | )% | 0.54 | % | 0.52 | % | 0.98 | % | ||||||||||||||||||||||||||||
Without Sales Charge | (6.40 | ) | (6.40 | ) | (3.33 | ) | (5.92 | ) | (5.92 | ) | (2.58 | ) | 0.02 | (0.02 | ) | 0.58 | 0.93 | 0.91 | 1.29 | |||||||||||||||||||||||||||||||||
CLASS C SHARES | | August 31, 2005 | | |||||||||||||||||||||||||||||||||||||||||||||||||
With CDSC*** | (7.65 | ) | (7.65 | ) | (4.17 | ) | (7.43 | ) | (7.43 | ) | (3.69 | ) | (0.51 | ) | (0.54 | ) | 0.06 | 0.33 | 0.31 | 0.69 | ||||||||||||||||||||||||||||||||
Without CDSC | (6.65 | ) | (6.65 | ) | (3.58 | ) | (6.43 | ) | (6.43 | ) | (3.09 | ) | (0.51 | ) | (0.54 | ) | 0.06 | 0.33 | 0.31 | 0.69 | ||||||||||||||||||||||||||||||||
CLASS I SHARES | | August 31, 2005 | | (6.27) | (6.27) | (3.20) | (5.68 | ) | (5.68 | ) | (2.33 | ) | 0.29 | 0.24 | 0.84 | 1.19 | 1.17 | 1.54 | ||||||||||||||||||||||||||||||||||
CLASS R6 SHARES | | August 16, 2013 | | (6.33 | ) | (6.33 | ) | (3.21 | ) | (5.69 | ) | (5.69 | ) | (2.30 | ) | 0.35 | 0.34 | 0.95 | 1.25 | 1.24 | 1.62 |
* | 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. |
TEN YEAR FUND PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Tax Aware Real Return Fund, the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark from April 30, 2010 to April 30, 2020. 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 U.S.1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has
been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable.
The Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Tax Aware Real Return Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
For some investors, income from municipal bonds may be subject to the Alternative Minimum Tax. Capital gains, if any, are federally taxable. Income may be subject to state and local taxes.
The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower.
8 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares, with the exception of returns noted above as returns after taxes.
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.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 9 |
Table of Contents
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.7% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
Northrop Grumman Corp. | 33 | 10,945 | ||||||
|
| |||||||
Banks — 3.6% |
| |||||||
Bank of America Corp. | 726 | 17,471 | ||||||
Citigroup, Inc. | 272 | 13,200 | ||||||
First Republic Bank | 82 | 8,562 | ||||||
|
| |||||||
39,233 | ||||||||
|
| |||||||
Beverages — 3.5% |
| |||||||
Coca-Cola Co. (The) | 269 | 12,326 | ||||||
Constellation Brands, Inc., Class A | 33 | 5,474 | ||||||
PepsiCo, Inc. | 160 | 21,179 | ||||||
|
| |||||||
38,979 | ||||||||
|
| |||||||
Biotechnology — 2.7% |
| |||||||
AbbVie, Inc. | 216 | 17,771 | ||||||
Biogen, Inc. * | 14 | 4,067 | ||||||
Vertex Pharmaceuticals, Inc. * | 32 | 8,058 | ||||||
|
| |||||||
29,896 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
Allegion plc | 87 | 8,727 | ||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
Morgan Stanley | 371 | 14,635 | ||||||
|
| |||||||
Chemicals — 1.5% |
| |||||||
Air Products & Chemicals, Inc. | 25 | 5,527 | ||||||
Linde plc (United Kingdom) | 61 | 11,216 | ||||||
|
| |||||||
16,743 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.2% |
| |||||||
Waste Connections, Inc. | 158 | 13,539 | ||||||
|
| |||||||
Electric Utilities — 1.9% |
| |||||||
NextEra Energy, Inc. | 92 | 21,244 | ||||||
|
| |||||||
Entertainment — 0.8% |
| |||||||
Netflix, Inc. * | 21 | 8,607 | ||||||
|
| |||||||
Food Products — 1.3% |
| |||||||
Mondelez International, Inc., Class A | 281 | 14,447 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 4.5% |
| |||||||
Boston Scientific Corp. * | 460 | 17,251 | ||||||
Danaher Corp. | 113 | 18,521 | ||||||
Zimmer Biomet Holdings, Inc. | 116 | 13,916 | ||||||
|
| |||||||
49,688 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.9% |
| |||||||
UnitedHealth Group, Inc. | 109 | 31,805 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
McDonald’s Corp. | 18 | 3,320 | ||||||
Yum! Brands, Inc. | 55 | 4,755 | ||||||
|
| |||||||
8,075 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.2% |
| |||||||
Honeywell International, Inc. | 169 | 23,931 | ||||||
|
| |||||||
Insurance — 1.2% |
| |||||||
Chubb Ltd. | 123 | 13,313 | ||||||
|
| |||||||
Interactive Media & Services — 9.0% |
| |||||||
Alphabet, Inc., Class A * | 31 | 41,722 | ||||||
Alphabet, Inc., Class C * | 30 | 40,522 | ||||||
Facebook, Inc., Class A * | 84 | 17,290 | ||||||
|
| |||||||
99,534 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 7.9% |
| |||||||
Amazon.com, Inc. * | 35 | 87,481 | ||||||
|
| |||||||
IT Services — 11.8% |
| |||||||
Automatic Data Processing, Inc. | 66 | 9,615 | ||||||
Fidelity National Information Services, Inc. | 106 | 13,965 | ||||||
Fiserv, Inc. * | 169 | 17,376 | ||||||
Leidos Holdings, Inc. | 113 | 11,185 | ||||||
Mastercard, Inc., Class A | 141 | 38,714 | ||||||
PayPal Holdings, Inc. * | 157 | 19,365 | ||||||
Visa, Inc., Class A | 71 | 12,653 | ||||||
WEX, Inc. * | 55 | 7,331 | ||||||
|
| |||||||
130,204 | ||||||||
|
| |||||||
Machinery — 1.2% |
| |||||||
Stanley Black & Decker, Inc. | 119 | 13,147 | ||||||
|
| |||||||
Media — 3.5% |
| |||||||
Charter Communications, Inc., Class A * | 46 | 22,599 | ||||||
Comcast Corp., Class A | 414 | 15,582 | ||||||
|
| |||||||
38,181 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
Chevron Corp. | 78 | 7,139 | ||||||
|
| |||||||
Pharmaceuticals — 4.4% |
| |||||||
Bristol-Myers Squibb Co. | 239 | 14,540 | ||||||
Eli Lilly & Co. | 130 | 20,083 | ||||||
Merck & Co., Inc. | 179 | 14,202 | ||||||
|
| |||||||
48,825 | ||||||||
|
| |||||||
Road & Rail — 4.3% |
| |||||||
Norfolk Southern Corp. | 118 | 20,216 | ||||||
Union Pacific Corp. | 170 | 27,117 | ||||||
|
| |||||||
47,333 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 29 | 8,235 | ||||||
Broadcom, Inc. | 69 | 18,838 | ||||||
NVIDIA Corp. | 35 | 10,259 | ||||||
Texas Instruments, Inc. | 187 | 21,739 | ||||||
|
| |||||||
59,071 | ||||||||
|
| |||||||
Software — 10.4% |
| |||||||
Microsoft Corp. | 563 | 100,844 | ||||||
salesforce.com, Inc. * | 87 | 14,015 | ||||||
|
| |||||||
114,859 | ||||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
AutoZone, Inc. * | 10 | 9,970 | ||||||
Home Depot, Inc. (The) | 118 | 25,903 | ||||||
Lowe’s Cos., Inc. | 195 | 20,406 | ||||||
|
| |||||||
56,279 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.1% |
| |||||||
Apple, Inc. | 192 | 56,536 | ||||||
|
| |||||||
Total Common Stocks |
| 1,102,396 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.3% |
| |||||||
Investment Companies — 0.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.69% (a) (b) (Cost $2,769) | 2,769 | 2,772 | ||||||
|
| |||||||
Total Investments—100.0% |
| 1,105,168 | ||||||
Liabilities in Excess of |
| (519 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,104,649 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
NYRS | New York Registry Shares |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of April 30, 2020. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 11 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — 94.0%(a) |
| |||||||
Alabama — 0.0%(b) |
| |||||||
Education — 0.0%(b) |
| |||||||
Alabama Public School and College Authority | ||||||||
Series2016-A, Rev., 4.00%, 6/1/2031 | 35 | 39 | ||||||
|
| |||||||
Alaska — 4.1% |
| |||||||
Other Revenue — 4.1% |
| |||||||
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | ||||||||
Series 2016, Rev., 5.00%, 9/1/2024 | 15 | 17 | ||||||
Rev., 5.25%, 9/1/2029 | 13,490 | 15,816 | ||||||
|
| |||||||
15,833 | ||||||||
|
| |||||||
Total Alaska | 15,833 | |||||||
|
| |||||||
Arizona — 0.4% |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects | ||||||||
Series2018-B, GO, 5.00%, 7/1/2028 | 10 | 12 | ||||||
|
| |||||||
Other Revenue — 0.3% |
| |||||||
City of San Luis | ||||||||
Series A, Rev., AGM, 5.00%, 7/1/2025 | 50 | 59 | ||||||
County of Pima | ||||||||
Rev., 3.00%, 7/1/2023 | 5 | 5 | ||||||
Phoenix Civic Improvement Corp., Senior Lien | ||||||||
Series 2011C, Rev., 5.00%, 7/1/2024 | 1,000 | 1,048 | ||||||
Town of Queen Creek, Excise Tax | ||||||||
Series 2016, Rev., 4.00%, 8/1/2026 | 25 | 29 | ||||||
Rev., 5.00%, 8/1/2029 | 10 | 12 | ||||||
|
| |||||||
1,153 | ||||||||
|
| |||||||
Transportation — 0.0%(b) |
| |||||||
Pima County Regional Transportation Authority | ||||||||
Series 2014, Rev., 5.00%, 6/1/2025 | 20 | 22 | ||||||
|
| |||||||
Utility — 0.1% |
| |||||||
Salt River Project Agricultural Improvement & Power District, Electric System | ||||||||
Series A, Rev., 5.00%, 1/1/2028 | 185 | 234 | ||||||
|
| |||||||
Total Arizona | 1,421 | |||||||
|
| |||||||
Arkansas — 0.0%(b) |
| |||||||
Other Revenue — 0.0%(b) |
| |||||||
City of Springdale Public Facilities Board Hospital, Arkansas Children’s Northwest Project | ||||||||
Series 2016, Rev., 5.00%, 3/1/2030 | 10 | 12 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
California — 18.3% |
| |||||||
Certificate of Participation/Lease — 0.0%(b) |
| |||||||
Los Angeles Unified School District, Headquarters Building Projects | ||||||||
Series B, COP, 5.00%, 10/1/2031 | 80 | 85 | ||||||
|
| |||||||
Education — 0.2% |
| |||||||
California Municipal Finance Authority, Lutheran University | ||||||||
Rev., 5.00%, 10/1/2029 | 225 | 250 | ||||||
Rev., 5.00%, 10/1/2030 | 225 | 248 | ||||||
Rev., 5.00%, 10/1/2031 | 225 | 246 | ||||||
|
| |||||||
744 | ||||||||
|
| |||||||
General Obligation — 3.9% |
| |||||||
Briggs Elementary School District, Election of 2014 | ||||||||
Series B, GO, 4.00%, 8/1/2030 | 5 | 6 | ||||||
Center Unified School District, Election of 1991 | ||||||||
GO,NATL-RE, Zero Coupon, 8/1/2026 | 750 | 562 | ||||||
Lompoc Valley Medical Center | ||||||||
GO, 5.00%, 8/1/2024 | 15 | 17 | ||||||
Los Angeles Community College District, Election of 2008 | ||||||||
Series G, GO, 4.00%, 8/1/2039 | 145 | 155 | ||||||
San Diego Unified School District, Election of 1998 | ||||||||
SeriesF-1, GO, AGM, 5.25%, 7/1/2028 | 1,000 | 1,285 | ||||||
State Center Community College District | ||||||||
GO, 5.00%, 8/1/2024 | 1,000 | 1,084 | ||||||
State of California, Various Purpose | ||||||||
GO, 5.00%, 8/1/2030 | 10,370 | 11,937 | ||||||
Westminster School District | ||||||||
Series 2016, GO, 5.00%, 8/1/2030 | 5 | 6 | ||||||
|
| |||||||
15,052 | ||||||||
|
| |||||||
Hospital — 0.8% |
| |||||||
California Health Facilities Financing Authority, Kaiser Permanente | ||||||||
Series 2017A, Subseries2017A-2, Rev., 4.00%, 11/1/2038 | 1,000 | 1,080 | ||||||
California Municipal Finance Authority, Community Medical Centers | ||||||||
Series 2017A, Rev., 5.00%, 2/1/2031 | 1,750 | 1,969 | ||||||
|
| |||||||
3,049 | ||||||||
|
| |||||||
Other Revenue — 1.4% |
| |||||||
Golden State Tobacco Securitization Corp., Tobacco Settlement | ||||||||
Series 2015A, Rev., 5.00%, 6/1/2034 | 4,950 | 5,561 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
Other Revenue — continued |
| |||||||
Turlock Irrigation District, First Priority | ||||||||
Rev., 5.00%, 1/1/2022 | 10 | 11 | ||||||
|
| |||||||
5,572 | ||||||||
|
| |||||||
Prerefunded — 0.0%(b) | ||||||||
City of Los Angeles, Department of Water and Power, Power System | ||||||||
Series A, Rev., 5.00%, 1/1/2023 (c) | 15 | 17 | ||||||
|
| |||||||
Transportation — 1.6% | ||||||||
California Infrastructure and Economic Development Bank, Bay Area Toll Bridges, First Lien | ||||||||
Rev., AGM, 5.00%, 7/1/2022 (c) | 340 | 370 | ||||||
San Francisco Bay Area Rapid Transit District, Sales Tax | ||||||||
Series A, Rev., 5.00%, 7/1/2025 | 395 | 463 | ||||||
Series A, Rev., 5.00%, 7/1/2026 | 225 | 264 | ||||||
San Francisco City and County, Airport Commission, San Francisco International Airport | ||||||||
Series2019-A, Rev., AMT, 5.00%, 5/1/2034 | 25 | 29 | ||||||
San Joaquin County Transportation Authority, Measure K Sales Tax | ||||||||
Rev., 5.00%, 3/1/2029 | 2,285 | 2,771 | ||||||
Rev., 5.00%, 3/1/2030 | 2,000 | 2,413 | ||||||
|
| |||||||
6,310 | ||||||||
|
| |||||||
Utility — 9.2% | ||||||||
City of Los Angeles, Department of Water and Power, Power System | ||||||||
Series B, Rev., 5.00%, 7/1/2031 | 2,100 | 2,362 | ||||||
Series A, Rev., 5.00%, 7/1/2032 | 2,550 | 3,060 | ||||||
Series B, Rev., 5.00%, 7/1/2032 | 1,925 | 2,158 | ||||||
Series D, Rev., 5.00%, 7/1/2032 | 3,300 | 3,750 | ||||||
Series2019-C, Rev., 5.00%, 7/1/2034 | 5 | 6 | ||||||
Series A, Rev., 5.00%, 7/1/2034 | 710 | 845 | ||||||
Long Beach Bond Finance Authority, Natural Gas | ||||||||
Series A, Rev., 5.25%, 11/15/2021 | 5,000 | 5,239 | ||||||
Los Angeles Department of Water & Power Power System | ||||||||
Series B, Rev., 5.00%, 7/1/2029 | 8,580 | 10,463 | ||||||
Series A, Rev., 5.00%, 7/1/2033 | 5,000 | 5,973 | ||||||
Sacramento Municipal Utility District Financing Authority, Cosumnes Project | ||||||||
Rev., 5.00%, 7/1/2028 | 1,290 | 1,532 | ||||||
|
| |||||||
35,388 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Water & Sewer — 1.2% | ||||||||
City of Culver City, Wastewater Facilities | ||||||||
Series A, Rev., 4.00%, 9/1/2035 | 25 | 29 | ||||||
City of Santa Rosa, Wastewater, Capital Appreciation | ||||||||
Series B, Rev.,AGM-CR, AMBAC, Zero Coupon, 9/1/2023 | 4,750 | 4,553 | ||||||
South Placer Wastewater Authority | ||||||||
Rev., 5.00%, 11/1/2024 | 10 | 12 | ||||||
|
| |||||||
4,594 | ||||||||
|
| |||||||
Total California | 70,811 | |||||||
|
| |||||||
Colorado — 1.6% |
| |||||||
Certificate of Participation/Lease — 1.0% |
| |||||||
City of Greeley | ||||||||
COP, 4.00%, 12/1/2034 | 10 | 11 | ||||||
Pueblo County School District No. 70 | ||||||||
Series 2014, COP, 3.30%, 1/15/2027 | 15 | 15 | ||||||
State of Colorado, Building Excellent Schools Today | ||||||||
Series 2018M, COP, 5.00%, 3/15/2029 | 3,150 | 3,920 | ||||||
|
| |||||||
3,946 | ||||||||
|
| |||||||
Hospital — 0.6% |
| |||||||
Denver Health and Hospital Authority, Healthcare | ||||||||
Series2019-A, Rev., 4.00%, 12/1/2038 | 1,250 | 1,271 | ||||||
Series2019-A, Rev., 4.00%, 12/1/2039 | 1,000 | 1,010 | ||||||
|
| |||||||
2,281 | ||||||||
|
| |||||||
Total Colorado | 6,227 | |||||||
|
| |||||||
Connecticut — 0.1% |
| |||||||
General Obligation — 0.1% |
| |||||||
City of Greenwich | ||||||||
GO, 5.00%, 6/1/2020 | 200 | 201 | ||||||
Town of Stafford | ||||||||
GO, 3.00%, 8/1/2026 | 10 | 10 | ||||||
|
| |||||||
211 | ||||||||
|
| |||||||
Hospital — 0.0%(b) |
| |||||||
State of Connecticut, Health and Educational Facilities Authority, Middlesex Hospital Issue | ||||||||
Series 2011N, Rev., 5.00%, 7/1/2020 | 30 | 30 | ||||||
|
| |||||||
Total Connecticut | 241 | |||||||
|
| |||||||
Delaware — 1.2% |
| |||||||
General Obligation — 1.2% |
| |||||||
County of New Castle | ||||||||
Series 2012B, GO, 5.00%, 7/15/2021 | 20 | 21 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 13 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
General Obligation — continued |
| |||||||
State of Delaware | ||||||||
Series 2018A, GO, 5.00%, 2/1/2028 | 2,355 | 2,999 | ||||||
Series 2018A, GO, 5.00%, 2/1/2029 | 1,370 | 1,736 | ||||||
|
| |||||||
4,756 | ||||||||
|
| |||||||
Total Delaware | 4,756 | |||||||
|
| |||||||
District of Columbia — 0.6% |
| |||||||
General Obligation — 0.6% |
| |||||||
District of Columbia | ||||||||
Series 2017A, GO, 5.00%, 6/1/2029 | 290 | 358 | ||||||
Series 2017A, GO, 5.00%, 6/1/2030 | 400 | 491 | ||||||
Series 2017A, GO, 5.00%, 6/1/2031 | 600 | 732 | ||||||
Series 2017A, GO, 5.00%, 6/1/2032 | 665 | 805 | ||||||
|
| |||||||
2,386 | ||||||||
|
| |||||||
Total District of Columbia | 2,386 | |||||||
|
| |||||||
Florida — 2.8% |
| |||||||
Certificate of Participation/Lease — 0.0%(b) |
| |||||||
School District of Broward County | ||||||||
Series 2015B, COP, 5.00%, 7/1/2020 | 10 | 10 | ||||||
|
| |||||||
Utility — 1.2% |
| |||||||
JEA Electric System | ||||||||
Subseries-B, Rev., 5.00%, 10/1/2033 | 4,000 | 4,786 | ||||||
|
| |||||||
Water & Sewer — 1.6% |
| |||||||
Broward County, Florida Water and Sewer Utility | ||||||||
Series 2015B, Rev., 5.00%, 10/1/2030 | 5,000 | 5,917 | ||||||
|
| |||||||
Total Florida | 10,713 | |||||||
|
| |||||||
Georgia — 0.6% |
| |||||||
General Obligation — 0.1% |
| |||||||
Polk School District, Sales Tax | ||||||||
GO, 5.00%, 3/1/2025 | 350 | 413 | ||||||
State of Georgia | ||||||||
Series 2015A, GO, 5.00%, 2/1/2025 | 130 | 153 | ||||||
|
| |||||||
566 | ||||||||
|
| |||||||
Water & Sewer — 0.5% |
| |||||||
County of Fulton, Water & Sewerage | ||||||||
Rev., 5.00%, 1/1/2023 | 1,700 | 1,745 | ||||||
Henry County, Water & Sewerage Authority | ||||||||
Rev., 5.00%, 2/1/2029 | 125 | 133 | ||||||
|
| |||||||
1,878 | ||||||||
|
| |||||||
Total Georgia | 2,444 | |||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Hawaii — 0.8% |
| |||||||
General Obligation — 0.8% |
| |||||||
State of Hawaii | ||||||||
Series FG, GO, 5.00%, 10/1/2028 | 2,500 | 3,035 | ||||||
|
| |||||||
Illinois — 1.5% |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
Du Page & Will Counties Community School District No. 204 Indian Prairie | ||||||||
Series A, GO,AGM-CR, FGIC, 6.25%, 12/30/2021 | 140 | 152 | ||||||
|
| |||||||
Other Revenue — 0.0%(b) |
| |||||||
City of Chicago, Motor Fuel Tax | ||||||||
Rev., 5.00%, 1/1/2022 | 105 | 109 | ||||||
|
| |||||||
Transportation — 1.1% |
| |||||||
Illinois State Toll Highway Authority | ||||||||
Series A, Rev., 5.00%, 12/1/2022 | 3,000 | 3,257 | ||||||
Regional Transportation Authority | ||||||||
Series A, Rev.,NATL-RE, 6.00%, 7/1/2024 | 750 | 868 | ||||||
|
| |||||||
4,125 | ||||||||
|
| |||||||
Water & Sewer — 0.4% |
| |||||||
City of Chicago, Second Lien Waterworks Project | ||||||||
Rev., 5.00%, 11/1/2022 | 400 | 424 | ||||||
Rev., 5.00%, 11/1/2029 | 1,000 | 1,059 | ||||||
|
| |||||||
1,483 | ||||||||
|
| |||||||
Total Illinois | 5,869 | |||||||
|
| |||||||
Indiana — 2.0% |
| |||||||
Education — 0.0%(b) |
| |||||||
Lake Ridge School Building Corp., First Mortgage | ||||||||
Rev., 4.00%, 7/15/2028 | 125 | 136 | ||||||
|
| |||||||
Other Revenue — 0.8% |
| |||||||
Fort Wayne Redevelopment Authority, Harrison Square Project | ||||||||
Rev., 5.00%, 2/1/2026 | 1,110 | 1,256 | ||||||
Indiana Finance Authority, State Revolving Fund Program | ||||||||
Series2019-E, Rev., 5.00%, 2/1/2040 | 1,655 | 2,020 | ||||||
|
| |||||||
3,276 | ||||||||
|
| |||||||
Utility — 1.2% |
| |||||||
Indianapolis Local Public Improvement Bond Bank, Stormwater Project | ||||||||
Series 2013D, Rev., 5.00%, 1/1/2026 | 4,050 | 4,474 | ||||||
|
| |||||||
Total Indiana | 7,886 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
Iowa — 0.0%(b) |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
City of Bondurant | ||||||||
Series 2020A, GO, 3.00%, 6/1/2029 | 100 | 108 | ||||||
|
| |||||||
Other Revenue — 0.0%(b) |
| |||||||
Iowa Finance Authority, State Revolving Fund | ||||||||
Rev., 5.00%, 8/1/2032 | 20 | 24 | ||||||
|
| |||||||
Total Iowa | 132 | |||||||
|
| |||||||
Louisiana — 1.2% |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
Terrebonne Parish Recreation District No. 5 | ||||||||
GO, 5.00%, 3/1/2027 | 20 | 24 | ||||||
|
| |||||||
Hospital — 0.0%(b) |
| |||||||
St. Tammany Parish Hospital Service District No. 1 | ||||||||
Series2018-A, Rev., 5.00%, 7/1/2032 | 15 | 18 | ||||||
|
| |||||||
Other Revenue — 0.9% |
| |||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, LCTCS Act 360 Project | ||||||||
Rev., 5.00%, 10/1/2032 | 3,000 | 3,291 | ||||||
Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project | ||||||||
Rev., 5.00%, 10/1/2027 | 25 | 31 | ||||||
|
| |||||||
3,322 | ||||||||
|
| |||||||
Transportation — 0.0%(b) |
| |||||||
State of Louisiana, State Highway Improvement | ||||||||
Series2013-A, Rev., 5.00%, 6/15/2023 | 40 | 45 | ||||||
|
| |||||||
Utility — 0.3% |
| |||||||
City of Alexandria, Utilities | ||||||||
Series 2013A, Rev., 5.00%, 5/1/2043 | 1,250 | 1,334 | ||||||
Lafayette Public Power Authority | ||||||||
Rev., 5.00%, 11/1/2025 | 15 | 18 | ||||||
|
| |||||||
1,352 | ||||||||
|
| |||||||
Total Louisiana | 4,761 | |||||||
|
| |||||||
Maryland — 2.7% |
| |||||||
General Obligation — 2.7% |
| |||||||
Baltimore County, Consolidated Public Improvement | ||||||||
GO, 5.00%, 3/1/2032 | 7,090 | 8,764 | ||||||
County of Anne Arundel, Consolidated Water and Sewer | ||||||||
GO, 5.00%, 10/1/2029 | 1,450 | 1,802 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
General Obligation — continued |
| |||||||
County of Howard | ||||||||
Series2019-B, GO, 5.00%, 8/15/2027 | 15 | 19 | ||||||
County of Montgomery, Consolidated Public Improvements | ||||||||
Series A, GO, 4.00%, 12/1/2033 | 5 | 5 | ||||||
|
| |||||||
10,590 | ||||||||
|
| |||||||
Total Maryland | 10,590 | |||||||
|
| |||||||
Massachusetts — 2.5% |
| |||||||
Education — 1.0% |
| |||||||
University of Massachusetts Building Authority, Senior Lien | ||||||||
Series2020-1, Rev., 5.00%, 11/1/2034 | 3,000 | 3,753 | ||||||
|
| |||||||
General Obligation — 1.0% |
| |||||||
Commonwealth of Massachusetts | ||||||||
Series C, GO, AGM, 5.50%, 12/1/2022 | 200 | 223 | ||||||
Commonwealth of Massachusetts, Consolidated Loan of 2018 | ||||||||
Series B, GO, 5.00%, 1/1/2027 | 3,000 | 3,688 | ||||||
|
| |||||||
3,911 | ||||||||
|
| |||||||
Transportation — 0.5% |
| |||||||
Massachusetts Bay Transportation Authority | ||||||||
Series2006-A, Rev., 5.25%, 7/1/2031 | 1,500 | 2,034 | ||||||
|
| |||||||
Total Massachusetts | 9,698 | |||||||
|
| |||||||
Michigan — 1.1% |
| |||||||
Education — 0.5% |
| |||||||
Eastern Michigan University, Board of Regents | ||||||||
Series 2017A, Rev., 5.00%, 3/1/2027 | 750 | 864 | ||||||
Series 2017A, Rev., 5.00%, 3/1/2033 | 1,000 | 1,113 | ||||||
|
| |||||||
1,977 | ||||||||
|
| |||||||
General Obligation — 0.6% |
| |||||||
Avondale School District | ||||||||
GO,Q-SBLF, 5.00%, 11/1/2027 | 15 | 19 | ||||||
Grand Rapids Public Schools, Unlimited Tax | ||||||||
GO, AGM, 5.00%, 11/1/2029 | 5 | 6 | ||||||
Hastings Area School System, School Building and Site | ||||||||
GO,Q-SBLF, 5.00%, 5/1/2020 | 50 | 50 | ||||||
Huron Valley School District | ||||||||
GO,Q-SBLF, 5.00%, 5/1/2024 | 2,000 | 2,079 | ||||||
Lakeview School District, School Building and Site | ||||||||
GO,Q-SBLF, 5.00%, 5/1/2028 | 10 | 12 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 15 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
General Obligation — 0.6% |
| |||||||
Onekama Consolidated Schools | ||||||||
GO, AGM, 4.00%, 5/1/2025 | 15 | 17 | ||||||
Watervliet Public Schools, School Building and Site | ||||||||
GO,Q-SBLF, 5.00%, 5/1/2025 | 10 | 11 | ||||||
Wayne-Westland Community Schools | ||||||||
Series 2019, GO,Q-SBLF, 4.00%, 11/1/2031 | 10 | 11 | ||||||
|
| |||||||
2,205 | ||||||||
|
| |||||||
Total Michigan | 4,182 | |||||||
|
| |||||||
Minnesota — 0.7% |
| |||||||
General Obligation — 0.7% |
| |||||||
County of Hennepin | ||||||||
Series 2016B, GO, 5.00%, 12/1/2027 | 2,135 | 2,633 | ||||||
|
| |||||||
Missouri — 0.0%(b) |
| |||||||
Utility — 0.0%(b) |
| |||||||
City of Springfield, Public Utility | ||||||||
Rev., 5.00%, 8/1/2022 | 100 | 109 | ||||||
|
| |||||||
Montana — 0.0%(b) |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
Silver Bow County School District No. 1 | ||||||||
GO, 5.00%, 7/1/2029 | 5 | 6 | ||||||
|
| |||||||
Nebraska — 0.8% |
| |||||||
Utility — 0.8% |
| |||||||
Central Plains Energy Project, Gas Project, Project No. 3 | ||||||||
Series 2017A, Rev., 5.00%, 9/1/2042 | 2,550 | 3,147 | ||||||
|
| |||||||
Nevada — 0.0%(b) |
| |||||||
Other Revenue — 0.0%(b) |
| |||||||
County of Clark, Nevada Improvement District No. 158 | ||||||||
5.00%, 8/1/2034 | 10 | 12 | ||||||
|
| |||||||
New Jersey — 7.9% |
| |||||||
Education — 4.9% |
| |||||||
New Jersey Economic Development Authority, School Facilities Construction | ||||||||
Series XX, Rev., 5.00%, 6/15/2021 | 5,145 | 5,223 | ||||||
Series PP, Rev., 5.00%, 6/15/2029 | 5,000 | 5,074 | ||||||
Series2019-LLL, Rev., 5.00%, 6/15/2034 | 1,000 | 1,011 | ||||||
Series2019-LLL, Rev., 5.00%, 6/15/2035 | 3,250 | 3,284 | ||||||
Series2019-LLL, Rev., 5.00%, 6/15/2036 | 4,500 | 4,537 | ||||||
|
| |||||||
19,129 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
General Obligation — 0.6% |
| |||||||
County of Morris | ||||||||
GO, 3.00%, 2/1/2030 | 20 | 21 | ||||||
North Brunswick Township Board of Education | ||||||||
GO, 5.00%, 7/15/2022 | 850 | 857 | ||||||
Township of Branchburg | ||||||||
GO, 3.00%, 9/1/2028 | 40 | 43 | ||||||
Township of Woodbridge | ||||||||
GO, 5.00%, 7/15/2023 | 1,200 | 1,210 | ||||||
|
| |||||||
2,131 | ||||||||
|
| |||||||
Other Revenue — 0.8% |
| |||||||
Tobacco Settlement Financing Corp. | ||||||||
Series 2018A, Rev., 5.00%, 6/1/2027 | 2,800 | 3,279 | ||||||
|
| |||||||
Transportation — 1.5% |
| |||||||
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement | ||||||||
Series A, Rev., 5.00%, 6/15/2028 | 3,000 | 3,235 | ||||||
New Jersey Transportation Trust Fund Authority, Transportation Program | ||||||||
Series AA, Rev., 5.00%, 6/15/2036 | 2,500 | 2,508 | ||||||
New Jersey Turnpike Authority | ||||||||
Series 2017B, Rev., 4.00%, 1/1/2035 | 5 | 5 | ||||||
|
| |||||||
5,748 | ||||||||
|
| |||||||
Water & Sewer — 0.1% |
| |||||||
Sussex County Municipal Utilities Authority, Wastewater Facilities, Capital Appreciation | ||||||||
Series B, Rev., AGM, Zero Coupon, 12/1/2020 | 195 | 194 | ||||||
|
| |||||||
Total New Jersey | 30,481 | |||||||
|
| |||||||
New Mexico — 0.0%(b) |
| |||||||
Other Revenue — 0.0%(b) |
| |||||||
State of New Mexico Severance Tax Permanent Fund | ||||||||
Series 2018A, Rev., 5.00%, 7/1/2022 | 25 | 27 | ||||||
|
| |||||||
New York — 18.8% |
| |||||||
Certificate of Participation/Lease — 0.1% |
| |||||||
Rensselaer City School District | ||||||||
Series 2016, COP, AGM, 5.00%, 6/1/2028 | 400 | 477 | ||||||
|
| |||||||
Education — 2.0% |
| |||||||
Monroe County IDA, School Facility, Modernization Project | ||||||||
Rev., 5.00%, 5/1/2030 | 2,100 | 2,507 | ||||||
New York State Dormitory Authority | ||||||||
Series 2018A, Rev., 5.00%, 10/1/2030 | 875 | 1,034 | ||||||
Series 2018A, Rev., 5.00%, 7/1/2038 | 3,500 | 4,214 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
Education — continued |
| |||||||
Syracuse Industrial Development Agency, School District | ||||||||
Series2019-A, Rev., 4.00%, 5/1/2034 | 10 | 11 | ||||||
|
| |||||||
7,766 | ||||||||
|
| |||||||
General Obligation — 1.2% |
| |||||||
City of New York, Fiscal Year 2013 | ||||||||
Series F, SubseriesF-1, GO, 5.00%, 3/1/2030 | 4,055 | 4,442 | ||||||
City of New York, Fiscal Year 2018 | ||||||||
GO, 5.00%, 8/1/2030 | 20 | 24 | ||||||
City of Rome, Public Improvement | ||||||||
GO, 4.00%, 8/1/2020 | 5 | 5 | ||||||
Corning City School District | ||||||||
Series 2016, GO, 5.00%, 6/15/2021 | 15 | 16 | ||||||
County of St. Lawrence | ||||||||
GO, AGM, 3.00%, 5/15/2034 | 10 | 10 | ||||||
County of Suffolk | ||||||||
Series B, GO, AGM, 4.00%, 10/15/2024 | 50 | 56 | ||||||
Series B, GO, AGM, 5.00%, 10/15/2026 | 25 | 30 | ||||||
East Moriches Union Free School District | ||||||||
GO, AGM, 3.13%, 7/1/2029 | 25 | 26 | ||||||
Island Park Union Free School District | ||||||||
Series 2019, GO, 4.00%, 7/15/2033 | 40 | 45 | ||||||
Village of Stewart Manor, Public Improvement | ||||||||
GO, 5.00%, 8/1/2026 | 20 | 24 | ||||||
GO, 4.00%, 8/1/2028 | 20 | 24 | ||||||
Wellsville Central School District | ||||||||
GO, AGM, 5.00%, 6/15/2023 | 20 | 22 | ||||||
West Genesee Central School District | ||||||||
Series2013-A, GO, 3.00%, 6/15/2021 | 15 | 15 | ||||||
|
| |||||||
4,739 | ||||||||
|
| |||||||
Housing — 0.0%(b) |
| |||||||
New York City Transitional Finance Authority Building Aid, Fiscal Year 2019 | ||||||||
SubseriesS-2A, Rev., 5.00%, 7/15/2032 | 40 | 48 | ||||||
|
| |||||||
Other Revenue — 4.5% |
| |||||||
Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017 | ||||||||
Series A, Rev., 5.00%, 2/15/2033 | 1,500 | 1,760 | ||||||
New York Convention Center Development Corp., Subordinated Lien | ||||||||
Series 2016B, Rev.,AGM-CR, Zero Coupon, 11/15/2052 | 10,000 | 2,859 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Other Revenue — continued |
| |||||||
New York State Dormitory Authority, State Sales Tax | ||||||||
Series 2014A, Rev., 5.00%, 3/15/2028 | 3,000 | 3,394 | ||||||
Series2017-A, Rev., 5.00%, 3/15/2028 | 5 | 6 | ||||||
Series 2014A, Rev., 5.00%, 3/15/2029 | 5,000 | 5,648 | ||||||
Series 2014A, Rev., 5.00%, 3/15/2033 | 1,000 | 1,115 | ||||||
Sales Tax Asset Receivable Corp., Fiscal Year 2015 | ||||||||
Series A, Rev., 5.00%, 10/15/2031 | 1,890 | 2,172 | ||||||
|
| |||||||
16,954 | ||||||||
|
| |||||||
Special Tax — 1.7% |
| |||||||
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||||||||
Series 2017C, Rev., 5.00%, 3/15/2027 | 5,475 | 6,657 | ||||||
|
| |||||||
Transportation — 4.2% |
| |||||||
Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017 | ||||||||
Series A, Rev., 5.00%, 2/15/2034 | 40 | 47 | ||||||
Metropolitan Transportation Authority | ||||||||
Series 2015F, Rev., 5.00%, 11/15/2025 | 15 | 15 | ||||||
SubseriesC-1, Rev., 5.25%, 11/15/2028 | 5,000 | 5,079 | ||||||
New York State Thruway Authority | ||||||||
Series L, Rev., 5.00%, 1/1/2024 | 3,145 | 3,544 | ||||||
Series J, Rev., 5.00%, 1/1/2025 | 5 | 6 | ||||||
New York State Thruway Authority, Junior Lien | ||||||||
Series2016-A, Rev., 5.00%, 1/1/2025 | 25 | 29 | ||||||
Port Authority of New York & New Jersey, Consolidated | ||||||||
Rev., 5.00%, 10/15/2041 | 6,500 | 7,296 | ||||||
|
| |||||||
16,016 | ||||||||
|
| |||||||
Utility — 2.4% |
| |||||||
Long Island Power Authority | ||||||||
Series2019-A, Rev., 3.00%, 9/1/2036 | 10 | 10 | ||||||
Utility Debt Securitization Authority | ||||||||
Series 2013TE, Rev., 5.00%, 12/15/2028 | 4,000 | 4,508 | ||||||
Series 2013TE, Rev., 5.00%, 12/15/2041 | 4,250 | 4,720 | ||||||
|
| |||||||
9,238 | ||||||||
|
| |||||||
Water & Sewer — 2.7% |
| |||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2015 | ||||||||
Series FF, Rev., 5.00%, 6/15/2031 | 3,000 | 3,471 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 17 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
Water & Sewer — continued |
| |||||||
New York State Environmental Facilities Corp., State Clean Water & Drinking Water Revolving Funds, New York City Municipal Water Finance Authority Projects — Second Resolution | ||||||||
Series 2017A, Rev., 5.00%, 6/15/2027 | 3,500 | 4,352 | ||||||
Series 2017A, Rev., 5.00%, 6/15/2028 | 2,000 | 2,493 | ||||||
|
| |||||||
10,316 | ||||||||
|
| |||||||
Total New York | 72,211 | |||||||
|
| |||||||
North Carolina — 0.5% |
| |||||||
Education — 0.0%(b) |
| |||||||
University of North Carolina at Greensboro | ||||||||
Rev., 4.00%, 4/1/2035 | 10 | 11 | ||||||
|
| |||||||
Other Revenue — 0.3% |
| |||||||
City of Sanford, Enterprise System | ||||||||
Rev., 5.00%, 6/1/2030 | 425 | 542 | ||||||
Rev., 5.00%, 6/1/2031 | 570 | 719 | ||||||
Mecklenburg County Public Facilities Corp. | ||||||||
Rev., 5.00%, 2/1/2026 | 10 | 12 | ||||||
|
| |||||||
1,273 | ||||||||
|
| |||||||
Transportation — 0.2% |
| |||||||
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien | ||||||||
Rev., AGM, 5.00%, 1/1/2029 | 700 | 811 | ||||||
|
| |||||||
Total North Carolina | 2,095 | |||||||
|
| |||||||
Ohio — 0.5% |
| |||||||
General Obligation — 0.0%(b) |
| |||||||
City of Washington Court House, Various Purpose | ||||||||
GO, 4.00%, 12/1/2020 | 15 | 15 | ||||||
|
| |||||||
Transportation — 0.3% |
| |||||||
State of Ohio, Capital Facilities Lease Appropriation | ||||||||
Series 2018A, Rev., 5.00%, 4/1/2028 | 1,020 | 1,273 | ||||||
|
| |||||||
Water & Sewer — 0.2% |
| |||||||
Northeast Ohio Regional Sewer District, Wastewater Improvement | ||||||||
Rev., 5.00%, 11/15/2025 | 555 | 647 | ||||||
|
| |||||||
Total Ohio | 1,935 | |||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Oklahoma — 1.0% |
| |||||||
Education — 0.4% |
| |||||||
Oklahoma County Finance Authority, Educational Facilities, Lease MidwestCity-Del City Public Schools Project | ||||||||
Rev., 5.00%, 10/1/2022 | 250 | 273 | ||||||
Rev., 5.00%, 10/1/2023 | 180 | 203 | ||||||
Rev., 5.00%, 10/1/2025 | 500 | 593 | ||||||
Rev., 5.00%, 10/1/2026 | 500 | 605 | ||||||
|
| |||||||
1,674 | ||||||||
|
| |||||||
Transportation — 0.6% |
| |||||||
Oklahoma Turnpike Authority, Turnpike System, Second Senior | ||||||||
Series 2017A, Rev., 5.00%, 1/1/2038 | 2,000 | 2,315 | ||||||
|
| |||||||
Total Oklahoma | 3,989 | |||||||
|
| |||||||
Oregon — 1.4% |
| |||||||
General Obligation — 0.8% |
| |||||||
County of Marion | ||||||||
GO, AMBAC, 5.50%, 6/1/2023 | 100 | 113 | ||||||
Linn & Benton Counties, School District No. 8J, Greater Albany | ||||||||
GO, 5.00%, 6/15/2030 | 500 | 616 | ||||||
GO, 5.00%, 6/15/2031 | 1,180 | 1,450 | ||||||
Washington Counties, Hillsboro School District No. 1J | ||||||||
GO, 5.00%, 6/15/2027 | 570 | 710 | ||||||
|
| |||||||
2,889 | ||||||||
|
| |||||||
Transportation — 0.0%(b) |
| |||||||
Tri-County Metropolitan Transportation District of Oregon | ||||||||
Series2017-A, Rev., 5.00%, 10/1/2023 | 50 | 56 | ||||||
|
| |||||||
Water & Sewer — 0.6% |
| |||||||
City of Portland, Second Lien Sewer System | ||||||||
Series B, Rev., 4.00%, 10/1/2036 | 2,180 | 2,336 | ||||||
|
| |||||||
Total Oregon | 5,281 | |||||||
|
| |||||||
Pennsylvania — 2.4% |
| |||||||
Education — 0.5% |
| |||||||
County of Montgomery Higher Education and Health Authority, Thomas Jefferson University | ||||||||
Series 2018A, Rev., 4.00%, 9/1/2043 | 2,000 | 2,015 | ||||||
|
| |||||||
General Obligation — 0.0%(b) |
| |||||||
County of Lancaster | ||||||||
Series2016-A, GO, 4.00%, 5/1/2026 | 15 | 17 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
General Obligation — continued |
| |||||||
Fairview School District | ||||||||
Series A, GO, 4.00%, 2/1/2028 | 10 | 11 | ||||||
|
| |||||||
28 | ||||||||
|
| |||||||
Hospital — 0.9% |
| |||||||
Berks County Industrial Development Authority, Tower Health Project | ||||||||
Rev., 5.00%, 11/1/2027 | 350 | 378 | ||||||
Rev., 5.00%, 11/1/2028 | 450 | 479 | ||||||
Rev., 5.00%, 11/1/2029 | 150 | 159 | ||||||
Rev., 5.00%, 11/1/2030 | 150 | 158 | ||||||
Sayre Health Care Facilities Authority, Guthrie Health Issue | ||||||||
Rev., (ICE LIBOR USD 3 Month + 0.78%, 15.00% Cap), 1.84%, 12/1/2024 (d) | 2,275 | 2,251 | ||||||
|
| |||||||
3,425 | ||||||||
|
| |||||||
Other Revenue — 1.0% |
| |||||||
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||||||||
Rev., 5.00%, 6/1/2024 | 500 | 551 | ||||||
Rev., 5.00%, 6/1/2025 | 630 | 707 | ||||||
Rev., 5.00%, 6/1/2026 | 380 | 433 | ||||||
Rev., 5.00%, 6/1/2027 | 500 | 579 | ||||||
Rev., 5.00%, 6/1/2028 | 880 | 1,031 | ||||||
Rev., 5.00%, 6/1/2029 | 380 | 443 | ||||||
|
| |||||||
3,744 | ||||||||
|
| |||||||
Total Pennsylvania | 9,212 | |||||||
|
| |||||||
Rhode Island — 0.0%(b) |
| |||||||
Transportation — 0.0%(b) |
| |||||||
Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax | ||||||||
Series 2016A, Rev., 5.00%, 10/1/2029 | 10 | 12 | ||||||
|
| |||||||
South Carolina — 0.0%(b) |
| |||||||
Certificate of Participation/Lease — 0.0%(b) |
| |||||||
Spartanburg County Tourist Public Facilities Corp. | ||||||||
COP, 4.00%, 4/1/2028 | 10 | 11 | ||||||
|
| |||||||
Water & Sewer — 0.0%(b) |
| |||||||
City of Charleston, Waterworks & Sewer System | ||||||||
Rev., 5.00%, 1/1/2028 | 15 | 18 | ||||||
|
| |||||||
Total South Carolina | 29 | |||||||
|
| |||||||
Tennessee — 2.6% |
| |||||||
General Obligation — 0.4% |
| |||||||
City of Maryville | ||||||||
Series 2017A, GO, 5.00%, 6/1/2026 | 1,245 | 1,505 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Utility — 2.2% |
| |||||||
Tennessee Energy Acquisition Corp., Gas Project | ||||||||
Rev., 4.00%, 11/1/2025 (e) | 8,000 | 8,504 | ||||||
|
| |||||||
Total Tennessee | 10,009 | |||||||
|
| |||||||
Texas — 9.6% |
| |||||||
Education — 1.6% |
| |||||||
University of Texas System, Board of Regents, Financing System | ||||||||
Series 2014B, Rev., 5.00%, 8/15/2026 | 5,000 | 6,104 | ||||||
|
| |||||||
General Obligation — 3.7% |
| |||||||
Bexar County Hospital District | ||||||||
GO, 4.00%, 2/15/2035 | 10 | 11 | ||||||
City of Austin, Public Improvement | ||||||||
Series 2019, GO, 5.00%, 9/1/2033 | 2,000 | 2,511 | ||||||
City of Houston, Public Improvement | ||||||||
Series 2014A, GO, 5.00%, 3/1/2030 | 4,000 | 4,529 | ||||||
City of Portland | ||||||||
GO, 3.00%, 8/15/2029 | 100 | 109 | ||||||
City of San Antonio, General Improvement | ||||||||
GO, 5.00%, 8/1/2023 | 700 | 736 | ||||||
County of El Paso | ||||||||
GO, 5.00%, 2/15/2032 | 1,490 | 1,789 | ||||||
Crandall Independent School District | ||||||||
Series 2012A, GO,PSF-GTD, Zero Coupon, 8/15/2025 | 1,150 | 1,009 | ||||||
Series 2012A, GO,PSF-GTD, Zero Coupon, 8/15/2026 | 2,140 | 1,818 | ||||||
Series 2012A, GO,PSF-GTD, Zero Coupon, 8/15/2027 | 2,145 | 1,765 | ||||||
San Jacinto College District, Limited Tax | ||||||||
Series2019-A, GO, 5.00%, 2/15/2029 | 120 | 153 | ||||||
Tyler Independent School District | ||||||||
GO,PSF-GTD, 5.00%, 2/15/2028 | 175 | 215 | ||||||
|
| |||||||
14,645 | ||||||||
|
| |||||||
Other Revenue — 0.6% |
| |||||||
Trinity River Authority, Walker-Calloway System | ||||||||
Rev., 5.00%, 2/1/2026 | 275 | 329 | ||||||
Rev., 5.00%, 2/1/2027 | 290 | 355 | ||||||
Rev., 5.00%, 2/1/2028 | 305 | 381 | ||||||
Rev., 5.00%, 2/1/2029 | 320 | 397 | ||||||
Rev., 5.00%, 2/1/2030 | 340 | 419 | ||||||
Rev., 5.00%, 2/1/2031 | 355 | 435 | ||||||
|
| |||||||
2,316 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 19 |
Table of Contents
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — continued |
| |||||||
Transportation — 1.6% |
| |||||||
City of Houston, Airport System Subordinate Lien | ||||||||
Series 2011B, Rev., 5.00%, 7/1/2026 | 3,000 | 3,113 | ||||||
North Texas Tollway Authority System, First Tier | ||||||||
Series 2017A, Rev., 5.00%, 1/1/2026 | 200 | 218 | ||||||
Series 2017A, Rev., 5.00%, 1/1/2027 | 550 | 637 | ||||||
Series 2017A, Rev., 5.00%, 1/1/2030 | 360 | 411 | ||||||
Series 2017A, Rev., 5.00%, 1/1/2035 | 600 | 689 | ||||||
North Texas Tollway Authority System, Second Tier | ||||||||
Series 2017B, Rev., 5.00%, 1/1/2026 | 150 | 163 | ||||||
Series 2017B, Rev., 5.00%, 1/1/2027 | 300 | 348 | ||||||
Series 2017B, Rev., 5.00%, 1/1/2030 | 400 | 456 | ||||||
|
| |||||||
6,035 | ||||||||
|
| |||||||
Water & Sewer — 2.1% |
| |||||||
City of Houston, Combined Utility System, Junior Lien | ||||||||
Series A, Rev., AGM, 5.75%, 12/1/2032 (c) | 5,550 | 8,046 | ||||||
|
| |||||||
Total Texas | 37,146 | |||||||
|
| |||||||
Utah — 0.5% |
| |||||||
Education — 0.2% |
| |||||||
University of Utah (The) | ||||||||
Series2019-A, Rev., 5.00%, 8/1/2035 | 500 | 618 | ||||||
|
| |||||||
Prerefunded — 0.1% |
| |||||||
Utah Infrastructure Agency Telecommunications and Franchise Tax | ||||||||
Rev., 4.00%, 10/15/2025 (c) | 250 | 290 | ||||||
|
| |||||||
Water & Sewer — 0.2% |
| |||||||
Weber Basin Water Conservancy District | ||||||||
Series 2017B, Rev., 5.00%, 10/1/2030 | 250 | 308 | ||||||
Series 2017B, Rev., 5.00%, 10/1/2031 | 470 | 577 | ||||||
|
| |||||||
885 | ||||||||
|
| |||||||
Total Utah | 1,793 | |||||||
|
| |||||||
Virginia — 2.6% |
| |||||||
General Obligation — 1.3% |
| |||||||
County of Arlington, Public Improvement | ||||||||
GO, 5.00%, 8/15/2031 | 4,000 | 5,092 | ||||||
|
| |||||||
Prerefunded — 0.1% |
| |||||||
City of Richmond, Public Improvement | ||||||||
Series 2010D, GO, 5.00%, 7/15/2020 (c) | 205 | 207 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Transportation — 1.2% |
| |||||||
Virginia Commonwealth Transportation Board, Capital Projects | ||||||||
Series 2017A, Rev., 5.00%, 5/15/2033 | 3,955 | 4,774 | ||||||
|
| |||||||
Total Virginia | 10,073 | |||||||
|
| |||||||
Washington — 3.2% |
| |||||||
General Obligation — 0.3% |
| |||||||
State of Washington | ||||||||
SeriesR-2018C, GO, 5.00%, 8/1/2034 | 900 | 1,086 | ||||||
|
| |||||||
Hospital — 1.6% |
| |||||||
Washington Health Care Facilities Authority, Providence St. Joseph Health | ||||||||
Series 2018B, Rev., 5.00%, 10/1/2025 | 1,250 | 1,458 | ||||||
Series 2018B, Rev., 5.00%, 10/1/2026 | 1,500 | 1,782 | ||||||
Series 2018B, Rev., 5.00%, 10/1/2027 | 2,500 | 3,029 | ||||||
|
| |||||||
6,269 | ||||||||
|
| |||||||
Transportation — 1.3% |
| |||||||
Port of Seattle, Intermediate Lien | ||||||||
Series 2015B, Rev., 5.00%, 3/1/2033 | 3,750 | 4,098 | ||||||
Series 2015B, Rev., 5.00%, 3/1/2034 | 1,000 | 1,088 | ||||||
|
| |||||||
5,186 | ||||||||
|
| |||||||
Utility — 0.0%(b) |
| |||||||
Energy Northwest | ||||||||
Rev., 5.00%, 7/1/2026 | 10 | 12 | ||||||
|
| |||||||
Total Washington | 12,553 | |||||||
|
| |||||||
TOTAL MUNICIPAL BONDS |
| 363,789 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 1.6% |
| |||||||
Investment Companies — 1.6% |
| |||||||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.25% (f) (g) | 6,118 | 6,122 | ||||||
|
| |||||||
Total Investments — 95.6% | 369,911 | |||||||
Other Assets Less Liabilities — 4.4% | 17,140 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 387,051 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
Abbreviations
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
COP | Certificate of Participation | |
CR | Custodial Receipts | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
GO | General Obligation | |
ICE | Intercontinental Exchange | |
IDA | Industrial Development Authority | |
LIBOR | London Interbank Offered Rate | |
NATL | Insured by National Public Finance Guarantee Corp. | |
PSF-GTD | Permanent School Fund Guaranteed | |
Q-SBLF | Qualified School Bond Loan Fund | |
RE | Reinsured | |
Rev. | Revenue |
USD | United States Dollar | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Security is prerefunded or escrowed to maturity. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2020. | |
(e) | 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 April 30, 2020. | |
(f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(g) | The rate shown is the current yield as of April 30, 2020. |
Centrally Cleared Inflation-linked swap contracts outstanding as of April 30, 2020 (amounts in thousands):
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
CPI-U at termination | 0.36% at termination | Receive | 3/24/2025 | USD 57,000 | 1,274 | |||||||||||||
CPI-U at termination | 0.43% at termination | Receive | 3/25/2025 | USD 7,486 | 141 | |||||||||||||
CPI-U at termination | 0.54% at termination | Receive | 3/31/2025 | USD 18,406 | 239 | |||||||||||||
CPI-U at termination | 0.57% at termination | Receive | 4/1/2025 | USD 55,246 | 638 | |||||||||||||
CPI-U at termination | 0.57% at termination | Receive | 4/2/2025 | USD 31,119 | 356 | |||||||||||||
CPI-U at termination | 0.58% at termination | Receive | 4/2/2025 | USD 18,816 | 203 | |||||||||||||
CPI-U at termination | 0.63% at termination | Receive | 3/31/2025 | USD 4,113 | 34 | |||||||||||||
CPI-U at termination | 0.78% at termination | Receive | 3/24/2030 | USD 14,990 | 830 | |||||||||||||
CPI-U at termination | 0.79% at termination | Receive | 3/30/2025 | USD 3,986 | 1 | |||||||||||||
CPI-U at termination | 1.08% at termination | Receive | 3/26/2030 | USD 1,900 | 46 | |||||||||||||
CPI-U at termination | 1.23% at termination | Receive | 3/17/2030 | USD 15,000 | 126 | |||||||||||||
CPI-U at termination | 1.24% at termination | Receive | 3/17/2030 | USD 27,295 | 215 | |||||||||||||
|
| |||||||||||||||||
4,103 | ||||||||||||||||||
|
| |||||||||||||||||
CPI-U at termination | (0.02)% at termination | Receive | 3/30/2022 | USD 7,972 | (6 | ) | ||||||||||||
CPI-U at termination | 0.07% at termination | Receive | 4/7/2022 | USD 9,869 | (25 | ) | ||||||||||||
CPI-U at termination | 0.83% at termination | Receive | 4/7/2025 | USD 9,717 | (17 | ) | ||||||||||||
CPI-U at termination | 2.00% at termination | Receive | 3/11/2025 | USD 13,293 | (800 | ) | ||||||||||||
|
| |||||||||||||||||
(848 | ) | |||||||||||||||||
|
| |||||||||||||||||
3,255 | ||||||||||||||||||
|
|
Abbreviations | ||
CPI-U | Consumer Price Index for All Urban Consumers | |
USD | United States Dollar | |
(a) | Value of floating rate index at April 30, 2020 was 2.56%. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 21 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||||||
ASSETS: |
| |||||||
Investments innon-affiliates, at value | $ | 1,102,396 | $ | 363,789 | ||||
Investments in affiliates, at value | 2,772 | 6,122 | ||||||
Cash | 9 | — | ||||||
Deposits at broker for centrally cleared swaps | — | 14,205 | ||||||
Receivables: | ||||||||
Fund shares sold | 1,674 | 97 | ||||||
Interest and dividends fromnon-affiliates | 717 | 4,278 | ||||||
Dividends from affiliates | — | (a) | 5 | |||||
|
|
|
| |||||
Total Assets | 1,107,568 | 388,496 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Fund shares redeemed | 2,417 | 423 | ||||||
Variation margin on centrally cleared swaps | — | 729 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 289 | 93 | ||||||
Administration fees | 59 | 10 | ||||||
Distribution fees | 11 | 11 | ||||||
Service fees | 56 | 31 | ||||||
Custodian and accounting fees | 14 | 54 | ||||||
Other | 73 | 94 | ||||||
|
|
|
| |||||
Total Liabilities | 2,919 | 1,445 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,104,649 | $ | 387,051 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 375,641 | $ | 521,555 | ||||
Total distributable earnings (loss) | 729,008 | (134,504 | ) | |||||
|
|
|
| |||||
Total Net Assets | $ | 1,104,649 | $ | 387,051 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 23,749 | $ | 35,062 | ||||
Class C | 11,372 | 5,621 | ||||||
Class I | 600,234 | 319,288 | ||||||
Class R6 | 469,294 | 27,080 | ||||||
|
|
|
| |||||
Total | $ | 1,104,649 | $ | 387,051 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 685 | 4,098 | ||||||
Class C | 332 | 659 | ||||||
Class I | 17,204 | 37,233 | ||||||
Class R6 | 13,449 | 3,159 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 34.67 | $ | 8.56 | ||||
Class C — Offering price per share (b) | 34.25 | 8.54 | ||||||
Class I — Offering and redemption price per share | 34.89 | 8.58 | ||||||
Class R6 — Offering and redemption price per share | 34.90 | 8.57 | ||||||
Class A maximum sales charge | 5.25 | % | 3.75 | % | ||||
Class A maximum public offering price per share | $ | 36.59 | $ | 8.89 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 487,704 | $ | 349,472 | ||||
Cost of investments in affiliates | 2,769 | 6,122 |
(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.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 23 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income fromnon-affiliates | $ | — | $ | 9,340 | ||||
Interest income from affiliates | — | (a) | 10 | |||||
Dividend income fromnon-affiliates | 8,990 | — | ||||||
Dividend income from affiliates | 37 | 40 | ||||||
|
|
|
| |||||
Total investment income | 9,027 | 9,390 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 2,107 | 1,131 | ||||||
Administration fees | 451 | 242 | ||||||
Distribution fees: | ||||||||
Class A | 31 | 48 | ||||||
Class C | 43 | 27 | ||||||
Service fees: | ||||||||
Class A | 31 | 48 | ||||||
Class C | 15 | 9 | ||||||
Class I | 734 | 467 | ||||||
Custodian and accounting fees | 17 | 56 | ||||||
Interest expense to affiliates | — | 4 | ||||||
Professional fees | 33 | 52 | ||||||
Collateral management fees | — | 6 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 14 | ||||||
Printing and mailing costs | 45 | 6 | ||||||
Registration and filing fees | 40 | 38 | ||||||
Transfer agency fees (See Note 2.F.) | 11 | 5 | ||||||
Other | 10 | 38 | ||||||
|
|
|
| |||||
Total expenses | 3,582 | 2,191 | ||||||
|
|
|
| |||||
Less fees waived | (489 | ) | (585 | ) | ||||
Less expense reimbursements | (2 | ) | — | |||||
|
|
|
| |||||
Net expenses | 3,091 | 1,606 | ||||||
|
|
|
| |||||
Net investment income (loss) | 5,936 | 7,784 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments innon-affiliates | 117,376 | 21,018 | ||||||
Investments in affiliates | (8 | ) | (2 | ) | ||||
Swaps | — | (52,355 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 117,368 | (31,339 | ) | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments innon-affiliates | (99,513 | ) | (34,155 | ) | ||||
Investments in affiliates | 3 | — | (a) | |||||
Swaps | — | 24,595 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (99,510 | ) | (9,560 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 17,858 | (40,899 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 23,794 | $ | (33,115 | ) | |||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 5,936 | $ | 14,058 | $ | 7,784 | $ | 22,506 | ||||||||
Net realized gain (loss) | 117,368 | 88,126 | (31,339 | ) | (20,583 | ) | ||||||||||
Change in net unrealized appreciation/depreciation | (99,510 | ) | 66,019 | (9,560 | ) | 27,565 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 23,794 | 168,203 | (33,115 | ) | 29,488 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (1,649 | ) | (899 | ) | (437 | ) | (838 | ) | ||||||||
Class C | (710 | ) | (362 | ) | (63 | ) | (260 | ) | ||||||||
Class I | (38,180 | ) | (43,309 | ) | (4,706 | ) | (10,392 | ) | ||||||||
Class R6 | (41,667 | ) | (5,174 | ) | (2,745 | ) | (11,582 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (82,206 | ) | (49,744 | ) | (7,951 | ) | (23,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (111,429 | ) | (245,851 | ) | (320,717 | ) | (309,257 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (169,841 | ) | (127,392 | ) | (361,783 | ) | (302,841 | ) | ||||||||
Beginning of period | 1,274,490 | 1,401,882 | 748,834 | 1,051,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,104,649 | $ | 1,274,490 | $ | 387,051 | $ | 748,834 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 25 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 4,231 | $ | 5,356 | $ | 7,269 | $ | 19,087 | ||||||||
Distributions reinvested | 1,646 | 898 | 415 | 811 | ||||||||||||
Cost of shares redeemed | (6,266 | ) | (8,379 | ) | (9,370 | ) | (13,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (389 | ) | $ | (2,125 | ) | $ | (1,686 | ) | $ | 6,659 | |||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,653 | $ | 1,868 | $ | 406 | $ | 1,028 | ||||||||
Distributions reinvested | 710 | 362 | 47 | 199 | ||||||||||||
Cost of shares redeemed | (1,634 | ) | (4,064 | ) | (2,679 | ) | (11,318 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 729 | $ | (1,834 | ) | $ | (2,226 | ) | $ | (10,091 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | $ | 124,024 | $ | 104,970 | $ | 48,881 | $ | 152,860 | ||||||||
Distributions reinvested | 37,180 | 42,748 | 3,506 | 7,702 | ||||||||||||
Cost of shares redeemed | (118,244 | ) | (932,134 | ) | (88,072 | ) | (189,974 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | $ | 42,960 | $ | (784,416 | ) | $ | (35,685 | ) | $ | (29,412 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 18,541 | $ | 698,978 | $ | 11,089 | $ | 14,869 | ||||||||
Distributions reinvested | 41,553 | 5,168 | 2,726 | 11,527 | ||||||||||||
Cost of shares redeemed | (214,823 | ) | (161,622 | ) | (294,935 | ) | (302,809 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | (154,729 | ) | $ | 542,524 | $ | (281,120 | ) | $ | (276,413 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (111,429 | ) | $ | (245,851 | ) | $ | (320,717 | ) | $ | (309,257 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 123 | 159 | 790 | 2,056 | ||||||||||||
Reinvested | 45 | 28 | 45 | 88 | ||||||||||||
Redeemed | (179 | ) | (255 | ) | (1,045 | ) | (1,431 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (11 | ) | (68 | ) | (210 | ) | 713 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 48 | 54 | 44 | 112 | ||||||||||||
Reinvested | 20 | 12 | 5 | 21 | ||||||||||||
Redeemed | (48 | ) | (122 | ) | (296 | ) | (1,225 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 20 | (56 | ) | (247 | ) | (1,092 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 3,762 | 3,100 | 5,295 | 16,503 | ||||||||||||
Reinvested | 1,022 | 1,324 | 384 | 830 | ||||||||||||
Redeemed | (3,418 | ) | (29,095 | ) | (9,942 | ) | (20,535 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 1,366 | (24,671 | ) | (4,263 | ) | (3,202 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 549 | 22,042 | 1,180 | 1,596 | ||||||||||||
Reinvested | 1,140 | 146 | 292 | 1,244 | ||||||||||||
Redeemed | (5,797 | ) | (4,631 | ) | (32,400 | ) | (32,639 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (4,108 | ) | 17,557 | (30,928 | ) | (29,799 | ) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 27 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Tax Aware Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 36.83 | $ | 0.10 | $ | 0.08 | $ | 0.18 | $ | (0.10 | ) | $ | (2.24 | ) | $ | (2.34 | ) | |||||||||||
Year Ended October 31, 2019 | 33.50 | 0.23 | 4.28 | 4.51 | (0.25 | ) | (0.93 | ) | (1.18 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 34.41 | 0.17 | 1.46 | 1.63 | (0.18 | ) | (2.36 | ) | (2.54 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 28.82 | 0.17 | 6.87 | 7.04 | (0.19 | ) | (1.26 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 29.60 | 0.20 | 0.47 | 0.67 | (0.22 | ) | (1.23 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended October 31, 2015 | 29.01 | 0.20 | 1.41 | 1.61 | (0.21 | ) | (0.81 | ) | (1.02 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 36.42 | 0.01 | 0.09 | 0.10 | (0.03 | ) | (2.24 | ) | (2.27 | ) | ||||||||||||||||||
Year Ended October 31, 2019 | 33.17 | 0.07 | 4.22 | 4.29 | (0.11 | ) | (0.93 | ) | (1.04 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 34.13 | — | (f) | 1.44 | 1.44 | (0.04 | ) | (2.36 | ) | (2.40 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 28.62 | 0.01 | 6.83 | 6.84 | (0.07 | ) | (1.26 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 29.43 | 0.06 | 0.46 | 0.52 | (0.10 | ) | (1.23 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended October 31, 2015 | 28.88 | 0.05 | 1.40 | 1.45 | (0.09 | ) | (0.81 | ) | (0.90 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 37.05 | 0.17 | 0.09 | 0.26 | (0.18 | ) | (2.24 | ) | (2.42 | ) | ||||||||||||||||||
Year Ended October 31, 2019 | 33.67 | 0.40 | 4.28 | 4.68 | (0.37 | ) | (0.93 | ) | (1.30 | ) | ||||||||||||||||||
Year Ended October 31, 2018 | 34.57 | 0.32 | 1.45 | 1.77 | (0.31 | ) | (2.36 | ) | (2.67 | ) | ||||||||||||||||||
Year Ended October 31, 2017 | 28.94 | 0.31 | 6.91 | 7.22 | (0.33 | ) | (1.26 | ) | (1.59 | ) | ||||||||||||||||||
Year Ended October 31, 2016 | 29.70 | 0.34 | 0.46 | 0.80 | (0.33 | ) | (1.23 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended October 31, 2015 | 29.10 | 0.34 | 1.39 | 1.73 | (0.32 | ) | (0.81 | ) | (1.13 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 37.06 | 0.19 | 0.09 | 0.28 | (0.20 | ) | (2.24 | ) | (2.44 | ) | ||||||||||||||||||
Year Ended October 31, 2019 | 33.68 | 0.38 | 4.33 | 4.71 | (0.40 | ) | (0.93 | ) | (1.33 | ) | ||||||||||||||||||
October 1, 2018 (g) through October 31, 2018 | 37.04 | 0.01 | (3.37 | ) | (3.36 | ) | — | — | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 34.67 | 0.24 | % | $ | 23,749 | 0.95 | % | 0.55 | % | 0.97 | % | 15 | % | |||||||||||||
36.83 | 13.99 | 25,640 | 0.96 | 0.67 | 0.98 | 14 | ||||||||||||||||||||
33.50 | 4.83 | 25,594 | 0.96 | 0.50 | 0.96 | 38 | ||||||||||||||||||||
34.41 | 25.25 | 20,140 | 0.99 | 0.53 | 0.99 | 28 | ||||||||||||||||||||
28.82 | 2.47 | 13,971 | 1.03 | 0.71 | 1.03 | 41 | ||||||||||||||||||||
29.60 | 5.71 | 12,164 | 0.99 | 0.70 | 0.99 | 59 | ||||||||||||||||||||
34.25 | 0.01 | 11,372 | 1.45 | 0.05 | 1.46 | 15 | ||||||||||||||||||||
36.42 | 13.42 | 11,345 | 1.44 | 0.19 | 1.46 | 14 | ||||||||||||||||||||
33.17 | 4.31 | 12,197 | 1.46 | (0.01 | ) | 1.47 | 38 | |||||||||||||||||||
34.13 | 24.65 | 8,988 | 1.48 | 0.04 | 1.48 | 28 | ||||||||||||||||||||
28.62 | 1.95 | 5,729 | 1.52 | 0.21 | 1.52 | 41 | ||||||||||||||||||||
29.43 | 5.18 | 4,680 | 1.50 | 0.16 | 1.50 | 59 | ||||||||||||||||||||
34.89 | 0.46 | 600,234 | 0.55 | 0.95 | 0.70 | 15 | ||||||||||||||||||||
37.05 | 14.45 | 586,825 | 0.55 | 1.16 | 0.71 | 14 | ||||||||||||||||||||
33.67 | 5.26 | 1,364,073 | 0.55 | 0.91 | 0.70 | 38 | ||||||||||||||||||||
34.57 | 25.82 | 1,244,869 | 0.55 | 0.99 | 0.65 | 28 | ||||||||||||||||||||
28.94 | 2.94 | 1,068,546 | 0.55 | 1.19 | 0.56 | 41 | ||||||||||||||||||||
29.70 | 6.16 | 1,265,581 | 0.55 | 1.16 | 0.55 | 59 | ||||||||||||||||||||
34.90 | 0.51 | 469,294 | 0.44 | 1.07 | 0.45 | 15 | ||||||||||||||||||||
37.06 | 14.55 | 650,680 | 0.44 | 1.08 | 0.46 | 14 | ||||||||||||||||||||
33.68 | (9.07 | ) | 18 | 0.44 | 0.31 | 0.48 | 38 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 29 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | Total return (excludes sales charge) (c)(d) | ||||||||||||||||||||||
JPMorgan Tax Aware Real Return Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 9.25 | $ | 0.10 | $ | (0.69 | ) | $ | (0.59 | ) | $ | (0.10 | ) | $ | 8.56 | (6.40 | )% | |||||||||||
Year Ended October 31, 2019 | 9.19 | 0.22 | 0.07 | 0.29 | (0.23 | ) | 9.25 | 3.14 | ||||||||||||||||||||
Year Ended October 31, 2018 | 9.46 | 0.23 | (0.26 | ) | (0.03 | ) | (0.24 | ) | 9.19 | (0.36 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 9.59 | 0.23 | (0.13 | ) | 0.10 | (0.23 | ) | 9.46 | 1.12 | |||||||||||||||||||
Year Ended October 31, 2016 | 9.49 | 0.24 | 0.10 | 0.34 | (0.24 | ) | 9.59 | 3.64 | ||||||||||||||||||||
Year Ended October 31, 2015 | 10.01 | 0.25 | (0.51 | ) | (0.26 | ) | (0.26 | ) | 9.49 | (2.59 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 9.23 | 0.07 | (0.68 | ) | (0.61 | ) | (0.08 | ) | 8.54 | (6.65 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 9.17 | 0.17 | 0.07 | 0.24 | (0.18 | ) | 9.23 | 2.60 | ||||||||||||||||||||
Year Ended October 31, 2018 | 9.43 | 0.18 | (0.25 | ) | (0.07 | ) | (0.19 | ) | 9.17 | (0.76 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 9.57 | 0.19 | (0.14 | ) | 0.05 | (0.19 | ) | 9.43 | 0.50 | |||||||||||||||||||
Year Ended October 31, 2016 | 9.47 | 0.18 | 0.10 | 0.28 | (0.18 | ) | 9.57 | 2.98 | ||||||||||||||||||||
Year Ended October 31, 2015 | 9.98 | 0.19 | (0.50 | ) | (0.31 | ) | (0.20 | ) | 9.47 | (3.16 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 9.27 | 0.11 | (0.68 | ) | (0.57 | ) | (0.12 | ) | 8.58 | (6.27 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 9.21 | 0.24 | 0.07 | 0.31 | (0.25 | ) | 9.27 | 3.38 | ||||||||||||||||||||
Year Ended October 31, 2018 | 9.48 | 0.26 | (0.27 | ) | (0.01 | ) | (0.26 | ) | 9.21 | (0.10 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 9.61 | 0.26 | (0.13 | ) | 0.13 | (0.26 | ) | 9.48 | 1.35 | |||||||||||||||||||
Year Ended October 31, 2016 | 9.51 | 0.26 | 0.11 | 0.37 | (0.27 | ) | 9.61 | 3.89 | ||||||||||||||||||||
Year Ended October 31, 2015 | 10.03 | 0.27 | (0.50 | ) | (0.23 | ) | (0.29 | ) | 9.51 | (2.33 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 9.27 | 0.12 | (0.70 | ) | (0.58 | ) | (0.12 | ) | 8.57 | (6.33 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 9.21 | 0.25 | 0.07 | 0.32 | (0.26 | ) | 9.27 | 3.49 | ||||||||||||||||||||
Year Ended October 31, 2018 | 9.48 | 0.27 | (0.27 | ) | — | (f) | (0.27 | ) | 9.21 | 0.00 | (g) | |||||||||||||||||
Year Ended October 31, 2017 | 9.61 | 0.26 | (0.12 | ) | 0.14 | (0.27 | ) | 9.48 | 1.47 | |||||||||||||||||||
Year Ended October 31, 2016 | 9.51 | 0.27 | 0.11 | 0.38 | (0.28 | ) | 9.61 | 3.99 | ||||||||||||||||||||
Year Ended October 31, 2015 | 10.03 | 0.28 | (0.50 | ) | (0.22 | ) | (0.30 | ) | 9.51 | (2.24 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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| Ratios/Supplemental data | |||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||
Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||
$ | 35,062 | 0.76 | % | 2.13 | % | 1.00 | % | 7 | % | |||||||||
39,846 | 0.76 | 2.32 | 0.99 | 4 | ||||||||||||||
33,051 | 0.74 | 2.47 | 0.98 | 30 | ||||||||||||||
56,720 | 0.73 | 2.47 | 0.97 | 20 | ||||||||||||||
47,268 | 0.75 | 2.50 | 0.98 | 7 | ||||||||||||||
56,660 | 0.75 | 2.58 | 0.97 | 18 | ||||||||||||||
5,621 | 1.26 | 1.64 | 1.50 | 7 | ||||||||||||||
8,353 | 1.26 | 1.85 | 1.48 | 4 | ||||||||||||||
18,315 | 1.24 | 1.97 | 1.48 | 30 | ||||||||||||||
26,545 | 1.23 | 1.98 | 1.49 | 20 | ||||||||||||||
33,016 | 1.40 | 1.85 | 1.50 | 7 | ||||||||||||||
42,843 | 1.40 | 1.93 | 1.49 | 18 | ||||||||||||||
319,288 | 0.51 | 2.39 | 0.75 | 7 | ||||||||||||||
384,626 | 0.51 | 2.58 | 0.73 | 4 | ||||||||||||||
411,760 | 0.49 | 2.72 | 0.73 | 30 | ||||||||||||||
323,320 | 0.48 | 2.74 | 0.65 | 20 | ||||||||||||||
1,144,534 | 0.50 | 2.75 | 0.57 | 7 | ||||||||||||||
1,302,381 | 0.50 | 2.83 | 0.56 | 18 | ||||||||||||||
27,080 | 0.41 | 2.52 | 0.49 | 7 | ||||||||||||||
316,009 | 0.41 | 2.70 | 0.48 | 4 | ||||||||||||||
588,549 | 0.39 | 2.82 | 0.48 | 30 | ||||||||||||||
1,112,857 | 0.38 | 2.75 | 0.47 | 20 | ||||||||||||||
197,981 | 0.40 | 2.84 | 0.46 | 7 | ||||||||||||||
183,464 | 0.40 | 2.93 | 0.45 | 18 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 31 |
Table of Contents
AS OF APRIL 30, 2020 (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 anopen-end management investment company.
The following are 2 separate funds of the Trust (each a “Fund” and collectively, the “Funds”) covered by this report:
Classes Offered | Diversification Classification | |||
JPMorgan Tax Aware Equity Fund | Class A, Class C, Class I and Class R6 | Diversified | ||
JPMorgan Tax Aware Real Return Fund | Class A, Class C, Class I and Class R6 | Diversified |
The investment objective of JPMorgan Tax Aware Equity Fund (“Tax Aware Equity Fund”) is to seek to provide highafter-tax total return from a portfolio of selected equity securities.
The investment objective of JPMorgan Tax Aware Real Return Fund (“Tax Aware Real Return Fund”) is to seek to maximizeafter-tax inflation protected return.
Class A Shares generally provide for afront-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 whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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 Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Swaps are valued utilizing market quotations from approved Pricing Services.
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.
32 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Tax Aware Equity Fund
Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 1,105,168 | $ | — | $ | — | $ | 1,105,168 | ||||||||
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Tax Aware Real Return Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
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Municipal Bonds | $ | — | $ | 363,789 | $ | — | $ | 363,789 | ||||||||
Short-Term Investments |
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Investment Companies | 6,122 | — | — | 6,122 | ||||||||||||
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Total Investments in Securities | $ | 6,122 | $ | 363,789 | $ | — | $ | 369,911 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Swaps | $ | — | $ | 4,103 | $ | — | $ | 4,103 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Swaps | $ | — | $ | (848 | ) | $ | — | $ | (848 | ) | ||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the
APRIL 30, 2020 | J.P. MORGAN TAX AWARE FUNDS | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
The Funds did not lend out any securities during the six months ended April 30, 2020.
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the tables below are in thousands.
Tax Aware Equity Fund
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.69% (a) (b) | $ | 1,620 | $ | 154,358 | $ | 153,201 | $ | (8 | ) | $ | 3 | $ | 2,772 | 2,769 | $ | 37 | $ | — | ||||||||||||||||||
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Tax Aware Real Return Fund
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.25% (a) (b) | $ | 9,622 | $ | 193,445 | $ | 196,943 | $ | (2 | ) | $ | — | (c) | $ | 6,122 | 6,118 | $ | 40 | $ | — | |||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of April 30, 2020. |
(c) | Amount rounds to less than one thousand. |
D. Swaps — Tax Aware Real Return Fund engaged in inflation-linked swaps to provide inflation protection within its portfolio. Swap transactions are contracts negotiatedover-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
Inflation-Linked Swaps
Tax Aware Real Return Fund used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is apre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
34 | J.P. MORGAN TAX AWARE FUNDS | APRIL 30, 2020 |
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The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the potential lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.
Tax Aware Real Return 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 apre-determined percentage or fall below apre-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 the counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and 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 offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
The Fund’s swap contracts are subject to master netting arrangements.
The table below discloses the volume of the Fund’s swap activity during the six months ended April 30, 2020 (amounts in thousands):
Interest Rate-Related Swaps (Inflation-Linked Swaps) | Tax Aware Real Return Fund | |||
Average Notional Balance — Pays Fixed Rate | $ | 565,456 | ||
Ending Notional Balance — Pays Fixed Rate | 296,208 |
E. 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 theex-dividend date or when a Fund first learns of the dividend.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency andsub-transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2020 are as follows (amounts in thousands):
Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
Tax Aware Equity Fund | ||||||||||||||||||||
Transfer agency fees | $ | 2 | $ | 1 | $ | 6 | $ | 2 | $ | 11 | ||||||||||
Tax Aware Real Return Fund | ||||||||||||||||||||
Transfer agency fees | 1 | — | (a) | 2 | 2 | 5 |
(a) | Amount rounds to less than one thousand. |
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Tax Aware Equity Fund generally declares and pays distributions from net investment income quarterly. Tax Aware Real Return Fund generally declares and pays distributions from net investment income monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Tax Aware Equity Fund | 0.35 | % | ||
Tax Aware Real Return Fund | 0.35 |
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 each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2020, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.G.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds pursuant to Rule12b-1 under the 1940 Act. The Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | |||||||
Tax Aware Equity Fund | 0.25 | % | 0.75 | % | ||||
Tax Aware Real Return Fund | 0.25 | 0.75 |
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended April 30, 2020, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||||||
Tax Aware Equity Fund | $ | 4 | $ | — | (a) | |||
Tax Aware Real Return Fund | 1 | — |
(a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | ||||||||||
Tax Aware Equity Fund | 0.25 | % | 0.25 | % | 0.25 | % | ||||||
Tax Aware Real Return Fund | 0.25 | 0.25 | 0.25 |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.G.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
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Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Collateral Management Fees — JPMCB provides derivatives collateral management services for Tax Aware Real Return Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statements of Operations.
G. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R6 | |||||||||||||
Tax Aware Equity Fund | n/a | n/a | 0.55 | % | 0.44 | % | ||||||||||
Tax Aware Real Return Fund | 0.75 | % | 1.25 | % | 0.50 | 0.40 |
The expense limitation agreements were in effect for the six months ended April 30, 2020 and are in place until at least February 28, 2021.
For the six months ended April 30, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | ||||||||||||||||
Tax Aware Equity Fund | $ | 41 | $ | 28 | $ | 417 | $ | 486 | $ | 2 | ||||||||||
Tax Aware Real Return Fund | 161 | 107 | 314 | 582 | — |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2020 were as follows (amounts in thousands):
Tax Aware Equity Fund | $ | 3 | ||
Tax Aware Real Return Fund | 3 |
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 Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds 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 April 30, 2020, 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) | |||||||
Tax Aware Equity Fund | $ | 177,811 | $ | 366,062 | ||||
Tax Aware Real Return Fund | 40,765 | 377,058 |
During the six months ended April 30, 2020, there were no purchases or sales of U.S. Government securities.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2020 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Tax Aware Equity Fund | $ | 490,473 | $ | 615,323 | $ | 628 | $ | 614,695 | ||||||||
Tax Aware Real Return Fund | 355,594 | 21,417 | 3,845 | 17,572 |
At October 31, 2019, the following Fund had net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Tax Aware Real Return Fund | $ | 120,504 | $ | — |
During the year ended October 31, 2019, the following Fund had expired capital loss carryforwards as follows (amounts in thousands):
2019 | ||||
Tax Aware Real Return Fund | $ | 124 |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the six months ended April 30, 2020. Average borrowings from the Facility during the six months ended April 30, 2020, were as follows (amounts in thousands, except number of days outstanding):
Average Borrowings | Average Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Tax Aware Real Return Fund | $ | 3,258 | 1.83 | % | 5 | $ | 1 |
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2020.
The Trust along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2020.
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7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2020, the Funds had individual shareholder and/or omnibus accounts which owed more than 10% of the respective Fund’s outstanding shares as follows:
Number of individual shareholder and/or Affiliated Omnibus Accounts | % of the Fund | Number of Omnibus Accounts | % of the Fund | |||||||||||||
Tax Aware Equity Fund | 1 | 50.5 | % | 1 | 29.3 | % | ||||||||||
Tax Aware Real Return Fund | 1 | 20.5 | 3 | 58.9 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
Tax Aware Real Return Fund invests primarily in a portfolio of municipal debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Funds 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. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Funds’ yield (and total return) also may be low or the Funds may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak ofCOVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of thisCOVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate otherpre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of thisCOVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, November 1, 2019, and continued to hold your shares at the end of the reporting period, April 30, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Tax Aware Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.40 | $ | 4.73 | 0.95 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 7.21 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,004.60 | 2.74 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,005.10 | 2.19 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.21 | 0.44 | ||||||||||||
JPMorgan Tax Aware Real Return Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 936.00 | 3.66 | 0.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.82 | 0.76 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 933.50 | 6.06 | 1.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.32 | 1.26 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 937.30 | 2.46 | 0.51 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.33 | 2.56 | 0.51 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 936.70 | 1.97 | 0.41 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.82 | 2.06 | 0.41 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM.
There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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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. at1-800-480-4111 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 at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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 Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co and its affiliates worldwide.
© JPMorgan Chase & Co., 2020. All rights reserved. April 2020. | SAN-TA-420 |
Table of Contents
Semi-Annual Report
J.P. Morgan Funds
April 30, 2020 (Unaudited)
JPMorgan Global Allocation Fund
JPMorgan Income Builder Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
Table of Contents
Letter to Shareholders | 1 | |||
Market Overview | 2 | |||
Fund Commentaries: | ||||
3 | ||||
7 | ||||
Schedules of Portfolio Investments | 9 | |||
Financial Statements | 132 | |||
Financial Highlights | 140 | |||
Notes to Financial Statements | 146 | |||
Schedule of Shareholder Expenses | 172 | |||
Liquidity Risk Management Program | 174 |
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. 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 any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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June 11, 2020 (Unaudited)
Dear Shareholders,
Many have faced significant challenges since my last letter, whether related to the COVID-19 pandemic or the recent acts of racism and discrimination around the world. While many have endured uncertainty and abrupt changes in their personal and professional lives related to these challenges, you can be confident that J.P. Morgan Asset Management is well-prepared for adverse events and is taking action to ensure that our clients and mutual fund shareholders continue to receive the service that is the foundation of our enterprise.
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“Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions.” — Andrea L. Lisher |
Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions. While our own employees transitioned to working from home, they worked tirelessly to
guide our clients and shareholders through this unprecedented time. We are here for you — our clients and fund shareholders — regardless of the economic, market or social and civic environment. That’s how we have always operated and we will not waiver in that commitment.
JPMorgan Chase & Co. has also recommitted its firm stance against any form of racism, discrimination, or social injustice. As Brian Lamb, Global Head of Diversity & Inclusion, recently said, “We are working across the entire firm — being intentional to strengthen our inclusive environment where our employees, customers and partners feel welcomed and valued in the communities where we do business.” To learn more, please visit JPMorgan Chase & Co.’s Diversity & Inclusion website.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
APRIL 30, 2020 | J.P. MORGAN FUNDS | 1 |
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J.P. Morgan Funds
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
While developed markets equity generally rallied in the final months of 2019, the global response to the COVID-19 pandemic led to a dramatic increase in financial market volatility and drove asset prices sharply lower in February and March of 2020 before equity prices posted a small rebound in April 2020.
Global equity markets, led by the U.S. and Europe, largely recorded gains for the final two months of 2019 on the back of accommodative policies from leading central banks and investor expectations of a reduction in trade tensions. Even as economic data showed slowing or flat growth in China, Europe and the U.S. in the final quarter of 2019, there were no indicators that the longest recorded economic expansion in the U.S. would necessarily end. In the second half of December 2019, the U.S. and China reached a “Phase One” agreement that reduced trade tariffs and headed off the implementation of new tariffs. Combined with less aggressive U.S. trade rhetoric toward Mexico and toward European and Japanese auto industries, the U.S.-China trade agreement fueled price gains in developed equity markets.
In the U.K., the Conservative Party won a large majority in national elections in December 2019, which appeared to remove investor concerns about the possibility of a non-negotiated “hard Brexit” departure from the EU. Equity prices in the U.K. and the British pound briefly rallied on the election results.
Early January 2020 saw continued investor support for global equity that weathered a brief flare up in military tension between the U.S. and Iran. However, investor sentiment began to turn as the outbreak of COVID-19 began to impact large parts of China’s economy. Emerging markets equity led a slump in global equity markets and U.S. and European government bonds largely gained. Notably, prices for benchmark Brent crude oil plummeted 11.9% in January amid shrinking demand from China and other economies hit by the pandemic.
U.S. equity prices found support in early February 2020 as companies began to report better-than-expected earnings from the final quarter of 2019. By the end of the month, global equity prices had fallen significantly and global demand for petroleum had declined for the first time since the 2009 financial crisis. China’s central bank responded to the impact of COVID-19 by cutting the prime lending rate and regional authorities across China enacted a range of actions to counter the sharp drop in economic activity. By the end of February, yields on benchmark 10-year U.S. Treasury bonds had fallen to a record low 1.1% as investors sought the perceived safety of government-backed bonds.
The month of March 2020 proved to be worse for global equity and a range of other asset classes as COVID-19 was declared a pandemic and national, regional and municipal governments implemented at-home quarantines and a range of other actions designed to prevent hospitals and health care systems from being overwhelmed. The U.S. Federal Reserve slashed interest rates, restarted its quantitative easing or asset purchasing program, and unleashed an array of programs to maintain liquidity and functioning in short-term commercial debt markets. The European Central Bank also stepped in to shore up economic activity via negative interest rates and a commitment to continue purchasing assets until no longer necessary. Statements of broad support from both central banks, along with fiscal stimulus and/or wage protection policies from national governments across the globe, helped to reduce record high volatility in financial markets. However, leading equity indexes lost 20% or more of their value during the first quarter of 2020. Corporate bond prices generally fell and the prices of Brent crude oil ended the first quarter down by 60%. Only developed market sovereign bonds and commodity gold experienced price appreciation in March 2020.
Global equity markets rebounded slightly in April 2020 and fixed income markets rallied somewhat as investors reacted positively to the actions of central banks and national governments to mitigate the economic impact of the pandemic. Price gains were seen in large cap technology stocks and pharmaceutical sector stocks. Fixed income investments benefitted from accommodative central bank policies and high quality corporate credit outperformed government bonds for the month. However, a glut in global petroleum markets sent futures prices for benchmark West Texas Intermediate crude oil into negative territory.
For the six months ended April 30, 2020, the S&P 500 Index returned -3.16%, the MSCI EAFE Index returned -14.00% and the MSCI EME Index returned 10.39%. Among bond market indexes, the Bloomberg Barclays U.S. Aggregate Index returned 4.86% and the Bloomberg Barclays Emerging Markets Index returned -5.69%.
2 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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JPMorgan Global Allocation Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (6.58)% | |||
MSCI World Index (net of foreign withholding taxes) | (7.29)% | |||
Bloomberg Barclays Global Aggregate Index (Unhedged USD) | 1.45% | |||
Global Allocation Composite Benchmark | (3.51)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $3,385,365 |
INVESTMENT OBJECTIVE**
The JPMorgan Global Allocation Fund (the “Fund”) seeks to maximize long-term total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the six months ended April 30, 2020, the Fund’s Class I Shares outperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and underperformed the Bloomberg Barclays Global Aggregate Index (Unhedged USD) and the Global Allocation Composite Benchmark (the “Composite Benchmark”), which consists of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays Global Aggregate Index.
During the reporting period, the Fund’s allocation to government bonds in the U.S. and elsewhere was a leading contributor to performance relative to the Benchmark, which is an equity index and holds no bonds.
Relative to the Composite Benchmark, the Fund’s allocations to corporate andnon-corporate bonds, including U.S. high yield bonds (also known as “junk bonds”) andnon-agency securitized
credit, were leading detractors from performance, mainly due to sharp sell-offs in those assets in March 2020.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers reduced the overall equity allocation from the end of 2019 but retained the Fund’s bias toward U.S. equity over other developed market and emerging market equity. Amid increased financial market volatility and declines in equity prices, the portfolio managers increased the Fund’s overall duration through futures in U.S. Treasury bonds and other developed market government bonds. Generally, a portfolio of bonds with longer duration will experience greater price appreciation when interest rates decline compared with shorter duration bonds.
Following the U.S. Federal Reserve’s commitment in February to purchase debt securities in primary and secondary markets to bolster liquidity and the continued flow of credit, the portfolio managers increased the Fund’s allocation to U.S. investment grade corporate bonds, which generally provide higher yields than government bonds.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 3 |
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JPMorgan Global Allocation Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
TOP TEN LONG HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | U.S. Treasury Notes, 2.50%, 1/31/21 | 2.2 | % | |||||
2. | Microsoft Corp. | 1.0 | ||||||
3. | Amazon.com, Inc. | 0.9 | ||||||
4. | Nestle SA (Registered) (Switzerland) | 0.8 | ||||||
5. | Alibaba Group Holding Ltd., ADR (China) | 0.7 | ||||||
6. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 0.7 | ||||||
7. | UnitedHealth Group, Inc. | 0.6 | ||||||
8. | Alphabet, Inc., Class C | 0.6 | ||||||
9. | Apple, Inc. | 0.6 | ||||||
10. | Tencent Holdings Ltd. (China) | 0.5 |
TOP TEN SHORT HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | WABCO Holdings, Inc. | 16.4 | % | |||||
2. | Target Corp. | 9.2 | ||||||
3. | Motorola Solutions, Inc. | 8.9 | ||||||
4. | Legg Mason, Inc. | 8.4 | ||||||
5. | Comcast Corp., Class A | 6.9 | ||||||
6. | SPDR S&P 500 ETF Trust | 6.4 | ||||||
7. | Walt Disney Co. (The) | 6.3 | ||||||
8. | Tech Data Corp. | 6.1 | ||||||
9. | Franklin Resources, Inc. | 5.0 | ||||||
10. | Ford Motor Co. | 4.7 |
LONG POSITION PORTFOLIO COMPOSITION*** | ||||
Common Stocks | 45.0 | % | ||
Corporate Bonds | 17.2 | |||
Foreign Government Securities | 12.6 | |||
Asset-Backed Securities | 4.4 | |||
Collateralized Mortgage Obligations | 4.2 | |||
Commercial Mortgage-Backed Securities | 4.0 | |||
U.S. Treasury Obligation | 2.2 | |||
Others (each less than 1.0%) | 0.8 | |||
Short-Term Investments | 9.6 |
SHORT POSITION PORTFOLIO COMPOSITION**** | ||||
Common Stocks | 93.6 | % | ||
Exchange-Traded Funds | 6.4 |
* | The return shown is based on the 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
**** | Percentages indicated are based on total short investments as of April 30, 2020. The Fund’s portfolio composition is subject to change. |
4 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS A SHARES | May 31, 2011 | |||||||||||||||||
With Sales Charge** | (10.90 | )% | (8.66 | )% | 1.91 | % | 4.00 | % | ||||||||||
Without Sales Charge | (6.69 | ) | (4.33 | ) | 2.85 | 4.55 | ||||||||||||
CLASS C SHARES | May 31, 2011 | |||||||||||||||||
With CDSC*** | (7.93 | ) | (5.79 | ) | 2.35 | 4.03 | ||||||||||||
Without CDSC | (6.93 | ) | (4.79 | ) | 2.35 | 4.03 | ||||||||||||
CLASS I SHARES | May 31, 2011 | (6.58 | ) | (4.07 | ) | 3.11 | 4.81 | |||||||||||
CLASS R2 SHARES | May 31, 2011 | (6.84 | ) | (4.64 | ) | 2.56 | 4.26 | |||||||||||
CLASS R3 SHARES | October 1, 2018 | (6.76 | ) | (4.48 | ) | 2.81 | 4.52 | |||||||||||
CLASS R4 SHARES | October 1, 2018 | (6.62 | ) | (4.20 | ) | 3.07 | 4.79 | |||||||||||
CLASS R5 SHARES | October 1, 2018 | (6.57 | ) | (4.09 | ) | 3.12 | 4.82 | |||||||||||
CLASS R6 SHARES | November 1, 2017 | (6.52 | ) | (4.00 | ) | 3.17 | 4.84 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 4.50%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE(5/31/11 TO 4/30/20)
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 May 31, 2011.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class I Shares.
Returns for Class R3 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.
Returns for Class R4 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been lower than those shown because Class R4 Shares have higher expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Global Allocation Fund, the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index – (Unhedged USD) and the Global Allocation Composite Benchmark from May 31, 2011 to April 30, 2020. 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 MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index – (Unhedged USD) and the Global Allocation Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Global Allocation Composite Benchmark does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged
APRIL 30, 2020 | J.P. MORGAN FUNDS | 5 |
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JPMorgan Global Allocation Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
indexes that includes 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays Global Aggregate Index (Unhedged USD). The Bloomberg Barclays Global Aggregate Index – (Unhedged USD) provides a broad-based measure of the global investment-grade fixed income markets. Investors cannot invest directly in an index.
Subsequent to the inception date of the Fund through May 30, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
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 applicable inception date. Without these waivers and reimbursements, performance would have been lower.
Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
6 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | (8.77)% | |||
MSCI World Index (net of foreign withholding taxes) | (7.29)% | |||
Bloomberg Barclays U.S. Aggregate Index | 4.86% | |||
Income Builder Composite Benchmark | (2.15)% | |||
Net Assets as of 4/30/20 (In Thousands) | $11,889,642 |
INVESTMENT OBJECTIVE**
The JPMorgan Income Builder Fund (the “Fund”) seeks to maximize income while maintaining prospects for capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the six months ended April 30, 2020, the Fund’s Class A Shares, without a sales charge, underperformed the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Index and the Income Builder Composite Benchmark (the “Composite Benchmark”), which is comprised of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Index.
The Fund’s allocations to global equity andnon-government bonds were leading detractors from performance relative to the MSCI World Index, which is an equity index and holds no bonds. The Fund’s allocation to government agency securitized credit contributed to relative performance.
The Fund’s allocation to U.S. high yield bonds (also known as “junk bonds”) andnon-agency securitized credit detracted from performance relative to the Bloomberg Barclays U.S. Aggregate Index, which primarily contains U.S. government bonds, mainly due to sharp sell-offs in those assets in March 2020.
Relative to the Composite Index, the Fund’s higher allocations tonon-government bonds, including high yield bonds and securitized credit were leading detractors from performance as the U.S. government bond sector was one of the only sectors of the bond market that had positive performance during the reporting period.
HOW WAS THE FUND POSITIONED?
From the start of 2020, the Fund’s portfolio managers reduced the Fund’s overall equity exposure but maintained a bias toward U.S. equity. In March 2020, the Fund initiated a covered call position in the form of an equity-linked note on the S&P 500 to increase income amid record high volatility in U.S. equity markets as a result of theCOVID-19 pandemic. Following the U.S. Federal Reserve’s commitment to purchase debt securities in
primary and secondary markets to bolster liquidity and the continued flow of credit, the portfolio managers increased the Fund’s allocation to U.S. investment grade corporate bonds, which generally provide higher yields than government bonds.
TOP TEN LONG HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Credit Suisse AG, ELN, 10.00%, 6/16/2020, (linked to S&P 500 Index) | 2.3 | % | |||||
2. | Verizon Communications, Inc. | 0.7 | ||||||
3. | U.S. Treasury Notes, 2.50%, 1/31/21 | 0.7 | ||||||
4. | Prologis, Inc. | 0.6 | ||||||
5. | Coca-Cola Co. (The) | 0.6 | ||||||
6. | Merck & Co., Inc. | 0.5 | ||||||
7. | Bristol-Myers Squibb Co. | 0.5 | ||||||
8. | Procter & Gamble Co. (The) | 0.5 | ||||||
9. | Novartis AG (Registered) (Switzerland) | 0.5 | ||||||
10. | Roche Holding AG (Switzerland) | 0.4 |
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 36.9 | % | ||
Common Stocks | 32.9 | |||
Collateralized Mortgage Obligations | 6.9 | |||
Asset-Backed Securities | 4.1 | |||
Equity Linked Notes | 2.3 | |||
Loan Assignments | 2.2 | |||
Commercial Mortgage-Backed Securities | 2.2 | |||
Convertible Bonds | 1.4 | |||
Foreign Government Securities | 1.4 | |||
Others (each less than 1.0%) | 3.0 | |||
Short-Term Investments | 6.7 |
* | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN FUNDS | 7 |
Table of Contents
JPMorgan Income Builder Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS A SHARES | May 31, 2007 | |||||||||||||||||
With Sales Charge** | (12.91 | )% | (9.43 | )% | 1.55 | % | 4.84 | % | ||||||||||
Without Sales Charge | (8.77 | ) | (5.13 | ) | 2.49 | 5.32 | ||||||||||||
CLASS C SHARES | May 31, 2007 | |||||||||||||||||
With CDSC*** | (10.02 | ) | (6.63 | ) | 1.97 | 4.79 | ||||||||||||
Without CDSC | (9.02 | ) | (5.63 | ) | 1.97 | 4.79 | ||||||||||||
CLASS I SHARES | May 31, 2007 | (8.69 | ) | (5.08 | ) | 2.64 | 5.47 | |||||||||||
CLASS R6 SHARES | November 1, 2017 | (8.66 | ) | (5.00 | ) | 2.68 | 5.49 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 4.50%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(4/30/10 TO 4/30/20)
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. Forup-to-datemonth-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its 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 $10,000 invested in Class A Shares of the JPMorgan Income Builder Fund, the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Index and the Income Builder Composite Benchmark from April 30, 2010 to April 30, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Index and the Income Builder Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and have been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The MSCI World Index (net of foreign withholding taxes) assumes the dividend is reinvested after deduction of withholding tax, applying the maximum rate tonon-resident institutional investors who do not benefit from double taxation treaties. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is
designed to measure the equity market performance of developed markets. 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 Income Builder Composite Benchmark is a composite benchmark comprised of unmanaged indexes that includes 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Index. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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.
8 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — 102.9% |
| |||||||
Common Stocks — 46.3% |
| |||||||
Australia — 0.9% |
| |||||||
AGL Energy Ltd. | 16 | 179 | ||||||
Alumina Ltd. | 61 | 67 | ||||||
AMP Ltd. * | 83 | 77 | ||||||
APA Group | 29 | 207 | ||||||
Aristocrat Leisure Ltd. | 14 | 234 | ||||||
ASX Ltd. | 5 | 253 | ||||||
Aurizon Holdings Ltd. | 49 | 150 | ||||||
AusNet Services | 46 | 56 | ||||||
Australia & New Zealand Banking Group Ltd. | 71 | 771 | ||||||
Bendigo & Adelaide Bank Ltd. | 13 | 54 | ||||||
BHP Group Ltd. | 74 | 1,506 | ||||||
BHP Group plc | 301 | 5,058 | ||||||
BlueScope Steel Ltd. | 13 | 85 | ||||||
Boral Ltd. | 29 | 57 | ||||||
Brambles Ltd. | 40 | 283 | ||||||
Caltex Australia Ltd. | 6 | 100 | ||||||
Challenger Ltd. | 14 | 46 | ||||||
CIMIC Group Ltd. | 3 | 40 | ||||||
Coca-Cola Amatil Ltd. | 13 | 73 | ||||||
Cochlear Ltd. | 2 | 189 | ||||||
Coles Group Ltd. | 33 | 333 | ||||||
Commonwealth Bank of Australia | 44 | 1,791 | ||||||
Computershare Ltd. | 12 | 96 | ||||||
Crown Resorts Ltd. | 9 | 60 | ||||||
CSL Ltd. | 11 | 2,265 | ||||||
Dexus, REIT | 28 | 168 | ||||||
Flight Centre Travel Group Ltd. ‡ | 3 | 19 | ||||||
Fortescue Metals Group Ltd. | 34 | 263 | ||||||
Goodman Group, REIT | 41 | 349 | ||||||
GPT Group (The), REIT | 48 | 132 | ||||||
Harvey Norman Holdings Ltd. | 14 | 25 | ||||||
Incitec Pivot Ltd. | 40 | 62 | ||||||
Insurance Australia Group Ltd. | 57 | 214 | ||||||
LendLease Group | 14 | 112 | ||||||
Macquarie Group Ltd. | 8 | 559 | ||||||
Magellan Financial Group Ltd. | 3 | 104 | ||||||
Medibank Pvt Ltd. | 68 | 120 | ||||||
Mirvac Group, REIT | 97 | 141 | ||||||
National Australia Bank Ltd. | 72 | 791 | ||||||
Newcrest Mining Ltd. | 19 | 347 | ||||||
Oil Search Ltd. | 467 | 916 | ||||||
Orica Ltd. | 10 | 117 | ||||||
Origin Energy Ltd. | 44 | 157 | ||||||
Qantas Airways Ltd. | 18 | 45 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Australia — continued |
| |||||||
QBE Insurance Group Ltd. | 36 | 197 | ||||||
Ramsay Health Care Ltd. | 4 | 180 | ||||||
REA Group Ltd. | 1 | 75 | ||||||
Rio Tinto Ltd. | 9 | 524 | ||||||
Rio Tinto plc | 146 | 6,755 | ||||||
Santos Ltd. | 44 | 140 | ||||||
Scentre Group, REIT | 132 | 198 | ||||||
SEEK Ltd. | 8 | 93 | ||||||
Sonic Healthcare Ltd. | 11 | 197 | ||||||
South32 Ltd. | 125 | 157 | ||||||
Stockland, REIT | 59 | 110 | ||||||
Suncorp Group Ltd. | 31 | 186 | ||||||
Sydney Airport | 27 | 112 | ||||||
Tabcorp Holdings Ltd. | 50 | 105 | ||||||
Telstra Corp. Ltd. | 103 | 203 | ||||||
TPG Telecom Ltd. | 10 | 46 | ||||||
Transurban Group | 68 | 610 | ||||||
Treasury Wine Estates Ltd. | 18 | 117 | ||||||
Vicinity Centres, REIT | 83 | 80 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 3 | 37 | ||||||
Wesfarmers Ltd. | 28 | 687 | ||||||
Westpac Banking Corp. | 89 | 930 | ||||||
WiseTech Global Ltd. | 4 | 43 | ||||||
Woodside Petroleum Ltd. | 24 | 338 | ||||||
Woolworths Group Ltd. | 32 | 731 | ||||||
Worley Ltd. | 8 | 49 | ||||||
|
| |||||||
31,571 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
ams AG * | 26 | 339 | ||||||
ANDRITZ AG | 2 | 62 | ||||||
BAWAG Group AG * (a) | 16 | 557 | ||||||
Erste Group Bank AG | 134 | 2,905 | ||||||
OMV AG | 4 | 119 | ||||||
Raiffeisen Bank International AG | 4 | 63 | ||||||
Verbund AG | 2 | 77 | ||||||
voestalpine AG | 3 | 60 | ||||||
Wienerberger AG | 22 | 407 | ||||||
|
| |||||||
4,589 | ||||||||
|
| |||||||
Belgium — 0.2% |
| |||||||
Ageas | 4 | 160 | ||||||
Anheuser-Busch InBev SA/NV | 19 | 889 | ||||||
Colruyt SA | 1 | 79 | ||||||
Galapagos NV * (b) | 1 | 250 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 9 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Belgium — continued |
| |||||||
Groupe Bruxelles Lambert SA * (b) | 2 | 160 | ||||||
KBC Group NV | 79 | 4,271 | ||||||
Proximus SADP | 4 | 81 | ||||||
Solvay SA (b) | 2 | 144 | ||||||
Telenet Group Holding NV | 1 | 50 | ||||||
UCB SA * | 12 | 1,077 | ||||||
Umicore SA (b) | 5 | 212 | ||||||
|
| |||||||
7,373 | ||||||||
|
| |||||||
Brazil — 0.3% |
| |||||||
CVC Brasil Operadora e Agencia de Viagens SA * | 111 | 285 | ||||||
Gerdau SA, ADR | 427 | 919 | ||||||
Itau Unibanco Holding SA (Preference) | 731 | 3,082 | ||||||
Localiza Rent a Car SA * | 69 | 436 | ||||||
Lojas Renner SA | 204 | 1,442 | ||||||
Magazine Luiza SA | 88 | 813 | ||||||
Pagseguro Digital Ltd., Class A * | 40 | 1,022 | ||||||
Petroleo Brasileiro SA (Preference) | 392 | 1,302 | ||||||
Raia Drogasil SA | 43 | 826 | ||||||
|
| |||||||
10,127 | ||||||||
|
| |||||||
Canada — 0.5% |
| |||||||
Advanz Pharma Corp. Ltd. * | 17 | 55 | ||||||
Alimentation Couche-Tard, Inc., Class B | 122 | 3,414 | ||||||
Canadian National Railway Co. | 47 | 3,899 | ||||||
Canadian Pacific Railway Ltd. | 17 | 3,920 | ||||||
Canadian Pacific Railway Ltd. | 5 | 1,216 | ||||||
Fairfax Financial Holdings Ltd. | 4 | 1,219 | ||||||
Shopify, Inc., Class A * | 1 | 785 | ||||||
Toronto-Dominion Bank (The) | 74 | 3,080 | ||||||
|
| |||||||
17,588 | ||||||||
|
| |||||||
Chile — 0.0%(c) |
| |||||||
Antofagasta plc | 10 | 97 | ||||||
|
| |||||||
China — 2.5% |
| |||||||
51job, Inc., ADR * | 19 | 1,146 | ||||||
Alibaba Group Holding Ltd., ADR * | 119 | 24,112 | ||||||
BeiGene Ltd., ADR * (b) | 1 | 147 | ||||||
BOC Hong Kong Holdings Ltd. | 92 | 281 | ||||||
BOE Technology Group Co. Ltd., Class A | 1,725 | 902 | ||||||
Budweiser Brewing Co. APAC Ltd. * (a) (b) | 500 | 1,359 | ||||||
China Construction Bank Corp., Class H | 1,976 | 1,586 | ||||||
China Gas Holdings Ltd. | 247 | 900 | ||||||
China Merchants Bank Co. Ltd., Class H | 526 | 2,489 | ||||||
China Mobile Ltd. | 98 | 788 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
China — continued |
| |||||||
China Oilfield Services Ltd., Class H | 858 | 668 | ||||||
China Overseas Land & Investment Ltd. | 414 | 1,529 | ||||||
China Vanke Co. Ltd., Class H | 289 | 970 | ||||||
CNOOC Ltd. | 1,797 | 1,987 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 53 | 914 | ||||||
Geely Automobile Holdings Ltd. | 524 | 815 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | 148 | 603 | ||||||
Joyoung Co. Ltd., Class A | 206 | 908 | ||||||
Kingdee International Software Group Co. Ltd. | 635 | 908 | ||||||
Kingsoft Corp. Ltd. | 224 | 769 | ||||||
Kweichow Moutai Co. Ltd., Class A | 6 | 1,141 | ||||||
Luxshare Precision Industry Co. Ltd., Class A | 149 | 981 | ||||||
NetEase, Inc., ADR | 5 | 1,713 | ||||||
New Oriental Education & Technology Group, Inc., ADR * | 8 | 965 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 992 | 10,095 | ||||||
Prosus NV * | 12 | 915 | ||||||
SAIC Motor Corp. Ltd., Class A | 265 | 700 | ||||||
Shenzhou International Group Holdings Ltd. | 59 | 686 | ||||||
Tencent Holdings Ltd. | 364 | 19,152 | ||||||
Wuxi Biologics Cayman, Inc. * (a) | 157 | 2,436 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 62 | 43 | ||||||
Yum China Holdings, Inc. | 19 | 919 | ||||||
|
| |||||||
83,527 | ||||||||
|
| |||||||
Colombia — 0.0%(c) |
| |||||||
Millicom International Cellular SA, SDR | 3 | 66 | ||||||
|
| |||||||
Denmark — 0.5% |
| |||||||
AP Moller — Maersk A/S, Class A | — | (d) | 87 | |||||
AP Moller — Maersk A/S, Class B | — | (d) | 163 | |||||
Carlsberg A/S, Class B | 3 | 336 | ||||||
Chr Hansen Holding A/S (b) | 3 | 226 | ||||||
Coloplast A/S, Class B | 3 | 465 | ||||||
Danske Bank A/S * | 16 | 191 | ||||||
Demant A/S * (b) | 3 | 66 | ||||||
DSV Panalpina A/S | 5 | 563 | ||||||
Genmab A/S * | 2 | 389 | ||||||
H Lundbeck A/S | 2 | 66 | ||||||
ISS A/S * (b) | 4 | 58 | ||||||
Novo Nordisk A/S, Class B | 199 | 12,702 | ||||||
Novozymes A/S, Class B | 5 | 260 | ||||||
Orsted A/S (a) | 19 | 1,937 | ||||||
Pandora A/S | 2 | 88 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Denmark — continued |
| |||||||
Tryg A/S | 3 | 84 | ||||||
Vestas Wind Systems A/S | 5 | 405 | ||||||
|
| |||||||
18,086 | ||||||||
|
| |||||||
Finland — 0.2% |
| |||||||
Elisa OYJ | 4 | 215 | ||||||
Fortum OYJ (b) | 11 | 183 | ||||||
Kone OYJ, Class B | 53 | 3,223 | ||||||
Metso OYJ | 3 | 72 | ||||||
Neste OYJ | 48 | 1,710 | ||||||
Nokia OYJ | 141 | 509 | ||||||
Nokian Renkaat OYJ | 3 | 66 | ||||||
Nordea Bank Abp | 81 | 518 | ||||||
Orion OYJ, Class B | 3 | 132 | ||||||
Sampo OYJ, Class A | 11 | 366 | ||||||
Stora Enso OYJ, Class R | 14 | 170 | ||||||
UPM-Kymmene OYJ | 13 | 365 | ||||||
Wartsila OYJ Abp | 11 | 81 | ||||||
|
| |||||||
7,610 | ||||||||
|
| |||||||
France — 2.1% |
| |||||||
Accor SA | 5 | 127 | ||||||
Aeroports de Paris | 1 | 72 | ||||||
Air Liquide SA (b) | 12 | 1,505 | ||||||
Airbus SE * | 39 | 2,486 | ||||||
Alstom SA | 64 | 2,640 | ||||||
Amundi SA (a) | 2 | 104 | ||||||
Arkema SA | 2 | 142 | ||||||
Atos SE * | 11 | 821 | ||||||
AXA SA | 48 | 856 | ||||||
BioMerieux | 1 | 133 | ||||||
BNP Paribas SA | 54 | 1,688 | ||||||
Bollore SA | 23 | 60 | ||||||
Bouygues SA * | 6 | 170 | ||||||
Bureau Veritas SA | 7 | 152 | ||||||
Capgemini SE | 4 | 374 | ||||||
Carrefour SA | 15 | 223 | ||||||
Casino Guichard Perrachon SA (b) | 1 | 53 | ||||||
Cie de Saint-Gobain | 12 | 328 | ||||||
Cie Generale des Etablissements Michelin SCA | 4 | 414 | ||||||
CNP Assurances * | 4 | 46 | ||||||
Covivio, REIT | 1 | 73 | ||||||
Credit Agricole SA | 84 | 677 | ||||||
Danone SA | 15 | 1,078 | ||||||
Dassault Aviation SA | — | (d) | 53 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
France — continued |
| |||||||
Dassault Systemes SE | 3 | 483 | ||||||
Edenred | 6 | 245 | ||||||
Eiffage SA | 10 | 805 | ||||||
Electricite de France SA | 15 | 122 | ||||||
Engie SA | 46 | 496 | ||||||
EssilorLuxottica SA | 7 | 878 | ||||||
Eurazeo SE * | 1 | 50 | ||||||
Eutelsat Communications SA | 5 | 51 | ||||||
Faurecia SE | 2 | 68 | ||||||
Gecina SA, REIT | 1 | 149 | ||||||
Getlink SE | 11 | 139 | ||||||
Hermes International | 1 | 581 | ||||||
ICADE, REIT | 1 | 57 | ||||||
Iliad SA | — | (d) | 58 | |||||
Ingenico Group SA | 1 | 188 | ||||||
Ipsen SA | 1 | 70 | ||||||
JCDecaux SA | 2 | 44 | ||||||
Kering SA | 4 | 2,082 | ||||||
Klepierre SA, REIT | 5 | 101 | ||||||
Legrand SA | 7 | 448 | ||||||
L’Oreal SA | 6 | 1,828 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 30 | 11,539 | ||||||
Natixis SA | 25 | 58 | ||||||
Orange SA | 50 | 607 | ||||||
Pernod Ricard SA | 5 | 805 | ||||||
Peugeot SA | 64 | 907 | ||||||
Publicis Groupe SA | 5 | 159 | ||||||
Remy Cointreau SA (b) | 1 | 65 | ||||||
Renault SA * | 5 | 94 | ||||||
Safran SA | 85 | 7,859 | ||||||
Sanofi(b) | 51 | 5,027 | ||||||
Sartorius Stedim Biotech | 1 | 165 | ||||||
Schneider Electric SE * (b) | 132 | 12,154 | ||||||
SCOR SE | 4 | 111 | ||||||
SEB SA | 1 | 67 | ||||||
Societe Generale SA | 20 | 317 | ||||||
Sodexo SA (b) | 2 | 176 | ||||||
Suez | 8 | 96 | ||||||
Teleperformance | 1 | 326 | ||||||
Thales SA | 3 | 200 | ||||||
TOTAL SA | 93 | 3,313 | ||||||
Ubisoft Entertainment SA * | 2 | 169 | ||||||
Unibail-Rodamco-Westfield, REIT | 3 | 203 | ||||||
Valeo SA | 6 | 137 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 11 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
France — continued |
| |||||||
Veolia Environnement SA | 14 | 288 | ||||||
Vinci SA | 45 | 3,656 | ||||||
Vivendi SA (b) | 21 | 461 | ||||||
Wendel SE | 1 | 60 | ||||||
Worldline SA * (a) | 3 | 231 | ||||||
|
| |||||||
72,468 | ||||||||
|
| |||||||
Germany — 1.9% |
| |||||||
adidas AG | 17 | 3,824 | ||||||
Allianz SE (Registered) | 64 | 11,735 | ||||||
Aroundtown SA | 30 | 164 | ||||||
BASF SE | 23 | 1,172 | ||||||
Bayer AG (Registered) | 40 | 2,629 | ||||||
Bayerische Motoren Werke AG | 8 | 488 | ||||||
Bayerische Motoren Werke AG (Preference) | 1 | 68 | ||||||
Beiersdorf AG | 3 | 262 | ||||||
Brenntag AG | 4 | 174 | ||||||
Carl Zeiss Meditec AG | 1 | 99 | ||||||
Commerzbank AG | 25 | 92 | ||||||
Continental AG * | 3 | 229 | ||||||
Covestro AG (a) | 4 | 145 | ||||||
Daimler AG (Registered) (b) | 23 | 779 | ||||||
Delivery Hero SE * (a) | 64 | 5,400 | ||||||
Deutsche Bank AG (Registered) (b) | 49 | 364 | ||||||
Deutsche Boerse AG | 32 | 4,944 | ||||||
Deutsche Lufthansa AG (Registered) * (b) | 6 | 53 | ||||||
Deutsche Post AG (Registered) | 47 | 1,409 | ||||||
Deutsche Telekom AG (Registered) | 168 | 2,458 | ||||||
Deutsche Wohnen SE | 9 | 364 | ||||||
DWS Group GmbH & Co. KGaA (a) | 16 | 507 | ||||||
E.ON SE | 56 | 561 | ||||||
Eckert & Ziegler Strahlen- und Medizintechnik AG | — | (d) | 69 | |||||
Evonik Industries AG | 5 | 128 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (b) | 1 | 45 | ||||||
Fresenius Medical Care AG & Co. KGaA | 5 | 419 | ||||||
Fresenius SE & Co. KGaA | 10 | 451 | ||||||
FUCHS PETROLUB SE (Preference) | 2 | 70 | ||||||
GEA Group AG * | 4 | 87 | ||||||
Hannover Rueck SE | 2 | 240 | ||||||
HeidelbergCement AG | 4 | 175 | ||||||
HelloFresh SE * | 29 | 1,035 | ||||||
Henkel AG & Co. KGaA | 3 | 210 | ||||||
Henkel AG & Co. KGaA (Preference) | 4 | 393 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Germany — continued |
| |||||||
HOCHTIEF AG | 1 | 50 | ||||||
Infineon Technologies AG | 31 | 579 | ||||||
KION Group AG | 2 | 80 | ||||||
Knorr-Bremse AG | 1 | 112 | ||||||
LANXESS AG | 2 | 106 | ||||||
LEG Immobilien AG | 6 | 656 | ||||||
Merck KGaA | 3 | 374 | ||||||
METRO AG | 5 | 41 | ||||||
MTU Aero Engines AG * | 1 | 177 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 4 | 788 | ||||||
Porsche Automobil Holding SE (Preference) | 4 | 193 | ||||||
Puma SE * | 2 | 129 | ||||||
RWE AG | 15 | 419 | ||||||
SAP SE | 70 | 8,291 | ||||||
Sartorius AG (Preference) | 1 | 248 | ||||||
Schaeffler AG (Preference) | 121 | 819 | ||||||
Siemens AG (Registered) | 19 | 1,768 | ||||||
Siemens Healthineers AG (a) | 4 | 164 | ||||||
Symrise AG | 3 | 325 | ||||||
TeamViewer AG * | 13 | 561 | ||||||
Telefonica Deutschland Holding AG | 22 | 63 | ||||||
thyssenkrupp AG * | 10 | 67 | ||||||
TUI AG | 11 | 44 | ||||||
Uniper SE | 5 | 134 | ||||||
United Internet AG (Registered) | 3 | 87 | ||||||
Volkswagen AG | 1 | 124 | ||||||
Volkswagen AG (Preference) | 21 | 2,945 | ||||||
Vonovia SE | 64 | 3,187 | ||||||
Wirecard AG (b) | 3 | 290 | ||||||
Zalando SE * (a) (b) | 3 | 168 | ||||||
|
| |||||||
64,231 | ||||||||
|
| |||||||
Hong Kong — 0.6% |
| |||||||
AIA Group Ltd. | 1,298 | 11,911 | ||||||
ASM Pacific Technology Ltd. | 8 | 80 | ||||||
Bank of East Asia Ltd. (The) | 34 | 72 | ||||||
CK Asset Holdings Ltd. | 64 | 407 | ||||||
CK Infrastructure Holdings Ltd. | 17 | 101 | ||||||
CLP Holdings Ltd. | 42 | 450 | ||||||
Dairy Farm International Holdings Ltd. | 9 | 42 | ||||||
Hang Lung Properties Ltd. | 52 | 111 | ||||||
Hang Seng Bank Ltd. | 19 | 332 | ||||||
Henderson Land Development Co. Ltd. | 36 | 147 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Hong Kong — continued |
| |||||||
HK Electric Investments & HK Electric Investments Ltd. (a) | 69 | 71 | ||||||
HKT Trust & HKT Ltd. | 93 | 150 | ||||||
Hong Kong & China Gas Co. Ltd. | 253 | 453 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 30 | 962 | ||||||
Hongkong Land Holdings Ltd. | 29 | 121 | ||||||
Jardine Matheson Holdings Ltd. | 5 | 237 | ||||||
Jardine Strategic Holdings Ltd. | 6 | 123 | ||||||
Kerry Properties Ltd. | 17 | 47 | ||||||
Link, REIT | 53 | 468 | ||||||
Melco Resorts & Entertainment Ltd., ADR | 5 | 83 | ||||||
MTR Corp. Ltd. | 38 | 211 | ||||||
New World Development Co. Ltd. | 153 | 181 | ||||||
NWS Holdings Ltd. | 41 | 43 | ||||||
PCCW Ltd. | 110 | 67 | ||||||
Power Assets Holdings Ltd. | 35 | 231 | ||||||
Sino Land Co. Ltd. | 76 | 106 | ||||||
Sun Hung Kai Properties Ltd. | 40 | 547 | ||||||
Swire Pacific Ltd., Class A | 13 | 81 | ||||||
Swire Properties Ltd. | 30 | 85 | ||||||
Techtronic Industries Co. Ltd. | 170 | 1,289 | ||||||
Vitasoy International Holdings Ltd. | 292 | 1,041 | ||||||
WH Group Ltd. (a) | 238 | 226 | ||||||
Wharf Real Estate Investment Co. Ltd. (b) | 30 | 127 | ||||||
Wheelock & Co. Ltd. | 21 | 154 | ||||||
Yue Yuen Industrial Holdings Ltd. | 19 | 30 | ||||||
|
| |||||||
20,787 | ||||||||
|
| |||||||
Hungary — 0.0%(c) |
| |||||||
OTP Bank Nyrt. | 32 | 936 | ||||||
|
| |||||||
India — 0.4% |
| |||||||
HDFC Bank Ltd., ADR | 241 | 10,440 | ||||||
ICICI Bank Ltd., ADR | 191 | 1,865 | ||||||
|
| |||||||
12,305 | ||||||||
|
| |||||||
Indonesia — 0.2% |
| |||||||
Bank Central Asia Tbk. PT | 3,007 | 5,208 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 4,288 | 986 | ||||||
|
| |||||||
6,194 | ||||||||
|
| |||||||
Ireland — 0.1% |
| |||||||
AerCap Holdings NV * | 3 | 88 | ||||||
AIB Group plc * | 21 | 29 | ||||||
Bank of Ireland Group plc | 24 | 49 | ||||||
CRH plc | 20 | 606 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Ireland — continued |
| |||||||
Flutter Entertainment plc | 2 | 243 | ||||||
Kerry Group plc, Class A | 4 | 452 | ||||||
Kerry Group plc, Class A | — | (d) | 2 | |||||
Kingspan Group plc | 4 | 194 | ||||||
Kingspan Group plc | — | (d) | 1 | |||||
Ryanair Holdings plc, ADR * | 7 | 421 | ||||||
Smurfit Kappa Group plc | 6 | 176 | ||||||
|
| |||||||
2,261 | ||||||||
|
| |||||||
Israel — 0.1% |
| |||||||
Azrieli Group Ltd. | 1 | 65 | ||||||
Bank Hapoalim BM | 28 | 180 | ||||||
Bank LeumiLe-Israel BM | 37 | 200 | ||||||
Check Point Software Technologies Ltd. * | 3 | 321 | ||||||
Elbit Systems Ltd. | 1 | 82 | ||||||
Isracard Ltd. | — | (d) | — | (d) | ||||
Israel Chemicals Ltd. | 18 | 64 | ||||||
Israel Discount Bank Ltd., Class A | 28 | 91 | ||||||
Mizrahi Tefahot Bank Ltd. | 4 | 75 | ||||||
Nice Ltd. * | 2 | 254 | ||||||
Teva Pharmaceutical Industries Ltd., ADR * | 27 | 291 | ||||||
Wix.com Ltd. * | 1 | 159 | ||||||
|
| |||||||
1,782 | ||||||||
|
| |||||||
Italy — 0.3% |
| |||||||
Assicurazioni Generali SpA | 28 | 393 | ||||||
Atlantia SpA | 12 | 202 | ||||||
Davide Campari-Milano SpA (b) | 14 | 112 | ||||||
Enel SpA | 540 | 3,688 | ||||||
Eni SpA (b) | 63 | 604 | ||||||
Falck Renewables SpA | 95 | 469 | ||||||
Ferrari NV (b) | 3 | 474 | ||||||
FinecoBank Banca Fineco SpA * | 15 | 168 | ||||||
Intesa Sanpaolo SpA | 373 | 582 | ||||||
Leonardo SpA | 10 | 69 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 15 | 90 | ||||||
Moncler SpA | 4 | 169 | ||||||
Nexi SpA * (a) | 60 | 916 | ||||||
Pirelli & C SpA (a) (b) | 10 | 40 | ||||||
Poste Italiane SpA (a) | 63 | 537 | ||||||
Prysmian SpA | 6 | 113 | ||||||
Recordati SpA | 3 | 113 | ||||||
Snam SpA | 51 | 227 | ||||||
Telecom Italia SpA * | 226 | 90 | ||||||
Telecom Italia SpA | 156 | 62 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 13 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Italy — continued |
| |||||||
Terna Rete Elettrica Nazionale SpA | 35 | 218 | ||||||
UniCredit SpA * | 50 | 387 | ||||||
|
| |||||||
9,723 | ||||||||
|
| |||||||
Japan — 3.0% |
| |||||||
ABC-Mart, Inc. | 1 | 46 | ||||||
Acom Co. Ltd. | 10 | 40 | ||||||
Advantest Corp. | 5 | 243 | ||||||
Aeon Co. Ltd. | 16 | 328 | ||||||
AEON Financial Service Co. Ltd. | 3 | 30 | ||||||
Aeon Mall Co. Ltd. | 3 | 34 | ||||||
AGC, Inc. | 5 | 116 | ||||||
Air Water, Inc. | 5 | 63 | ||||||
Aisin Seiki Co. Ltd. | 4 | 115 | ||||||
Ajinomoto Co., Inc. | 11 | 196 | ||||||
Alfresa Holdings Corp. | 5 | 92 | ||||||
Alps Alpine Co. Ltd. | 5 | 56 | ||||||
Amada Co. Ltd. | 9 | 78 | ||||||
ANA Holdings, Inc. * | 3 | 57 | ||||||
Aozora Bank Ltd. | 3 | 53 | ||||||
Asahi Group Holdings Ltd. | 9 | 309 | ||||||
Asahi Intecc Co. Ltd. | 5 | 127 | ||||||
Asahi Kasei Corp. | 31 | 223 | ||||||
Astellas Pharma, Inc. | 47 | 779 | ||||||
Bandai Namco Holdings, Inc. | 5 | 250 | ||||||
Bank of Kyoto Ltd. (The) | 1 | 27 | ||||||
Benesse Holdings, Inc. | 2 | 54 | ||||||
Bridgestone Corp. | 14 | 445 | ||||||
Brother Industries Ltd. | 6 | 98 | ||||||
Calbee, Inc. | 2 | 64 | ||||||
Canon, Inc. | 25 | 526 | ||||||
Casio Computer Co. Ltd. | 5 | 79 | ||||||
Central Japan Railway Co. | 4 | 566 | ||||||
Chiba Bank Ltd. (The) | 14 | 66 | ||||||
Chubu Electric Power Co., Inc. | 16 | 216 | ||||||
Chugai Pharmaceutical Co. Ltd. | 6 | 679 | ||||||
Chugoku Electric Power Co., Inc. (The) | 7 | 97 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 3 | 57 | ||||||
Concordia Financial Group Ltd. | 28 | 84 | ||||||
Credit Saison Co. Ltd. | 4 | 47 | ||||||
CyberAgent, Inc. | 3 | 113 | ||||||
Dai Nippon Printing Co. Ltd. | 6 | 129 | ||||||
Daicel Corp. | 7 | 53 | ||||||
Daifuku Co. Ltd. | 3 | 175 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Japan — continued |
| |||||||
Dai-ichi Life Holdings, Inc. | 27 | 335 | ||||||
Daiichi Sankyo Co. Ltd. | 14 | 976 | ||||||
Daikin Industries Ltd. | 6 | 796 | ||||||
Daito Trust Construction Co. Ltd. | 2 | 171 | ||||||
Daiwa House Industry Co. Ltd. | 14 | 357 | ||||||
Daiwa House REIT Investment Corp., REIT | — | (d) | 116 | |||||
Daiwa Securities Group, Inc. | 38 | 158 | ||||||
Denso Corp. | 11 | 380 | ||||||
Dentsu Group, Inc. | 5 | 113 | ||||||
Disco Corp. | 1 | 156 | ||||||
East Japan Railway Co. | 8 | 548 | ||||||
Eisai Co. Ltd. | 6 | 447 | ||||||
Electric Power Development Co. Ltd. | 3 | 68 | ||||||
FamilyMart Co. Ltd. | 6 | 107 | ||||||
FANUC Corp. | 5 | 800 | ||||||
Fast Retailing Co. Ltd. | 2 | 711 | ||||||
Fuji Electric Co. Ltd. | 3 | 79 | ||||||
FUJIFILM Holdings Corp. | 9 | 429 | ||||||
Fujitsu Ltd. | 5 | 486 | ||||||
Fukuoka Financial Group, Inc. | 4 | 60 | ||||||
GMO Payment Gateway, Inc. | 1 | 98 | ||||||
Hakuhodo DY Holdings, Inc. | 4 | 40 | ||||||
Hamamatsu Photonics KK | 4 | 153 | ||||||
Hankyu Hanshin Holdings, Inc. | 6 | 195 | ||||||
Hikari Tsushin, Inc. | 1 | 97 | ||||||
Hino Motors Ltd. | 7 | 44 | ||||||
Hirose Electric Co. Ltd. | 1 | 77 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1 | 57 | ||||||
Hitachi Construction Machinery Co. Ltd. | 3 | 66 | ||||||
Hitachi Ltd. | 24 | 718 | ||||||
Hitachi Metals Ltd. | 6 | 54 | ||||||
Honda Motor Co. Ltd. | 41 | 993 | ||||||
Hoshizaki Corp. | 1 | 99 | ||||||
Hoya Corp. | 10 | 875 | ||||||
Hulic Co. Ltd. | 7 | 68 | ||||||
Idemitsu Kosan Co. Ltd. | 5 | 109 | ||||||
IHI Corp. | 4 | 45 | ||||||
Iida Group Holdings Co. Ltd. | 4 | 50 | ||||||
Inpex Corp. | 25 | 164 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 9 | 53 | ||||||
Isuzu Motors Ltd. | 14 | 104 | ||||||
ITOCHU Corp. | 34 | 657 | ||||||
Itochu Techno-Solutions Corp. | 3 | 76 | ||||||
J Front Retailing Co. Ltd. | 6 | 47 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Japan — continued |
| |||||||
Japan Airlines Co. Ltd. | 3 | 50 | ||||||
Japan Airport Terminal Co. Ltd. | 1 | 45 | ||||||
Japan Exchange Group, Inc. | 13 | 234 | ||||||
Japan Post Bank Co. Ltd. | 11 | 98 | ||||||
Japan Post Holdings Co. Ltd. | 39 | 314 | ||||||
Japan Post Insurance Co. Ltd. | 6 | 73 | ||||||
Japan Prime Realty Investment Corp., REIT | — | (d) | 55 | |||||
Japan Real Estate Investment Corp., REIT | — | (d) | 184 | |||||
Japan Retail Fund Investment Corp., REIT | — | (d) | 74 | |||||
Japan Tobacco, Inc. | 30 | 555 | ||||||
JFE Holdings, Inc. | 12 | 80 | ||||||
JGC Holdings Corp. | 6 | 55 | ||||||
JSR Corp. | 5 | 94 | ||||||
JTEKT Corp. | 5 | 37 | ||||||
JXTG Holdings, Inc. | 77 | 272 | ||||||
Kajima Corp. | 11 | 116 | ||||||
Kakaku.com, Inc. | 3 | 67 | ||||||
Kamigumi Co. Ltd. | 3 | 49 | ||||||
Kansai Electric Power Co., Inc. (The) | 18 | 179 | ||||||
Kansai Paint Co. Ltd. | 4 | 82 | ||||||
Kao Corp. | 12 | 941 | ||||||
Kawasaki Heavy Industries Ltd. | 4 | 56 | ||||||
KDDI Corp. | 44 | 1,280 | ||||||
Keihan Holdings Co. Ltd. | 3 | 112 | ||||||
Keikyu Corp. | 6 | 94 | ||||||
Keio Corp. | 3 | 141 | ||||||
Keisei Electric Railway Co. Ltd. | 3 | 97 | ||||||
Keyence Corp. | 25 | 8,747 | ||||||
Kikkoman Corp. | 4 | 165 | ||||||
Kintetsu Group Holdings Co. Ltd. | 4 | 205 | ||||||
Kirin Holdings Co. Ltd. | 21 | 396 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 1 | 111 | ||||||
Koito Manufacturing Co. Ltd. | 3 | 94 | ||||||
Komatsu Ltd. | 23 | 435 | ||||||
Konami Holdings Corp. | 2 | 75 | ||||||
Konica Minolta, Inc. | 12 | 45 | ||||||
Kose Corp. | 1 | 113 | ||||||
Kubota Corp. | 26 | 323 | ||||||
Kuraray Co. Ltd. | 8 | 83 | ||||||
Kurita Water Industries Ltd. | 3 | 73 | ||||||
Kyocera Corp. | 8 | 427 | ||||||
Kyowa Kirin Co. Ltd. | 6 | 139 | ||||||
Kyushu Electric Power Co., Inc. | 10 | 78 | ||||||
Kyushu Railway Co. | 4 | 110 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Japan — continued |
| |||||||
Lawson, Inc. | 1 | 68 | ||||||
LINE Corp. * | 2 | 78 | ||||||
Lion Corp. | 6 | 116 | ||||||
LIXIL Group Corp. | 7 | 83 | ||||||
M3, Inc. | 11 | 393 | ||||||
Makita Corp. | 6 | 179 | ||||||
Marubeni Corp. | 39 | 187 | ||||||
Marui Group Co. Ltd. | 5 | 80 | ||||||
Maruichi Steel Tube Ltd. | 2 | 34 | ||||||
Mazda Motor Corp. | 14 | 80 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 2 | 83 | ||||||
Mebuki Financial Group, Inc. | 22 | 46 | ||||||
Medipal Holdings Corp. | 5 | 87 | ||||||
MEIJI Holdings Co. Ltd. | 3 | 194 | ||||||
Mercari, Inc. * | 2 | 48 | ||||||
MINEBEA MITSUMI, Inc. | 9 | 148 | ||||||
MISUMI Group, Inc. | 7 | 166 | ||||||
Mitsubishi Chemical Holdings Corp. | 32 | 180 | ||||||
Mitsubishi Corp. | 34 | 719 | ||||||
Mitsubishi Electric Corp. | 45 | 559 | ||||||
Mitsubishi Estate Co. Ltd. | 30 | 481 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 4 | 51 | ||||||
Mitsubishi Heavy Industries Ltd. | 8 | 205 | ||||||
Mitsubishi Materials Corp. | 3 | 51 | ||||||
Mitsubishi Motors Corp. | 17 | 49 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 308 | 1,244 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 11 | 50 | ||||||
Mitsui & Co. Ltd. | 41 | 574 | ||||||
Mitsui Chemicals, Inc. | 5 | 90 | ||||||
Mitsui Fudosan Co. Ltd. | 22 | 408 | ||||||
Mitsui OSK Lines Ltd. | 3 | 49 | ||||||
Mizuho Financial Group, Inc. | 599 | 697 | ||||||
MonotaRO Co. Ltd. | 3 | 103 | ||||||
MS&AD Insurance Group Holdings, Inc. | 12 | 337 | ||||||
Murata Manufacturing Co. Ltd. | 14 | 806 | ||||||
Nabtesco Corp. | 3 | 83 | ||||||
Nagoya Railroad Co. Ltd. | 5 | 137 | ||||||
NEC Corp. | 6 | 238 | ||||||
Nexon Co. Ltd. | 12 | 197 | ||||||
NGK Insulators Ltd. | 7 | 89 | ||||||
NGK Spark Plug Co. Ltd. | 4 | 57 | ||||||
NH Foods Ltd. | 2 | 75 | ||||||
Nidec Corp. | 11 | 664 | ||||||
Nikon Corp. | 8 | 74 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 15 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Japan — continued |
| |||||||
Nintendo Co. Ltd. | 3 | 1,156 | ||||||
Nippon Building Fund, Inc., REIT | — | (d) | 197 | |||||
Nippon Express Co. Ltd. | 2 | 98 | ||||||
Nippon Paint Holdings Co. Ltd. | 4 | 208 | ||||||
Nippon Prologis REIT, Inc., REIT | — | (d) | 144 | |||||
Nippon Shinyaku Co. Ltd. | 1 | 84 | ||||||
Nippon Steel Corp. | 20 | 168 | ||||||
Nippon Telegraph & Telephone Corp. | 180 | 4,104 | ||||||
Nippon Yusen KK | 4 | 53 | ||||||
Nissan Chemical Corp. | 3 | 119 | ||||||
Nissan Motor Co. Ltd. | 58 | 196 | ||||||
Nisshin Seifun Group, Inc. | 5 | 79 | ||||||
Nissin Foods Holdings Co. Ltd. | 2 | 132 | ||||||
Nitori Holdings Co. Ltd. | 2 | 291 | ||||||
Nitto Denko Corp. | 4 | 200 | ||||||
Nomura Holdings, Inc. | 83 | 342 | ||||||
Nomura Real Estate Holdings, Inc. | 3 | 52 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | — | (d) | 116 | |||||
Nomura Research Institute Ltd. | 8 | 206 | ||||||
NSK Ltd. | 9 | 61 | ||||||
NTT Data Corp. | 16 | 160 | ||||||
NTT DOCOMO, Inc. | 34 | 987 | ||||||
Obayashi Corp. | 17 | 147 | ||||||
Obic Co. Ltd. | 2 | 255 | ||||||
Odakyu Electric Railway Co. Ltd. | 7 | 163 | ||||||
Oji Holdings Corp. | 22 | 109 | ||||||
Olympus Corp. | 29 | 459 | ||||||
Omron Corp. | 5 | 276 | ||||||
Ono Pharmaceutical Co. Ltd. | 9 | 226 | ||||||
Oracle Corp. | 1 | 93 | ||||||
Oriental Land Co. Ltd. | 5 | 645 | ||||||
ORIX Corp. | 33 | 387 | ||||||
Orix JREIT, Inc., REIT | — | (d) | 74 | |||||
Osaka Gas Co. Ltd. | 9 | 175 | ||||||
Otsuka Corp. | 3 | 122 | ||||||
Otsuka Holdings Co. Ltd. | 10 | 377 | ||||||
Pan Pacific International Holdings Corp. | 11 | 213 | ||||||
Panasonic Corp. | 55 | 419 | ||||||
Park24 Co. Ltd. | 3 | 47 | ||||||
PeptiDream, Inc. * | 3 | 93 | ||||||
Persol Holdings Co. Ltd. | 4 | 51 | ||||||
Pigeon Corp. | 3 | 100 | ||||||
Pola Orbis Holdings, Inc. | 2 | 36 | ||||||
Rakuten, Inc. | 21 | 181 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Japan — continued |
| |||||||
Recruit Holdings Co. Ltd. | 34 | 989 | ||||||
Renesas Electronics Corp. * | 19 | 100 | ||||||
Resona Holdings, Inc. | 52 | 162 | ||||||
Ricoh Co. Ltd. | 17 | 114 | ||||||
Rinnai Corp. | 1 | 68 | ||||||
Rohm Co. Ltd. | 2 | 145 | ||||||
Ryohin Keikaku Co. Ltd. | 6 | 71 | ||||||
Sankyo Co. Ltd. | 1 | 33 | ||||||
Santen Pharmaceutical Co. Ltd. | 9 | 159 | ||||||
SBI Holdings, Inc. | 6 | 110 | ||||||
Secom Co. Ltd. | 5 | 433 | ||||||
Sega Sammy Holdings, Inc. | 5 | 55 | ||||||
Seibu Holdings, Inc. | 5 | 62 | ||||||
Seiko Epson Corp. | 7 | 78 | ||||||
Sekisui Chemical Co. Ltd. | 9 | 115 | ||||||
Sekisui House Ltd. | 16 | 266 | ||||||
Seven & i Holdings Co. Ltd. | 19 | 619 | ||||||
Seven Bank Ltd. | 16 | 42 | ||||||
SG Holdings Co. Ltd. | 4 | 103 | ||||||
Sharp Corp. * | 6 | 61 | ||||||
Shimadzu Corp. | 6 | 142 | ||||||
Shimamura Co. Ltd. | 1 | 32 | ||||||
Shimano, Inc. | 2 | 280 | ||||||
Shimizu Corp. | 15 | 113 | ||||||
Shin-Etsu Chemical Co. Ltd. | 9 | 993 | ||||||
Shinsei Bank Ltd. | 5 | 60 | ||||||
Shionogi & Co. Ltd. | 7 | 376 | ||||||
Shiseido Co. Ltd. | 10 | 588 | ||||||
Shizuoka Bank Ltd. (The) | 11 | 68 | ||||||
Showa Denko KK | 4 | 77 | ||||||
SMC Corp. | 9 | 3,887 | ||||||
Softbank Corp. | 42 | 568 | ||||||
SoftBank Group Corp. | 39 | 1,685 | ||||||
Sohgo Security Services Co. Ltd. | 2 | 81 | ||||||
Sompo Holdings, Inc. | 8 | 269 | ||||||
Sony Corp. | 96 | 6,191 | ||||||
Sony Financial Holdings, Inc. | 4 | 74 | ||||||
Square Enix Holdings Co. Ltd. | 2 | 90 | ||||||
Stanley Electric Co. Ltd. | 3 | 77 | ||||||
Subaru Corp. | 16 | 310 | ||||||
SUMCO Corp. | 7 | 93 | ||||||
Sumitomo Chemical Co. Ltd. | 37 | 113 | ||||||
Sumitomo Corp. | 30 | 335 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 4 | 57 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Japan — continued |
| |||||||
Sumitomo Electric Industries Ltd. | 19 | 193 | ||||||
Sumitomo Heavy Industries Ltd. | 3 | 57 | ||||||
Sumitomo Metal Mining Co. Ltd. | 6 | 145 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33 | 873 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 8 | 239 | ||||||
Sumitomo Realty & Development Co. Ltd. | 8 | 222 | ||||||
Sumitomo Rubber Industries Ltd. | 4 | 43 | ||||||
Sundrug Co. Ltd. | 2 | 65 | ||||||
Suntory Beverage & Food Ltd. | 3 | 128 | ||||||
Suzuken Co. Ltd. | 2 | 73 | ||||||
Suzuki Motor Corp. | 9 | 294 | ||||||
Sysmex Corp. | 4 | 283 | ||||||
T&D Holdings, Inc. | 14 | 119 | ||||||
Taiheiyo Cement Corp. | 3 | 61 | ||||||
Taisei Corp. | 5 | 159 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 1 | 44 | ||||||
Taiyo Nippon Sanso Corp. | 3 | 53 | ||||||
Takeda Pharmaceutical Co. Ltd. | 38 | 1,356 | ||||||
TDK Corp. | 3 | 284 | ||||||
Teijin Ltd. | 5 | 72 | ||||||
Terumo Corp. | 16 | 531 | ||||||
THK Co. Ltd. | 3 | 74 | ||||||
Tobu Railway Co. Ltd. | 5 | 163 | ||||||
Toho Co. Ltd. | 3 | 95 | ||||||
Toho Gas Co. Ltd. | 2 | 93 | ||||||
Tohoku Electric Power Co., Inc. | 11 | 104 | ||||||
Tokio Marine Holdings, Inc. | 75 | 3,495 | ||||||
Tokyo Century Corp. | 1 | 38 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 38 | 128 | ||||||
Tokyo Electron Ltd. | 4 | 831 | ||||||
Tokyo Gas Co. Ltd. | 10 | 211 | ||||||
Tokyu Corp. | 13 | 188 | ||||||
Tokyu Fudosan Holdings Corp. | 16 | 78 | ||||||
Toppan Printing Co. Ltd. | 7 | 104 | ||||||
Toray Industries, Inc. | 35 | 158 | ||||||
Toshiba Corp. | 10 | 248 | ||||||
Tosoh Corp. | 7 | 82 | ||||||
TOTO Ltd. | 4 | 125 | ||||||
Toyo Seikan Group Holdings Ltd. | 4 | 38 | ||||||
Toyo Suisan Kaisha Ltd. | 2 | 111 | ||||||
Toyoda Gosei Co. Ltd. | 2 | 32 | ||||||
Toyota Industries Corp. | 4 | 181 | ||||||
Toyota Motor Corp. | 119 | 7,357 | ||||||
Toyota Tsusho Corp. | 5 | 124 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Japan — continued |
| |||||||
Trend Micro, Inc. | 3 | 157 | ||||||
Tsuruha Holdings, Inc. | 1 | 121 | ||||||
Unicharm Corp. | 10 | 369 | ||||||
United Urban Investment Corp., REIT | — | (d) | 72 | |||||
USS Co. Ltd. | 6 | 90 | ||||||
Welcia Holdings Co. Ltd. | 1 | 87 | ||||||
West Japan Railway Co. | 4 | 253 | ||||||
Yakult Honsha Co. Ltd. | 3 | 174 | ||||||
Yamada Denki Co. Ltd. | 16 | 77 | ||||||
Yamaha Corp. | 4 | 145 | ||||||
Yamaha Motor Co. Ltd. | 7 | 89 | ||||||
Yamato Holdings Co. Ltd. | 8 | 133 | ||||||
Yamazaki Baking Co. Ltd. | 3 | 55 | ||||||
Yaskawa Electric Corp. | 6 | 192 | ||||||
Yokogawa Electric Corp. | 6 | 80 | ||||||
Yokohama Rubber Co. Ltd. (The) | 3 | 37 | ||||||
Z Holdings Corp. | 66 | 256 | ||||||
ZOZO, Inc. | 3 | 44 | ||||||
|
| |||||||
102,360 | ||||||||
|
| |||||||
Luxembourg — 0.0%(c) |
| |||||||
ArcelorMittal SA | 16 | 180 | ||||||
Eurofins Scientific SE | — | (d) | 158 | |||||
SES SA, FDR | 9 | 60 | ||||||
Tenaris SA (b) | 12 | 81 | ||||||
|
| |||||||
479 | ||||||||
|
| |||||||
Macau — 0.1% |
| |||||||
Galaxy Entertainment Group Ltd. | 53 | 341 | ||||||
Sands China Ltd. | 313 | 1,267 | ||||||
SJM Holdings Ltd. | 51 | 50 | ||||||
Wynn Macau Ltd. (b) | 38 | 66 | ||||||
|
| |||||||
�� | 1,724 | |||||||
|
| |||||||
Mexico — 0.2% |
| |||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 119 | 739 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, ADR (b) | 7 | 721 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 745 | 2,040 | ||||||
Grupo Mexico SAB de CV, Series B | 412 | 876 | ||||||
Wal-Mart de Mexico SAB de CV | 327 | 789 | ||||||
|
| |||||||
5,165 | ||||||||
|
| |||||||
Netherlands — 0.9% |
| |||||||
ABN AMRO Bank NV, CVA (a) | 11 | 81 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 17 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Netherlands — continued |
| |||||||
Adyen NV * (a) | — | (d) | 260 | |||||
Aegon NV | 44 | 114 | ||||||
Akzo Nobel NV | 15 | 1,143 | ||||||
Altice Europe NV * | 17 | 67 | ||||||
ASM International NV | 13 | 1,418 | ||||||
ASML Holding NV (b) | 51 | 14,915 | ||||||
ASR Nederland NV | 25 | 677 | ||||||
BE Semiconductor Industries NV * (b) | 15 | 603 | ||||||
Euronext NV (a) | 5 | 417 | ||||||
EXOR NV | 3 | 147 | ||||||
Heineken Holding NV (b) | 3 | 223 | ||||||
Heineken NV (b) | 6 | 550 | ||||||
ING Groep NV | 97 | 544 | ||||||
Just Eat Takeaway.com NV * (a) | 3 | 295 | ||||||
Koninklijke Ahold Delhaize NV (b) | 81 | 1,978 | ||||||
Koninklijke DSM NV | 5 | 557 | ||||||
Koninklijke KPN NV (b) | 89 | 204 | ||||||
Koninklijke Philips NV | 23 | 1,003 | ||||||
Koninklijke Vopak NV (b) | 2 | 100 | ||||||
NN Group NV | 7 | 217 | ||||||
NXP Semiconductors NV | 10 | 1,014 | ||||||
Randstad NV * | 3 | 119 | ||||||
Royal Dutch Shell plc, Class A | 105 | 1,731 | ||||||
Royal Dutch Shell plc, Class B | 94 | 1,497 | ||||||
Wolters Kluwer NV (b) | 20 | 1,444 | ||||||
|
| |||||||
31,318 | ||||||||
|
| |||||||
New Zealand — 0.0%(c) |
| |||||||
a2 Milk Co. Ltd. * | 18 | 217 | ||||||
Auckland International Airport Ltd. | 30 | 111 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 14 | 238 | ||||||
Fletcher Building Ltd. | 22 | 50 | ||||||
Mercury NZ Ltd. | 16 | 46 | ||||||
Meridian Energy Ltd. | 31 | 84 | ||||||
Ryman Healthcare Ltd. | 10 | 76 | ||||||
Spark New Zealand Ltd. | 46 | 123 | ||||||
|
| |||||||
945 | ||||||||
|
| |||||||
Norway — 0.1% |
| |||||||
Aker BP ASA | 3 | 46 | ||||||
DNB ASA | 24 | 289 | ||||||
Equinor ASA | 25 | 344 | ||||||
Fjordkraft Holding ASA (a) | 93 | 622 | ||||||
Gjensidige Forsikring ASA | 5 | 82 | ||||||
Kongsberg Gruppen ASA | 33 | 423 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Norway — continued |
| |||||||
Mowi ASA | 11 | 187 | ||||||
Norsk Hydro ASA | 33 | 85 | ||||||
Orkla ASA | 19 | 171 | ||||||
Scatec Solar ASA (a) | 36 | 525 | ||||||
Schibsted ASA, Class B | 3 | 49 | ||||||
Telenor ASA | 18 | 280 | ||||||
Yara International ASA | 4 | 150 | ||||||
|
| |||||||
3,253 | ||||||||
|
| |||||||
Peru — 0.1% |
| |||||||
Credicorp Ltd. | 26 | 3,814 | ||||||
|
| |||||||
Poland — 0.1% |
| |||||||
CD Projekt SA | 17 | 1,496 | ||||||
Dino Polska SA * (a) | 20 | 840 | ||||||
|
| |||||||
2,336 | ||||||||
|
| |||||||
Portugal — 0.0%(c) |
| |||||||
EDP — Energias de Portugal SA | 64 | 268 | ||||||
Galp Energia SGPS SA | 12 | 143 | ||||||
Jeronimo Martins SGPS SA | 6 | 106 | ||||||
|
| |||||||
517 | ||||||||
|
| |||||||
Russia — 0.3% |
| |||||||
Alrosa PJSC | 1,163 | 963 | ||||||
Evraz plc | 12 | 41 | ||||||
LUKOIL PJSC, ADR | 33 | 2,123 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 1,568 | 844 | ||||||
Moscow ExchangeMICEX-RTS PJSC | 608 | 983 | ||||||
Sberbank of Russia PJSC | 808 | 2,130 | ||||||
Severstal PJSC, GDR (a) | 64 | 758 | ||||||
X5 Retail Group NV, GDR (a) | 42 | 1,237 | ||||||
|
| |||||||
9,079 | ||||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
Ascendas, REIT | 75 | 156 | ||||||
CapitaLand Commercial Trust, REIT | 63 | 71 | ||||||
CapitaLand Ltd. * | 64 | 135 | ||||||
CapitaLand Mall Trust, REIT | 64 | 85 | ||||||
City Developments Ltd. | 12 | 66 | ||||||
ComfortDelGro Corp. Ltd. | 54 | 63 | ||||||
DBS Group Holdings Ltd. | 45 | 631 | ||||||
Genting Singapore Ltd. | 157 | 87 | ||||||
Jardine Cycle & Carriage Ltd. | 3 | 37 | ||||||
Keppel Corp. Ltd. | 36 | 153 | ||||||
Mapletree Commercial Trust, REIT | 49 | 67 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Singapore — continued |
| |||||||
Oversea-Chinese Banking Corp. Ltd. | 83 | 528 | ||||||
SATS Ltd. | 16 | 38 | ||||||
Sembcorp Industries Ltd. | 25 | 28 | ||||||
Singapore Airlines Ltd. | 14 | 61 | ||||||
Singapore Exchange Ltd. | 21 | 142 | ||||||
Singapore Press Holdings Ltd. | 42 | 45 | ||||||
Singapore Technologies Engineering Ltd. | 41 | 98 | ||||||
Singapore Telecommunications Ltd. | 203 | 405 | ||||||
Suntec, REIT | 51 | 50 | ||||||
United Overseas Bank Ltd. | 31 | 446 | ||||||
UOL Group Ltd. | 12 | 58 | ||||||
Venture Corp. Ltd. | 7 | 79 | ||||||
Wilmar International Ltd. | 48 | 120 | ||||||
|
| |||||||
3,649 | ||||||||
|
| |||||||
South Africa — 0.2% |
| |||||||
Anglo American plc | 26 | 465 | ||||||
Bid Corp. Ltd. | 45 | 583 | ||||||
Bidvest Group Ltd. (The) | 73 | 595 | ||||||
Capitec Bank Holdings Ltd. | 13 | 642 | ||||||
Clicks Group Ltd. | 124 | 1,541 | ||||||
FirstRand Ltd. (b) | 259 | 564 | ||||||
Mr Price Group Ltd. | 142 | 1,015 | ||||||
Naspers Ltd., Class N | 10 | 1,588 | ||||||
|
| |||||||
6,993 | ||||||||
|
| |||||||
South Korea — 0.9% |
| |||||||
Hana Financial Group, Inc. | 57 | 1,304 | ||||||
Hanon Systems | 152 | 1,148 | ||||||
KB Financial Group, Inc. | 46 | 1,309 | ||||||
Kia Motors Corp. | 25 | 616 | ||||||
Korea Electric Power Corp. * | 36 | 701 | ||||||
LG Chem Ltd. | 3 | 784 | ||||||
LG Household & Health Care Ltd. | 1 | 814 | ||||||
Lotte Chemical Corp. | 5 | 975 | ||||||
Mando Corp. | 40 | 786 | ||||||
NCSoft Corp. | 2 | 965 | ||||||
POSCO | 6 | 906 | ||||||
Samsung Electronics Co. Ltd. | 372 | 15,283 | ||||||
Samsung SDI Co. Ltd. | 5 | 1,171 | ||||||
SK Hynix, Inc. | 32 | 2,205 | ||||||
S-Oil Corp. | 15 | 881 | ||||||
|
| |||||||
29,848 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Spain — 0.3% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 7 | 165 | ||||||
Aena SME SA * (a) | 2 | 212 | ||||||
Amadeus IT Group SA | 11 | 520 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 167 | 546 | ||||||
Banco de Sabadell SA | 142 | 59 | ||||||
Banco Santander SA | 417 | 932 | ||||||
Bankia SA | 32 | 32 | ||||||
Bankinter SA | 17 | 72 | ||||||
CaixaBank SA | 89 | 160 | ||||||
Cellnex Telecom SA (a) | 6 | 325 | ||||||
Enagas SA | 6 | 146 | ||||||
Endesa SA | 46 | 1,011 | ||||||
Ferrovial SA | 12 | 306 | ||||||
Grifols SA | 7 | 253 | ||||||
Iberdrola SA | 307 | 3,056 | ||||||
Industria de Diseno Textil SA | 92 | 2,352 | ||||||
Mapfre SA | 25 | 46 | ||||||
Naturgy Energy Group SA | 7 | 132 | ||||||
Red Electrica Corp. SA | 11 | 189 | ||||||
Repsol SA | 36 | 328 | ||||||
Siemens Gamesa Renewable Energy SA | 6 | 88 | ||||||
Telefonica SA | 117 | 533 | ||||||
|
| |||||||
11,463 | ||||||||
|
| |||||||
Sweden — 0.5% |
| |||||||
Alfa Laval AB * | 8 | 152 | ||||||
Assa Abloy AB, Class B | 25 | 450 | ||||||
Atlas Copco AB, Class A (b) | 93 | 3,220 | ||||||
Atlas Copco AB, Class B | 10 | 300 | ||||||
Boliden AB (b) | 7 | 137 | ||||||
Electrolux AB, Series B | 6 | 77 | ||||||
Embracer Group AB* | 20 | 215 | ||||||
Epiroc AB, Class A | 16 | 164 | ||||||
Epiroc AB, Class B | 10 | 100 | ||||||
Essity AB, Class B * | 15 | 490 | ||||||
Evolution Gaming Group AB (a) | 14 | 634 | ||||||
Hennes & Mauritz AB, Class B (b) | 57 | 778 | ||||||
Hexagon AB, Class B * | 7 | 323 | ||||||
Husqvarna AB, Class B | 11 | 65 | ||||||
ICA Gruppen AB | 2 | 98 | ||||||
Industrivarden AB, Class C * (b) | 4 | 85 | ||||||
Investor AB, Class B | 11 | 564 | ||||||
Kinnevik AB, Class B | 6 | 123 | ||||||
L E Lundbergforetagen AB, Class B * | 2 | 83 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 19 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Sweden — continued |
| |||||||
Lundin Energy AB (b) | 5 | 120 | ||||||
Sandvik AB * | 28 | 435 | ||||||
Securitas AB, Class B (b) | 8 | 92 | ||||||
Sinch AB * (a) | 13 | 651 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 40 | 333 | ||||||
Skanska AB, Class B * | 8 | 161 | ||||||
SKF AB, Class B | 66 | 1,044 | ||||||
Svenska Handelsbanken AB, Class A * | 421 | 3,840 | ||||||
Swedbank AB, Class A (b) | 22 | 266 | ||||||
Swedish Match AB | 4 | 261 | ||||||
Tele2 AB, Class B | 12 | 160 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 77 | 654 | ||||||
Telia Co. AB | 68 | 236 | ||||||
Volvo AB, Class B | 37 | 477 | ||||||
|
| |||||||
16,788 | ||||||||
|
| |||||||
Switzerland — 2.6% |
| |||||||
ABB Ltd. (Registered) | 46 | 869 | ||||||
Adecco Group AG (Registered) | 4 | 172 | ||||||
Alcon, Inc. * | 10 | 549 | ||||||
ALSO Holding AG (Registered) * | 1 | 220 | ||||||
Baloise Holding AG (Registered) | 1 | 183 | ||||||
Barry Callebaut AG (Registered) | — | (d) | 151 | |||||
Chocoladefabriken Lindt & Spruengli AG | — | (d) | 203 | |||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | — | (d) | 252 | |||||
Cie Financiere Richemont SA (Registered) | 13 | 742 | ||||||
Clariant AG (Registered) * | 5 | 91 | ||||||
Coca-Cola HBC AG | 5 | 131 | ||||||
Credit Suisse Group AG (Registered) * | 64 | 584 | ||||||
Dufry AG (Registered) (b) | 1 | 33 | ||||||
EMS-Chemie Holding AG (Registered) | — | (d) | 137 | |||||
Geberit AG (Registered) | 1 | 411 | ||||||
Givaudan SA (Registered) | — | (d) | 771 | |||||
Glencore plc * | 273 | 511 | ||||||
Julius Baer Group Ltd. * | 6 | 218 | ||||||
Kuehne + Nagel International AG (Registered) | 1 | 192 | ||||||
LafargeHolcim Ltd. (Registered) * | 143 | 5,958 | ||||||
Lonza Group AG (Registered) * | 2 | 807 | ||||||
Nestle SA (Registered) | 262 | 27,755 | ||||||
Novartis AG (Registered) | 137 | 11,673 | ||||||
Pargesa Holding SA | 1 | 71 | ||||||
Partners Group Holding AG | — | (d) | 366 | |||||
Roche Holding AG | 46 | 15,835 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Switzerland — continued |
| |||||||
Schindler Holding AG | 1 | 225 | ||||||
Schindler Holding AG (Registered) | 1 | 112 | ||||||
SGS SA (Registered) | 1 | 2,759 | ||||||
SIG Combibloc Group AG * | 38 | 618 | ||||||
Sika AG (Registered) | 3 | 529 | ||||||
Sonova Holding AG (Registered) | 1 | 249 | ||||||
STMicroelectronics NV | 50 | 1,288 | ||||||
Straumann Holding AG (Registered) | — | (d) | 196 | |||||
Swatch Group AG (The) | 1 | 146 | ||||||
Swatch Group AG (The) (Registered) | 1 | 51 | ||||||
Swiss Life Holding AG (Registered) | 1 | 296 | ||||||
Swiss Prime Site AG (Registered) | 2 | 188 | ||||||
Swiss Re AG (b) | 8 | 550 | ||||||
Swisscom AG (Registered) | 3 | 1,463 | ||||||
Swissquote Group Holding SA (Registered) | 11 | 700 | ||||||
Temenos AG (Registered) * (b) | 2 | 209 | ||||||
UBS Group AG (Registered) * | 96 | 1,030 | ||||||
Vetropack Holding AG | — | (d) | 1,290 | |||||
Vifor Pharma AG | 1 | 169 | ||||||
Wizz Air Holdings plc * (a) | 26 | 944 | ||||||
Zurich Insurance Group AG | 16 | 5,068 | ||||||
|
| |||||||
86,965 | ||||||||
|
| |||||||
Taiwan — 1.0% |
| |||||||
Accton Technology Corp. | 104 | 754 | ||||||
Advantech Co. Ltd. | 77 | 728 | ||||||
ASE Technology Holding Co. Ltd. | 337 | 751 | ||||||
Chailease Holding Co. Ltd. | 379 | 1,440 | ||||||
Delta Electronics, Inc. | 219 | 1,020 | ||||||
Feng TAY Enterprise Co. Ltd. | 142 | 808 | ||||||
Fubon Financial Holding Co. Ltd. | 627 | 887 | ||||||
Hiwin Technologies Corp. | 87 | 830 | ||||||
Largan Precision Co. Ltd. | 13 | 1,772 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (b) | 433 | 22,982 | ||||||
Vanguard International Semiconductor Corp. | 410 | 951 | ||||||
|
| |||||||
32,923 | ||||||||
|
| |||||||
Thailand — 0.1% |
| |||||||
PTT Exploration & Production PCL, NVDR | 315 | 812 | ||||||
Siam Cement PCL (The) (Registered) | 153 | 1,626 | ||||||
Thai Oil PCL, NVDR | 1,008 | 1,261 | ||||||
|
| |||||||
3,699 | ||||||||
|
| |||||||
Turkey — 0.0%(c) |
| |||||||
Turkcell Iletisim Hizmetleri A/S | 491 | 979 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United Arab Emirates — 0.0%(c) |
| |||||||
NMC Health plc ‡ | 3 | — | (d) | |||||
|
| |||||||
United Kingdom — 2.7% |
| |||||||
3i Group plc | 24 | 237 | ||||||
Admiral Group plc | 5 | 140 | ||||||
Ashtead Group plc | 12 | 317 | ||||||
Associated British Foods plc | 9 | 210 | ||||||
AstraZeneca plc | 33 | 3,437 | ||||||
Auto Trader Group plc (a) | 23 | 133 | ||||||
AVEVA Group plc | 2 | 72 | ||||||
Aviva plc | 98 | 297 | ||||||
BAE Systems plc | 80 | 512 | ||||||
Barclays plc | 433 | 578 | ||||||
Barratt Developments plc | 25 | 164 | ||||||
Berkeley Group Holdings plc | 3 | 160 | ||||||
BP plc | 982 | 3,869 | ||||||
British American Tobacco plc | 57 | 2,215 | ||||||
British Land Co. plc (The), REIT | 22 | 114 | ||||||
BT Group plc | 209 | 305 | ||||||
Bunzl plc | 8 | 181 | ||||||
Burberry Group plc | 140 | 2,431 | ||||||
Calisen plc * | 181 | 423 | ||||||
Centrica plc | 142 | 71 | ||||||
CK Hutchison Holdings Ltd. | 67 | 499 | ||||||
CNH Industrial NV * | 25 | 158 | ||||||
Coca-Cola European Partners plc | 6 | 227 | ||||||
Compass Group plc | 40 | 669 | ||||||
Croda International plc | 3 | 196 | ||||||
DCC plc | 2 | 174 | ||||||
Diageo plc | 250 | 8,600 | ||||||
Dialog Semiconductor plc * | 18 | 568 | ||||||
Direct Line Insurance Group plc | 36 | 121 | ||||||
easyJet plc | 4 | 31 | ||||||
Experian plc | 23 | 683 | ||||||
Fiat Chrysler Automobiles NV | 27 | 238 | ||||||
G4S plc | 39 | 53 | ||||||
GlaxoSmithKline plc | 407 | 8,501 | ||||||
GVC Holdings plc | 14 | 137 | ||||||
Halma plc | 9 | 248 | ||||||
Hargreaves Lansdown plc | 8 | 149 | ||||||
HSBC Holdings plc | 509 | 2,615 | ||||||
Imperial Brands plc | 24 | 500 | ||||||
Informa plc | 31 | 172 | ||||||
InterContinental Hotels Group plc | 64 | 2,905 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United Kingdom — continued |
| |||||||
Intertek Group plc | 4 | 239 | ||||||
ITV plc | 90 | 86 | ||||||
J Sainsbury plc | 44 | 109 | ||||||
JD Sports Fashion plc | 11 | 72 | ||||||
Johnson Matthey plc | 5 | 120 | ||||||
Kingfisher plc | 52 | 104 | ||||||
Land Securities Group plc, REIT | 17 | 146 | ||||||
Legal & General Group plc | 1,612 | 4,146 | ||||||
Linde plc | 15 | 2,713 | ||||||
Linde plc | 27 | 5,045 | ||||||
Lloyds Banking Group plc | 1,761 | 713 | ||||||
London Stock Exchange Group plc | 43 | 4,054 | ||||||
M&G plc | 65 | 108 | ||||||
Marks & Spencer Group plc | 48 | 56 | ||||||
Meggitt plc | 19 | 68 | ||||||
Melrose Industries plc | 121 | 151 | ||||||
Micro Focus International plc | 9 | 50 | ||||||
Mondi plc | 12 | 213 | ||||||
National Grid plc | 87 | 1,022 | ||||||
Next plc | 3 | 200 | ||||||
Ocado Group plc * | 11 | 228 | ||||||
Pearson plc | 19 | 112 | ||||||
Persimmon plc | 136 | 3,766 | ||||||
Prudential plc | 65 | 919 | ||||||
Reckitt Benckiser Group plc | 18 | 1,480 | ||||||
RELX plc | 144 | 3,268 | ||||||
RELX plc | 48 | 1,093 | ||||||
Rentokil Initial plc | 46 | 273 | ||||||
Rolls-Royce Holdings plc * | 43 | 176 | ||||||
Royal Bank of Scotland Group plc | 120 | 168 | ||||||
RSA Insurance Group plc | 26 | 116 | ||||||
Sage Group plc (The) | 27 | 217 | ||||||
Schroders plc | 3 | 103 | ||||||
Segro plc, REIT | 27 | 285 | ||||||
Severn Trent plc | 6 | 177 | ||||||
Smith & Nephew plc | 231 | 4,518 | ||||||
Smiths Group plc | 10 | 153 | ||||||
Spirax-Sarco Engineering plc | 2 | 200 | ||||||
SSE plc | 26 | 407 | ||||||
St James’s Place plc | 13 | 140 | ||||||
Standard Chartered plc | 69 | 354 | ||||||
Standard Life Aberdeen plc | 60 | 167 | ||||||
Taylor Wimpey plc | 81 | 150 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 21 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United Kingdom — continued |
| |||||||
Tesco plc | 245 | 726 | ||||||
Unilever NV | 121 | 6,040 | ||||||
Unilever plc | 28 | 1,431 | ||||||
United Utilities Group plc | 17 | 192 | ||||||
Vodafone Group plc | 671 | 946 | ||||||
Weir Group plc (The) | 6 | 77 | ||||||
Whitbread plc | 3 | 124 | ||||||
Wm Morrison Supermarkets plc | 59 | 136 | ||||||
WPP plc | 31 | 244 | ||||||
|
| |||||||
91,111 | ||||||||
|
| |||||||
United States — 22.2% |
| |||||||
AbbVie, Inc. | 69 | 5,699 | ||||||
Acadia Healthcare Co., Inc. * (b) | 26 | 625 | ||||||
Advanced Micro Devices, Inc. * | 61 | 3,197 | ||||||
AdvanSix, Inc. * | 28 | 338 | ||||||
Air Products & Chemicals, Inc. | 5 | 1,070 | ||||||
Alexion Pharmaceuticals, Inc. * | 26 | 2,749 | ||||||
Alleghany Corp. | 2 | 1,090 | ||||||
Allergan plc | 12 | 2,265 | ||||||
Alnylam Pharmaceuticals, Inc. * | 9 | 1,142 | ||||||
Alphabet, Inc., Class A * | — | (d) | 358 | |||||
Alphabet, Inc., Class C * (e) | 15 | 20,653 | ||||||
Altice USA, Inc., Class A * | 4 | 110 | ||||||
Altria Group, Inc. | 36 | 1,403 | ||||||
Amazon.com, Inc. * | 12 | 30,220 | ||||||
American Electric Power Co., Inc. (b) | 51 | 4,273 | ||||||
American Express Co. | 28 | 2,572 | ||||||
American Homes 4 Rent, Class A, REIT | 64 | 1,541 | ||||||
American International Group, Inc. | 56 | 1,428 | ||||||
AmerisourceBergen Corp. | 20 | 1,813 | ||||||
AMETEK, Inc. | 21 | 1,765 | ||||||
Amgen, Inc. | 18 | 4,381 | ||||||
Amphenol Corp., Class A | 14 | 1,279 | ||||||
Analog Devices, Inc. | 24 | 2,660 | ||||||
Apple, Inc. (e) | 69 | 20,170 | ||||||
Arista Networks, Inc. * | 5 | 1,197 | ||||||
Arrow Electronics, Inc. * | 23 | 1,440 | ||||||
Automatic Data Processing, Inc. | 19 | 2,818 | ||||||
AutoZone, Inc. * | 3 | 2,927 | ||||||
AvalonBay Communities, Inc., REIT | 3 | 518 | ||||||
Avaya Holdings Corp. * | 19 | 191 | ||||||
Avery Dennison Corp. | 14 | 1,564 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Ball Corp. | 69 | 4,499 | ||||||
Bank of America Corp. | 397 | 9,540 | ||||||
Berkshire Hathaway, Inc., Class A * | — | (d) | 845 | |||||
Berkshire Hathaway, Inc., Class B * | 26 | 4,798 | ||||||
Best Buy Co., Inc. | 23 | 1,798 | ||||||
BlackRock, Inc. | 16 | 8,066 | ||||||
Blackstone Group, Inc. (The), Class A (b) | 18 | 944 | ||||||
Booking Holdings, Inc. * | 3 | 3,802 | ||||||
Booz Allen Hamilton Holding Corp. | 30 | 2,207 | ||||||
Boston Scientific Corp. * | 131 | 4,916 | ||||||
Brinker International, Inc. (b) | 25 | 574 | ||||||
Bristol-Myers Squibb Co. | 172 | 10,433 | ||||||
Brixmor Property Group, Inc., REIT | 111 | 1,276 | ||||||
Cabot Oil & Gas Corp. | �� | 57 | 1,230 | |||||
Cadence Design Systems, Inc. * | 14 | 1,106 | ||||||
Campbell Soup Co. | 13 | 674 | ||||||
Capital One Financial Corp. (e) | 68 | 4,399 | ||||||
Carlisle Cos., Inc. | 17 | 2,111 | ||||||
Carnival plc | 4 | 56 | ||||||
Carrier Global Corp. * | 27 | 478 | ||||||
Catalent, Inc. * | 29 | 2,031 | ||||||
CBRE Group, Inc., Class A * (e) | 80 | 3,415 | ||||||
Charles Schwab Corp. (The) | 152 | 5,739 | ||||||
Charter Communications, Inc., Class A * | 17 | 8,486 | ||||||
Chevron Corp. | 124 | 11,363 | ||||||
Chubb Ltd. | 18 | 1,947 | ||||||
Cigna Corp. | 59 | 11,508 | ||||||
Cisco Systems, Inc. (e) | 61 | 2,573 | ||||||
Citigroup, Inc. (b) | 187 | 9,063 | ||||||
Citizens Financial Group, Inc. | 99 | 2,217 | ||||||
Claire’s Stores, Inc. * ‡ | — | (d) | 179 | |||||
Clear Channel Outdoor Holdings, Inc. * | 61 | 59 | ||||||
Coca-Cola Co. (The) | 171 | 7,833 | ||||||
Columbia Sportswear Co. (b) | 18 | 1,329 | ||||||
Comcast Corp., Class A | 106 | 3,970 | ||||||
CommScope Holding Co., Inc. * | 146 | 1,613 | ||||||
ConocoPhillips | 73 | 3,089 | ||||||
Copart, Inc.* | 18 | 1,445 | ||||||
Coty, Inc., Class A | 139 | 756 | ||||||
Crowdstrike Holdings, Inc., Class A * | 15 | 1,041 | ||||||
CyberArk Software Ltd. * | 1 | 92 | ||||||
Delta Air Lines, Inc. (e) | 56 | 1,440 | ||||||
DexCom, Inc. * | 6 | 2,039 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Diamondback Energy, Inc. | 25 | 1,097 | ||||||
Discovery, Inc., Class A * (b) | 91 | 2,032 | ||||||
Discovery, Inc., Class C * | 61 | 1,249 | ||||||
DISH Network Corp., Class A * | 66 | 1,644 | ||||||
Dover Corp. | 30 | 2,822 | ||||||
Duke Energy Corp. | 21 | 1,776 | ||||||
East West Bancorp, Inc. | 22 | 779 | ||||||
EastGroup Properties, Inc., REIT | 8 | 803 | ||||||
Edison International | 25 | 1,480 | ||||||
Eli Lilly & Co. | 28 | 4,261 | ||||||
Energizer Holdings, Inc. (b) | 51 | 1,991 | ||||||
Enphase Energy, Inc. * (b) | 37 | 1,730 | ||||||
Entegris, Inc. | 25 | 1,342 | ||||||
Entercom Communications Corp., Class A (e) | 240 | 292 | ||||||
Entergy Corp. | 15 | 1,392 | ||||||
EPAM Systems, Inc. * | 8 | 1,813 | ||||||
EQT Corp. | 95 | 1,381 | ||||||
Equitrans Midstream Corp. (b) | 151 | 1,265 | ||||||
Exact Sciences Corp. * | 20 | 1,545 | ||||||
Exelixis, Inc. * | 62 | 1,537 | ||||||
Facebook, Inc., Class A * (e) | 10 | 2,118 | ||||||
Federal Realty Investment Trust, REIT (b) | 17 | 1,385 | ||||||
Ferguson plc | 50 | 3,613 | ||||||
Fidelity National Information Services, Inc. | 9 | 1,234 | ||||||
Fifth Third Bancorp | 62 | 1,163 | ||||||
First Republic Bank | 34 | 3,579 | ||||||
Fiserv, Inc. * (e) | 63 | 6,466 | ||||||
Fortune Brands Home & Security, Inc. | 27 | 1,305 | ||||||
FTI Consulting, Inc. * | 17 | 2,148 | ||||||
Garmin Ltd. | 20 | 1,642 | ||||||
Generac Holdings, Inc. * | 22 | 2,102 | ||||||
General Dynamics Corp. | 8 | 1,060 | ||||||
Global Payments, Inc. | 24 | 4,056 | ||||||
Goodman Networks, Inc. * ‡ | 2 | — | ||||||
Graphic Packaging Holding Co. | 137 | 1,823 | ||||||
Hartford Financial Services Group, Inc. (The) | 47 | 1,787 | ||||||
HCA Healthcare, Inc. | 13 | 1,394 | ||||||
Hilton Worldwide Holdings, Inc. | 7 | 496 | ||||||
Home Depot, Inc. (The) | 43 | 9,423 | ||||||
Honeywell International, Inc. | 71 | 10,126 | ||||||
iHeartMedia, Inc., Class A * | 1 | 4 | ||||||
IHS Markit Ltd. | 20 | 1,318 | ||||||
Illinois Tool Works, Inc. (e) | 14 | 2,278 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Illumina, Inc. * | 5 | 1,599 | ||||||
Ingersoll Rand, Inc. * | 33 | 951 | ||||||
Intercept Pharmaceuticals, Inc. * (b) | 8 | 615 | ||||||
Intercontinental Exchange, Inc. | 56 | 4,999 | ||||||
Intuit, Inc. | 15 | 4,129 | ||||||
Intuitive Surgical, Inc. * | 3 | 1,413 | ||||||
Invesco Ltd. | 56 | 481 | ||||||
ITT, Inc. | 14 | 732 | ||||||
James Hardie Industries plc, CHDI | 11 | 157 | ||||||
Jazz Pharmaceuticals plc * | 11 | 1,253 | ||||||
Johnson & Johnson | 37 | 5,558 | ||||||
Keurig Dr Pepper, Inc. (b) | 46 | 1,226 | ||||||
KeyCorp | 181 | 2,112 | ||||||
Keysight Technologies, Inc. * | 19 | 1,832 | ||||||
Kimco Realty Corp., REIT | 82 | 893 | ||||||
Kinder Morgan, Inc. | 143 | 2,171 | ||||||
Kohl’s Corp. | 57 | 1,057 | ||||||
Lam Research Corp. | 8 | 2,004 | ||||||
Las Vegas Sands Corp. | 21 | 1,017 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C * | 29 | 918 | ||||||
Loews Corp. (e) | 132 | 4,575 | ||||||
Lowe’s Cos., Inc. | 32 | 3,357 | ||||||
Lululemon Athletica, Inc. * | 6 | 1,285 | ||||||
Lyft, Inc., Class A * (b) | 72 | 2,362 | ||||||
M&T Bank Corp. | 29 | 3,225 | ||||||
Marathon Petroleum Corp. | 51 | 1,631 | ||||||
Marriott International, Inc., Class A | 6 | 523 | ||||||
Marsh & McLennan Cos., Inc. | 18 | 1,764 | ||||||
Martin Marietta Materials, Inc. | 15 | 2,864 | ||||||
Mastercard, Inc., Class A | 39 | 10,835 | ||||||
McKesson Corp. | 24 | 3,449 | ||||||
Medallia, Inc. * (b) | 25 | 547 | ||||||
Medtronic plc | 26 | 2,536 | ||||||
Merck & Co., Inc. | 46 | 3,650 | ||||||
Mettler-Toledo International, Inc. * | 2 | 1,117 | ||||||
Microchip Technology, Inc. (b) | 8 | 726 | ||||||
Microsoft Corp. (e) | 190 | 34,137 | ||||||
Mid-America Apartment Communities, Inc., REIT (b) | 20 | 2,234 | ||||||
Middleby Corp. (The) * | 19 | 1,050 | ||||||
Mondelez International, Inc., Class A | 20 | 1,025 | ||||||
MongoDB, Inc. * | 6 | 933 | ||||||
Moran Foods Backstop Equity * ‡ | 24 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 23 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Morgan Stanley | 219 | 8,617 | ||||||
Murphy USA, Inc. * | 16 | 1,675 | ||||||
Nasdaq, Inc. | 15 | 1,639 | ||||||
National Vision Holdings, Inc. * | 27 | 711 | ||||||
Netflix, Inc. * | 17 | 7,268 | ||||||
New York Times Co. (The), Class A | 37 | 1,218 | ||||||
Newell Brands, Inc. (b) | 81 | 1,122 | ||||||
Nexstar Media Group, Inc., Class A | 23 | 1,638 | ||||||
NextEra Energy, Inc. | 42 | 9,760 | ||||||
Nordson Corp. (b) | 10 | 1,539 | ||||||
Nordstrom, Inc. (b) | 59 | 1,099 | ||||||
Norfolk Southern Corp. | 33 | 5,678 | ||||||
Northern Trust Corp. | 22 | 1,758 | ||||||
NVIDIA Corp. (e) | 21 | 6,179 | ||||||
Old Dominion Freight Line, Inc. | 12 | 1,765 | ||||||
O’Reilly Automotive, Inc. * | 20 | 7,916 | ||||||
Otis Worldwide Corp. * | 13 | 686 | ||||||
Outfront Media, Inc., REIT | 63 | 984 | ||||||
Packaging Corp. of America | 24 | 2,287 | ||||||
PayPal Holdings, Inc. * | 61 | 7,504 | ||||||
PBF Energy, Inc., Class A | 56 | 635 | ||||||
Penn Virginia Corp. * | 1 | 3 | ||||||
Pfizer, Inc. | 137 | 5,263 | ||||||
Philip Morris International, Inc. | 23 | 1,730 | ||||||
Phillips 66 | 29 | 2,106 | ||||||
Pioneer Natural Resources Co. | 15 | 1,344 | ||||||
PNC Financial Services Group, Inc. (The) | 48 | 5,082 | ||||||
Post Holdings, Inc. * | 26 | 2,387 | ||||||
Procter & Gamble Co. (The) | 75 | 8,810 | ||||||
Progressive Corp. (The) | 47 | 3,616 | ||||||
Prologis, Inc., REIT | 65 | 5,806 | ||||||
Prudential Financial, Inc. | 12 | 721 | ||||||
Public Storage, REIT | 17 | 3,100 | ||||||
QIAGEN NV * | 6 | 235 | ||||||
QUALCOMM, Inc. (e) | 50 | 3,908 | ||||||
Ralph Lauren Corp. | 7 | 538 | ||||||
Rayonier, Inc., REIT (b) | 75 | 1,792 | ||||||
Raytheon Technologies Corp. | 27 | 1,748 | ||||||
Regeneron Pharmaceuticals, Inc. * | 7 | 3,525 | ||||||
Remington Outdoor Co., Inc. * ‡ | 2 | 2 | ||||||
RingCentral, Inc., Class A * | 6 | 1,318 | ||||||
Ross Stores, Inc. | 24 | 2,223 | ||||||
S&P Global, Inc. | 9 | 2,552 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
salesforce.com, Inc. * (e) | 47 | 7,541 | ||||||
ServiceNow, Inc. * | 6 | 2,033 | ||||||
Sherwin-Williams Co. (The) | 1 | 544 | ||||||
Slack Technologies, Inc., Class A * (b) | 16 | 416 | ||||||
Southwest Airlines Co. | 44 | 1,382 | ||||||
Splunk, Inc. * | 10 | 1,392 | ||||||
Spotify Technology SA * | 11 | 1,677 | ||||||
Stanley Black & Decker, Inc. | 41 | 4,483 | ||||||
Synopsys, Inc. * | 11 | 1,742 | ||||||
T. Rowe Price Group, Inc. | 31 | 3,601 | ||||||
Take-Two Interactive Software, Inc. * | 15 | 1,827 | ||||||
Teladoc Health, Inc. * | 14 | 2,294 | ||||||
Tesla, Inc. * | 13 | 10,064 | ||||||
Texas Instruments, Inc. (e) | 59 | 6,863 | ||||||
Thermo Fisher Scientific, Inc. | 16 | 5,323 | ||||||
Thor Industries, Inc. (b) | 13 | 854 | ||||||
Tractor Supply Co. | 26 | 2,669 | ||||||
Trade Desk, Inc. (The), Class A * (b) | 7 | 2,055 | ||||||
Trane Technologies plc | 17 | 1,473 | ||||||
Travelers Cos., Inc. (The) | 38 | 3,802 | ||||||
Truist Financial Corp. | 83 | 3,091 | ||||||
Twilio, Inc., Class A * | — | (d) | 8 | |||||
Uber Technologies, Inc. * | 110 | 3,318 | ||||||
Ulta Beauty, Inc. * | 4 | 779 | ||||||
Union Pacific Corp. | 20 | 3,250 | ||||||
UnitedHealth Group, Inc. (e) | 76 | 22,178 | ||||||
US Bancorp | 66 | 2,400 | ||||||
Verizon Communications, Inc. (e) | 88 | 5,027 | ||||||
Vertex Pharmaceuticals, Inc. * | 10 | 2,615 | ||||||
ViacomCBS, Inc. | 61 | 1,059 | ||||||
Visa, Inc., Class A (e) | 1 | 193 | ||||||
Vistra Energy Corp. | 17 | 335 | ||||||
Vulcan Materials Co. | 9 | 1,058 | ||||||
Walgreens Boots Alliance, Inc. | 57 | 2,449 | ||||||
Waste Connections, Inc. (b) | 24 | 2,020 | ||||||
Wells Fargo & Co. (e) | 136 | 3,953 | ||||||
WestRock Co. | 54 | 1,753 | ||||||
Weyerhaeuser Co., REIT | 53 | 1,170 | ||||||
Williams Cos., Inc. (The) | 140 | 2,715 | ||||||
Workday, Inc., Class A * | 9 | 1,388 | ||||||
Xcel Energy, Inc. | 135 | 8,564 | ||||||
Zebra Technologies Corp., Class A * | 9 | 2,054 | ||||||
Zimmer Biomet Holdings, Inc. | 35 | 4,186 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Zscaler, Inc.* (b) | 19 | 1,272 | ||||||
|
| |||||||
750,509 | ||||||||
|
| |||||||
Total Common Stocks | 1,567,238 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
Corporate Bonds — 17.7% |
| |||||||
Australia — 0.0% (c) | ||||||||
FMG Resources August 2006 Pty. Ltd. | 230 | 234 | ||||||
Scentre Group Trust 1 | ||||||||
REIT, 2.38%, 4/28/2021 (f) | 239 | 239 | ||||||
REIT, 3.25%, 10/28/2025 (f) | 780 | 784 | ||||||
|
| |||||||
1,257 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,590 | 1,863 | ||||||
4.38%, 4/15/2038 | 1,715 | 1,848 | ||||||
4.44%, 10/6/2048 | 230 | 249 | ||||||
4.50%, 6/1/2050 | 2,025 | 2,252 | ||||||
|
| |||||||
6,212 | ||||||||
|
| |||||||
Canada — 0.4% | ||||||||
1011778 BC ULC 4.25%, 5/15/2024 (f) | 672 | 672 | ||||||
Alimentation Couche-Tard, Inc. | 490 | 479 | ||||||
Bell Canada, Inc. 4.30%, 7/29/2049 | 365 | 433 | ||||||
Bombardier, Inc. 6.00%, 10/15/2022 (f) | 506 | 380 | ||||||
7.50%, 3/15/2025 (f) | 93 | 60 | ||||||
Canadian Imperial Bank of Commerce (ICE LIBOR USD 3 Month + 0.79%), | 1,780 | 1,811 | ||||||
Emera US Finance LP 3.55%, 6/15/2026 (b) | 715 | 754 | ||||||
4.75%, 6/15/2046 | 740 | 798 | ||||||
Enbridge, Inc. 3.13%, 11/15/2029 (b) | 2,035 | 1,946 | ||||||
Federation des Caisses Desjardins du Quebec 2.05%, 2/10/2025 (f) | 870 | 873 | ||||||
MEG Energy Corp. 7.00%, 3/31/2024 (b) (f) | 181 | 129 | ||||||
7.13%, 2/1/2027 (f) | 557 | 384 | ||||||
National Bank of Canada 2.15%, 10/7/2022 (f) | 1,630 | 1,652 | ||||||
NOVA Chemicals Corp. 5.00%, 5/1/2025 (f) | 538 | 454 | ||||||
5.25%, 6/1/2027 (f) | 331 | 265 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Canada — continued | ||||||||
Quebecor Media, Inc. 5.75%, 1/15/2023 | 81 | 85 | ||||||
Stars Group Holdings BV |
| |||||||
7.00%, 7/15/2026 (f) | 335 | 344 | ||||||
TransCanada PipeLines Ltd. |
| |||||||
4.25%, 5/15/2028 | 1,100 | 1,184 | ||||||
Videotron Ltd. |
| |||||||
5.38%, 6/15/2024 (f) | 116 | 123 | ||||||
5.13%, 4/15/2027 (f) | 315 | 329 | ||||||
|
| |||||||
13,155 | ||||||||
|
| |||||||
Cayman Islands — 0.0%(c) |
| |||||||
Global Aircraft Leasing Co. Ltd. |
| |||||||
6.50% (cash), 9/15/2024 (f) (h) | 245 | 148 | ||||||
|
| |||||||
China — 0.1% |
| |||||||
China Development Bank |
| |||||||
0.38%, 11/16/2021 (a) | EUR | 1,270 | 1,397 | |||||
2.63%, 1/24/2022 (a) | 3,000 | 3,058 | ||||||
|
| |||||||
4,455 | ||||||||
|
| |||||||
Denmark — 0.1% |
| |||||||
Danske Bank A/S |
| |||||||
5.38%, 1/12/2024 (f) | 1,090 | 1,177 | ||||||
(ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (f) (g) | 920 | 920 | ||||||
|
| |||||||
2,097 | ||||||||
|
| |||||||
Ecuador — 0.0%(c) |
| |||||||
Petroamazonas EP |
| |||||||
4.63%, 11/6/2020 (f) (i) | 263 | 119 | ||||||
|
| |||||||
France — 0.6% |
| |||||||
Altice France SA |
| |||||||
7.38%, 5/1/2026 (f) | 784 | 819 | ||||||
Banque Federative du Credit Mutuel SA |
| |||||||
2.38%, 11/21/2024 (f) | 895 | 912 | ||||||
BNP Paribas SA |
| |||||||
3.80%, 1/10/2024 (f) | 2,195 | 2,310 | ||||||
BPCE SA |
| |||||||
(SOFR + 0.44%), 0.45%, 2/17/2022 (f) (g) | 590 | 577 | ||||||
2.38%, 1/14/2025 (f) | 1,790 | 1,781 | ||||||
Credit Agricole SA |
| |||||||
4.13%, 1/10/2027 (f) | 915 | 999 | ||||||
Dexia Credit Local SA |
| |||||||
0.75%, 1/25/2023 (a) | EUR | 3,500 | 3,932 | |||||
1.63%, 12/8/2023 (a) | GBP | 2,800 | 3,646 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 25 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
France — continued |
| |||||||
1.25%, 11/26/2024 (a) | EUR | 2,100 | 2,444 | |||||
Total Capital International SA |
| |||||||
2.83%, 1/10/2030 | 1,380 | 1,428 | ||||||
3.46%, 7/12/2049 | 415 | 436 | ||||||
|
| |||||||
19,284 | ||||||||
|
| |||||||
Germany — 0.2% |
| |||||||
BMW US Capital LLC |
| |||||||
3.10%, 4/12/2021 (f) | 380 | 382 | ||||||
Daimler Finance North America LLC |
| |||||||
2.70%, 8/3/2020 (f) | 762 | 761 | ||||||
2.55%, 8/15/2022 (f) | 905 | 893 | ||||||
Kreditanstalt fuer Wiederaufbau |
| |||||||
0.00%, 12/15/2022 | EUR | 3,000 | 3,325 | |||||
Siemens Financieringsmaatschappij NV |
| |||||||
3.25%, 5/27/2025 (f) | 775 | 838 | ||||||
Volkswagen Group of America Finance LLC |
| |||||||
2.70%, 9/26/2022 (f) | 1,790 | 1,797 | ||||||
3.20%, 9/26/2026 (f) | 700 | 699 | ||||||
|
| |||||||
8,695 | ||||||||
|
| |||||||
Ireland — 0.1% |
| |||||||
AerCap Ireland Capital DAC |
| |||||||
3.50%, 1/15/2025 | 1,065 | 918 | ||||||
AIB Group plc (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (f) (g) | 1,085 | 1,105 | ||||||
|
| |||||||
2,023 | ||||||||
|
| |||||||
Italy — 0.1% |
| |||||||
Enel Finance International NV |
| |||||||
4.88%, 6/14/2029 (f) | 680 | 784 | ||||||
Eni SpA |
| |||||||
4.25%, 5/9/2029 (f) | 520 | 530 | ||||||
Telecom Italia Capital SA |
| |||||||
6.38%, 11/15/2033 | 405 | 437 | ||||||
6.00%, 9/30/2034 | 358 | 371 | ||||||
7.72%, 6/4/2038 | 290 | 336 | ||||||
|
| |||||||
2,458 | ||||||||
|
| |||||||
Japan — 0.6% |
| |||||||
Development Bank of Japan, Inc. |
| |||||||
3.13%, 9/6/2023 (f) | 1,850 | 1,993 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
| |||||||
3.76%, 7/26/2023 | 1,810 | 1,915 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Japan — continued |
| |||||||
2.19%, 2/25/2025 | 1,890 | 1,899 | ||||||
Mizuho Financial Group, Inc. |
| |||||||
(ICE LIBOR USD 3 Month + 0.84%), 2.72%, 7/16/2023 (g) | 1,790 | 1,821 | ||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (g) | 2,460 | 2,459 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||
2.70%, 7/16/2024 | 3,845 | 3,954 | ||||||
2.35%, 1/15/2025 | 1,740 | 1,767 | ||||||
Takeda Pharmaceutical Co. Ltd. |
| |||||||
4.00%, 11/26/2021 | 2,570 | 2,674 | ||||||
5.00%, 11/26/2028 | 935 | 1,126 | ||||||
|
| |||||||
19,608 | ||||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
Altice Financing SA |
| |||||||
7.50%, 5/15/2026 (b) (f) | 1,375 | 1,437 | ||||||
5.00%, 1/15/2028 (f) | 200 | 195 | ||||||
Altice France Holding SA |
| |||||||
10.50%, 5/15/2027 (f) | 373 | 402 | ||||||
6.00%, 2/15/2028 (b) (f) | 350 | 319 | ||||||
Intelsat Jackson Holdings SA |
| |||||||
5.50%, 8/1/2023 | 773 | 420 | ||||||
8.00%, 2/15/2024 (f) | 716 | 735 | ||||||
8.50%, 10/15/2024 (f) | 680 | 394 | ||||||
|
| |||||||
3,902 | ||||||||
|
| |||||||
Netherlands — 0.4% |
| |||||||
BNG Bank NV |
| |||||||
2.50%, 2/16/2021 (b) (f) | 3,538 | 3,593 | ||||||
4.75%, 3/6/2023 (a) | AUD | 602 | 436 | |||||
Cooperatieve Rabobank UA |
| |||||||
3.88%, 9/26/2023 (f) | 1,140 | 1,210 | ||||||
NXP BV |
| |||||||
3.88%, 6/18/2026 (f) | 705 | 738 | ||||||
Shell International Finance BV |
| |||||||
2.38%, 4/6/2025 | 3,340 | 3,443 | ||||||
2.75%, 4/6/2030 | 1,810 | 1,876 | ||||||
Trivium Packaging Finance BV |
| |||||||
5.50%, 8/15/2026 (f) (j) | 364 | 373 | ||||||
8.50%, 8/15/2027 (f) (j) | 227 | 237 | ||||||
UPC Holding BV |
| |||||||
5.50%, 1/15/2028 (f) | 200 | 194 | ||||||
|
| |||||||
12,100 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
Norway — 0.0%(c) |
| |||||||
DNB Bank ASA |
| |||||||
2.15%, 12/2/2022 (f) | 770 | 786 | ||||||
|
| |||||||
Singapore — 0.3% |
| |||||||
Temasek Financial I Ltd. |
| |||||||
0.50%, 3/1/2022 (a) | EUR | 2,000 | 2,205 | |||||
3.63%, 8/1/2028 (f) | 6,158 | 7,105 | ||||||
|
| |||||||
9,310 | ||||||||
|
| |||||||
South Korea — 0.2% |
| |||||||
Korea Development Bank (The) |
| |||||||
3.00%, 3/19/2022 | 1,087 | 1,123 | ||||||
1.75%, 12/15/2022 (a) | GBP | 2,450 | 3,093 | |||||
2.13%, 10/1/2024 | 1,826 | 1,863 | ||||||
|
| |||||||
6,079 | ||||||||
|
| |||||||
Spain — 0.1% |
| |||||||
Banco Santander SA |
| |||||||
2.71%, 6/27/2024 | 2,000 | 2,053 | ||||||
Telefonica Emisiones SA |
| |||||||
4.10%, 3/8/2027 | 1,855 | 2,001 | ||||||
|
| |||||||
4,054 | ||||||||
|
| |||||||
Switzerland — 0.3% |
| |||||||
Credit Suisse Group AG |
| |||||||
(ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (f) (g) | 1,270 | 1,333 | ||||||
(SOFR + 1.56%), 2.59%, 9/11/2025 (f) (g) | 2,405 | 2,399 | ||||||
4.28%, 1/9/2028 (f) | 2,500 | 2,694 | ||||||
Glencore Finance Canada Ltd. |
| |||||||
5.55%, 10/25/2042 (f) (j) | 300 | 303 | ||||||
Glencore Funding LLC |
| |||||||
4.00%, 3/27/2027 (f) | 660 | 668 | ||||||
Novartis Capital Corp. |
| |||||||
2.75%, 8/14/2050 | 500 | 536 | ||||||
UBS Group AG |
| |||||||
3.49%, 5/23/2023 (f) | 1,910 | 1,965 | ||||||
4.13%, 9/24/2025 (f) | 735 | 808 | ||||||
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (f) (g) | 940 | 979 | ||||||
|
| |||||||
11,685 | ||||||||
|
| |||||||
United Arab Emirates — 0.0%(c) |
| |||||||
EA Partners I BV |
| |||||||
6.88%, 9/28/2020 (a) (i) | 390 | 125 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United Kingdom — 0.9% |
| |||||||
Ashtead Capital, Inc. |
| |||||||
4.00%, 5/1/2028 (f) | 600 | 573 | ||||||
AstraZeneca plc |
| |||||||
4.00%, 1/17/2029 | 905 | 1,063 | ||||||
BAE Systems plc |
| |||||||
3.40%, 4/15/2030 (f) | 1,305 | 1,417 | ||||||
BAT Capital Corp. |
| |||||||
3.22%, 9/6/2026 | 685 | 705 | ||||||
3.56%, 8/15/2027 | 650 | 668 | ||||||
3.46%, 9/6/2029 | 490 | 499 | ||||||
4.39%, 8/15/2037 | 1,240 | 1,268 | ||||||
4.54%, 8/15/2047 | 595 | 618 | ||||||
CK Hutchison International 19 Ltd. |
| |||||||
3.25%, 4/11/2024 (f) | 1,035 | 1,078 | ||||||
Diageo Capital plc |
| |||||||
1.38%, 9/29/2025 (b) | 610 | 609 | ||||||
2.00%, 4/29/2030 | 350 | 349 | ||||||
HSBC Holdings plc |
| |||||||
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (g) | 1,020 | 1,085 | ||||||
(ICE LIBOR USD 3 Month + 1.14%), 2.63%, 11/7/2025 (g) | 1,350 | 1,376 | ||||||
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (g) | 1,475 | 1,617 | ||||||
4.95%, 3/31/2030 | 1,655 | 1,959 | ||||||
Imperial Brands Finance plc |
| |||||||
3.13%, 7/26/2024 (f) | 1,020 | 1,004 | ||||||
3.50%, 7/26/2026 (f) | 715 | 711 | ||||||
Lloyds Banking Group plc |
| |||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (b) (g) | 2,430 | 2,555 | ||||||
Reckitt Benckiser Treasury Services plc |
| |||||||
2.38%, 6/24/2022 (f) | 2,040 | 2,080 | ||||||
Royal Bank of Scotland Group plc |
| |||||||
3.88%, 9/12/2023 | 1,195 | 1,251 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (g) | 2,505 | 2,663 | ||||||
Standard Chartered plc |
| |||||||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (f) (g) | 1,340 | 1,337 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 4.64%, 4/1/2031 (f) (g) | 895 | 985 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 27 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United Kingdom — continued |
| |||||||
Virgin Media Secured Finance plc 5.50%, 5/15/2029 (f) | 800 | 830 | ||||||
Vodafone Group plc | ||||||||
4.13%, 5/30/2025 | 755 | 841 | ||||||
5.00%, 5/30/2038 | 255 | 304 | ||||||
4.25%, 9/17/2050 | 1,390 | 1,521 | ||||||
|
| |||||||
30,966 | ||||||||
|
| |||||||
United States — 13.0% |
| |||||||
Abbott Laboratories 4.90%, 11/30/2046 | 640 | 896 | ||||||
AbbVie, Inc. | ||||||||
3.20%, 11/21/2029 (f) | 3,670 | 3,878 | ||||||
4.50%, 5/14/2035 | 435 | 502 | ||||||
4.05%, 11/21/2039 (f) | 265 | 292 | ||||||
4.45%, 5/14/2046 | 585 | 683 | ||||||
4.25%, 11/21/2049 (f) | 940 | 1,078 | ||||||
ACCO Brands Corp. 5.25%, 12/15/2024 (f) | 219 | 217 | ||||||
ACE Cash Express, Inc. 12.00%, 12/15/2022 (f) | 485 | 376 | ||||||
Adient US LLC 7.00%, 5/15/2026 (f) | 1,095 | 1,090 | ||||||
ADT Security Corp. (The) 4.88%, 7/15/2032 (f) | 305 | 271 | ||||||
AECOM 5.13%, 3/15/2027 | 349 | 355 | ||||||
AEP Transmission Co. LLC Series M, 3.65%, 4/1/2050 | 505 | 602 | ||||||
AES Corp. (The) 6.00%, 5/15/2026 | 550 | 575 | ||||||
Aetna, Inc. | ||||||||
4.13%, 11/15/2042 | 460 | 506 | ||||||
3.88%, 8/15/2047 | 615 | 669 | ||||||
Aflac, Inc. 3.60%, 4/1/2030 | 860 | 964 | ||||||
Ahern Rentals, Inc. 7.38%, 5/15/2023(f) | 918 | 432 | ||||||
AIG Global Funding (ICE LIBOR USD 3 Month + 0.65%), 1.75%, 1/22/2021 (f) (g) | 281 | 279 | ||||||
Air Lease Corp. | ||||||||
(ICE LIBOR USD 3 Month + 0.67%), 2.13%, 6/3/2021 (g) | 81 | 75 | ||||||
3.25%, 3/1/2025 | 2,495 | 2,240 | ||||||
Air Products and Chemicals, Inc. | ||||||||
2.05%, 5/15/2030 | 150 | 153 | ||||||
2.80%, 5/15/2050 | 235 | 238 | ||||||
Albertsons Cos., Inc. | ||||||||
4.63%, 1/15/2027 (f) | 400 | 402 | ||||||
5.88%, 2/15/2028 (f) | 206 | 215 | ||||||
4.88%, 2/15/2030 (b) (f) | 770 | 781 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Alcoa Nederland Holding BV |
| |||||||
6.75%, 9/30/2024 (f) | 202 | 200 | ||||||
7.00%, 9/30/2026 (f) | 750 | 742 | ||||||
Alexandria Real Estate Equities, Inc. REIT, 4.90%, 12/15/2030 | 400 | 478 | ||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026 (f) | 170 | 175 | ||||||
9.75%, 7/15/2027 (f) | 175 | 177 | ||||||
Allison Transmission, Inc. | ||||||||
4.75%, 10/1/2027 (f) | 473 | 440 | ||||||
5.88%, 6/1/2029 (f) | 500 | 485 | ||||||
Ally Financial, Inc. 5.75%, 11/20/2025 | 1,210 | 1,240 | ||||||
Altria Group, Inc. | ||||||||
4.80%, 2/14/2029 | 2,010 | 2,244 | ||||||
3.88%, 9/16/2046 | 1,245 | 1,199 | ||||||
AMC Entertainment Holdings, Inc. | ||||||||
5.75%, 6/15/2025 | 374 | 84 | ||||||
6.13%, 5/15/2027 (b) | 317 | 75 | ||||||
AMC Networks, Inc. | ||||||||
5.00%, 4/1/2024 (b) | 60 | 58 | ||||||
4.75%, 8/1/2025 | 348 | 318 | ||||||
Ameren Corp. 3.50%, 1/15/2031 | 810 | 896 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.25%, 4/1/2025 (b) | 1,200 | 914 | ||||||
6.25%, 3/15/2026 | 158 | 118 | ||||||
6.50%, 4/1/2027 | 347 | 261 | ||||||
American International Group, Inc. 3.88%, 1/15/2035 | 750 | 799 | ||||||
American Tower Corp. |
| |||||||
REIT, 2.75%, 1/15/2027 | 2,525 | 2,613 | ||||||
REIT, 3.95%, 3/15/2029 | 1,430 | 1,599 | ||||||
American Water Capital Corp. 3.45%, 5/1/2050 | 550 | 612 | ||||||
AmeriGas Partners LP 5.50%, 5/20/2025 | 615 | 625 | ||||||
Amgen, Inc. | ||||||||
2.45%, 2/21/2030 | 860 | 885 | ||||||
3.38%, 2/21/2050 (b) | 720 | 771 | ||||||
Antero Midstream Partners LP 5.38%, 9/15/2024 | 645 | 503 | ||||||
Antero Resources Corp. | ||||||||
5.38%, 11/1/2021 (b) | 244 | 218 | ||||||
5.13%, 12/1/2022 | 196 | 137 | ||||||
5.63%, 6/1/2023 | 149 | 87 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
Anthem, Inc. | ||||||||
2.88%, 9/15/2029 | 1,385 | 1,432 | ||||||
4.63%, 5/15/2042 | 215 | 261 | ||||||
Apple, Inc. 2.95%, 9/11/2049 | 1,980 | 2,115 | ||||||
Aramark Services, Inc. | 680 | 649 | ||||||
Archrock Partners LP 6.88%, 4/1/2027 (f) | 90 | 67 | ||||||
Ardagh Packaging Finance plc | ||||||||
6.00%, 2/15/2025 (f) | 1,075 | 1,076 | ||||||
5.25%, 8/15/2027 (f) | 359 | 349 | ||||||
AT&T, Inc. |
| |||||||
4.45%, 4/1/2024 | 3,170 | 3,450 | ||||||
3.80%, 2/15/2027 | 1,875 | 2,023 | ||||||
4.55%, 3/9/2049 | 2,015 | 2,305 | ||||||
Avantor, Inc. 6.00%, 10/1/2024 (f) | 750 | 790 | ||||||
Avis Budget Car Rental LLC | ||||||||
5.25%, 3/15/2025 (f) | 395 | 233 | ||||||
5.75%, 7/15/2027 (f) | 132 | 77 | ||||||
Ball Corp. 4.88%, 3/15/2026 | 275 | 296 | ||||||
Bank of America Corp. |
| |||||||
(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (g) | 1,205 | 1,286 | ||||||
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (g) | 870 | 873 | ||||||
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (g) | 4,245 | 4,637 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (g) | 2,935 | 3,203 | ||||||
(ICE LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/2030 (g) | 2,755 | 2,869 | ||||||
(SOFR + 2.15%), 2.59%, 4/29/2031 (g) | 925 | 947 | ||||||
Bank of New York Mellon Corp. (The) 1.60%, 4/24/2025 | 3,285 | 3,333 | ||||||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (f) | 228 | 251 | ||||||
Bausch Health Cos., Inc. | ||||||||
5.50%, 3/1/2023 (f) | 8 | 8 | ||||||
5.88%, 5/15/2023 (b) (f) | 82 | 81 | ||||||
6.13%, 4/15/2025 (f) | 1,333 | 1,347 | ||||||
9.00%, 12/15/2025 (f) | 720 | 785 | ||||||
7.00%, 1/15/2028 (f) | 172 | 179 | ||||||
5.00%, 1/30/2028 (f) | 1,182 | 1,132 | ||||||
7.25%, 5/30/2029 (f) | 170 | 181 | ||||||
5.25%, 1/30/2030 (f) | 332 | 329 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Becton Dickinson and Co. | ||||||||
3.36%, 6/6/2024 | 1,515 | 1,609 | ||||||
3.70%, 6/6/2027 | 635 | 689 | ||||||
4.67%, 6/6/2047 | 195 | 243 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
4.05%, 4/15/2025 (f) | 2,355 | 2,648 | ||||||
3.70%, 7/15/2030 (f) | 1,225 | 1,391 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
1.85%, 3/12/2030 | 865 | 885 | ||||||
4.20%, 8/15/2048 | 255 | 321 | ||||||
Berry Global, Inc. 4.88%, 7/15/2026 (f) | 863 | 881 | ||||||
Biogen, Inc. | ||||||||
2.25%, 5/1/2030 | 130 | 129 | ||||||
3.15%, 5/1/2050 | 490 | 474 | ||||||
Blue Racer Midstream LLC 6.13%, 11/15/2022 (f) | 375 | 319 | ||||||
Boeing Co. (The) | ||||||||
4.51%, 5/1/2023 | 745 | 745 | ||||||
4.88%, 5/1/2025 | 565 | 565 | ||||||
5.04%, 5/1/2027 | 680 | 680 | ||||||
3.25%, 2/1/2035 | 385 | 318 | ||||||
5.71%, 5/1/2040 | 345 | 345 | ||||||
Boston Scientific Corp. 4.55%, 3/1/2039 | 345 | 413 | ||||||
Boyd Gaming Corp. | ||||||||
6.38%, 4/1/2026 | 355 | 320 | ||||||
6.00%, 8/15/2026 | 212 | 192 | ||||||
Boyne USA, Inc. 7.25%, 5/1/2025 (f) | 282 | 282 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.54%, 4/6/2027 | 2,530 | 2,653 | ||||||
3.00%, 2/24/2050 | 655 | 622 | ||||||
Brink’s Co. (The) 4.63%, 10/15/2027 (f) | 370 | 346 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.45%, 11/15/2027 (f) | 3,135 | 3,550 | ||||||
4.13%, 6/15/2039 (f) | 225 | 278 | ||||||
Brookfield Property REIT, Inc. REIT, 5.75%, 5/15/2026 (f) | 247 | 198 | ||||||
Burlington Northern Santa Fe LLC 3.05%, 2/15/2051 | 1,830 | 1,904 | ||||||
BWX Technologies, Inc. 5.38%, 7/15/2026 (f) | 225 | 230 | ||||||
Caesars Resort Collection LLC 5.25%, 10/15/2025 (f) | 185 | 145 | ||||||
Calpine Corp. 5.25%, 6/1/2026 (f) | 430 | 437 | ||||||
Cameron LNG LLC 3.30%, 1/15/2035 (f) | 350 | 347 | ||||||
Capital One NA 2.15%, 9/6/2022 | 865 | 862 | ||||||
Carrier Global Corp. 2.49%, 2/15/2027 (f) | 665 | 634 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 29 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
CCO Holdings LLC | ||||||||
5.75%, 2/15/2026 (f) | 1,001 | 1,044 | ||||||
5.50%, 5/1/2026 (f) | 1,605 | 1,669 | ||||||
5.13%, 5/1/2027 (f) | 1,850 | 1,921 | ||||||
5.00%, 2/1/2028 (f) | 1,737 | 1,789 | ||||||
4.75%, 3/1/2030 (f) | 1,007 | 1,027 | ||||||
CDK Global, Inc. | ||||||||
4.88%, 6/1/2027 | 300 | 299 | ||||||
5.25%, 5/15/2029 (f) | 313 | 319 | ||||||
CDW LLC 4.25%, 4/1/2028 (b) | 572 | 575 | ||||||
Cedar Fair LP 5.38%, 4/15/2027 | 331 | 295 | ||||||
Centene Corp. | ||||||||
4.25%, 12/15/2027 (f) | 575 | 602 | ||||||
4.63%, 12/15/2029 (f) | 1,033 | 1,131 | ||||||
3.38%, 2/15/2030 (f) | 365 | 368 | ||||||
CenturyLink, Inc. |
| |||||||
Series Y, 7.50%, 4/1/2024 | 220 | 239 | ||||||
5.63%, 4/1/2025 | 500 | 500 | ||||||
5.13%, 12/15/2026 (f) | 1,175 | 1,113 | ||||||
Charter Communications Operating LLC | ||||||||
4.91%, 7/23/2025 | 835 | 941 | ||||||
4.80%, 3/1/2050 | 1,910 | 2,157 | ||||||
Chemours Co. (The) 7.00%, 5/15/2025 (b) | 995 | 935 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 268 | 256 | ||||||
5.63%, 10/1/2026 | 268 | 256 | ||||||
Cigna Corp. | ||||||||
3.05%, 10/15/2027 (f) | 835 | 874 | ||||||
3.40%, 3/15/2050 | 580 | 597 | ||||||
Cinemark USA, Inc. 4.88%, 6/1/2023 | 335 | 281 | ||||||
CIT Group, Inc. 6.13%, 3/9/2028 (b) | 300 | 307 | ||||||
Citigroup, Inc. |
| |||||||
Series R, (ICE LIBOR USD 3 Month + 4.48%), 6.13%, 11/15/2020 (g) (k) (l) | 359 | 349 | ||||||
(SOFR + 2.75%), 3.11%, 4/8/2026 (g) | 4,145 | 4,340 | ||||||
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (g) (k) (l) | 210 | 225 | ||||||
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (g) | 2,810 | 2,981 | ||||||
(SOFR + 1.42%), 2.98%, 11/5/2030 (b) (g) | 3,280 | 3,346 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.25%, 2/15/2024 (f) | 370 | 308 | ||||||
5.13%, 8/15/2027 (f) | 1,329 | 1,249 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
CNG Holdings, Inc. 12.50%, 6/15/2024 (f) | 221 | 189 | ||||||
Coca-Cola Co. (The) 2.50%, 6/1/2040 | 545 | 542 | ||||||
Colfax Corp. 6.38%, 2/15/2026 (f) | 120 | 124 | ||||||
Columbia Pipeline Group, Inc. 3.30%, 6/1/2020 | 320 | 320 | ||||||
Comcast Corp. | ||||||||
4.15%, 10/15/2028 | 505 | 589 | ||||||
3.40%, 4/1/2030 | 2,100 | 2,347 | ||||||
3.20%, 7/15/2036 | 1,700 | 1,837 | ||||||
3.75%, 4/1/2040 | 1,000 | 1,145 | ||||||
3.45%, 2/1/2050 | 1,080 | 1,205 | ||||||
Commercial Metals Co. 4.88%, 5/15/2023 | 84 | 84 | ||||||
Commonwealth Edison Co. | ||||||||
2.20%, 3/1/2030 | 870 | 900 | ||||||
3.00%, 3/1/2050 | 365 | 390 | ||||||
CommScope, Inc. | ||||||||
6.00%, 3/1/2026 (f) | 1,225 | 1,225 | ||||||
8.25%, 3/1/2027 (f) | 725 | 696 | ||||||
Community Health Systems, Inc. | ||||||||
6.25%, 3/31/2023 (b) | 447 | 416 | ||||||
8.00%, 3/15/2026 (f) | 154 | 147 | ||||||
Constellation Brands, Inc. |
| |||||||
3.15%, 8/1/2029 | 485 | 499 | ||||||
3.75%, 5/1/2050 | 225 | 225 | ||||||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (b) (f) | 188 | 116 | ||||||
Constellium SE 5.75%, 5/15/2024 (f) | 505 | 487 | ||||||
Costco Wholesale Corp. 1.75%, 4/20/2032 | 780 | 775 | ||||||
Cox Communications, Inc. 4.80%, 2/1/2035 (f) | 925 | 1,067 | ||||||
Crestwood Midstream Partners LP | ||||||||
6.25%, 4/1/2023 (j) | 19 | 14 | ||||||
5.75%, 4/1/2025 (b) | 676 | 487 | ||||||
Crown Castle International Corp. |
| |||||||
REIT, 3.30%, 7/1/2030 | 1,725 | 1,846 | ||||||
REIT, 4.15%, 7/1/2050 | 390 | 455 | ||||||
CSC Holdings LLC | ||||||||
5.50%, 4/15/2027 (f) | 750 | 780 | ||||||
6.50%, 2/1/2029 (f) | 760 | 830 | ||||||
5.75%, 1/15/2030 (f) | 800 | 832 | ||||||
CSX Corp. | ||||||||
3.25%, 6/1/2027 | 600 | 648 | ||||||
2.40%, 2/15/2030 | 1,105 | 1,134 | ||||||
3.80%, 4/15/2050 | 540 | 619 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
CVS Health Corp. | ||||||||
3.75%, 4/1/2030 | 1,720 | 1,909 | ||||||
4.13%, 4/1/2040 | 265 | 297 | ||||||
4.25%, 4/1/2050 | 650 | 751 | ||||||
Darling Ingredients, Inc. 5.25%, 4/15/2027 (f) | 350 | 353 | ||||||
DaVita, Inc. 5.00%, 5/1/2025 | 1,431 | 1,452 | ||||||
DCP Midstream Operating LP 5.38%, 7/15/2025 | 373 | 302 | ||||||
Deere & Co. | ||||||||
2.75%, 4/15/2025 | 855 | 910 | ||||||
3.10%, 4/15/2030 | 1,045 | 1,154 | ||||||
Dell International LLC | ||||||||
5.88%, 6/15/2021 (f) | 128 | 128 | ||||||
7.13%, 6/15/2024 (f) | 180 | 187 | ||||||
6.02%, 6/15/2026 (f) | 750 | 811 | ||||||
4.90%, 10/1/2026 (f) | 1,050 | 1,087 | ||||||
Denbury Resources, Inc. 9.00%, 5/15/2021 (f) | 195 | 35 | ||||||
Diamond Sports Group LLC | ||||||||
5.38%, 8/15/2026 (f) | 441 | 335 | ||||||
6.63%, 8/15/2027 (b) (f) | 215 | 118 | ||||||
Diamondback Energy, Inc. 5.38%, 5/31/2025 | 525 | 501 | ||||||
DISH DBS Corp. | ||||||||
5.13%, 5/1/2020 | 335 | 335 | ||||||
5.88%, 7/15/2022 | 479 | 483 | ||||||
5.00%, 3/15/2023 | 198 | 189 | ||||||
5.88%, 11/15/2024 | 2,070 | 1,991 | ||||||
7.75%, 7/1/2026 (b) | 1,264 | 1,245 | ||||||
Dominion Energy, Inc. | 198 | 205 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (f) | 372 | 223 | ||||||
Duke Energy Florida LLC 2.50%, 12/1/2029 | 2,190 | 2,342 | ||||||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | 1,135 | 1,153 | ||||||
Edison International 4.95%, 4/15/2025 | 2,535 | 2,751 | ||||||
Eli Lilly and Co. 2.25%, 5/15/2050 | 605 | 576 | ||||||
Embarq Corp. 8.00%, 6/1/2036 (b) | 682 | 702 | ||||||
EMC Corp. 3.38%, 6/1/2023 | 403 | 401 | ||||||
Encompass Health Corp. | ||||||||
5.75%, 11/1/2024 | 445 | 447 | ||||||
4.50%, 2/1/2028 | 500 | 501 | ||||||
Endo Dac | ||||||||
6.00%, 7/15/2023 (f) | 265 | 199 | ||||||
6.00%, 2/1/2025 (f) (j) | 200 | 143 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Energizer Holdings, Inc. | ||||||||
5.50%, 6/15/2025 (b) (f) | 685 | 693 | ||||||
7.75%, 1/15/2027 (b) (f) | 550 | 584 | ||||||
Energy Transfer Operating LP | ||||||||
3.75%, 5/15/2030 | 530 | 480 | ||||||
5.15%, 2/1/2043 | 360 | 297 | ||||||
5.15%, 3/15/2045 | 670 | 594 | ||||||
EnLink Midstream Partners LP |
| |||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (g) (k) (l) | 760 | 205 | ||||||
4.40%, 4/1/2024 | 340 | 214 | ||||||
Entercom Media Corp. 7.25%, 11/1/2024 (b) (f) | 230 | 143 | ||||||
Entergy Louisiana LLC 2.90%, 3/15/2051 | 705 | 744 | ||||||
Entergy Texas, Inc. 3.55%, 9/30/2049 | 920 | 1,037 | ||||||
Enterprise Products Operating LLC | ||||||||
5.20%, 9/1/2020 | 169 | 171 | ||||||
2.80%, 1/31/2030 (b) | 1,445 | 1,419 | ||||||
3.70%, 1/31/2051 | 710 | 661 | ||||||
Envision Healthcare Corp. 8.75%, 10/15/2026 (f) | 321 | 107 | ||||||
EP Energy LLC | ||||||||
8.00%, 11/29/2024 (f) (i) | 396 | 1 | ||||||
8.00%, 2/15/2025 (f) (i) | 406 | 1 | ||||||
7.75%, 5/15/2026 (f) (i) | 418 | 46 | ||||||
EQT Corp. 3.00%, 10/1/2022 | 525 | 495 | ||||||
ESH Hospitality, Inc. |
| |||||||
REIT, 5.25%, 5/1/2025 (f) | 300 | 282 | ||||||
REIT, 4.63%, 10/1/2027 (f) | 450 | 407 | ||||||
Evergy, Inc. 2.90%, 9/15/2029 | 1,420 | 1,454 | ||||||
Exela Intermediate LLC | 1,600 | 296 | ||||||
Exelon Corp. 4.70%, 4/15/2050 | 530 | 679 | ||||||
Exxon Mobil Corp. | ||||||||
2.99%, 3/19/2025 | 1,250 | 1,337 | ||||||
2.61%, 10/15/2030 | 1,950 | 2,031 | ||||||
3.00%, 8/16/2039 | 270 | 272 | ||||||
3.10%, 8/16/2049 | 425 | 433 | ||||||
Fidelity National Information Services, Inc. 3.00%, 8/15/2026 | 1,345 | 1,432 | ||||||
FirstEnergy Corp. 2.65%, 3/1/2030 | 3,160 | 3,203 | ||||||
Fiserv, Inc. 3.50%, 7/1/2029 | 930 | 1,016 | ||||||
Ford Motor Co. | ||||||||
8.50%, 4/21/2023 | 143 | 142 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 31 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
9.00%, 4/22/2025 | 143 | 139 | ||||||
9.63%, 4/22/2030 | 62 | 61 | ||||||
Ford Motor Credit Co. LLC | ||||||||
4.39%, 1/8/2026 | 820 | 705 | ||||||
4.27%, 1/9/2027 | 345 | 293 | ||||||
Fox Corp. 5.58%, 1/25/2049 | 175 | 238 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3.88%, 3/15/2023 | 965 | 963 | ||||||
4.55%, 11/14/2024 | 200 | 200 | ||||||
4.13%, 3/1/2028 | 271 | 251 | ||||||
Frontier Communications Corp. 8.50%, 4/1/2026 (b) (f) | 1,020 | 943 | ||||||
Gap, Inc. (The) | ||||||||
8.38%, 5/15/2023 (f) | 375 | 375 | ||||||
8.63%, 5/15/2025 (f) | 27 | 27 | ||||||
8.88%, 5/15/2027 (f) | 27 | 27 | ||||||
General Electric Co. | ||||||||
3.45%, 5/1/2027 | 630 | 641 | ||||||
3.63%, 5/1/2030 | 1,875 | 1,881 | ||||||
4.13%, 10/9/2042 | 270 | 264 | ||||||
Genesis Energy LP | ||||||||
6.25%, 5/15/2026 | 357 | 298 | ||||||
7.75%, 2/1/2028 | 369 | 314 | ||||||
Gilead Sciences, Inc. | ||||||||
4.00%, 9/1/2036 | 945 | 1,129 | ||||||
4.80%, 4/1/2044 | 185 | 244 | ||||||
Global Payments, Inc. 3.20%, 8/15/2029 | 480 | 493 | ||||||
GLP Capital LP REIT, 5.75%, 6/1/2028 | 480 | 473 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (g) (k) (l) | 530 | 479 | ||||||
3.50%, 4/1/2025 | 5,030 | 5,350 | ||||||
3.85%, 1/26/2027 | 1,420 | 1,532 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), | 1,770 | 1,887 | ||||||
3.80%, 3/15/2030 | 1,345 | 1,470 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (g) | 555 | 608 | ||||||
Goodyear Tire & Rubber Co. (The) 4.88%, 3/15/2027 (b) | 362 | 310 | ||||||
Gray Television, Inc. 7.00%, 5/15/2027 (f) | 540 | 544 | ||||||
Greif, Inc. 6.50%, 3/1/2027 (f) | 349 | 349 | ||||||
Gulfport Energy Corp. 6.00%, 10/15/2024 | 515 | 256 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | 345 | 329 | ||||||
Hanesbrands, Inc. 4.88%, 5/15/2026 (b) (f) | 292 | 294 | ||||||
HCA, Inc. | ||||||||
5.38%, 2/1/2025 | 1,013 | 1,089 | ||||||
5.88%, 2/15/2026 | 2,530 | 2,815 | ||||||
4.50%, 2/15/2027 | 2,715 | 2,935 | ||||||
5.63%, 9/1/2028 | 1,923 | 2,131 | ||||||
3.50%, 9/1/2030 | 930 | 887 | ||||||
Healthpeak Properties, Inc. REIT, 3.00%, 1/15/2030 | 490 | 472 | ||||||
Herc Holdings, Inc. 5.50%, 7/15/2027 (f) | 460 | 431 | ||||||
Hertz Corp. (The) | ||||||||
7.13%, 8/1/2026 (f) | 410 | 83 | ||||||
6.00%, 1/15/2028 (f) | 500 | 90 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
5.13%, 5/1/2026 | 505 | 499 | ||||||
4.88%, 1/15/2030 | 272 | 260 | ||||||
Hilton Worldwide Finance LLC | ||||||||
4.63%, 4/1/2025 (b) | 209 | 206 | ||||||
4.88%, 4/1/2027 | 302 | 293 | ||||||
Hologic, Inc. 4.38%, 10/15/2025 (f) | 357 | 359 | ||||||
Home Depot, Inc. (The) | ||||||||
2.50%, 4/15/2027 | 595 | 628 | ||||||
3.30%, 4/15/2040 | 1,195 | 1,301 | ||||||
3.13%, 12/15/2049 | 185 | 195 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.13%, 10/1/2024 | 338 | 326 | ||||||
5.90%, 2/1/2027 | 268 | 256 | ||||||
Hughes Satellite Systems Corp. | ||||||||
7.63%, 6/15/2021 | 85 | 88 | ||||||
5.25%, 8/1/2026 | 250 | 264 | ||||||
6.63%, 8/1/2026 | 300 | 321 | ||||||
Icahn Enterprises LP | ||||||||
6.38%, 12/15/2025 | 316 | 314 | ||||||
6.25%, 5/15/2026 | 241 | 237 | ||||||
iHeartCommunications, Inc. | ||||||||
8.38%, 5/1/2027 | 233 | 195 | ||||||
5.25%, 8/15/2027 (f) | 715 | 638 | ||||||
ILFCE-Capital Trust I (USD Constant Maturity 30 Year + 1.55%), 3.33%, 12/21/2065 (f) (g) | 1,015 | 487 | ||||||
ILFCE-Capital Trust II (US Treasury Yield Curve Rate T Note Constant Maturity 30 Year + 1.80%), 3.57%, 12/21/2065 (f) (g) | 880 | 438 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
Infor US, Inc. 6.50%, 5/15/2022 | 204 | 204 | ||||||
Intel Corp. | ||||||||
3.90%, 3/25/2030 | 1,635 | 1,936 | ||||||
3.73%, 12/8/2047 | 640 | 767 | ||||||
International Business Machines Corp. | ||||||||
1.70%, 5/15/2027 | 720 | 719 | ||||||
4.15%, 5/15/2039 | 1,195 | 1,417 | ||||||
2.85%, 5/15/2040 | 260 | 258 | ||||||
International Game Technology plc 6.50%, 2/15/2025 (f) | 900 | 882 | ||||||
IQVIA, Inc. | ||||||||
5.00%, 10/15/2026 (f) | 200 | 206 | ||||||
5.00%, 5/15/2027 (f) | 282 | 290 | ||||||
Iron Mountain, Inc. |
| |||||||
REIT, 4.88%, 9/15/2027 (f) | 370 | 361 | ||||||
REIT, 5.25%, 3/15/2028 (f) | 218 | 213 | ||||||
REIT, 4.88%, 9/15/2029 (f) | 500 | 479 | ||||||
ITC Holdings Corp. 3.35%, 11/15/2027 | 1,150 | 1,224 | ||||||
Johnson & Johnson 3.40%, 1/15/2038 | 495 | 575 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.60%, 5/25/2028 | 1,610 | 1,862 | ||||||
4.42%, 12/15/2046 | 210 | 243 | ||||||
KFC Holding Co. 5.25%, 6/1/2026 (f) | 470 | 481 | ||||||
Kraft Heinz Foods Co. 3.95%, 7/15/2025 | 925 | 968 | ||||||
Kroger Co. (The) 3.88%, 10/15/2046 | 550 | 587 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.83%, 4/27/2025 | 600 | 644 | ||||||
4.40%, 6/15/2028 (f) | 775 | 874 | ||||||
LABL Escrow Issuer LLC 6.75%, 7/15/2026 (f) | 680 | 703 | ||||||
Ladder Capital Finance Holdings LLLP REIT, 5.25%, 10/1/2025 (f) | 124 | 90 | ||||||
Lamar Media Corp. 4.00%, 2/15/2030 (f) | 120 | 110 | ||||||
Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (b) (f) | 234 | 235 | ||||||
Lennar Corp. 4.75%, 11/29/2027 | 775 | 795 | ||||||
Level 3 Financing, Inc. | ||||||||
5.25%, 3/15/2026 | 952 | 976 | ||||||
4.63%, 9/15/2027 (f) | 400 | 396 | ||||||
Liberty Interactive LLC 8.25%, 2/1/2030 | 550 | 490 | ||||||
Live Nation Entertainment, Inc. | ||||||||
5.63%, 3/15/2026 (f) | 183 | 161 | ||||||
4.75%, 10/15/2027 (f) | 175 | 150 | ||||||
Lockheed Martin Corp. |
| |||||||
3.80%, 3/1/2045 | 460 | 553 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Lowe’s Cos., Inc. | ||||||||
4.50%, 4/15/2030 | 420 | 495 | ||||||
3.70%, 4/15/2046 | 955 | 1,036 | ||||||
Marriott International, Inc. Series EE, 5.75%, 5/1/2025 | 375 | 392 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
6.50%, 9/15/2026 | 402 | 381 | ||||||
4.75%, 1/15/2028 (f) | 20 | 17 | ||||||
Martin Midstream Partners LP 7.25%, 2/15/2021 | 363 | 145 | ||||||
Mastercard, Inc. 3.35%, 3/26/2030 | 830 | 944 | ||||||
Mattel, Inc. | ||||||||
3.15%, 3/15/2023 | 173 | 159 | ||||||
6.75%, 12/31/2025 (f) | 949 | 963 | ||||||
5.88%, 12/15/2027 (f) | 500 | 489 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50%, 4/15/2024 (f) | 766 | 707 | ||||||
7.25%, 4/15/2025 (f) | 445 | 348 | ||||||
McDonald’s Corp. 4.20%, 4/1/2050 | 910 | 1,075 | ||||||
Merck & Co., Inc. 3.40%, 3/7/2029 | 450 | 518 | ||||||
Meredith Corp. 6.88%, 2/1/2026 | 125 | 106 | ||||||
MetLife, Inc. 4.13%, 8/13/2042 | 205 | 238 | ||||||
MGM Growth Properties Operating Partnership LP REIT, 5.75%, 2/1/2027 | 1,176 | 1,191 | ||||||
MGM Resorts International | ||||||||
5.75%, 6/15/2025 (b) | 689 | 662 | ||||||
4.63%, 9/1/2026 | 264 | 236 | ||||||
5.50%, 4/15/2027 (b) | 1,500 | 1,378 | ||||||
Microsoft Corp. | ||||||||
3.50%, 2/12/2035 | 970 | 1,152 | ||||||
3.45%, 8/8/2036 | 1,060 | 1,229 | ||||||
3.70%, 8/8/2046 | 1,060 | 1,296 | ||||||
Morgan Stanley |
| |||||||
(SOFR + 1.15%), 2.72%, 7/22/2025 (g) | 3,415 | 3,516 | ||||||
3.88%, 1/27/2026 | 1,390 | 1,528 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (g) | 1,135 | 1,228 | ||||||
(SOFR + 1.14%), 2.70%, 1/22/2031 (g) | 2,270 | 2,323 | ||||||
(SOFR + 3.12%), 3.62%, 4/1/2031 (g) | 1,310 | 1,440 | ||||||
Mosaic Co. (The) 4.05%, 11/15/2027 | 620 | 617 | ||||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (f) | 268 | 239 | ||||||
MPLX LP | ||||||||
4.00%, 3/15/2028 (b) | 945 | 896 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 33 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
4.50%, 4/15/2038 | 950 | 846 | ||||||
4.70%, 4/15/2048 | 285 | 255 | ||||||
MSCI, Inc. 5.38%, 5/15/2027 (f) | 229 | 247 | ||||||
Nabors Industries Ltd. 7.25%, 1/15/2026 (f) | 235 | 89 | ||||||
Narragansett Electric Co. (The) 3.40%, 4/9/2030 (f) | 435 | 483 | ||||||
National Rural Utilities Cooperative Finance Corp. 4.30%, 3/15/2049 | 850 | 1,086 | ||||||
Nationstar Mortgage Holdings, Inc. 8.13%, 7/15/2023 (f) | 363 | 348 | ||||||
Navient Corp. | ||||||||
6.13%, 3/25/2024 | 455 | 418 | ||||||
5.00%, 3/15/2027 | 255 | 215 | ||||||
NCR Corp. | ||||||||
5.75%, 9/1/2027 (f) | 680 | 682 | ||||||
6.13%, 9/1/2029 (f) | 365 | 362 | ||||||
Neiman Marcus Group Ltd. LLC | ||||||||
14.00% (Blend (cash 8.00% + PIK 6.00%), 4/25/2024 (f) | 168 | 38 | ||||||
8.00%, 10/25/2024 (f) | 232 | 19 | ||||||
Netflix, Inc. | ||||||||
5.88%, 11/15/2028 | 865 | 978 | ||||||
5.38%, 11/15/2029 (f) | 222 | 244 | ||||||
4.88%, 6/15/2030 (f) | 650 | 696 | ||||||
New Albertsons LP | ||||||||
7.75%, 6/15/2026 | 15 | 15 | ||||||
7.45%, 8/1/2029 | 40 | 40 | ||||||
8.00%, 5/1/2031 | 420 | 424 | ||||||
Newell Brands, Inc. | ||||||||
4.70%, 4/1/2026 (j) | 730 | 739 | ||||||
5.63%, 4/1/2036 (j) | 110 | 115 | ||||||
Newmont Corp. 3.63%, 6/9/2021 | 225 | 228 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
5.63%, 8/1/2024 (f) | 238 | 232 | ||||||
5.63%, 7/15/2027 (f) | 684 | 653 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.75%, 5/1/2025 | 4,045 | 4,305 | ||||||
2.75%, 11/1/2029 | 1,345 | 1,445 | ||||||
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (b) (f) | 175 | 169 | ||||||
Nielsen Finance LLC 5.00%, 4/15/2022 (f) | 802 | 790 | ||||||
NIKE, Inc. | ||||||||
3.25%, 3/27/2040 | 240 | 260 | ||||||
3.38%, 3/27/2050 | 180 | 201 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
NiSource, Inc. 3.60%, 5/1/2030 | 1,310 | 1,458 | ||||||
Noble Holding International Ltd. 6.20%, 8/1/2040 | 321 | 2 | ||||||
Norfolk Southern Corp. | ||||||||
3.40%, 11/1/2049 | 945 | 1,008 | ||||||
3.05%, 5/15/2050 (m) | 190 | 190 | ||||||
Northrop Grumman Corp. 3.25%, 1/15/2028 | 2,715 | 2,951 | ||||||
Novelis Corp. 5.88%, 9/30/2026 (f) | 179 | 174 | ||||||
4.75%, 1/30/2030 (f) | 320 | 285 | ||||||
NRG Energy, Inc. 6.63%, 1/15/2027 | 987 | 1,054 | ||||||
NSTAR Electric Co. 3.95%, 4/1/2030 | 1,625 | 1,936 | ||||||
NuStar Logistics LP 6.00%, 6/1/2026 | 186 | 170 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022 | 908 | 135 | ||||||
6.25%, 5/1/2026 (b) (f) | 483 | 63 | ||||||
Ohio Power Co. Series P, 2.60%, 4/1/2030 | 425 | 451 | ||||||
Oncor Electric Delivery Co. LLC 3.70%, 5/15/2050 (f) | 160 | 199 | ||||||
ONE Gas, Inc. 2.00%, 5/15/2030 | 200 | 199 | ||||||
ONEOK, Inc. 3.40%, 9/1/2029 | 1,220 | 1,017 | ||||||
Oracle Corp. | ||||||||
2.80%, 4/1/2027 | 1,195 | 1,281 | ||||||
3.60%, 4/1/2040 | 1,720 | 1,934 | ||||||
3.60%, 4/1/2050 | 1,120 | 1,272 | ||||||
Otis Worldwide Corp. 2.57%, 2/15/2030 (f) | 1,380 | 1,389 | ||||||
Outfront Media Capital LLC 5.00%, 8/15/2027 (f) | 217 | 207 | ||||||
PacifiCorp | ||||||||
2.70%, 9/15/2030 | 1,235 | 1,339 | ||||||
4.13%, 1/15/2049 | 520 | 654 | ||||||
3.30%, 3/15/2051 | 875 | 977 | ||||||
Panther BF Aggregator 2 LP 6.25%, 5/15/2026 (f) | 700 | 702 | ||||||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (f) | 745 | 755 | ||||||
Parsley Energy LLC | ||||||||
5.25%, 8/15/2025 (f) | 160 | 141 | ||||||
5.63%, 10/15/2027 (f) | 173 | 148 | ||||||
PBF Holding Co. LLC 6.00%, 2/15/2028 (f) | 315 | 224 | ||||||
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | 192 | 177 | ||||||
Penske Truck Leasing Co. LP 3.20%, 7/15/2020(f) | 449 | 449 | ||||||
PepsiCo, Inc. | ||||||||
1.63%, 5/1/2030 | 345 | 343 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
3.50%, 3/19/2040 | 235 | 274 | ||||||
3.38%, 7/29/2049 | 690 | 790 | ||||||
Performance Food Group, Inc. 5.50%, 10/15/2027 (f) | 288 | 274 | ||||||
PetSmart, Inc. | ||||||||
7.13%, 3/15/2023 (b) (f) | 419 | 397 | ||||||
5.88%, 6/1/2025 (f) | 605 | 610 | ||||||
Pfizer, Inc. | ||||||||
2.63%, 4/1/2030 | 1,705 | 1,838 | ||||||
4.00%, 3/15/2049 | 315 | 406 | ||||||
Philip Morris International, Inc. | ||||||||
1.50%, 5/1/2025 | 170 | 170 | ||||||
2.10%, 5/1/2030 | 1,205 | 1,191 | ||||||
3.88%, 8/21/2042 | 780 | 843 | ||||||
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (f) | 175 | 177 | ||||||
Plantronics, Inc. 5.50%, 5/31/2023 (f) | 271 | 215 | ||||||
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (b) (f) (h) | 222 | 186 | ||||||
Post Holdings, Inc. | ||||||||
5.00%, 8/15/2026 (f) | 618 | 616 | ||||||
5.50%, 12/15/2029 (f) | 400 | 402 | ||||||
Prestige Brands, Inc. 5.13%, 1/15/2028 (f) | 380 | 384 | ||||||
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (b) (f) | 458 | 451 | ||||||
Prologis LP |
| |||||||
REIT, 3.25%, 10/1/2026 | 775 | 836 | ||||||
REIT, 2.25%, 4/15/2030 | 445 | 445 | ||||||
QEP Resources, Inc. 5.63%, 3/1/2026 | 459 | 148 | ||||||
Qorvo, Inc. 5.50%, 7/15/2026 (b) | 237 | 249 | ||||||
Quicken Loans, Inc. 5.75%, 5/1/2025 (f) | 390 | 382 | ||||||
Raytheon Technologies Corp. | ||||||||
4.13%, 11/16/2028 | 3,295 | 3,820 | ||||||
4.45%, 11/16/2038 | 195 | 242 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
6.25%, 5/15/2026 (f) | 166 | 177 | ||||||
8.25%, 11/15/2026 (f) | 139 | 151 | ||||||
Reliance Standard Life Global Funding II 2.15%, 1/21/2023 (f) | 83 | 83 | ||||||
Republic Services, Inc. 2.30%, 3/1/2030 | 895 | 904 | ||||||
Revlon Consumer Products Corp. 6.25%, 8/1/2024 | 388 | 72 | ||||||
Rite Aid Corp. | ||||||||
6.13%, 4/1/2023 (f) | 642 | 581 | ||||||
7.50%, 7/1/2025 (f) | 158 | 154 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Roper Technologies, Inc. 2.95%, 9/15/2029 | 465 | 486 | ||||||
Ryder System, Inc. 2.88%, 9/1/2020 | 158 | 158 | ||||||
Ryman Hospitality Properties, Inc. REIT, 4.75%, 10/15/2027 (b) (f) | 255 | 222 | ||||||
Sabre GLBL, Inc. 5.38%, 4/15/2023 (f) | 850 | 790 | ||||||
San Diego Gas & Electric Co. 3.32%, 4/15/2050 | 735 | 797 | ||||||
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (f) | 630 | 605 | ||||||
Sealed Air Corp. 5.25%, 4/1/2023 (f) | 100 | 103 | ||||||
Sensata Technologies BV | 1,578 | 1,569 | ||||||
Service Corp. International | 95 | 100 | ||||||
4.63%, 12/15/2027 | 520 | 532 | ||||||
5.13%, 6/1/2029 | 260 | 270 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 1,305 | 1,414 | ||||||
Simon Property Group LP |
| |||||||
REIT, 3.38%, 10/1/2024 | 970 | 965 | ||||||
REIT, 3.25%, 9/13/2049 | 370 | 303 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.63%, 8/1/2024 (b) (f) | 244 | 223 | ||||||
5.88%, 3/15/2026 (b) (f) | 104 | 90 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.63%, 7/15/2024 (f) | 103 | 105 | ||||||
5.00%, 8/1/2027 (f) | 1,425 | 1,458 | ||||||
5.50%, 7/1/2029 (f) | 500 | 527 | ||||||
Six Flags Entertainment Corp. | ||||||||
4.88%, 7/31/2024 (f) | 463 | 408 | ||||||
5.50%, 4/15/2027 (b) (f) | 168 | 145 | ||||||
SM Energy Co. | ||||||||
6.75%, 9/15/2026 (b) | 250 | 68 | ||||||
6.63%, 1/15/2027 (b) | 254 | 67 | ||||||
Solera LLC 10.50%, 3/1/2024 (f) | 156 | 155 | ||||||
Southern California Edison Co. | ||||||||
2.25%, 6/1/2030 | 1,325 | 1,290 | ||||||
3.65%, 2/1/2050 | 570 | 615 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75%, 7/15/2025 | 746 | 744 | ||||||
5.00%, 10/1/2029 (f) | 89 | 85 | ||||||
Spirit AeroSystems, Inc. | 310 | 305 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 35 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
Springleaf Finance Corp. | ||||||||
7.13%, 3/15/2026 | 517 | 479 | ||||||
5.38%, 11/15/2029 | 570 | 473 | ||||||
Sprint Capital Corp. 8.75%, 3/15/2032 | 1,352 | 1,900 | ||||||
Sprint Corp. | ||||||||
7.13%, 6/15/2024 | 2,059 | 2,311 | ||||||
7.63%, 2/15/2025 | 2,399 | 2,771 | ||||||
7.63%, 3/1/2026 | 315 | 373 | ||||||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (f) | 491 | 503 | ||||||
Standard Industries, Inc. | ||||||||
6.00%, 10/15/2025 (f) | 170 | 175 | ||||||
5.00%, 2/15/2027 (f) | 302 | 303 | ||||||
4.75%, 1/15/2028 (f) | 390 | 381 | ||||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026 (f) | 835 | 660 | ||||||
10.75%, 4/15/2027 (b) (f) | 600 | 342 | ||||||
Starbucks Corp. 3.75%, 12/1/2047 | 205 | 217 | ||||||
State Street Corp. |
| |||||||
(SOFR + 2.60%), 2.90%, 3/30/2026 (f) (g) | 810 | 861 | ||||||
(ICE LIBOR USD 3 Month + 1.03%), 4.14%, 12/3/2029 (g) | 910 | 1,054 | ||||||
Station Casinos LLC | ||||||||
5.00%, 10/1/2025 (f) | 131 | 109 | ||||||
4.50%, 2/15/2028 (f) | 190 | 152 | ||||||
Summit Materials LLC | ||||||||
5.13%, 6/1/2025 (f) | 225 | 218 | ||||||
6.50%, 3/15/2027 (f) | 40 | 39 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
5.30%, 4/1/2044 | 185 | 161 | ||||||
5.35%, 5/15/2045 | 325 | 294 | ||||||
Targa Resources Partners LP | ||||||||
5.25%, 5/1/2023 | 430 | 406 | ||||||
5.13%, 2/1/2025 | 190 | 171 | ||||||
5.88%, 4/15/2026 | 563 | 500 | ||||||
Team Health Holdings, Inc. 6.38%, 2/1/2025 (b) (f) | 695 | 382 | ||||||
TEGNA, Inc. 5.50%, 9/15/2024 (b) (f) | 194 | 195 | ||||||
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | 1,082 | 1,031 | ||||||
Tenet Healthcare Corp. | ||||||||
5.13%, 5/1/2025 | 750 | 701 | ||||||
4.88%, 1/1/2026 (b) (f) | 1,613 | 1,597 | ||||||
6.25%, 2/1/2027 (f) | 750 | 739 | ||||||
5.13%, 11/1/2027 (f) | 964 | 952 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Texas Competitive Electric Holdings Co. LLC 11.50%, 10/1/2020 ‡ (i) | 1,000 | 1 | ||||||
Texas Instruments, Inc. 1.75%, 5/4/2030 | 705 | 703 | ||||||
Thermo Fisher Scientific, Inc. 4.50%, 3/25/2030 | 1,615 | 1,959 | ||||||
Time Warner Cable LLC 4.50%, 9/15/2042 | 750 | 793 | ||||||
TJX Cos., Inc. (The) | ||||||||
3.50%, 4/15/2025 | 815 | 879 | ||||||
3.88%, 4/15/2030 | 445 | 497 | ||||||
T-Mobile USA, Inc. | ||||||||
6.00%, 4/15/2024 | 119 | 121 | ||||||
6.38%, 3/1/2025 | 721 | 740 | ||||||
3.50%, 4/15/2025 (f) | 835 | 877 | ||||||
5.13%, 4/15/2025 | 760 | 769 | ||||||
3.75%, 4/15/2027 (f) | 3,070 | 3,291 | ||||||
4.75%, 2/1/2028 | 1,687 | 1,771 | ||||||
3.88%, 4/15/2030 (f) | 445 | 487 | ||||||
4.38%, 4/15/2040 (f) | 525 | 593 | ||||||
4.50%, 4/15/2050 (f) | 405 | 472 | ||||||
TransDigm, Inc. 6.25%, 3/15/2026 (f) | 459 | 449 | ||||||
Transocean Pontus Ltd. 6.13%, 8/1/2025 (f) | 556 | 450 | ||||||
Transocean Poseidon Ltd. | 502 | 394 | ||||||
Travelers Cos., Inc. (The) 2.55%, 4/27/2050 | 190 | 189 | ||||||
Tronox, Inc. 6.50%, 4/15/2026 (b) (f) | 563 | 510 | ||||||
Tucson Electric Power Co. 4.00%, 6/15/2050 | 705 | 825 | ||||||
Tyson Foods, Inc. | ||||||||
3.55%, 6/2/2027 | 1,185 | 1,281 | ||||||
4.55%, 6/2/2047 | 190 | 230 | ||||||
Ultra Resources, Inc. 11.00% (Blend (cash 9.00% + PIK 2.00%), 7/12/2024 (h) (n) | 1,158 | 63 | ||||||
Union Electric Co. 2.95%, 3/15/2030 | 1,710 | 1,876 | ||||||
Union Pacific Corp. |
| |||||||
3.55%, 8/15/2039 | 1,495 | 1,613 | ||||||
3.35%, 8/15/2046 | 850 | 892 | ||||||
United Rentals North America, Inc. |
| |||||||
4.63%, 10/15/2025 | 175 | 171 | ||||||
5.50%, 5/15/2027 | 580 | 586 | ||||||
4.88%, 1/15/2028 | 1,445 | 1,438 | ||||||
UnitedHealth Group, Inc. |
| |||||||
2.88%, 8/15/2029 | 1,325 | 1,430 | ||||||
3.50%, 8/15/2039 | 955 | 1,067 | ||||||
Verizon Communications, Inc. |
| |||||||
3.15%, 3/22/2030 | 1,705 | 1,887 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Corporate Bonds — continued |
| |||||||
United States — continued |
| |||||||
4.27%, 1/15/2036 | 2,205 | 2,630 | ||||||
4.00%, 3/22/2050 | 840 | 1,050 | ||||||
ViacomCBS, Inc. 4.75%, 5/15/2025 | 835 | 893 | ||||||
VICI Properties LP |
| |||||||
REIT, 3.50%, 2/15/2025 (f) | 145 | 136 | ||||||
REIT, 4.25%, 12/1/2026 (f) | 251 | 234 | ||||||
REIT, 3.75%, 2/15/2027 (f) | 160 | 149 | ||||||
REIT, 4.63%, 12/1/2029 (f) | 451 | 417 | ||||||
REIT, 4.13%, 8/15/2030 (f) | 535 | 487 | ||||||
Vistra Operations Co. LLC 5.00%, 7/31/2027 (f) | 285 | 291 | ||||||
W&T Offshore, Inc. 9.75%, 11/1/2023 (f) | 925 | 305 | ||||||
Walmart, Inc. 3.95%, 6/28/2038 | 695 | 861 | ||||||
Walt Disney Co. (The) |
| |||||||
2.00%, 9/1/2029 | 495 | 493 | ||||||
2.75%, 9/1/2049 | 785 | 754 | ||||||
Waste Management, Inc. 4.00%, 7/15/2039 | 495 | 592 | ||||||
Wells Fargo & Co. |
| |||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.41%, 10/30/2025 (g) | 910 | 924 | ||||||
3.00%, 4/22/2026 | 2,045 | 2,142 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (g) | 2,990 | 3,159 | ||||||
4.15%, 1/24/2029 | 1,930 | 2,181 | ||||||
(ICE LIBOR USD 3 Month + 1.00%), 2.57%, 2/11/2031 (g) | 970 | 968 | ||||||
(ICE LIBOR USD 3 Month + 3.77%), 4.48%, 4/4/2031 (g) | 2,515 | 2,927 | ||||||
Welltower, Inc. |
| |||||||
REIT, 4.00%, 6/1/2025 | 860 | 885 | ||||||
REIT, 3.10%, 1/15/2030 | 990 | 935 | ||||||
Western Digital Corp. 4.75%, 2/15/2026 | 243 | 248 | ||||||
Whiting Petroleum Corp. |
| |||||||
5.75%, 3/15/2021 (b) (i) | 271 | 27 | ||||||
6.63%, 1/15/2026 (i) | 165 | 17 | ||||||
Windstream Services LLC 8.63%, 10/31/2025 (f) (j) | 409 | 245 | ||||||
Wisconsin Power & Light Co. 4.60%, 6/15/2020 | 119 | 119 | ||||||
Wolverine Escrow LLC 9.00%, 11/15/2026 (f) | 940 | 652 | ||||||
Wyndham Destinations, Inc. 5.75%, 4/1/2027 (j) | 287 | 251 | ||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025 (f) | 863 | 768 | ||||||
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (b) (f) | 525 | 492 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Xcel Energy, Inc. 3.40%, 6/1/2030 | 1,735 | 1,926 | ||||||
XPO Logistics, Inc. 6.75%, 8/15/2024 (f) | 724 | 745 | ||||||
Zayo Group Holdings, Inc. |
| |||||||
4.00%, 3/1/2027 (f) | 410 | 398 | ||||||
6.13%, 3/1/2028 (f) | 410 | 386 | ||||||
Zoetis, Inc. 3.90%, 8/20/2028 | 1,465 | 1,685 | ||||||
|
| |||||||
440,793 | ||||||||
|
| |||||||
Venezuela, Bolivarian Republic of — 0.0%(c) |
| |||||||
Petroleos de Venezuela SA |
| |||||||
8.50%, 10/27/2020 (a) (i) | 75 | 11 | ||||||
9.00%, 11/17/2021 (a) (i) | 50 | 2 | ||||||
12.75%, 2/17/2022 (a) (i) | 120 | 5 | ||||||
|
| |||||||
18 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 599,329 | ||||||
|
| |||||||
Foreign Government Securities — 12.9% |
| |||||||
Australia — 0.1% |
| |||||||
Commonwealth of Australia |
| |||||||
2.75%, 4/21/2024 (a) | AUD | 1,244 | 888 | |||||
3.25%, 4/21/2025 (a) | AUD | 413 | 306 | |||||
4.75%, 4/21/2027 (a) | AUD | 795 | 664 | |||||
2.75%, 6/21/2035 (a) | AUD | 1,165 | 920 | |||||
2.75%, 5/21/2041 (a) | AUD | 360 | 284 | |||||
3.00%, 3/21/2047 (a) | AUD | 958 | 806 | |||||
|
| |||||||
3,868 | ||||||||
|
| |||||||
Belgium — 0.4% |
| |||||||
Kingdom of Belgium |
| |||||||
0.50%, 10/22/2024 (a) | EUR | 1,380 | 1,575 | |||||
0.80%, 6/22/2025 (a) | EUR | 2,630 | 3,059 | |||||
0.80%, 6/22/2027 (a) | EUR | 845 | 994 | |||||
0.10%, 6/22/2030 (a) | EUR | 861 | 955 | |||||
1.00%, 6/22/2031 (a) | EUR | 2,060 | 2,498 | |||||
1.90%, 6/22/2038 (a) | EUR | 1,260 | 1,741 | |||||
1.60%, 6/22/2047 (a) | EUR | 365 | 503 | |||||
1.70%, 6/22/2050 (a) | EUR | 806 | 1,144 | |||||
2.15%, 6/22/2066 (a) | EUR | 397 | 675 | |||||
|
| |||||||
13,144 | ||||||||
|
| |||||||
Canada — 0.2% |
| |||||||
Canada Government Bond |
| |||||||
1.75%, 3/1/2023 | CAD | 2,654 | 1,986 | |||||
2.25%, 6/1/2029 | CAD | 460 | 383 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 37 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Foreign Government Securities — continued |
| |||||||
Canada — continued |
| |||||||
5.00%, 6/1/2037 | CAD | 560 | 662 | |||||
4.00%, 6/1/2041 | CAD | 480 | 536 | |||||
3.50%, 12/1/2045 | CAD | 274 | 300 | |||||
2.75%, 12/1/2048 | CAD | 872 | 875 | |||||
2.00%, 12/1/2051 | CAD | 152 | 135 | |||||
2.75%, 12/1/2064 | CAD | 130 | 147 | |||||
|
| |||||||
5,024 | ||||||||
|
| |||||||
China — 0.1% |
| |||||||
Export-Import Bank of China (The) 0.75%, 5/28/2023 (a) | EUR | 3,800 | 4,184 | |||||
|
| |||||||
Denmark — 0.1% |
| |||||||
Kingdom of Denmark |
| |||||||
0.25%, 11/15/2022 (a) | DKK | 1,704 | 255 | |||||
1.75%, 11/15/2025 | DKK | 7,183 | 1,187 | |||||
0.50%, 11/15/2027 | DKK | 3,009 | 472 | |||||
4.50%, 11/15/2039 | DKK | 4,597 | 1,278 | |||||
|
| |||||||
3,192 | ||||||||
|
| |||||||
France — 0.8% |
| |||||||
French Republic |
| |||||||
1.75%, 11/25/2024 (a) | EUR | 1,741 | 2,106 | |||||
0.50%, 5/25/2026 (a) | EUR | 3,895 | 4,494 | |||||
0.10%, 3/1/2029 (a) | EUR | 1,235 | 1,452 | |||||
1.50%, 5/25/2031 (a) | EUR | 5,558 | 7,115 | |||||
1.75%, 6/25/2039 (a) | EUR | 1,903 | 2,627 | |||||
3.25%, 5/25/2045 (a) | EUR | 1,914 | 3,456 | |||||
2.00%, 5/25/2048 (a) | EUR | 1,565 | 2,355 | |||||
1.50%, 5/25/2050 (a) | EUR | 526 | 720 | |||||
1.75%, 5/25/2066 (a) | EUR | 1,523 | 2,367 | |||||
|
| |||||||
26,692 | ||||||||
|
| |||||||
Germany — 0.1% |
| |||||||
Bundesrepublik Deutschland |
| |||||||
4.75%, 7/4/2034 (a) | EUR | 810 | 1,570 | |||||
0.00%, 8/15/2050 (a) | EUR | 274 | 316 | |||||
|
| |||||||
1,886 | ||||||||
|
| |||||||
Indonesia — 0.1% |
| |||||||
Republic of Indonesia |
| |||||||
2.88%, 7/8/2021 (a) | EUR | 1,200 | 1,322 | |||||
2.15%, 7/18/2024 (a) | EUR | 1,120 | 1,208 | |||||
1.75%, 4/24/2025 | EUR | 2,260 | 2,368 | |||||
|
| |||||||
4,898 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Italy — 2.9% |
| |||||||
Buoni Poliennali del Tesoro |
| |||||||
0.70%, 5/1/2020 | EUR | 11,771 | 12,899 | |||||
4.00%, 9/1/2020 | EUR | 13,210 | 14,661 | |||||
0.20%, 10/15/2020 | EUR | 17,410 | 19,081 | |||||
0.65%, 11/1/2020 | EUR | 4,350 | 4,779 | |||||
3.75%, 8/1/2021 (a) | EUR | 2,971 | 3,387 | |||||
1.00%, 7/15/2022 (a) | EUR | 438 | 484 | |||||
0.05%, 1/15/2023 (a) | EUR | 2,399 | 2,582 | |||||
0.95%, 3/1/2023 | EUR | 879 | 968 | |||||
2.45%, 10/1/2023 (a) | EUR | 2,947 | 3,399 | |||||
1.85%, 5/15/2024 | EUR | 1,109 | 1,254 | |||||
0.35%, 2/1/2025 (a) | EUR | 4,118 | 4,346 | |||||
1.50%, 6/1/2025 | EUR | 1,281 | 1,422 | |||||
0.85%, 1/15/2027 (a) | EUR | 730 | 769 | |||||
3.00%, 8/1/2029 (a) | EUR | 537 | 651 | |||||
1.35%, 4/1/2030 (a) | EUR | 6,935 | 7,310 | |||||
0.40%, 5/15/2030 (a) | EUR | 1,206 | 1,186 | |||||
1.65%, 3/1/2032 (a) | EUR | 3,199 | 3,416 | |||||
2.25%, 9/1/2036 (a) | EUR | 2,834 | 3,152 | |||||
4.75%, 9/1/2044 (a) | EUR | 610 | 933 | |||||
2.70%, 3/1/2047 (a) | EUR | 690 | 785 | |||||
3.45%, 3/1/2048 (a) | EUR | 1,304 | 1,675 | |||||
3.85%, 9/1/2049 (a) | EUR | 1,672 | 2,296 | |||||
2.80%, 3/1/2067 (a) | EUR | 252 | 282 | |||||
Italian Republic Government Bond 2.38%, 10/17/2024 | 7,031 | 6,864 | ||||||
|
| |||||||
98,581 | ||||||||
|
| |||||||
Japan — 4.8% |
| |||||||
Japan Bank for International Cooperation 3.13%, 7/20/2021 | 1,298 | 1,337 | ||||||
Japan Finance Organization for Municipalities |
| |||||||
2.13%, 4/13/2021 (a) | 1,800 | 1,823 | ||||||
0.88%, 9/22/2021 (a) | EUR | 2,800 | 3,111 | |||||
3.25%, 4/24/2023 (f) | 1,890 | 2,017 | ||||||
Japan Government Bond |
| |||||||
0.10%, 6/20/2022 | JPY | 406,900 | 3,815 | |||||
0.80%, 9/20/2022 | JPY | 878,450 | 8,379 | |||||
0.10%, 12/20/2022 | JPY | 1,682,900 | 15,804 | |||||
0.80%, 9/20/2023 | JPY | 227,900 | 2,195 | |||||
0.10%, 6/20/2024 | JPY | 459,150 | 4,328 | |||||
0.10%, 9/20/2024 | JPY | 727,150 | 6,857 | |||||
0.50%, 9/20/2024 | JPY | 393,150 | 3,773 | |||||
0.10%, 12/20/2024 | JPY | 718,650 | 6,779 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Foreign Government Securities — continued |
| |||||||
Japan — continued |
| |||||||
0.10%, 6/20/2026 | JPY | 1,097,550 | 10,397 | |||||
0.10%, 3/20/2029 | JPY | 392,650 | 3,719 | |||||
0.10%, 12/20/2029 | JPY | 1,040,600 | 9,835 | |||||
1.60%, 3/20/2032 | JPY | 654,500 | 7,211 | |||||
1.50%, 6/20/2034 | JPY | 717,100 | 7,936 | |||||
1.40%, 9/20/2034 | JPY | 1,092,600 | 11,963 | |||||
0.70%, 3/20/2037 | JPY | 884,800 | 8,851 | |||||
0.60%, 9/20/2037 | JPY | 1,918,750 | 18,885 | |||||
1.50%, 3/20/2045 | JPY | 197,150 | 2,324 | |||||
1.40%, 12/20/2045 | JPY | 540,400 | 6,265 | |||||
0.80%, 12/20/2047 | JPY | 358,050 | 3,672 | |||||
0.40%, 9/20/2049 | JPY | 29,350 | 272 | |||||
0.40%, 12/20/2049 | JPY | 536,500 | 4,960 | |||||
0.90%, 3/20/2057 | JPY | 481,900 | 5,194 | |||||
|
| |||||||
161,702 | ||||||||
|
| |||||||
Kuwait — 0.0%(c) |
| |||||||
State of Kuwait 2.75%, 3/20/2022 (a) | 700 | 717 | ||||||
|
| |||||||
Montenegro — 0.0%(c) |
| |||||||
Republic of Montenegro 3.38%, 4/21/2025 (f) | EUR | 100 | 107 | |||||
|
| |||||||
Netherlands — 0.0%(c) |
| |||||||
Kingdom of Netherlands 0.25%, 7/15/2029 (a) | EUR | 1,180 | 1,368 | |||||
|
| |||||||
Qatar — 0.0%(c) |
| |||||||
State of Qatar 3.88%, 4/23/2023 (f) | 860 | 913 | ||||||
|
| |||||||
Saudi Arabia — 0.1% |
| |||||||
Kingdom of Saudi Arabia 2.38%, 10/26/2021 (a) | 3,700 | 3,741 | ||||||
|
| |||||||
South Korea — 0.1% |
| |||||||
Export-Import Bank of Korea 4.38%, 9/15/2021 | 2,900 | 3,018 | ||||||
|
| |||||||
Spain — 1.6% |
| |||||||
Bonos and Obligaciones del Estado |
| |||||||
0.05%, 1/31/2021 | EUR | 12,437 | 13,647 | |||||
0.40%, 4/30/2022 | EUR | 3,636 | 4,029 | |||||
0.45%, 10/31/2022 | EUR | 520 | 578 | |||||
0.35%, 7/30/2023 | EUR | 2,656 | 2,948 | |||||
0.25%, 7/30/2024 (a) | EUR | 4,475 | 4,936 | |||||
2.75%, 10/31/2024 (a) | EUR | 3,441 | 4,214 | |||||
1.60%, 4/30/2025 (a) | EUR | 2,913 | 3,415 | |||||
1.50%, 4/30/2027 (a) | EUR | 2,679 | 3,147 | |||||
1.45%, 10/31/2027 (a) | EUR | 3,017 | 3,528 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Spain — continued |
| |||||||
1.40%, 7/30/2028 (a) | EUR | 102 | 119 | |||||
1.45%, 4/30/2029 (a) | EUR | 1,714 | 2,007 | |||||
0.60%, 10/31/2029 (a) | EUR | 1,110 | 1,206 | |||||
0.50%, 4/30/2030 (a) | EUR | 2,833 | 3,033 | |||||
1.95%, 7/30/2030 (a) | EUR | 729 | 892 | |||||
2.35%, 7/30/2033 (a) | EUR | 2,184 | 2,811 | |||||
4.70%, 7/30/2041 (a) | EUR | 696 | 1,244 | |||||
2.70%, 10/31/2048 (a) | EUR | 2,345 | 3,304 | |||||
3.45%, 7/30/2066 (a) | EUR | 311 | 537 | |||||
|
| |||||||
55,595 | ||||||||
|
| |||||||
Sweden — 0.2% |
| |||||||
Kingdom of Sweden |
| |||||||
5.00%, 12/1/2020 | SEK | 13,900 | 1,468 | |||||
1.50%, 11/13/2023 (a) | SEK | 4,690 | 512 | |||||
0.75%, 5/12/2028 | SEK | 3,935 | 434 | |||||
0.75%, 11/12/2029 (a) | SEK | 945 | 105 | |||||
3.50%, 3/30/2039 | SEK | 1,920 | 313 | |||||
Svensk Exportkredit AB 2.88%, 3/14/2023 | 3,300 | 3,508 | ||||||
|
| |||||||
6,340 | ||||||||
|
| |||||||
Ukraine — 0.0%(c) |
| |||||||
Ukraine Government Bond |
| |||||||
Zero Coupon, 5/6/2020 (a) | UAH | 4,500 | 154 | |||||
14.64%, 6/10/2020 (a) | UAH | 673 | 24 | |||||
17.25%, 9/30/2020 (a) | UAH | 2,733 | 102 | |||||
|
| |||||||
280 | ||||||||
|
| |||||||
United Kingdom — 1.3% |
| |||||||
United Kingdom of Great Britain and Northern Ireland |
| |||||||
0.50%, 7/22/2022 (a) | GBP | 1,193 | 1,519 | |||||
0.75%, 7/22/2023 (a) | GBP | 1,125 | 1,449 | |||||
1.00%, 4/22/2024 (a) | GBP | 1,372 | 1,792 | |||||
0.63%, 6/7/2025 (a) | GBP | 148 | 191 | |||||
2.00%, 9/7/2025 (a) | GBP | 1,445 | 2,012 | |||||
4.25%, 6/7/2032 (a) | GBP | 3,445 | 6,335 | |||||
1.75%, 9/7/2037 (a) | GBP | 5,703 | 8,647 | |||||
4.75%, 12/7/2038 (a) | GBP | 1,168 | 2,579 | |||||
4.25%, 12/7/2046 (a) | GBP | 975 | 2,337 | |||||
1.50%, 7/22/2047 (a) | GBP | 2,130 | 3,312 | |||||
1.75%, 1/22/2049 (a) | GBP | 2,598 | 4,290 | |||||
1.75%, 7/22/2057 (a) | GBP | 1,630 | 2,951 | |||||
2.50%, 7/22/2065 (a) | GBP | 2,209 | 5,157 | |||||
|
| |||||||
42,571 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 39 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Foreign Government Securities — continued |
| |||||||
Venezuela, Bolivarian Republic of — 0.0% (c) |
| |||||||
Bolivarian Republic of Venezuela |
| |||||||
7.75%, 10/13/2019 (a) (i) | 10 | 1 | ||||||
12.75%, 8/23/2022 (a) (i) | 180 | 15 | ||||||
9.25%, 5/7/2028 (a) (i) | 180 | 15 | ||||||
|
| |||||||
31 | ||||||||
|
| |||||||
Total Foreign Government Securities |
| 437,852 | ||||||
|
| |||||||
Asset-Backed Securities — 4.5% |
| |||||||
Cayman Islands — 0.2% |
| |||||||
BlueMountain CLO Ltd. |
| |||||||
Series2015-1A, Class C, 5.06%, 4/13/2027 ‡ (f) (n) | 300 | 269 | ||||||
Series2012-2A, Class DR2, 4.59%, 11/20/2028 ‡ (f) (n) | 1,585 | 1,257 | ||||||
Series2018-3A, Class D, 4.24%, 10/25/2030 ‡ (f) (n) | 1,355 | 942 | ||||||
CIFC Funding Ltd. Series2014-5A, Class BR2, 2.93%, 10/17/2031 ‡ (f) (n) | 995 | 920 | ||||||
LCM Ltd. Series 28A, Class B, 2.74%, 10/20/2030 ‡ (f) (n) | 1,040 | 980 | ||||||
Voya CLO Ltd. Series2016-3A, Class CR, 4.39%, 10/18/2031 ‡ (f) (n) | 1,110 | 768 | ||||||
|
| |||||||
5,136 | ||||||||
|
| |||||||
United States — 4.3% |
| |||||||
ABFC Trust Series2004-HE1, Class M1, | 311 | 293 | ||||||
ACC Trust |
| |||||||
Series2018-1, Class B, | 534 | 534 | ||||||
Series2019-1, Class B, 4.47%, 10/20/2022 (f) | 700 | 657 | ||||||
Series2018-1, Class C, 6.81%, 2/21/2023 (f) | 755 | 748 | ||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||
Series2002-HE3, Class M1, 2.29%, 10/25/2032 ‡ (n) | 204 | 203 | ||||||
Series2003-NC1, Class M1, 1.66%, 7/25/2033 ‡ (n) | 189 | 183 | ||||||
Series2003-OP1, Class M1, 1.54%, 12/25/2033 ‡ (n) | 313 | 292 | ||||||
Series2004-OP1, Class M3, 2.36%, 4/25/2034 (n) | 268 | 250 | ||||||
Series2004-HE4, Class M2, 1.46%, 12/25/2034 ‡ (n) | 108 | 100 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Ally Auto Receivables Trust |
| |||||||
Series2017-2, Class A3, 1.78%, 8/16/2021 | 54 | 54 | ||||||
Series2017-3, Class A3, 1.74%, 9/15/2021 | 59 | 59 | ||||||
Series2017-4, Class A3, 1.75%, 12/15/2021 | 262 | 262 | ||||||
Series2017-5, Class A3, 1.99%, 3/15/2022 | 110 | 110 | ||||||
Series2019-1, Class A2, 2.85%, 3/15/2022 | 184 | 184 | ||||||
Series2019-4, Class A2, 1.93%, 10/17/2022 | 432 | 434 | ||||||
American Credit Acceptance Receivables Trust |
| |||||||
Series2018-3, Class D, 4.14%, 10/15/2024 (f) | 1,915 | 1,920 | ||||||
Series2018-3, Class E, | 1,630 | 1,600 | ||||||
Series2017-4, Class E, | 445 | 451 | ||||||
Series2018-4, Class D, | 3,455 | 3,275 | ||||||
Series2018-4, Class E, | 765 | 678 | ||||||
Series2019-1, Class D, | 1,450 | 1,362 | ||||||
Series2019-2, Class D, | 370 | 349 | ||||||
Series2019-2, Class E, | 350 | 287 | ||||||
Series2018-3, Class F, | 1,320 | 1,203 | ||||||
Series2019-3, Class D, | 1,132 | 1,082 | ||||||
Series2019-3, Class E, | 493 | 455 | ||||||
Series2018-4, Class F, | 1,100 | 960 | ||||||
Series2019-4, Class E, | 660 | 529 | ||||||
Series2019-3, Class F, | 710 | 511 | ||||||
AmeriCredit Automobile Receivables TrustSeries 2018-3, Class A3, 3.38%, 7/18/2023 | 600 | 609 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Ameriquest Mortgage Securities, Inc.Series 2004-FR1W, Class A6, 4.19%, 5/25/2034 ‡ (j) | 210 | 211 | ||||||
Amortizing Residential Collateral TrustSeries 2004-1, Class M5, | 2 | 2 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||
Series2003-HE2, Class M1, 2.16%, 4/15/2033 ‡ (n) | 877 | 819 | ||||||
Series2004-HE2, Class M2, 2.36%, 4/25/2034 ‡ (n) | 456 | 443 | ||||||
Series2004-HE3, Class M2, 2.17%, 6/25/2034 ‡ (n) | 865 | 818 | ||||||
Bear Stearns Asset-Backed Securities I Trust |
| |||||||
Series2004-FR2, Class M3, 2.29%, 6/25/2034 (n) | 131 | 128 | ||||||
Series2004-HE6, Class M2, 2.36%, 8/25/2034 ‡ (n) | 431 | 420 | ||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||
Series2004-1, Class M1, 1.46%, 6/25/2034 ‡ (n) | 368 | 357 | ||||||
Series2004-2, Class M1, 1.69%, 8/25/2034 ‡ (n) | 169 | 159 | ||||||
BMW Vehicle Lease Trust Series2018-1, Class A3, 3.26%, 7/20/2021 | 390 | 393 | ||||||
CarMax Auto Owner Trust |
| |||||||
Series2017-1, Class A3, 1.98%, 11/15/2021 | 44 | 44 | ||||||
Series2017-2, Class A3, 1.93%, 3/15/2022 | 130 | 130 | ||||||
Series2019-1, Class A2A, 3.02%, 7/15/2022 | 131 | 132 | ||||||
Chase Funding Trust Series2003-2, Class 2M1, 1.31%, 11/25/2032 ‡ (n) | 842 | 828 | ||||||
Citifinancial Mortgage Securities, Inc. Series2004-1, Class AF4, 5.07%, 4/25/2034 ‡ (j) | 656 | 666 | ||||||
Citigroup Mortgage Loan Trust Asset-Backed Pass-Through Certificates Series 2005-OPT3, Class M3, 1.21%, 5/25/2035 ‡ (n) | 238 | 237 | ||||||
CLUB Credit Trust Series2018-NP1, Class C, 4.74%, 5/15/2024 (f) | 419 | 413 | ||||||
CNH Equipment Trust |
| |||||||
Series2016-C, Class A3, 1.44%, 12/15/2021 | 17 | 17 | ||||||
Series2018-B, Class A2, 2.93%, 12/15/2021 | 138 | 138 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Conn’s Receivables Funding LLC |
| |||||||
Series2018-A, Class B, | 398 | 387 | ||||||
Series2019-A, Class C, | 409 | 239 | ||||||
Series2019-B, Class B, | 540 | 457 | ||||||
Countrywide Asset-Backed Certificates |
| |||||||
Series2002-4, Class M1, 1.61%, 12/25/2032 ‡ (n) | 24 | 24 | ||||||
Series2003-BC6, Class M2, 2.21%, 10/25/2033 ‡ (n) | 11 | 11 | ||||||
Series2004-2, Class M1, 1.24%, 5/25/2034 ‡ (n) | 39 | 38 | ||||||
Series2004-3, Class M1, 1.24%, 6/25/2034 ‡ (n) | 57 | 53 | ||||||
Series2005-12, Class M2, 0.98%, 2/25/2036 ‡ (n) | 882 | 866 | ||||||
Countrywide Partnership TrustSeries 2004-EC1, Class M2, | 444 | 435 | ||||||
CPS Auto Receivables Trust Series2019-A, Class D, 4.35%, 12/16/2024 (f) | 870 | 845 | ||||||
Credit Acceptance Auto Loan TrustSeries 2019-1A, Class B, 3.75%, 4/17/2028 (f) | 2,345 | 2,338 | ||||||
Credit-Based Asset Servicing & Securitization LLC |
| |||||||
Series2005-CB1, Class M2, 1.58%, 1/25/2035 ‡ (n) | 116 | 111 | ||||||
Series2004-CB4, Class A5, 6.78%, 5/25/2035 (j) | 1,070 | 1,063 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust |
| |||||||
Series2004-5, Class M3, 2.21%, 7/25/2034 ‡ (n) | 64 | 62 | ||||||
Series2004-6, Class M1, 1.39%, 10/25/2034 (n) | 194 | 171 | ||||||
Series2004-6, Class M2, 1.46%, 10/25/2034 ‡ (n) | 53 | 49 | ||||||
Dell Equipment Finance Trust |
| |||||||
Series2018-2, Class A2, 3.16%, 2/22/2021 (f) | 106 | 106 | ||||||
Series2017-2, Class A3, 2.19%, 10/24/2022 (f) | 11 | 11 | ||||||
Drive Auto Receivables Trust |
| |||||||
Series2019-4, Class A2A, 2.32%, 6/15/2022 | 302 | 302 | ||||||
Series2018-4, Class D, 4.09%, 1/15/2026 | 2,025 | 2,020 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 41 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Series2018-5, Class D, 4.30%, 4/15/2026 | 1,930 | 1,928 | ||||||
Series2019-1, Class D, 4.09%, 6/15/2026 | 1,775 | 1,744 | ||||||
DT Auto Owner Trust |
| |||||||
Series2018-3A, Class D, 4.19%, 7/15/2024 (f) | 2,745 | 2,680 | ||||||
Series2019-1A, Class D, 3.87%, 11/15/2024 (f) | 3,070 | 2,966 | ||||||
Series2017-4A, Class E, 5.15%, 11/15/2024 (f) | 1,610 | 1,625 | ||||||
Series2018-2A, Class E, | 725 | 718 | ||||||
Series2019-4A, Class D, 2.85%, 7/15/2025 (f) | 770 | 728 | ||||||
Series2018-3A, Class E, 5.33%, 11/17/2025 (f) | 2,126 | 1,781 | ||||||
Series2019-1A, Class E, | 2,315 | 1,785 | ||||||
Series2019-3A, Class E, | 2,270 | 2,179 | ||||||
Exeter Automobile Receivables Trust |
| |||||||
Series2016-2A, Class D, | 995 | 1,004 | ||||||
Series2018-4A, Class C, | 3,090 | 3,110 | ||||||
Series2018-2A, Class D, 4.04%, 3/15/2024 (f) | 2,040 | 2,066 | ||||||
Series2018-3A, Class E, | 480 | 464 | ||||||
Series2018-4A, Class D, 4.35%, 9/16/2024 (f) | 1,975 | 1,993 | ||||||
Series2019-1A, Class C, 3.82%, 12/16/2024 (f) | 1,310 | 1,297 | ||||||
Series2019-1A, Class D, 4.13%, 12/16/2024 (f) | 2,445 | 2,383 | ||||||
Series2019-2A, Class D, 3.71%, 3/17/2025 (f) | 360 | 344 | ||||||
Series2018-2A, Class E, | 1,450 | 1,432 | ||||||
Series2018-4A, Class E, | 1,110 | 1,064 | ||||||
Series2019-3A, Class D, 3.11%, 8/15/2025 (f) | 1,385 | 1,293 | ||||||
Series2019-1A, Class E, | 4,760 | 3,881 | ||||||
Series2019-2A, Class E, | 3,000 | 2,507 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series2019-3A, Class E, | 810 | 596 | ||||||
Series2020-1A, Class E, | 1,500 | 1,179 | ||||||
First Franklin Mortgage Loan Trust Series 2005-FF10, Class A1, 0.79%, 11/25/2035 ‡ (n) | 323 | 300 | ||||||
Flagship Credit Auto Trust Series2018-4, Class C, 4.11%, 10/15/2024 (f) | 870 | 886 | ||||||
Ford Credit Auto Owner Trust |
| |||||||
Series2018-B, Class A2A, 2.96%, 9/15/2021 | 48 | 48 | ||||||
Series2017-C, Class A3, 2.01%, 3/15/2022 | 149 | 150 | ||||||
FREED ABS Trust Series2018-2, Class B, 4.61%, 10/20/2025 ‡ (f) | 1,195 | 1,129 | ||||||
Fremont Home Loan Trust |
| |||||||
Series2004-B, Class M7, 3.49%, 5/25/2034 (n) | 43 | 38 | ||||||
Series2004-2, Class M2, 1.42%, 7/25/2034 (n) | 145 | 135 | ||||||
GLS Auto Receivables Issuer Trust |
| |||||||
Series2019-4A, Class A, 2.47%, 11/15/2023 (f) | 363 | 362 | ||||||
Series2019-4A, Class B, 2.78%, 9/16/2024 (f) | 770 | 749 | ||||||
Series2019-1A, Class C, 3.87%, 12/16/2024 (f) | 1,570 | 1,571 | ||||||
Series2019-4A, Class C, | 620 | 563 | ||||||
Series2019-1A, Class D, 4.94%, 12/15/2025 (f) | 560 | 561 | ||||||
Series2019-4A, Class D, 4.09%, 8/17/2026 (f) | 900 | 800 | ||||||
GLS Auto Receivables Trust Series2018-3A, Class D, 5.34%, 8/15/2025 (f) | 910 | 862 | ||||||
GM Financial Automobile Leasing TrustSeries 2018-3, Class A3, 3.18%, 6/21/2021 | 472 | 474 | ||||||
GM Financial Consumer Automobile Receivables Trust |
| |||||||
Series2019-1, Class A2, 2.99%, 3/16/2022 | 140 | 141 | ||||||
Series2019-2, Class A2A, 2.66%, 6/16/2022 | 334 | 335 | ||||||
GSAMP Trust |
| |||||||
Series2004-OPT, Class M1, 1.36%, 11/25/2034 ‡ (n) | 524 | 489 | ||||||
Series2006-HE3, Class A2C, 0.65%, 5/25/2046 (n) | 161 | 156 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Home Equity Asset Trust Series2004-7, Class M1, 1.42%, 1/25/2035 (n) | 148 | 145 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust SPMD | ||||||||
Series2004-B, Class M3, 1.69%, 11/25/2034 ‡ (n) | 181 | 174 | ||||||
Series2004-B, Class M8, 3.79%, 11/25/2034 ‡ (n) | 90 | 89 | ||||||
Series2004-C, Class M1, 1.33%, 3/25/2035 ‡ (n) | 2,062 | 1,879 | ||||||
Honda Auto Receivables Owner Trust |
| |||||||
Series2017-2, Class A3, 1.68%, 8/16/2021 | 176 | 176 | ||||||
Series2017-2, Class A4, 1.87%, 9/15/2023 | 441 | 443 | ||||||
Hyundai Auto Receivables Trust Series2019-B, Class A2, 1.93%, 7/15/2022 | 260 | 261 | ||||||
John Deere Owner Trust Series2019-A, Class A2, 2.85%, 12/15/2021 | 240 | 241 | ||||||
KREF Ltd. Series2018-FL1, Class D, 3.30%, 6/15/2036 ‡ (f) (n) | 600 | 504 | ||||||
Lendmark Funding Trust Series2018-1A, Class C, 5.03%, 12/21/2026 ‡ (f) | 1,165 | 1,033 | ||||||
Long Beach Mortgage Loan Trust |
| |||||||
Series2004-3, Class M2, 1.39%, 7/25/2034 ‡ (n) | 696 | 647 | ||||||
Series2004-3, Class M4, 2.10%, 7/25/2034 ‡ (n) | 400 | 385 | ||||||
Series2004-6, Class A3, 1.79%, 11/25/2034 ‡ (n) | 203 | 202 | ||||||
Mariner Finance Issuance Trust Series2018-AA, Class A, 4.20%, 11/20/2030 (f) | 2,175 | 2,076 | ||||||
MASTR Asset-Backed Securities Trust |
| |||||||
Series2003-NC1, Class M5, 4.16%, 4/25/2033 ‡ (n) | 87 | 69 | ||||||
Series2005-NC1, Class M2, 1.24%, 12/25/2034 ‡ (n) | 177 | 163 | ||||||
ME Funding LLC Series2019-1, Class A2, 6.45%, 7/30/2049 (f) | 4,020 | 3,235 | ||||||
Mercedes-Benz Auto Lease Trust Series2019-B, Class A2, 2.01%, 12/15/2021 | 368 | 369 | ||||||
MFA LLC |
| |||||||
Series 2017-NPL1, Class A1, 3.35%, 11/25/2047 ‡ (f) (j) | 468 | 422 | ||||||
Series 2018-NPL1, Class A1, 3.88%, 5/25/2048 ‡ (f) (j) | 2,061 | 1,853 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2018-NPL2, Class A1, 4.16%, 7/25/2048 ‡ (f) (j) | 2,635 | 2,379 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
Series2003-HE2, Class M2, 2.96%, 8/25/2033 ‡ (n) | 6 | 6 | ||||||
Series2004-NC5, Class M1, 1.39%, 5/25/2034 ‡ (n) | 289 | 263 | ||||||
Series2004-NC7, Class M2, 1.42%, 7/25/2034 ‡ (n) | 76 | 70 | ||||||
Series2004-NC6, Class M2, 2.36%, 7/25/2034 ‡ (n) | 322 | 313 | ||||||
Series2004-HE6, Class M1, 1.31%, 8/25/2034 (n) | 291 | 282 | ||||||
Series2004-HE8, Class M3, 1.61%, 9/25/2034 ‡ (n) | 22 | 21 | ||||||
Series2005-HE1, Class M3, 1.27%, 12/25/2034 ‡ (n) | 40 | 33 | ||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust Series2002-AM3, Class A3, 1.47%, 2/25/2033 ‡ (n) | 264 | 245 | ||||||
New Century Home Equity Loan TrustSeries 2004-2, Class M3, 1.49%, 8/25/2034 ‡ (n) | 398 | 375 | ||||||
New Residential Mortgage LLCSeries 2018-FNT1, Class E, 4.89%, 5/25/2023 ‡ (f) | 276 | 274 | ||||||
Nissan Auto Receivables Owner Trust |
| |||||||
Series2018-B, Class A2A, 2.76%, 7/15/2021 | 59 | 59 | ||||||
Series2017-B, Class A3, 1.75%, 10/15/2021 | 150 | 150 | ||||||
Series2019-B, Class A2, 2.56%, 3/15/2022 | 468 | 471 | ||||||
NovaStar Mortgage Funding TrustSeries 2003-2, Class M3, 3.86%, 9/25/2033 ‡ (n) | 510 | 488 | ||||||
OnDeck Asset Securitization Trust LLCSeries 2018-1A, Class C, 4.52%, 4/18/2022 ‡ (f) | 250 | 250 | ||||||
OneMain Financial Issuance Trust | ||||||||
Series2015-3A, Class C, 5.82%, 11/20/2028 ‡ (f) | 965 | 924 | ||||||
Series2019-1A, Class B, 3.79%, 2/14/2031 ‡ (f) | 1,045 | 962 | ||||||
Option One Mortgage Acceptance Corp.Asset-Backed Certificates Series2003-4, Class M1, 1.51%, 7/25/2033 ‡ (n) | 1,156 | 1,117 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 43 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Option One Mortgage Loan Trust | ||||||||
Series2004-1, Class M1, 1.39%, 1/25/2034 ‡ (n) | 519 | 476 | ||||||
Series2004-1, Class M2, 2.14%, 1/25/2034 ‡ (n) | 517 | 490 | ||||||
Series2004-3, Class M2, 1.34%, 11/25/2034 ‡ (n) | 25 | 22 | ||||||
Park Place Securities, Inc. Asset-BackedPass-Through Certificates | ||||||||
Series 2004-WWF1, Class M4, | 1,829 | 1,810 | ||||||
Series 2005-WCH1, Class M4, | 500 | 485 | ||||||
PNMAC FMSR Issuer Trust | 1,655 | 1,379 | ||||||
PNMAC GMSR Issuer Trust | 3,940 | 3,298 | ||||||
Prestige Auto Receivables TrustSeries 2018-1A, Class E, 5.03%, 1/15/2026 (f) | 680 | 576 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2019-NPL2, Class A1, | 1,048 | 983 | ||||||
Prosper Marketplace Issuance TrustSeries 2019-2A, Class B, 3.69%, 9/15/2025 ‡ (f) | 670 | 605 | ||||||
PRPM LLC | ||||||||
Series2019-2A, Class A1, 3.97%, 4/25/2024 ‡ (f) (j) | 1,029 | 957 | ||||||
Series2019-3A, Class A1, 3.35%, 7/25/2024 ‡ (f) (j) | 2,211 | 2,060 | ||||||
Series2019-4A, Class A1, | 574 | 530 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
Series2003-2, Class M1, 1.72%, 8/25/2033 ‡ (n) | 243 | 227 | ||||||
Series2004-1, Class M4, 3.19%, 5/25/2034 ‡ (n) | 738 | 671 | ||||||
Series2005-1, Class AF6, 4.97%, 5/25/2035 ‡ (j) | 30 | 30 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series2019-1, Class C, 3.42%, 4/15/2025 | 1,022 | 1,025 | ||||||
Series2019-1, Class D, 3.65%, 4/15/2025 | 1,940 | 1,924 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Saxon Asset Securities Trust | 294 | 272 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series2004-NC1, Class M2, 2.67%, 2/25/2034 ‡ (n) | 460 | 452 | ||||||
Soundview Home Loan Trust | 319 | 308 | ||||||
Specialty Underwriting & Residential Finance Trust Series2003-BC4, Class M1, 1.39%, 11/25/2034 ‡ (n) | 477 | 459 | ||||||
Stanwich Mortgage Loan Trust | 1,341 | 1,328 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC11, Class M1, | 94 | 93 | ||||||
Series2004-7, Class M2, 1.61%, 8/25/2034 ‡ (n) | 99 | 97 | ||||||
Series 2004-BNC1, Class A5, 1.73%, 9/25/2034 ‡ (n) | 27 | 26 | ||||||
Series2004-8, Class M9, 4.24%, 9/25/2034 (n) | 644 | 540 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | 273 | 255 | ||||||
Toyota Auto Receivables | 195 | 195 | ||||||
Toyota Auto Receivables Owner TrustSeries 2017-D, Class A3, 1.93%, 1/18/2022 | 204 | 204 | ||||||
Tricolor Auto Securitization TrustSeries 2018-2A, Class A, 3.96%, 10/15/2021 (f) | 281 | 281 | ||||||
Upgrade Receivables Trust | 47 | 47 | ||||||
USAA Auto Owner Trust | 518 | 519 | ||||||
Vantage Data Centers Issuer LLCSeries 2018-1A, Class A2, 4.07%, 2/16/2043 (f) | 719 | 729 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Vericrest Opportunity Loan Trust |
| |||||||
Series 2019-NPL2, Class A1, | 1,414 | 1,288 | ||||||
Series 2019-NPL4, Class A2, | 630 | 434 | ||||||
Series 2019-NPL7, Class A1A, | 2,108 | 1,829 | ||||||
Verizon Owner Trust Series2017-2A, Class A, 1.92%, 12/20/2021 (f) | 259 | 259 | ||||||
Volvo Financial Equipment LLC Series2019-2A, Class A2, 2.02%, 8/15/2022 (f) | 332 | 333 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust | ||||||||
Series2004-2, Class M6, 3.31%, 10/25/2034 (n) | 114 | 113 | ||||||
Series2004-2, Class M8A, | 97 | 81 | ||||||
Westlake Automobile Receivables Trust | ||||||||
Series2019-1A, Class C, | 1,465 | 1,465 | ||||||
Series2019-1A, Class D, 3.67%, 3/15/2024 (f) | 1,330 | 1,315 | ||||||
Series2019-2A, Class C, | 1,000 | 970 | ||||||
Series2019-1A, Class E, | 435 | 428 | ||||||
Series2018-3A, Class F, | 2,000 | 1,808 | ||||||
Series2019-2A, Class E, | 470 | 413 | ||||||
Series2019-1A, Class F, | 1,240 | 1,032 | ||||||
Series2019-3A, Class F, | 1,000 | 740 | ||||||
|
| |||||||
146,982 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 152,118 | ||||||
|
| |||||||
Collateralized Mortgage Obligations — 4.4% |
| |||||||
Bermuda — 0.1% |
| |||||||
Bellemeade Re Ltd. |
| |||||||
Series2018-3A, Class M1B, | 1,365 | 1,285 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Bermuda — continued |
| |||||||
Series2018-3A, Class M2, | 1,440 | 1,124 | ||||||
|
| |||||||
2,409 | ||||||||
|
| |||||||
United States — 4.3% |
| |||||||
Alternative Loan Trust |
| |||||||
Series 2004-27CB, Class A1, 6.00%, 12/25/2034 | 373 | 353 | ||||||
Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035 | 90 | 93 | ||||||
Series 2005-11CB, Class 2A1, 5.50%, 6/25/2035 | 70 | 64 | ||||||
Series 2005-19CB, Class A2, IF, 15.87%, 6/25/2035 (n) | 16 | 19 | ||||||
Series2005-27, Class 1A6, 1.31%, 8/25/2035 (n) | 852 | 742 | ||||||
Series 2005-28CB, Class 2A6, 5.00%, 8/25/2035 | 916 | 724 | ||||||
Series 2005-50CB, Class 1A1, 5.50%, 11/25/2035 | 851 | 794 | ||||||
Series2006-4CB, Class 2A6, 5.50%, 4/25/2036 | 2,230 | 2,034 | ||||||
Series 2006-14CB, Class A1, 6.00%, 6/25/2036 | 670 | 479 | ||||||
American Home Mortgage Investment Trust Series2006-3, Class 22A1, 2.84%, 12/25/2036 (n) | 2,236 | 1,851 | ||||||
Angel Oak Mortgage Trust Series2019-3, Class B1, 4.10%, 5/25/2059 ‡ (f) (n) | 2,203 | 1,945 | ||||||
Angel Oak Mortgage Trust I LLC |
| |||||||
Series2018-3, Class A1, 3.65%, 9/25/2048 (f) (n) | 479 | 478 | ||||||
Series2019-2, Class B1, 5.02%, 3/25/2049 ‡ (f) (n) | 1,000 | 949 | ||||||
Series2019-4, Class B1, 4.41%, 7/26/2049 (f) (n) | 2,813 | 2,571 | ||||||
Antler Mortgage Trust Series 2018-RTL1, Class A1, 4.34%, 7/25/2022 (f) | 800 | 799 | ||||||
Arroyo Mortgage Trust |
| |||||||
Series2018-1, Class A1, 3.76%, 4/25/2048 (f) (n) | 865 | 872 | ||||||
Series2019-3, Class M1, 4.20%, 10/25/2048 ‡ (f) (n) | 2,000 | 1,605 | ||||||
Series2019-1, Class A1, 3.80%, 1/25/2049 (f) (n) | 696 | 705 | ||||||
Series2019-2, Class A3, 3.80%, 4/25/2049 (f) (n) | 2,666 | 2,576 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 45 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Banc of America Funding Trust Series2005-6, Class 1A2, 5.50%, 10/25/2035 | 53 | 48 | ||||||
Bear StearnsALT-A Trust |
| |||||||
Series2003-6, Class 2A2, 3.87%, 1/25/2034 (n) | 1,442 | 1,328 | ||||||
Series2005-4, Class 23A1, 3.82%, 5/25/2035 (n) | 54 | 50 | ||||||
Series2005-4, Class 23A2, 3.82%, 5/25/2035 (n) | 413 | 385 | ||||||
Series2005-7, Class 12A3, 1.17%, 8/25/2035 (n) | 31 | 30 | ||||||
Bear Stearns ARM Trust | ||||||||
Series2005-9, Class A1, 4.27%, 10/25/2035 (n) | 138 | 131 | ||||||
Series2006-1, Class A1, 3.84%, 2/25/2036 (n) | 246 | 235 | ||||||
Bear Stearns Asset-Backed Securities I Trust Series2004-AC3, Class M1, 1.31%, 6/25/2034 ‡ (n) | 491 | 410 | ||||||
Chase Mortgage Finance Trust | ||||||||
Series2006-S4, Class A5, 6.00%, 12/25/2036 | 254 | 168 | ||||||
Series2007-A1, Class 1A1, 4.22%, 2/25/2037 (n) | 66 | 62 | ||||||
Series2007-A1, Class 8A1, 4.26%, 2/25/2037 (n) | 100 | 94 | ||||||
CHL GMSR Issuer Trust | ||||||||
Series2018-GT1, Class A, 3.24%, 5/25/2023 (f) (n) | 4,120 | 3,478 | ||||||
Series2018-GT1, Class B, 3.99%, 5/25/2023 ‡ (f) (n) | 840 | 585 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series2004-9, Class A7, 5.25%, 6/25/2034 | 69 | 66 | ||||||
Series2004-25, Class 2A1, 1.17%, 2/25/2035 (n) | 355 | 302 | ||||||
Series2005-26, Class 1A11, 5.50%, 11/25/2035 | 508 | 434 | ||||||
Series2005-31, Class 2A1, 3.31%, 1/25/2036 (n) | 362 | 301 | ||||||
Series2006-21, Class A14, 6.00%, 2/25/2037 | 170 | 130 | ||||||
Series2007-10, Class A4, 5.50%, 7/25/2037 | 209 | 149 | ||||||
Series2007-9, Class A11, 5.75%, 7/25/2037 | 1,928 | 1,463 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Citigroup Mortgage Loan Trust | ||||||||
Series2005-3, Class 2A2A, 4.41%, 8/25/2035 (n) | 213 | 192 | ||||||
Series2005-11, Class A2A, 4.38%, 10/25/2035 (n) | 68 | 63 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series2005-4, Class A, | 254 | 241 | ||||||
Series 2019-IMC1, Class B1, | 2,123 | 1,844 | ||||||
Series 2019-IMC1, Class B2, | 2,000 | 1,770 | ||||||
Civic Mortgage LLC | ||||||||
Series2018-2, Class A1, 4.35%, 11/25/2022 (f) (j) | 595 | 593 | ||||||
Series2018-2, Class A2, 5.32%, 11/25/2022 (f) (j) | 208 | 208 | ||||||
COLT Mortgage Loan Trust Series2018-4, Class A1, 4.01%, 12/28/2048 (f) (n) | 1,356 | 1,362 | ||||||
Connecticut Avenue Securities Trust | ||||||||
Series2018-R07, Class 1M2, | 2,341 | 2,186 | ||||||
Series2019-R01, Class 2M2, | 2,818 | 2,510 | ||||||
Series2019-R02, Class 1M2, | 2,639 | 2,407 | ||||||
Series2019-R03, Class 1M2, | 747 | 679 | ||||||
Series2019-R05, Class 1B1, | 1,000 | 534 | ||||||
Series2019-R07, Class 1M2, | 2,660 | 2,299 | ||||||
Series2020-R01, Class 1M1, | 2,304 | 2,249 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series2004-8, Class 5A1, 6.00%, 12/25/2034 | 372 | 377 | ||||||
Deephave Residential Mortgage TrustSeries 2019-2A, Class M1, 3.92%, 4/25/2059 ‡ (f) (n) | 250 | 238 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
Series2017-3A, Class B2, | 2,000 | 1,766 | ||||||
Series2018-2A, Class A1, 3.48%, 4/25/2058 (f) (n) | 1,115 | 1,120 | ||||||
Series2019-3A, Class B2, 5.66%, 7/25/2059 ‡ (f) (n) | 2,000 | 1,800 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
DeutscheAlt-A Securities Mortgage Loan Trust | ||||||||
Series2006-AF1, Class A4, 0.79%, 4/25/2036 (n) | 569 | 491 | ||||||
Series2007-3, Class 2A1, 1.24%, 10/25/2047 (n) | 2,857 | 2,376 | ||||||
FHLMC STACR Remic Trust Series 2020-DNA2, Class M2, 2.34%, 2/25/2050 (f) (n) | 3,000 | 2,221 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes | ||||||||
Series 2017-DNA1, Class M2, 3.74%, 7/25/2029 (n) | 2,932 | 2,794 | ||||||
Series 2017-DNA2, Class B1, 5.64%, 10/25/2029 (n) | 2,000 | 1,550 | ||||||
Series 2018-HQA1, Class M2, 2.79%, 9/25/2030 (n) | 2,826 | 2,485 | ||||||
FNMA, Connecticut Avenue Securities | ||||||||
Series2015-C03, Class 1M2, 5.49%, 7/25/2025 ‡ (n) | 329 | 242 | ||||||
Series2016-C07, Class 2M2, 4.84%, 5/25/2029 (n) | 895 | 877 | ||||||
Series2017-C01, Class 1B1, 6.24%, 7/25/2029 (n) | 3,010 | 2,480 | ||||||
Series2017-C03, Class 1M1, 1.44%, 10/25/2029 (n) | 1,113 | 1,108 | ||||||
Series2017-C05, Class 1M2, 2.69%, 1/25/2030 (n) | 2,314 | 2,142 | ||||||
Series2017-C06, Class 2M2, 3.29%, 2/25/2030 (n) | 2,484 | 2,191 | ||||||
Series2017-C07, Class 1M2, 2.89%, 5/25/2030 (n) | 2,000 | 1,788 | ||||||
Series2017-C07, Class 2M2, 2.99%, 5/25/2030 (n) | 2,330 | 2,029 | ||||||
Series2018-C01, Class 1M2, 2.74%, 7/25/2030 (n) | 3,528 | 3,077 | ||||||
Series2018-C02, Class 2M2, 2.69%, 8/25/2030 (n) | 2,623 | 2,294 | ||||||
Series2018-C03, Class 1M2, 2.64%, 10/25/2030 (n) | 3,500 | 3,140 | ||||||
Series2018-C04, Class 2M2, 3.04%, 12/25/2030 (n) | 4,757 | 4,113 | ||||||
Series2018-C05, Class 1M2, 2.84%, 1/25/2031 (n) | 3,250 | 2,901 | ||||||
GCAT Trust Series 2019-NQM2, Class M1, | 2,337 | 2,159 | ||||||
GSR Mortgage Loan Trust Series2004-11, Class 2A2, 4.39%, 9/25/2034 (n) | 189 | 178 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
HarborView Mortgage Loan TrustSeries 2006-14, Class 1A1A, 0.90%, 1/25/2047 (n) | 1,932 | 1,564 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
Series2018-1, Class A1, 3.77%, 6/25/2048 (f) (n) | 1,785 | 1,776 | ||||||
Series2019-1, Class M1, 3.95%, 1/25/2059 ‡ (f) (n) | 500 | 464 | ||||||
Series2019-1, Class B1, 4.80%, 1/25/2059 ‡ (f) (n) | 500 | 447 | ||||||
Impac CMB Trust | ||||||||
Series2004-6, Class 1A2, 1.27%, 10/25/2034 (n) | 56 | 53 | ||||||
Series2005-2, Class 2A2, 1.29%, 4/25/2035 (n) | 328 | 287 | ||||||
Series2005-4, Class 2A2, 1.25%, 5/25/2035 (n) | 267 | 223 | ||||||
Series2005-4, Class 2M2, 1.61%, 5/25/2035 (n) | 189 | 156 | ||||||
Series2005-4, Class 2B1, 2.96%, 5/25/2035 ‡ (n) | 283 | 245 | ||||||
IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 3.46%, 9/25/2037 (n) | 2,157 | 1,679 | ||||||
JP Morgan Mortgage Trust |
| |||||||
Series2005-A8, Class 2A3, 3.91%, 11/25/2035 (n) | 150 | 132 | ||||||
Series2006-A7, Class 2A2, 3.80%, 1/25/2037 (n) | 1,002 | 852 | ||||||
Lehman XS Trust Series2006-16N, Class A4A, 0.68%, 11/25/2046 (n) | 1,880 | 1,571 | ||||||
LHOME Mortgage Trust |
| |||||||
Series 2019-RTL2, Class A1, 3.84%, 3/25/2024 (f) | 2,130 | 1,989 | ||||||
Series 2019-RTL2, Class A2, | 340 | 298 | ||||||
Series 2019-RTL3, Class A2, | 740 | 652 | ||||||
MASTR Adjustable Rate Mortgages Trust Series2004-13, Class 2A1, 4.35%, 4/21/2034 (n) | 148 | 141 | ||||||
MASTR Alternative Loan Trust |
| |||||||
Series2003-5, Class 30B1, 5.91%, 8/25/2033 ‡ (n) | 673 | 674 | ||||||
Series2004-6, Class 8A1, 5.50%, 7/25/2034 | 52 | 53 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 47 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||
Series2003-A4, Class 3A, 4.50%, 5/25/2033 (n) | 78 | 73 | ||||||
Series2005-A2, Class A3, 3.73%, 2/25/2035 (n) | 35 | 32 | ||||||
Series2005-1, Class 2A1, 3.48%, 4/25/2035 (n) | 41 | 37 | ||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||
Series2004-5AR, Class 4A, 4.19%, 7/25/2034 (n) | 72 | 68 | ||||||
Series2004-7AR, Class 2A6, 3.94%, 9/25/2034 (n) | 200 | 184 | ||||||
Series 2004-11AR, Class 1A2A, | 163 | 158 | ||||||
MortgageIT Mortgage Loan Trust Series2006-1, Class 1A2, 0.69%, 4/25/2036 (n) | 2,242 | 1,586 | ||||||
MortgageIT Trust Series2005-1, Class 1B1, 1.99%, 2/25/2035 ‡ (n) | 212 | 197 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2018-NQM1, Class B1, 5.28%, 11/25/2048 ‡ (f) (n) | 1,184 | 1,173 | ||||||
Series 2019-NQM1, Class A1, 3.67%, 1/25/2049 (f) (n) | 753 | 746 | ||||||
Series 2019-NQM4, Class B2, 5.05%, 9/25/2059 ‡ (f) (n) | 2,000 | 1,781 | ||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates |
| |||||||
Series2005-4, Class 1A2, 0.88%, 11/25/2035 (n) | 214 | 210 | ||||||
Series2005-5, Class 1APT, 0.77%, 12/25/2035 (n) | 555 | 487 | ||||||
Opteum Mortgage Acceptance Corp. Trust |
| |||||||
Series2006-1, Class 1APT, 0.70%, 4/25/2036 (n) | 694 | 605 | ||||||
Series2006-1, Class 1AC1, 0.79%, 4/25/2036 (n) | 496 | 429 | ||||||
PMT Credit Risk Transfer Trust Series2019-2R, Class A, 3.19%, 5/27/2023 (f) (n) | 382 | 363 | ||||||
PRPM LLC Series2019-1A, Class A1, 4.50%, 1/25/2024 (f) (j) | 1,504 | 1,431 | ||||||
RALI Trust Series2006-QS3, Class 1A10, 6.00%, 3/25/2036 | 582 | 541 | ||||||
Residential Asset Securitization TrustSeries 2006-A8, Class 3A1, 6.00%, 8/25/2036 | 2,526 | 1,788 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
RFMSI Trust |
| |||||||
Series2006-S10, Class 1A1, 6.00%, 10/25/2036 | 544 | 485 | ||||||
Series2007-S6, Class 2A5, 0.99%, 6/25/2037(n) | 1,775 | 1,353 | ||||||
STACR Trust Series 2018-DNA2, Class M2, 2.64%, 12/25/2030 ‡ (f) (n) | 3,000 | 2,595 | ||||||
Starwood Mortgage Residential Trust |
| |||||||
Series 2018-IMC1, Class A1, 3.79%, 3/25/2048 (f) (n) | 2,062 | 2,063 | ||||||
Series2019-1, Class M1, 3.76%, 6/25/2049 ‡ (f) (n) | 2,000 | 1,773 | ||||||
Series 2019-INV1, Class M1, 3.06%, 9/27/2049 ‡ (f) (n) | 500 | 437 | ||||||
Structured Asset Mortgage Investments II TrustSeries 2007-AR7, Class 1A1, 1.34%, 5/25/2047 (n) | 2,267 | 1,587 | ||||||
Toorak Mortgage Corp. Ltd. |
| |||||||
Series2018-1, Class A1, 4.34%, 8/25/2021 (f) (j) | 660 | 573 | ||||||
Series2019-2, Class A1, 3.72%, 9/25/2022 (j) | 3,250 | 2,949 | ||||||
Verus Securitization Trust |
| |||||||
Series2018-2, Class B2, | 4,000 | 2,416 | ||||||
Series 2019-INV2, Class M1, 3.50%, 7/25/2059 ‡ (f) (n) | 2,000 | 1,624 | ||||||
Series 2019-INV2, Class B1, 4.45%, 7/25/2059 ‡ (f) (n) | 1,500 | 1,191 | ||||||
Series 2019-INV3, Class A2, 2.95%, 11/25/2059 (f) (n) | 52 | 50 | ||||||
Series 2019-INV1, Class M1, 4.03%, 12/25/2059 ‡ (f) (n) | 1,000 | 815 | ||||||
Series2020-1, Class B1, 3.62%, 1/25/2060 ‡ (f) (n) | 1,177 | 881 | ||||||
WaMu Mortgage Pass-Through CertificatesSeries 2005-AR8, Class 2AB2, 1.33%, 7/25/2045 (n) | 1,700 | 1,456 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||
Series2005-AR3, Class A1, 3.62%, 3/25/2035 (n) | 425 | 395 | ||||||
Series2005-AR5, Class A6, 4.14%, 5/25/2035 (n) | 270 | 260 | ||||||
Series2005-AR7, Class A3, 4.25%, 8/25/2035 (n) | 219 | 199 | ||||||
Series 2005-AR10, Class 1A3, 4.13%, 9/25/2035 (n) | 158 | 155 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2005-AR14, Class 1A4, 3.83%, 12/25/2035 (n) | 214 | 198 | ||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||
Series2004-K, Class 1A2, 4.97%, 7/25/2034 (n) | 35 | 35 | ||||||
Series 2005-AR14, Class A1, 4.81%, 8/25/2035 (n) | 220 | 206 | ||||||
|
| |||||||
145,417 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| 147,826 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 4.2% |
| |||||||
Cayman Islands — 0.1% |
| |||||||
GPMT Ltd. |
| |||||||
Series2018-FL1, Class AS, 1.87%, 11/21/2035 ‡ (f) (n) | 1,000 | 898 | ||||||
Series2018-FL1, Class B, 2.22%, 11/21/2035 ‡ (f) (n) | 1,000 | 866 | ||||||
|
| |||||||
1,764 | ||||||||
|
| |||||||
United States — 4.1% |
| |||||||
Banc of America Commercial Mortgage Trust Series 2017-BNK3, Class D, 3.25%, 2/15/2050 ‡ (f) | 670 | 396 | ||||||
BANK |
| |||||||
Series 2017-BNK9, Class D, 2.80%, 11/15/2054 ‡ (f) | 1,570 | 888 | ||||||
Series 2018-BN12, Class D, 3.00%, 5/15/2061 ‡ (f) | 1,590 | 893 | ||||||
Series 2019-BN19, Class D, 3.00%, 8/15/2061 ‡ (f) | 2,250 | 1,242 | ||||||
Series 2019-BN20, Class E, 2.50%, 9/15/2062 ‡ (f) | 350 | 148 | ||||||
Series 2020-BN26, Class XA, IO, 1.36%, 3/15/2063 (n) | 24,541 | 2,119 | ||||||
Barclays Commercial Mortgage Trust Series2019-C4, Class D, 3.25%, 8/15/2052 ‡ (f) | 1,500 | 893 | ||||||
BENCHMARK Mortgage Trust Series2018-B1, Class D, 2.75%, 1/15/2051 ‡ (f) | 1,203 | 741 | ||||||
Braemar Hotels & Resorts Trust Series 2018-PRME, Class C, 2.06%, 6/15/2035 ‡ (f) (n) | 1,500 | 1,273 | ||||||
BX Commercial Mortgage Trust Series 2020-BXLP, Class F, 2.81%, 12/15/2036 ‡ (f) (n) | 565 | 529 | ||||||
CAMB Commercial Mortgage Trust |
| |||||||
Series 2019-LIFE, Class C, 2.26%, 12/15/2037 ‡ (f) (n) | 2,900 | 2,775 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2019-LIFE, Class E, 2.96%, 12/15/2037 ‡ (f) (n) | 2,845 | 2,661 | ||||||
Series 2019-LIFE, Class G, 4.06%, 12/15/2037 ‡ (f) (n) | 2,560 | 2,343 | ||||||
CD Mortgage Trust Series2017-CD5, Class D, 3.35%, 8/15/2050 ‡ (f) | 351 | 233 | ||||||
Citigroup Commercial Mortgage Trust |
| |||||||
Series 2019-SMRT, Class D, 4.90%, 1/10/2036 ‡ (f) (n) | 3,160 | 2,807 | ||||||
Series2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (f) | 1,650 | 1,469 | ||||||
Series2016-C1, Class D, 5.12%, 5/10/2049 ‡ (f) (n) | 585 | 426 | ||||||
Series2017-P7, Class B, | 960 | 920 | ||||||
Commercial Mortgage Trust |
| |||||||
Series2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (f) (n) | 1,600 | 969 | ||||||
Series 2014-LC15, Class D, 5.15%, 4/10/2047 ‡ (f) (n) | 1,000 | 784 | ||||||
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 ‡ (f) | 550 | 276 | ||||||
Series 2014-CR20, Class D, 3.22%, 11/10/2047 ‡ (f) | 1,450 | 1,009 | ||||||
Series 2015-LC21, Class D, 4.49%, 7/10/2048 ‡ (n) | 2,151 | 1,519 | ||||||
Series 2016-CR28, Class D, 4.05%, 2/10/2049 ‡ (n) | 1,500 | 835 | ||||||
Series 2016-CR28, Class E, 4.30%, 2/10/2049 ‡ (f) (n) | 1,458 | 753 | ||||||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class D, 2.41%, 5/15/2036 ‡ (f) (n) | 3,000 | 2,795 | ||||||
CSAIL Commercial Mortgage Trust Series2016-C5, Class D, | 1,000 | 707 | ||||||
DBGS Mortgage Trust |
| |||||||
Series2018-5BP, Class D, 2.16%, 6/15/2033 ‡ (f) (n) | 4,000 | 3,500 | ||||||
Series 2019-1735, Class E, 4.33%, 4/10/2037 ‡ (f) (n) | 865 | 670 | ||||||
DBJPM Mortgage Trust Series2017-C6, Class D, 3.38%, 6/10/2050 ‡ (f) (n) | 1,520 | 1,013 | ||||||
FHLMC Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 (n) | 9,520 | 1,474 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 49 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
FHLMC, Multifamily Structured Pass-Through Certificates | ||||||||
Series K721, Class X3, IO, 1.34%, 9/25/2022 (n) | 22,604 | 659 | ||||||
Series K033, Class X1, IO, 0.41%, 7/25/2023 (n) | 106,131 | 918 | ||||||
Series KC03, Class X1, IO, 0.63%, 11/25/2024 (n) | 29,799 | 586 | ||||||
Series K064, Class X3, IO, 2.21%, 5/25/2027 (n) | 14,685 | 1,811 | ||||||
Series K078, Class X1, IO, 0.23%, 6/25/2028 (n) | 63,679 | 591 | ||||||
Series K082, Class X1, IO, 0.15%, 9/25/2028 (n) | 420,833 | 1,934 | ||||||
Series K082, Class X3, IO, 2.29%, 10/25/2028 (n) | 9,250 | 1,372 | ||||||
Series K084, Class X3, IO, 2.31%, 11/25/2028 (n) | 10,000 | 1,505 | ||||||
Series K105, Class X1, IO, 1.65%, 1/25/2030 (n) | 24,099 | 2,832 | ||||||
Series K059, Class X3, IO, 1.98%, 11/25/2044 (n) | 15,200 | 1,588 | ||||||
Series K070, Class X3, IO, 2.11%, 12/25/2044 (n) | 7,175 | 910 | ||||||
Series K065, Class X3, IO, 2.26%, 7/25/2045 (n) | 16,900 | 2,164 | ||||||
Series K087, Class X3, IO, 2.39%, 1/25/2046 (n) | 11,320 | 1,786 | ||||||
Series K081, Class X3, IO, 2.31%, 9/25/2046 (n) | 15,822 | 2,360 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series K734, Class X3, IO, 2.24%, 7/25/2026 (n) | 7,480 | 822 | ||||||
Series KC04, Class X1, IO, 1.41%, 12/25/2026 (n) | 13,000 | 787 | ||||||
Series K083, Class X1, IO, 0.18%, 9/25/2028 (n) | 134,056 | 807 | ||||||
Series K094, Class X1, IO, 1.02%, 6/25/2029 (n) | 40,617 | 2,697 | ||||||
Series K723, Class X3, IO, 1.98%, 10/25/2034 (n) | 6,909 | 402 | ||||||
Series K153, Class X3, IO, 3.90%, 4/25/2035 (n) | 5,395 | 1,683 | ||||||
Series K716, Class X3, IO, 1.86%, 8/25/2042 (n) | 16,608 | 345 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series K726, Class X3, IO, 2.20%, 7/25/2044 (n) | 15,363 | 1,131 | ||||||
Series K728, Class X3, IO, 2.02%, 11/25/2045 (n) | 8,624 | 641 | ||||||
Series K071, Class X3, IO, 2.08%, 11/25/2045 (n) | 8,000 | 1,002 | ||||||
Series K072, Class X3, IO, 2.21%, 12/25/2045 (n) | 5,200 | 701 | ||||||
Series K088, Class X3, IO, 2.42%, 2/25/2047 (n) | 16,690 | 2,738 | ||||||
Series K092, Class X3, IO, 2.32%, 5/25/2047 (n) | 7,055 | 1,132 | ||||||
Series K094, Class X3, IO, 2.20%, 7/25/2047 (n) | 14,794 | 2,262 | ||||||
FNMA ACES Series2019-M21, Class X2, IO, 1.47%, 2/25/2031 (n) | 3,730 | 410 | ||||||
FREMF Series 2018-KF46, Class B, 2.94%, 3/25/2028 (f) (n) | 470 | 370 | ||||||
FREMF Mortgage Trust |
| |||||||
Series 2015-KF09, Class B, 6.34%, 5/25/2022 (f) (n) | 118 | 116 | ||||||
Series 2015-KF10, Class B, 7.09%, 7/25/2022 (f) (n) | 429 | 399 | ||||||
Series 2018-KI01, Class B, 3.44%, 9/25/2022 (f) (n) | 1,692 | 1,645 | ||||||
Series 2017-KF31, Class B, 3.89%, 4/25/2024 (f) (n) | 142 | 120 | ||||||
Series 2017-KF32, Class B, 3.54%, 5/25/2024 (f) (n) | 464 | 399 | ||||||
Series 2017-KF36, Class B, 3.09%, 8/25/2024 (f) (n) | 459 | 389 | ||||||
Series 2017-KF38, Class B, 3.49%, 9/25/2024 (f) (n) | 462 | 393 | ||||||
Series 2018-KF42, Class B, 3.19%, 12/25/2024 (f) (n) | 446 | 386 | ||||||
Series 2018-K731, Class B, 4.06%, 2/25/2025 (f) (n) | 1,450 | 1,469 | ||||||
Series 2018-KF45, Class B, 2.94%, 3/25/2025 (f) (n) | 963 | 809 | ||||||
Series 2018-KF47, Class B, 2.99%, 5/25/2025 (f) (n) | 1,015 | 863 | ||||||
Series 2018-KF49, Class B, 2.89%, 6/25/2025 (f) (n) | 528 | 447 | ||||||
Series 2018-KC02, Class B, 4.22%, 7/25/2025 (f) (n) | 1,530 | 1,345 | ||||||
Series 2018-KF53, Class B, 3.04%, 10/25/2025 (n) | 2,195 | 1,837 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Series 2019-KC03, Class B, 4.51%, 1/25/2026 (f) (n) | 1,325 | 1,161 | ||||||
Series 2019-KF62, Class B, 3.04%, 4/25/2026 (f) (n) | 990 | 825 | ||||||
Series 2019-K736, Class C, 3.88%, 7/25/2026 (f) (n) | 1,500 | 1,337 | ||||||
Series 2018-KF48, Class B, 3.04%, 6/25/2028 (f) (n) | 1,486 | 1,157 | ||||||
Series 2018-KF50, Class B, 2.89%, 7/25/2028 (f) (n) | 242 | 189 | ||||||
Series2018-K82, Class B, 4.27%, 9/25/2028 (f) (n) | 725 | 730 | ||||||
Series 2019-KG01, Class B, 4.31%, 4/25/2029 (f) (n) | 1,675 | 1,267 | ||||||
Series 2019-KF63, Class B, 3.34%, 5/25/2029 (f) (n) | 1,895 | 1,458 | ||||||
Series 2019-KF65, Class B, 3.39%, 7/25/2029 (f) (n) | 1,125 | 866 | ||||||
Series2012-K19, Class C, 4.16%, 5/25/2045 (f) (n) | 480 | 483 | ||||||
Series2017-K67, Class C, 4.08%, 9/25/2049 (f) (n) | 770 | 699 | ||||||
Series2016-K60, Class B, 3.66%, 12/25/2049 (f) (n) | 355 | 355 | ||||||
Series2017-K65, Class B, 4.21%, 7/25/2050 (f) (n) | 2,000 | 2,023 | ||||||
Series2018-K72, Class B, 4.12%, 12/25/2050 (f) (n) | 650 | 660 | ||||||
Series2018-K74, Class B, 4.23%, 2/25/2051 (f) (n) | 930 | 938 | ||||||
Series2018-K75, Class B, 4.11%, 4/25/2051 (f) (n) | 600 | 600 | ||||||
Series 2019-K103, Class C, 3.57%, 12/25/2051 (f) (n) | 235 | 199 | ||||||
Series2019-K94, Class C, 4.10%, 7/25/2052 (f) (n) | 2,257 | 1,903 | ||||||
Series 2020-K737, Class B, 3.30%, 1/25/2053 (f) (n) | 400 | 390 | ||||||
Series2019-K96, Class B, 3.94%, 8/25/2056 (f) (n) | 1,110 | 1,078 | ||||||
GNMA |
| |||||||
Series2012-44, IO, 0.26%, 3/16/2049 (n) | 5,869 | 36 | ||||||
Series2015-86, IO, 0.69%, 5/16/2052 (n) | 5,854 | 229 | ||||||
Series2013-7, IO, 0.36%, 5/16/2053 (n) | 15,484 | 288 | ||||||
Series2014-186, IO, | 9,390 | 350 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series2013-178, IO, | 3,668 | 95 | ||||||
Series2015-33, IO, 0.74%, 2/16/2056 (n) | 16,148 | 691 | ||||||
Series2015-59, IO, 1.00%, 6/16/2056 (n) | 5,727 | 265 | ||||||
Series2015-172, IO, | 3,131 | 137 | ||||||
Series2016-40, IO, 0.71%, 7/16/2057 (n) | 11,129 | 479 | ||||||
Series2016-157, IO, | 10,392 | 681 | ||||||
Series2016-71, Class QI, IO, 0.97%, 11/16/2057 (n) | 26,301 | 1,600 | ||||||
Series2016-96, IO, | 1,681 | 103 | ||||||
Series2016-155, IO, | 19,969 | 1,308 | ||||||
Series2016-151, IO, | 19,506 | 1,335 | ||||||
Series2017-54, IO, | 7,609 | 385 | ||||||
Series2017-86, IO, 0.78%, 5/16/2059 (n) | 5,266 | 296 | ||||||
Series2017-69, IO, 0.81%, 7/16/2059 (n) | 2,873 | 170 | ||||||
Series2017-171, IO, | 2,580 | 146 | ||||||
Series2018-119, IO, | 7,950 | 476 | ||||||
Series2020-28, IO, | 9,004 | 679 | ||||||
Series2020-23, IO, 0.79%, 4/16/2062 (n) | 14,101 | 1,029 | ||||||
GRACE Mortgage Trust Series 2014-GRCE, Class F, 3.71%, 6/10/2028 ‡ (f) (n) | 3,260 | 3,233 | ||||||
GS Mortgage Securities Corp. Trust Series 2016-RENT, Class E, | 2,500 | 2,434 | ||||||
GS Mortgage Securities Trust |
| |||||||
Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (f) | 400 | 285 | ||||||
Series 2013-GC12, Class D, 4.59%, 6/10/2046 ‡ (f) (n) | 500 | 405 | ||||||
Series 2015-GC34, Class D, 2.98%, 10/10/2048 ‡ | 505 | 215 | ||||||
Series2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (f) (n) | 2,809 | 1,933 | ||||||
Hudson Yards Mortgage Trust Series 2019-30HY, Class E, 3.56%, 7/10/2039 ‡ (f) (n) | 2,000 | 1,767 | ||||||
Jackson Park Trust Series2019-LIC, Class A, 2.77%, 10/14/2039 (f) | 2,400 | 2,428 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 51 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series2013-C16, Class D, 5.19%, 12/15/2046 ‡ (f) (n) | 500 | 431 | ||||||
KNDL Mortgage Trust Series 2019-KNSQ, Class E, 2.61%, 5/15/2036 ‡ (f) (n) | 990 | 911 | ||||||
LB Commercial Mortgage Trust Series2007-C3, Class AJ, 6.11%, 7/15/2044 (n) | 338 | 334 | ||||||
LB-UBS Commercial Mortgage Trust Series2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (n) | 1,618 | 946 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series2014-C15, Class D, 5.07%, 4/15/2047 ‡ (f) (n) | 385 | 299 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
Series2018-MP, Class D, 4.42%, 7/11/2040 ‡ (f) (n) | 770 | 675 | ||||||
Series2006-T23, Class D, 6.37%, 8/12/2041 ‡ (f) (n) | 872 | 878 | ||||||
Series2019-H7, Class D, 3.00%, 7/15/2052 ‡ (f) | 1,746 | 885 | ||||||
Multifamily Connecticut Avenue Securities Trust Series2019-01, Class M7, 2.19%, 10/15/2049 ‡ (f) (n) | 388 | 326 | ||||||
Nationslink Funding Corp. Commercial Loan Pass-Through Certificates Series 1999-LTL1, Class E, 5.00%, 1/22/2026 ‡ (f) | 1,935 | 1,965 | ||||||
Velocity Commercial Capital Loan Trust |
| |||||||
Series2018-2, Class M2, 4.51%, 10/26/2048 ‡ (f) (n) | 331 | 317 | ||||||
Series2018-2, Class M3, 4.72%, 10/26/2048 ‡ (f) (n) | 479 | 449 | ||||||
Wells Fargo Commercial Mortgage Trust Series2019-C52, Class XA, IO, | 3,983 | 398 | ||||||
WFRBS Commercial Mortgage Trust Series2014-C22, Class D, | 1,565 | 1,244 | ||||||
|
| |||||||
140,477 | ||||||||
|
| |||||||
Total Commercial Mortgage-backed Securities |
| 142,241 | ||||||
|
| |||||||
U.S. Treasury Obligations — 2.2% |
| |||||||
U.S. Treasury Notes 2.50%, 1/31/2021 (o) | 73,798 | 75,095 | ||||||
|
| |||||||
Loan Assignments — 0.3%(p) |
| |||||||
Canada — 0.0%(c) |
| |||||||
Concordia Healthcare Corp., Initial Dollar Term Loan (ICE LIBOR USD 3 Month + 5.50%), 6.57%, 9/6/2024 (g) | 539 | 464 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — 0.3% |
| |||||||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.74%, 4/6/2024 (g) | 108 | 93 | ||||||
Avaya, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.06%, 12/15/2024 (g) | 148 | 129 | ||||||
Buckeye Partners LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.77%, 11/1/2026 (g) | 350 | 327 | ||||||
California Resources Corp., Senior Secured First Out (ICE LIBOR USD 3 Month + 4.75%), 6.36%, 12/31/2022 (g) | 861 | 189 | ||||||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.65%, 3/15/2027 (g) | 239 | 226 | ||||||
Cincinnati Bell, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), | 604 | 591 | ||||||
Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 8.42%, 12/18/2026 (g) (q) | 261 | 199 | ||||||
Dole Food Co., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), | 402 | 385 | ||||||
Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 5.51%, 8/3/2026 (g) | 72 | 69 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 10.00%), 12.00%, 5/16/2022 ‡ (g) | 21 | 21 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (g) (i) | 84 | — | ||||||
Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.45%, 12/1/2023 (g) | 248 | 155 | ||||||
Greeneden US Holdings II LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 12/1/2023 (g) | 276 | 261 | ||||||
Gulf Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%; ICE LIBOR USD 3 Month + 5.25%), 6.42%, 8/25/2023 (g) | 487 | 253 | ||||||
Meredith Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.26%, 1/31/2025 (g) | 322 | 294 | ||||||
Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.43%, 4/1/2024 ‡ (g) | 535 | 535 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Loan Assignments — continued |
| |||||||
United States — continued |
| |||||||
Moran Foods LLC, 1st Lien Term LoanB-2 (ICE LIBOR USD 3 Month + 10.75%), 11.75%, 12/31/2100 ‡ (g) | 332 | 260 | ||||||
Neiman Marcus Group Ltd. LLC, Term Loan (ICE LIBOR USD 1 Month + 6.50%), 8.00%, 10/25/2023 (g) | 270 | 98 | ||||||
PetSmart, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.00%, 3/11/2 022 (g) | 1,123 | 1,088 | ||||||
Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 2/5/2023 (g) | 361 | 343 | ||||||
Scientific Games International, Inc., 1st Lien Term LoanB-5 (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%), 3.52%, 8/14/2024 (g) | 1,002 | 826 | ||||||
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.00%), 7.45%, 9/25/2026 (g) | 344 | 298 | ||||||
Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.54%, 2/14/2025 (g) | 117 | 108 | ||||||
Syniverse Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 6.87%, 3/9/2023 (g) | 647 | 443 | ||||||
UFC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 4/29/2026 (g) | 334 | 312 | ||||||
United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.65%, 10/22/2025 (g) | 372 | 334 | ||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.72%, 6/2/2025 (g) | 1,646 | 1,590 | ||||||
Viskase Cos., Inc., Initial Term Loan (ICE LIBOR USD 3 Month + 3.25%), | 776 | 566 | ||||||
Windstream Corp., 1st Lien Term Loan B(3-MONTH PRIME + 5.00%), | 58 | 32 | ||||||
|
| |||||||
10,025 | ||||||||
|
| |||||||
Total Loan Assignments | 10,489 | |||||||
|
| |||||||
SHARES (000) | ||||||||
Exchange-traded Funds — 0.3% |
| |||||||
United States — 0.3% |
| |||||||
iShares MSCI India ETF (b) (Cost $8,417) | 320 | 8,660 | ||||||
|
|
INVESTMENTS | PRINCIPAL (000) | VALUE (000) | ||||||
Supranational — 0.2% |
| |||||||
Supranational — 0.2% |
| |||||||
European Investment Bank |
| |||||||
2.80%, 1/15/2021 | AUD | 1,837 | 1,216 | |||||
2.25%, 7/30/2021 (f) | CAD | 1,990 | 1,463 | |||||
0.50%, 6/21/2023 | AUD | 1,210 | 782 | |||||
Inter-American Development Bank |
| |||||||
0.50%, 5/23/2023 | CAD | 3,650 | 2,593 | |||||
1.70%, 10/10/2024 | CAD | 800 | 596 | |||||
4.40%, 1/26/2026 | CAD | 614 | 528 | |||||
|
| |||||||
TOTAL SUPRANATIONAL |
| 7,178 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Preferred Stocks — 0.0%(c) |
| |||||||
United States — 0.0%(c) | ||||||||
Claire’s Stores, Inc. * ‡ | — | (d) | 387 | |||||
GMAC Capital Trust I, Series 2, (ICE LIBOR USD 3 Month + 5.79%), 7.48%, 2/15/2040 ($25 par value) (g) | 1 | 14 | ||||||
Goodman Networks, Inc. * ‡ | 3 | — | (d) | |||||
MYT Holding Co., 10.00%, 6/7/2029 (f) | 47 | 31 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 432 | ||||||
|
| |||||||
PRINCIPAL (000) | ||||||||
Options Purchased — 0.0%(c) |
| |||||||
Call Options Purchased — 0.0%(c) |
| |||||||
European Union — 0.0%(c) | ||||||||
Foreign Exchange EUR/ILS 9/9/2020 at EUR 3.90, Vanilla, European Style Notional Amount: EUR 1,010 Counterparty: Goldman Sachs International * | EUR | 1,010,000 | 16 | |||||
|
| |||||||
United States — 0.0%(c) |
| |||||||
Foreign Exchange USD/ILS 9/9/2020 at USD 3.50, Vanilla, European Style Notional Amount: USD 1,112 Counterparty: Goldman Sachs International * | 1,111,500 | 17 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 53 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | NO. OF CONTRACTS | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Options Purchased — continued |
| |||||||
Call Options Purchased — continued |
| |||||||
United States — continued | ||||||||
S&P 500 Index 6/19/2020 at USD 3,375.00, European Style Notional Amount: USD 136,010 Exchange Traded * | 467 | 97 | ||||||
|
| |||||||
114 | ||||||||
|
| |||||||
Total Call Options Purchased |
| 130 | ||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
Put Options Purchased — 0.0% (c) |
| |||||||
United States — 0.0%(c) |
| |||||||
Foreign Exchange USD/JPY 8/14/2020 at USD 108.00, Vanilla, European Style Notional Amount: USD 3,714 Counterparty: Citibank, NA * | 3,714,366 | 79 | ||||||
Foreign Exchange USD/JPY 8/14/2020 at USD 102.00, Vanilla, European Style Notional Amount: USD 3,726 Counterparty: Citibank, NA * | 3,726,000 | 21 | ||||||
|
| |||||||
Total Put Options Purchased | 100 | |||||||
|
| |||||||
Total Options Purchased | 230 | |||||||
|
| |||||||
Convertible Bonds — 0.0%(c) |
| |||||||
United States — 0.0%(c) |
| |||||||
Liberty Interactive LLC | ||||||||
4.00%, 11/15/2029 | 55 | 37 | ||||||
3.75%, 2/15/2030 | 100 | 66 | ||||||
Whiting Petroleum Corp. 1.25%, 4/1/2020 (i) | 168 | 15 | ||||||
|
| |||||||
Total Convertible Bonds |
| 118 | ||||||
|
| |||||||
NO. OF WARRANTS (000) | ||||||||
Warrants — 0.0%(c) |
| |||||||
Canada — 0.0%(c) |
| |||||||
Ultra Petroleum Corp. expiring 7/14/2025, price 1.00 USD * | 28 | 1 | ||||||
|
| |||||||
United States — 0.0%(c) |
| |||||||
iHeartMedia Capital I LLC expiring 5/2/2039, price 1.00 USD * ‡ | 4 | 26 | ||||||
|
| |||||||
Total Warrants |
| 27 | ||||||
|
|
INVESTMENTS | NO. OF RIGHTS (000) | VALUE (000) | ||||||
Rights — 0.0%(c) | ||||||||
Australia — 0.0%(c) | ||||||||
Flight Centre Travel Group Ltd., expiring 5/1/2020, price 1.00 * | 1 | 2 | ||||||
|
| |||||||
United States — 0.0%(c) | ||||||||
Media General, Inc., CVR * ‡ | 44 | — | (d) | |||||
Vistra Energy Corp., expiring 12/31/2049 * ‡ | 17 | 16 | ||||||
|
| |||||||
16 | ||||||||
|
| |||||||
Total Rights | 18 | |||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 9.9% | ||||||||
Commercial Paper — 0.1% | ||||||||
Boeing Co. (The) 2.06%, 5/19/2020 (f) (r) | 511 | 510 | ||||||
Eni Finance USA, Inc. | 1,150 | 1,147 | ||||||
Natwest Markets Securities, Inc. 1.96%, 7/29/2020 (f) (r) | 600 | 597 | ||||||
TransCanada PipeLines Ltd. | 750 | 750 | ||||||
|
| |||||||
Total Commercial Paper | 3,004 | |||||||
|
| |||||||
PRINCIPAL (000) | ||||||||
FOREIGN GOVERNMENT TREASURY BILLS — 0.5% |
| |||||||
Canadian Treasury Bills | ||||||||
1.60%, 5/28/2020 (r) | CAD | 10,662 | 7,659 | |||||
0.35%, 3/4/2021 (r) | 12,090 | 8,661 | ||||||
|
| |||||||
Total Foreign Government Treasury Bills | 16,320 | |||||||
|
| |||||||
SHARES (000) | ||||||||
Investment Companies — 6.0% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, | 202,721 | |||||||
|
| |||||||
Investment Of Cash Collateral From Securities Loaned — 3.3% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (s) (t) | 94,011 | 94,029 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | (000) | VALUE (000) | ||||||
Long Positions — continued |
| |||||||
Investment Of Cash Collateral From Securities Loaned — continued |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (s) (t) | 15,966 | 15,966 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 109,995 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
U.S. Treasury Obligations — 0.0%(c) |
| |||||||
U.S. Treasury Bills 0.13%, 9/17/2020 (Cost $1,654) | 1,655 | 1,654 | ||||||
|
| |||||||
Total Short-Term Investments | 333,694 | |||||||
|
| |||||||
Total Long Positions |
| 3,482,545 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short Positions — (0.5)% |
| |||||||
Common Stocks — (0.5)% |
| |||||||
United States — (0.5)% |
| |||||||
Align Technology, Inc. * | (3 | ) | (596 | ) | ||||
Comcast Corp., Class A | (30 | ) | (1,135 | ) | ||||
Consolidated Edison, Inc. | (8 | ) | (635 | ) | ||||
Dentsply Sirona, Inc. | (9 | ) | (383 | ) | ||||
Ford Motor Co. | (153 | ) | (779 | ) | ||||
Franklin Resources, Inc. | (43 | ) | (815 | ) | ||||
Harley-Davidson, Inc. | (2 | ) | (34 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (57 | ) | (707 | ) | ||||
Legg Mason, Inc. | (28 | ) | (1,372 | ) | ||||
Molson Coors Beverage Co., Class B | (16 | ) | (672 | ) | ||||
Motorola Solutions, Inc. | (10 | ) | (1,461 | ) | ||||
Stryker Corp. | (3 | ) | (514 | ) | ||||
Target Corp. | (14 | ) | (1,502 | ) | ||||
Tech Data Corp. * | (7 | ) | (1,006 | ) | ||||
WABCO Holdings, Inc. * | (20 | ) | (2,689 | ) | ||||
Walt Disney Co. (The) | (10 | ) | (1,038 | ) | ||||
|
| |||||||
Total Common Stocks |
| (15,338 | ) | |||||
|
| |||||||
Exchange-Traded Funds — 0.0%(c) |
| |||||||
United States — 0.0%(c) |
| |||||||
SPDR S&P 500 ETF Trust(Proceeds $(996)) | (4 | ) | (1,057 | ) | ||||
Total Short Positions |
| (16,395 | ) | |||||
|
| |||||||
Total Investments — 102.4% |
| 3,466,150 | ||||||
Liabilities in Excess of |
| (80,785 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| 3,385,365 | ||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Foreign Government Securities | 12.6 | % | ||
Banks | 6.6 | |||
Asset-Backed Securities | 4.4 | |||
Collateralized Mortgage Obligations | 4.2 | |||
Commercial Mortgage-Backed Securities | 4.1 | |||
Pharmaceuticals | 3.6 | |||
Capital Markets | 2.9 | |||
Oil, Gas & Consumable Fuels | 2.4 | |||
Software | 2.4 | |||
Insurance | 2.4 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Electric Utilities | 2.3 | |||
U.S. Treasury Notes | 2.2 | |||
Health Care Providers & Services | 2.1 | |||
Internet & Direct Marketing Retail | 2.0 | |||
Diversified Telecommunication Services | 1.6 | |||
Media | 1.6 | |||
IT Services | 1.5 | |||
Specialty Retail | 1.4 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Food Products | 1.3 | |||
Technology Hardware, Storage & Peripherals | 1.2 | |||
Interactive Media & Services | 1.2 | |||
Machinery | 1.2 | |||
Road & Rail | 1.1 | |||
Biotechnology | 1.1 | |||
Beverages | 1.0 | |||
Automobiles | 1.0 | |||
Others (each less than 1.0%) | 17.9 | |||
Short-Term Investments | 9.0 | |||
INDUSTRY(SHORT) | PERCENTAGE | |||
Machinery | 16.4 | % | ||
Capital Markets | 13.3 | |||
Multiline Retail | 9.2 | |||
Health Care Equipment & Supplies | 9.1 | |||
Communications Equipment | 8.9 | |||
Media | 6.9 | |||
Exchange-Traded Fund | 6.5 | |||
Entertainment | 6.3 | |||
Electronic Equipment, Instruments & Components | 6.1 | |||
Automobiles | 5.0 | |||
Equity Real Estate Investment Trusts (REITs) | 4.3 | |||
Beverages | 4.1 | |||
Multi-Utilities | 3.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 55 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Abbreviations
ABS | Asset-backed securities | |
ACES | Alternative Credit Enhancement Securities | |
ADR | American Depositary Receipt | |
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest | |
CLO | Collateralized Loan Obligations | |
CVA | Dutch Certification | |
CVR | Contingent Value Rights | |
DKK | Danish Krone | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
FDR | Fiduciary Depository Receipt | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GBP | British Pound | |
GDR | Global Depositary Receipt | |
GNMA | Government National Mortgage Association | |
ICE | Intercontinental Exchange | |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of April 30, 2020. The rate may be subject to a cap and floor. | |
ILS | Israeli Shekel | |
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. | |
JPY | Japanese Yen | |
LIBOR | London Interbank Offered Rate | |
NVDR | Non-voting depository receipt | |
OYJ | Public Limited Company | |
PJSC | Public Joint Stock Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
RTS | Russian Trading System | |
SCA | Limited partnership with share capital | |
SDR | Swedish Depositary Receipt | |
SEK | Swedish Krona | |
SGPS | Holding company | |
SOFR | Secured Overnight Financing Rate | |
SPDR | Standard & Poor’s Depository Receipts | |
UAH | Ukrainian Hryvnia | |
USD | United States Dollar |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $101,292,000. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Amount rounds to less than one thousand. | |
(e) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $16,245,000 and $16,834,000 respectively. | |
(f) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(g) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2020. | |
(h) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(i) | Defaulted security. | |
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of April 30, 2020. | |
(k) | 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 April 30, 2020. | |
(l) | Security is an interest bearing note with preferred security characteristics. | |
(m) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(n) | 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 April 30, 2020. | |
(o) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(p) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(q) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(r) | The rate shown is the effective yield as of April 30, 2020. | |
(s) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(t) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Australia 10 Year Bond | 50 | 06/2020 | AUD | 4,850 | 1 | |||||||||||||||
Australia 3 Year Bond | 132 | 06/2020 | AUD | 10,079 | 45 | |||||||||||||||
Canada 10 Year Bond | 13 | 06/2020 | CAD | 1,395 | 70 | |||||||||||||||
Euro-BTP | 29 | 06/2020 | EUR | 4,405 | (64 | ) | ||||||||||||||
Euro-Bund | 88 | 06/2020 | EUR | 16,821 | 303 | |||||||||||||||
Euro-Buxl | 39 | 06/2020 | EUR | 9,368 | (24 | ) | ||||||||||||||
Euro-OAT | 77 | 06/2020 | EUR | 14,246 | (246 | ) | ||||||||||||||
Euro-Schatz | 88 | 06/2020 | EUR | 10,829 | 9 | |||||||||||||||
Foreign Exchange EUR/USD | 993 | 06/2020 | USD | 136,103 | (2,770 | ) | ||||||||||||||
Foreign Exchange JPY/USD | 2,151 | 06/2020 | USD | 250,645 | (3,201 | ) | ||||||||||||||
Japan 10 Year Bond | 5 | 06/2020 | JPY | 7,118 | (77 | ) | ||||||||||||||
Japan 10 Year Bond Mini | 86 | 06/2020 | JPY | 12,248 | (150 | ) | ||||||||||||||
Long Gilt | 52 | 06/2020 | GBP | 9,019 | 213 | |||||||||||||||
MSCI EAFEE-Mini Index | 130 | 06/2020 | USD | 10,644 | 528 | |||||||||||||||
MSCI Emerging MarketsE-Mini Index | 76 | 06/2020 | USD | 3,443 | 12 | |||||||||||||||
Russell 2000E-Mini Index | 275 | 06/2020 | USD | 17,971 | 1,076 | |||||||||||||||
S&P 500E-Mini Index | 3,278 | 06/2020 | USD | 475,515 | 46,950 | |||||||||||||||
Short-TermEuro-BTP | 38 | 06/2020 | EUR | 4,637 | (52 | ) | ||||||||||||||
TOPIX Index | 96 | 06/2020 | JPY | 13,002 | 679 | |||||||||||||||
U.S. Treasury 2 Year Note | 163 | 06/2020 | USD | 35,925 | 4 | |||||||||||||||
U.S. Treasury 5 Year Note | 1,999 | 06/2020 | USD | 250,718 | 8,088 | |||||||||||||||
U.S. Treasury 10 Year Note | 54 | 06/2020 | USD | 7,499 | 182 | |||||||||||||||
U.S. Treasury Long Bond | 257 | 06/2020 | USD | 46,381 | (383 | ) | ||||||||||||||
U.S. Treasury Ultra Bond | 75 | 06/2020 | USD | 16,772 | (264 | ) | ||||||||||||||
|
| |||||||||||||||||||
50,929 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro-Bobl | (18 | ) | 06/2020 | EUR | (2,682 | ) | (8 | ) | ||||||||||||
Euro-Bund | (453 | ) | 06/2020 | EUR | (86,590 | ) | 1,083 | |||||||||||||
MSCI Emerging MarketsE-Mini Index | (981 | ) | 06/2020 | USD | (44,439 | ) | (2,595 | ) | ||||||||||||
MSCI Europe Equity Index | (3,413 | ) | 06/2020 | EUR | (74,634 | ) | (11,511 | ) | ||||||||||||
U.S. Treasury 2 Year Note | (104 | ) | 06/2020 | USD | (22,921 | ) | — | (a) | ||||||||||||
U.S. Treasury 5 Year Note | (79 | ) | 06/2020 | USD | (9,908 | ) | (323 | ) | ||||||||||||
U.S. Treasury 10 Year Note | (1,081 | ) | 06/2020 | USD | (150,124 | ) | 197 | |||||||||||||
U.S. Treasury 10 Year Ultra Note | (527 | ) | 06/2020 | USD | (82,607 | ) | 114 | |||||||||||||
U.S. Treasury Long Bond | (21 | ) | 06/2020 | USD | (3,790 | ) | 43 | |||||||||||||
|
| |||||||||||||||||||
(13,000 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
37,929 | ||||||||||||||||||||
|
|
Abbreviations
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EAFE | Europe, Australasia, and Far East | |
EUR | Euro | |
GBP | British Pound |
JPY | Japanese Yen | |
MSCI | Morgan Stanley Capital International | |
TOPIX | Tokyo Stock Price Index | |
USD | United States Dollar | |
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 57 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of April 30, 2020 (amounts in thousands): | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
DKK | 13,185 | USD | 1,922 | BNP Paribas | 5/5/2020 | 14 | ||||||||||||||
EUR | 4,076 | USD | 4,428 | BNP Paribas | 5/5/2020 | 39 | ||||||||||||||
EUR | 758 | USD | 829 | Goldman Sachs International | 5/5/2020 | 2 | ||||||||||||||
EUR | 1,053 | USD | 1,151 | Standard Chartered Bank | 5/5/2020 | 3 | ||||||||||||||
GBP | 39,287 | USD | 49,139 | State Street Corp. | 5/5/2020 | 343 | ||||||||||||||
USD | 2,673 | EUR | 2,406 | State Street Corp. | 5/5/2020 | 35 | ||||||||||||||
USD | 634 | JPY | 68,063 | Merrill Lynch International | 5/7/2020 | — | (a) | |||||||||||||
EUR | 5 | USD | 6 | BNP Paribas | 5/15/2020 | — | (a) | |||||||||||||
EUR | 2,624 | USD | 2,866 | Merrill Lynch International | 5/15/2020 | 10 | ||||||||||||||
EUR | 89 | USD | 97 | Standard Chartered Bank | 5/15/2020 | 1 | ||||||||||||||
USD | 75,576 | CAD | 105,106 | Merrill Lynch International | 5/19/2020 | 65 | ||||||||||||||
USD | 185 | TRY | 1,161 | BNP Paribas | 5/22/2020 | 20 | ||||||||||||||
USD | 93 | TRY | 585 | Citibank, NA | 5/22/2020 | 10 | ||||||||||||||
AUD | 127 | USD | 79 | Goldman Sachs International | 5/27/2020 | 4 | ||||||||||||||
CLP | 65,187 | USD | 77 | Citibank, NA** | 5/27/2020 | 1 | ||||||||||||||
CZK | 1,959 | EUR | 72 | BNP Paribas | 5/27/2020 | — | (a) | |||||||||||||
EUR | 72 | USD | 78 | State Street Corp. | 5/27/2020 | 1 | ||||||||||||||
USD | 77 | TRY | 536 | Goldman Sachs International | 5/27/2020 | 1 | ||||||||||||||
AUD | 1,766 | USD | 1,141 | Royal Bank of Canada | 6/3/2020 | 10 | ||||||||||||||
EUR | 3,014 | USD | 3,273 | State Street Corp. | 6/3/2020 | 32 | ||||||||||||||
GBP | 1,526 | USD | 1,896 | BNP Paribas | 6/3/2020 | 26 | ||||||||||||||
USD | 7,475 | AUD | 11,420 | BNP Paribas | 6/3/2020 | 32 | ||||||||||||||
USD | 9,325 | CAD | 12,931 | Merrill Lynch International | 6/3/2020 | 35 | ||||||||||||||
USD | 150,264 | JPY | 16,010,650 | BNP Paribas | 6/3/2020 | 1,009 | ||||||||||||||
AUD | 3,246 | USD | 1,989 | HSBC Bank, NA | 6/23/2020 | 127 | ||||||||||||||
CAD | 139 | EUR | 90 | Goldman Sachs International | 6/23/2020 | 1 | ||||||||||||||
CAD | 1,350 | USD | 956 | BNP Paribas | 6/23/2020 | 14 | ||||||||||||||
CAD | 137 | USD | 97 | Goldman Sachs International | 6/23/2020 | 1 | ||||||||||||||
CAD | 1,349 | USD | 960 | TD Bank Financial Group | 6/23/2020 | 9 | ||||||||||||||
EUR | 828 | USD | 904 | Goldman Sachs International | 6/23/2020 | 5 | ||||||||||||||
EUR | 89 | USD | 98 | State Street Corp. | 6/23/2020 | — | (a) | |||||||||||||
HUF | 38,046 | USD | 112 | HSBC Bank, NA | 6/23/2020 | 6 | ||||||||||||||
IDR | 6,350,585 | USD | 396 | BNP Paribas** | 6/23/2020 | 19 | ||||||||||||||
MXN | 7,060 | USD | 287 | Barclays Bank plc | 6/23/2020 | 3 | ||||||||||||||
MXN | 11,226 | USD | 457 | BNP Paribas | 6/23/2020 | 5 | ||||||||||||||
MXN | 14,932 | USD | 613 | Goldman Sachs International | 6/23/2020 | 2 | ||||||||||||||
MYR | 1,844 | USD | 424 | Standard Chartered Bank** | 6/23/2020 | 4 | ||||||||||||||
PLN | 174 | USD | 42 | Citibank, NA | 6/23/2020 | — | (a) | |||||||||||||
RUB | 38,347 | USD | 470 | Barclays Bank plc** | 6/23/2020 | 41 | ||||||||||||||
RUB | 48,082 | USD | 605 | Goldman Sachs International** | 6/23/2020 | 35 | ||||||||||||||
SGD | 1,711 | USD | 1,185 | Goldman Sachs International | 6/23/2020 | 29 | ||||||||||||||
USD | 1,431 | CAD | 1,982 | Barclays Bank plc | 6/23/2020 | 6 | ||||||||||||||
USD | 2,112 | CAD | 2,910 | Goldman Sachs International | 6/23/2020 | 21 | ||||||||||||||
USD | 138 | CZK | 3,222 | Citibank, NA | 6/23/2020 | 7 | ||||||||||||||
USD | 3 | EUR | 3 | Barclays Bank plc | 6/23/2020 | — | (a) | |||||||||||||
USD | 120 | EUR | 106 | Merrill Lynch International | 6/23/2020 | 4 | ||||||||||||||
USD | 2,827 | EUR | 2,493 | State Street Corp. | 6/23/2020 | 92 | ||||||||||||||
USD | 259 | HUF | 79,154 | Citibank, NA | 6/23/2020 | 13 | ||||||||||||||
USD | 426 | IDR | 6,350,585 | BNP Paribas** | 6/23/2020 | 11 | ||||||||||||||
USD | 650 | JPY | 69,548 | Royal Bank of Canada | 6/23/2020 | 1 | ||||||||||||||
USD | 650 | JPY | 69,547 | Standard Chartered Bank | 6/23/2020 | 1 | ||||||||||||||
USD | 3,111 | JPY | 324,681 | State Street Corp. | 6/23/2020 | 83 | ||||||||||||||
USD | 740 | MXN | 17,476 | Citibank, NA | 6/23/2020 | 21 | ||||||||||||||
USD | 17 | MXN | 367 | Goldman Sachs International | 6/23/2020 | 2 | ||||||||||||||
USD | 322 | MXN | 7,774 | HSBC Bank, NA | 6/23/2020 | 2 | ||||||||||||||
USD | 659 | MYR | 2,754 | Standard Chartered Bank** | 6/23/2020 | 19 |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
USD | 901 | PLN | 3,533 | BNP Paribas | 6/23/2020 | 49 | ||||||||||||||
USD | 11 | PLN | 41 | Goldman Sachs International | 6/23/2020 | 1 | ||||||||||||||
USD | 522 | RUB | 38,347 | Goldman Sachs International** | 6/23/2020 | 11 | ||||||||||||||
USD | 943 | TRY | 6,394 | Barclays Bank plc | 6/23/2020 | 41 | ||||||||||||||
USD | 1,066 | TRY | 6,914 | BNP Paribas | 6/23/2020 | 90 | ||||||||||||||
USD | 607 | ZAR | 10,705 | HSBC Bank, NA | 6/23/2020 | 33 | ||||||||||||||
CHF | 1,349 | USD | 1,392 | Goldman Sachs International | 6/29/2020 | 8 | ||||||||||||||
CHF | 744 | USD | 768 | Merrill Lynch International | 6/29/2020 | 5 | ||||||||||||||
DKK | 15,637 | USD | 2,270 | Citibank, NA | 6/29/2020 | 29 | ||||||||||||||
EUR | 772 | CHF | 812 | State Street Corp. | 6/29/2020 | 5 | ||||||||||||||
EUR | 3,928 | USD | 4,262 | Goldman Sachs International | 6/29/2020 | 47 | ||||||||||||||
EUR | 5,556 | USD | 6,047 | Merrill Lynch International | 6/29/2020 | 49 | ||||||||||||||
EUR | 3,240 | USD | 3,505 | State Street Corp. | 6/29/2020 | 49 | ||||||||||||||
GBP | 526 | EUR | 601 | Royal Bank of Canada | 6/29/2020 | 3 | ||||||||||||||
GBP | 371 | USD | 437 | Merrill Lynch International | 6/29/2020 | 31 | ||||||||||||||
GBP | 423 | USD | 500 | Royal Bank of Canada | 6/29/2020 | 33 | ||||||||||||||
GBP | 14,385 | USD | 16,818 | State Street Corp. | 6/29/2020 | 1,304 | ||||||||||||||
NOK | 3,957 | USD | 348 | BNP Paribas | 6/29/2020 | 39 | ||||||||||||||
NOK | 1,962 | USD | 173 | Goldman Sachs International | 6/29/2020 | 18 | ||||||||||||||
SEK | 5,035 | EUR | 452 | Merrill Lynch International | 6/29/2020 | 21 | ||||||||||||||
SEK | 6,857 | USD | 674 | Goldman Sachs International | 6/29/2020 | 29 | ||||||||||||||
USD | 523 | EUR | 475 | Barclays Bank plc | 6/29/2020 | 1 | ||||||||||||||
USD | 769 | EUR | 700 | Credit Suisse International | 6/29/2020 | 1 | ||||||||||||||
USD | 3,418 | EUR | 3,100 | State Street Corp. | 6/29/2020 | 17 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 4,191 | |||||||||||||||||||
|
| |||||||||||||||||||
AUD | 11,420 | USD | 7,475 | BNP Paribas | 5/5/2020 | (33 | ) | |||||||||||||
CAD | 12,931 | USD | 9,325 | Merrill Lynch International | 5/5/2020 | (35 | ) | |||||||||||||
USD | 6,951 | AUD | 11,420 | State Street Corp. | 5/5/2020 | (491 | ) | |||||||||||||
USD | 9,078 | CAD | 12,931 | Goldman Sachs International | 5/5/2020 | (212 | ) | |||||||||||||
USD | 1,934 | DKK | 13,185 | Barclays Bank plc | 5/5/2020 | (2 | ) | |||||||||||||
USD | 214,841 | EUR | 196,057 | Barclays Bank plc | 5/5/2020 | (12 | ) | |||||||||||||
USD | 48,545 | GBP | 39,287 | State Street Corp. | 5/5/2020 | (938 | ) | |||||||||||||
USD | 2,590 | SEK | 26,226 | Barclays Bank plc | 5/5/2020 | (98 | ) | |||||||||||||
USD | 146,948 | JPY | 15,942,587 | TD Bank Financial Group | 5/7/2020 | (1,616 | ) | |||||||||||||
USD | 3,067 | EUR | 2,817 | Citibank, NA | 5/15/2020 | (22 | ) | |||||||||||||
CAD | 57,602 | USD | 41,423 | Merrill Lynch International | 5/19/2020 | (40 | ) | |||||||||||||
TRY | 1,746 | USD | 261 | Goldman Sachs International | 5/22/2020 | (12 | ) | |||||||||||||
TRY | 536 | USD | 77 | Goldman Sachs International | 5/27/2020 | (1 | ) | |||||||||||||
USD | 78 | AUD | 127 | Citibank, NA | 5/27/2020 | (4 | ) | |||||||||||||
USD | 77 | CLP | 65,187 | Citibank, NA** | 5/27/2020 | (1 | ) | |||||||||||||
USD | 79 | CZK | 1,959 | State Street Corp. | 5/27/2020 | (1 | ) | |||||||||||||
JPY | 282,490 | USD | 2,640 | HSBC Bank, NA | 6/3/2020 | (6 | ) | |||||||||||||
USD | 1,923 | DKK | 13,185 | BNP Paribas | 6/3/2020 | (14 | ) | |||||||||||||
USD | 2,278 | EUR | 2,093 | Goldman Sachs International | 6/3/2020 | (18 | ) | |||||||||||||
USD | 209,526 | EUR | 192,576 | Merrill Lynch International | 6/3/2020 | (1,634 | ) | |||||||||||||
USD | 49,145 | GBP | 39,287 | State Street Corp. | 6/3/2020 | (344 | ) | |||||||||||||
USD | 2,674 | SEK | 26,226 | State Street Corp. | 6/3/2020 | (15 | ) | |||||||||||||
CAD | 956 | USD | 694 | Citibank, NA | 6/23/2020 | (7 | ) | |||||||||||||
CAD | 961 | USD | 693 | Royal Bank of Canada | 6/23/2020 | (2 | ) | |||||||||||||
COP | 2,303,270 | USD | 592 | Citibank, NA** | 6/23/2020 | (13 | ) | |||||||||||||
CZK | 2,268 | USD | 92 | Goldman Sachs International | 6/23/2020 | — | (a) | |||||||||||||
CZK | 954 | USD | 39 | Merrill Lynch International | 6/23/2020 | — | (a) | |||||||||||||
EUR | 666 | USD | 764 | Goldman Sachs International | 6/23/2020 | (33 | ) | |||||||||||||
EUR | 1,919 | USD | 2,185 | State Street Corp. | 6/23/2020 | (80 | ) | |||||||||||||
HUF | 6,429 | USD | 20 | Citibank, NA | 6/23/2020 | — | (a) | |||||||||||||
HUF | 34,679 | USD | 112 | HSBC Bank, NA | 6/23/2020 | (5 | ) | |||||||||||||
JPY | 139,095 | USD | 1,325 | Goldman Sachs International | 6/23/2020 | (28 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 59 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
JPY | 324,681 | USD | 3,063 | Royal Bank of Canada | 6/23/2020 | (35 | ) | |||||||||||||
MXN | 9,802 | USD | 412 | Goldman Sachs International | 6/23/2020 | (9 | ) | |||||||||||||
MYR | 978 | USD | 228 | Standard Chartered Bank** | 6/23/2020 | (2 | ) | |||||||||||||
PLN | 3,401 | USD | 856 | Goldman Sachs International | 6/23/2020 | (37 | ) | |||||||||||||
RUB | 7,488 | USD | 100 | Barclays Bank plc** | 6/23/2020 | — | (a) | |||||||||||||
TRY | 3,457 | USD | 552 | Barclays Bank plc | 6/23/2020 | (64 | ) | |||||||||||||
TRY | 7,701 | USD | 1,159 | Goldman Sachs International | 6/23/2020 | (71 | ) | |||||||||||||
TRY | 2,150 | �� | USD | 329 | HSBC Bank, NA | 6/23/2020 | (25 | ) | ||||||||||||
USD | 2,034 | AUD | 3,246 | State Street Corp. | 6/23/2020 | (81 | ) | |||||||||||||
USD | 566 | COP | 2,303,270 | Barclays Bank plc** | 6/23/2020 | (13 | ) | |||||||||||||
USD | 887 | EUR | 810 | State Street Corp. | 6/23/2020 | (1 | ) | |||||||||||||
USD | 704 | MXN | 17,404 | HSBC Bank, NA | 6/23/2020 | (12 | ) | |||||||||||||
USD | 15 | MYR | 67 | Standard Chartered Bank** | 6/23/2020 | — | (a) | |||||||||||||
USD | 678 | RUB | 55,570 | Barclays Bank plc** | 6/23/2020 | (62 | ) | |||||||||||||
USD | 1,201 | SGD | 1,711 | State Street Corp. | 6/23/2020 | (13 | ) | |||||||||||||
ZAR | 206 | USD | 13 | Citibank, NA | 6/23/2020 | (2 | ) | |||||||||||||
ZAR | 10,500 | USD | 583 | State Street Corp. | 6/23/2020 | (20 | ) | |||||||||||||
CHF | 883 | USD | 917 | Barclays Bank plc | 6/29/2020 | — | (a) | |||||||||||||
EUR | 650 | CHF | 691 | Goldman Sachs International | 6/29/2020 | (3 | ) | |||||||||||||
EUR | 586 | GBP | 515 | Merrill Lynch International | 6/29/2020 | (7 | ) | |||||||||||||
EUR | 543 | GBP | 475 | TD Bank Financial Group | 6/29/2020 | (2 | ) | |||||||||||||
EUR | 355 | NOK | 4,036 | Goldman Sachs International | 6/29/2020 | (5 | ) | |||||||||||||
EUR | 618 | USD | 680 | Goldman Sachs International | 6/29/2020 | (2 | ) | |||||||||||||
EUR | 829 | USD | 921 | State Street Corp. | 6/29/2020 | (12 | ) | |||||||||||||
USD | 1,618 | CHF | 1,579 | Barclays Bank plc | 6/29/2020 | (21 | ) | |||||||||||||
USD | 1,311 | CHF | 1,270 | Goldman Sachs International | 6/29/2020 | (8 | ) | |||||||||||||
USD | 2,689 | CHF | 2,597 | Merrill Lynch International | 6/29/2020 | (6 | ) | |||||||||||||
USD | 438 | CHF | 426 | Royal Bank of Canada | 6/29/2020 | (4 | ) | |||||||||||||
USD | 1,089 | EUR | 1,000 | BNP Paribas | 6/29/2020 | (8 | ) | |||||||||||||
USD | 3,217 | EUR | 2,953 | Credit Suisse International | 6/29/2020 | (23 | ) | |||||||||||||
USD | 8,460 | EUR | 7,788 | Goldman Sachs International | 6/29/2020 | (84 | ) | |||||||||||||
USD | 7,319 | EUR | 6,732 | Merrill Lynch International | 6/29/2020 | (66 | ) | |||||||||||||
USD | 869 | EUR | 800 | Royal Bank of Canada | 6/29/2020 | (9 | ) | |||||||||||||
USD | 65,818 | EUR | 60,442 | Standard Chartered Bank | 6/29/2020 | (495 | ) | |||||||||||||
USD | 2,110 | EUR | 1,936 | State Street Corp. | 6/29/2020 | (14 | ) | |||||||||||||
USD | 1,464 | GBP | 1,167 | Merrill Lynch International | 6/29/2020 | (5 | ) | |||||||||||||
USD | 477 | GBP | 386 | Standard Chartered Bank | 6/29/2020 | (10 | ) | |||||||||||||
USD | 869 | GBP | 699 | State Street Corp. | 6/29/2020 | (11 | ) | |||||||||||||
USD | 1,104 | NOK | 12,147 | Citibank, NA | 6/29/2020 | (82 | ) | |||||||||||||
USD | 191 | SEK | 1,911 | Citibank, NA | 6/29/2020 | (5 | ) | |||||||||||||
USD | 553 | SEK | 5,572 | State Street Corp. | 6/29/2020 | (18 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (7,064 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation | (2,873 | ) | ||||||||||||||||||
|
|
Abbreviations
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chile Peso | |
COP | Colombian Peso | |
CZK | Czech Republic Koruna | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
TRY | Turkish Lira |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
USD | United States Dollar | |
ZAR | South African Rand | |
(a) | Amount rounds to less than one thousand. | |
** | Non-deliverable forward. |
Over-the-Counter (“OTC”) Total Return Basket Swaps Outstanding at April 30, 2020 (amounts in thousands): | ||||||||||||||||||||||||
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE | ||||||||||||||||||
Bank of America NA | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 10/30/2020 | $ | 13,084 | $ | 968 | $ | 184 | $ | 1,152 | ||||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | NET UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
United Kingdom |
| |||||||||||||||
AstraZeneca plc | 8 | 792 | 124 | 0.0 | (a) | |||||||||||
Barratt Developments plc | 123 | 805 | 69 | 0.0 | (a) | |||||||||||
Berkeley Group Holdings plc | 9 | 480 | 37 | 0.0 | (a) | |||||||||||
British American Tobacco plc | 19 | 721 | 27 | 0.0 | (a) | |||||||||||
Centrica plc | 439 | 220 | 1 | 0.0 | (a) | |||||||||||
Dunelm Group plc | 41 | 476 | 85 | 0.0 | (a) | |||||||||||
Games Workshop Group plc | 4 | 293 | 67 | 0.0 | (a) | |||||||||||
Intermediate Capital Group plc | 65 | 913 | 76 | 0.0 | (a) | |||||||||||
National Express Group plc* | 111 | 381 | 42 | 0.0 | (a) | |||||||||||
Next plc | 14 | 821 | 91 | 0.0 | (a) | |||||||||||
Prudential plc | 33 | 472 | 15 | 0.0 | (a) | |||||||||||
Reckitt Benckiser Group plc | 8 | 657 | (7 | ) | (0.0 | )(a) | ||||||||||
Segro plc | 96 | 1,006 | 61 | 0.0 | (a) | |||||||||||
Spirent Communications plc | 257 | 777 | (3 | ) | (0.0 | )(a) | ||||||||||
Taylor Wimpey plc | 517 | 955 | 122 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
1,744 | 9,769 | 807 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Australia |
| |||||||||||||||
BHP Group plc | 36 | 609 | 3 | 0.0 | (a) | |||||||||||
Rio Tinto plc | 19 | 850 | (21 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
55 | 1,459 | (18 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Russia |
| |||||||||||||||
Polymetal International plc | 63 | 1,299 | 185 | 0.0 | (a) | |||||||||||
South Africa |
| |||||||||||||||
Anglo American plc | 31 | 557 | (6 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swap | 1,893 | 13,084 | 968 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 61 |
Table of Contents
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE | ||||||||||||||||||
Bank of America NA | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month EURIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 10/29/2021 | $ | 977 | $ | 215 | $ | 10 | $ | 225 | ||||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | NET UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Ireland |
| |||||||||||||||
AIB Group plc* | 352 | 486 | 86 | 0.0 | (a) | |||||||||||
Bank of Ireland Group plc* | 239 | 491 | 129 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swap | 591 | 977 | 215 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
The following reference rates, and their values as ofperiod-end, are used for security descriptions: | ||||
VALUE | ||||
EURIBOR | (0.46 | )% | ||
GBP LIBOR | 0.20 |
Summary of OTC total swap contracts outstanding as of April 30, 2020 (amounts in thousands): | ||||||||
NET UPFRONT PAYMENTS (RECEIPTS)($) | VALUE($) | |||||||
Assets |
| |||||||
OTC total return basket swap contracts outstanding | — | 1,377 | ||||||
|
|
|
|
Abbreviations
EUR | Euro | |
EURIBOR | Euro Interbank Offered Rate | |
GBP | British Pound | |
LIBOR | London Interbank Offered Rate | |
(a) | Amount rounds to less than 0.1% of net assets. | |
(1) | Notional value represents market value as of April 30, 2020 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. | |
(2) | Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. | |
* | Non-income producing security. |
Written Call Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE($) | ||||||||||||||
Foreign Exchange EUR/ILS | Goldman Sachs International | 1,010,000 | EUR | 1,010 | EUR | 3.90 | 9/9/2020 | (16 | ) | |||||||||||
Foreign Exchange USD/ILS | Goldman Sachs International | 1,111,500 | USD | 1,112 | USD | 3.50 | 9/9/2020 | (17 | ) | |||||||||||
|
| |||||||||||||||||||
(33 | ) | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Written Put Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE($) | ||||||||||||||
Foreign Exchange USD/JPY | Citibank, NA | 3,714,366 | USD | 3,714 | USD | 102.00 | 8/14/2020 | (21 | ) | |||||||||||
Foreign Exchange USD/JPY | Citibank, NA | 3,726,000 | USD | 3,726 | USD | 108.00 | 8/14/2020 | (79 | ) | |||||||||||
|
| |||||||||||||||||||
(100 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total Written Options Contracts (Premiums Received $264) | (133 | ) | ||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 63 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — 37.3% |
| |||||||
Argentina — 0.0%(a) |
| |||||||
YPF SA 6.95%, 7/21/2027 (b) | 2,680 | 1,193 | ||||||
|
| |||||||
Australia — 0.2% | ||||||||
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (c) (d) (e) (f) | 13,961 | 14,973 | ||||||
BHP Billiton Finance USA Ltd. (USD Swap Semi 5 Year + 5.09%), 6.75%, 10/19/2075 (d) (e) | 1,720 | 1,922 | ||||||
Commonwealth Bank of Australia (ICE LIBOR USD 3 Month + 0.32%), | 540 | 540 | ||||||
FMG Resources August 2006 Pty. Ltd. | ||||||||
4.75%, 5/15/2022 (e) | 1,290 | 1,296 | ||||||
5.13%, 5/15/2024 (e) (g) | 1,089 | 1,105 | ||||||
Macquarie Bank Ltd. | ||||||||
(ICE LIBOR USD 3 Month + 0.45%), 2.19%, 8/6/2021 (d) (e) | 500 | 494 | ||||||
(ICE LIBOR USD 3 Month + 0.45%), 2.13%, 11/24/2021 (d) (e) | 380 | 376 | ||||||
National Australia Bank Ltd. 4.38%, 12/10/2020 (e) | 690 | 703 | ||||||
|
| |||||||
21,409 | ||||||||
|
| |||||||
Azerbaijan — 0.0%(a) | ||||||||
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (b) | 950 | 993 | ||||||
State Oil Co. of the Azerbaijan Republic | ||||||||
4.75%, 3/13/2023 (b) | 686 | 686 | ||||||
6.95%, 3/18/2030 (b) | 2,180 | 2,281 | ||||||
|
| |||||||
3,960 | ||||||||
|
| |||||||
Bahrain — 0.0%(a) | ||||||||
Oil and Gas Holding Co. BSCC (The) 7.50%, 10/25/2027 (b) | 1,150 | 1,107 | ||||||
|
| |||||||
Belarus — 0.0% (a) | ||||||||
Development Bank of the Republic of Belarus JSC 6.75%, 5/2/2024 (e) | 750 | 690 | ||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.75%, 1/23/2029 | 8,600 | 9,918 | ||||||
4.90%, 1/23/2031 | 3,330 | 3,902 | ||||||
4.38%, 4/15/2038 | 1,225 | 1,320 | ||||||
KBC Group NV (EUR Swap Annual 5 Year + 4.69%), 4.75%, 3/5/2024 (b) (c) (d) (f) | EUR 1,200 | 1,308 | ||||||
|
| |||||||
16,448 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Brazil — 0.0%(a) | ||||||||
GTL Trade Finance, Inc. 5.89%, 4/29/2024 (b) | 496 | 502 | ||||||
MV24 Capital BV 6.75%, 6/1/2034 (e) | 671 | 566 | ||||||
Petrobras Global Finance BV | ||||||||
6.90%, 3/19/2049 | 1,030 | 989 | ||||||
6.85%, 6/5/2115 | 300 | 280 | ||||||
Suzano Austria GmbH 6.00%, 1/15/2029 | 550 | 547 | ||||||
Votorantim Cimentos International SA 7.25%, 4/5/2041(b) | 440 | 475 | ||||||
|
| |||||||
3,359 | ||||||||
|
| |||||||
Canada — 1.3% | ||||||||
1011778 BC ULC | ||||||||
4.25%, 5/15/2024 (e) | 8,332 | 8,329 | ||||||
3.88%, 1/15/2028 (e) | 3,073 | 2,981 | ||||||
Advanz Pharma Corp. Ltd. 8.00%, 9/6/2024 (g) | 2,095 | 1,865 | ||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.95%, 1/25/2030 (e) | 390 | 381 | ||||||
3.80%, 1/25/2050 (e) | 135 | 126 | ||||||
ATS Automation Tooling Systems, Inc. | ||||||||
6.50%, 6/15/2023 (e) | 1,570 | 1,570 | ||||||
Bank of Montreal | ||||||||
(ICE LIBOR USD 3 Month + 0.40%), 1.30%, 9/10/2021 (d) | 890 | 883 | ||||||
1.85%, 5/1/2025 | 6,140 | 6,158 | ||||||
Bank of Nova Scotia (The) 1.63%, 5/1/2023 | 7,335 | 7,334 | ||||||
Baytex Energy Corp. 8.75%, 4/1/2027 (e) | 2,925 | 1,111 | ||||||
Bombardier, Inc. | ||||||||
6.00%, 10/15/2022 (e) | 1,868 | 1,401 | ||||||
6.13%, 1/15/2023 (e) | 1,943 | 1,389 | ||||||
7.50%, 12/1/2024 (e) | 3,887 | 2,583 | ||||||
7.50%, 3/15/2025 (e) | 6,539 | 4,230 | ||||||
Calfrac Holdings LP 8.50%, 6/15/2026 (e) | 1,200 | 60 | ||||||
Canadian Imperial Bank of Commerce (ICE LIBOR USD 3 Month + 0.79%), 2.61%, 7/22/2023 (d) | 4,300 | 4,375 | ||||||
Emera US Finance LP | ||||||||
3.55%, 6/15/2026 | 1,290 | 1,361 | ||||||
4.75%, 6/15/2046 | 370 | 399 | ||||||
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (d) | 19,095 | 20,184 | ||||||
Enbridge, Inc. | ||||||||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (d) | 2,730 | 2,443 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (d) | 5,421 | 4,963 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
Canada — continued | ||||||||
Fortis, Inc. 3.06%, 10/4/2026 | 1,960 | 1,989 | ||||||
Gateway Casinos & Entertainment Ltd. 8.25%, 3/1/2024 (e) | 5,033 | 4,228 | ||||||
GFL Environmental, Inc. 4.25%, 6/1/2025 (e) (g) | 2,345 | 2,357 | ||||||
Hudbay Minerals, Inc. | ||||||||
7.25%, 1/15/2023 (e) | 1,140 | 1,038 | ||||||
7.63%, 1/15/2025 (e) (g) | 825 | 746 | ||||||
Intertape Polymer Group, Inc. | ||||||||
7.00%, 10/15/2026 (e) | 1,465 | 1,485 | ||||||
MEG Energy Corp. | ||||||||
7.00%, 3/31/2024 (e) | 944 | 670 | ||||||
6.50%, 1/15/2025 (e) | 4,437 | 3,638 | ||||||
7.13%, 2/1/2027 (e) | 5,659 | 3,905 | ||||||
NOVA Chemicals Corp. | ||||||||
4.88%, 6/1/2024 (e) | 5,040 | 4,523 | ||||||
5.00%, 5/1/2025 (e) | 3,340 | 2,821 | ||||||
5.25%, 6/1/2027 (e) | 4,656 | 3,725 | ||||||
Open Text Corp. | ||||||||
5.88%, 6/1/2026 (e) | 1,781 | 1,870 | ||||||
Precision Drilling Corp. | ||||||||
7.75%, 12/15/2023 | 1,540 | 677 | ||||||
5.25%, 11/15/2024 | 248 | 94 | ||||||
7.13%, 1/15/2026 (e) (g) | 5,484 | 2,194 | ||||||
Quebecor Media, Inc. 5.75%, 1/15/2023 | 6,263 | 6,601 | ||||||
Rogers Communications, Inc. 4.35%, 5/1/2049 | 430 | 516 | ||||||
Royal Bank of Canada 1.60%, 4/17/2023 | 6,560 | 6,588 | ||||||
Stars Group Holdings BV 7.00%, 7/15/2026 (e) | 3,481 | 3,578 | ||||||
TransCanada PipeLines Ltd. | ||||||||
9.88%, 1/1/2021 | 476 | 499 | ||||||
4.25%, 5/15/2028 (g) | 1,215 | 1,307 | ||||||
Transcanada Trust | ||||||||
Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (d) | 2,515 | 2,381 | ||||||
(ICE LIBOR USD 3 Month + 4.15%), 5.50%, 9/15/2079 (d) | 7,332 | 6,892 | ||||||
Videotron Ltd. | ||||||||
5.38%, 6/15/2024 (e) | 5,053 | 5,356 | ||||||
5.13%, 4/15/2027 (e) | 4,520 | 4,724 | ||||||
|
| |||||||
148,528 | ||||||||
|
| |||||||
Cayman Islands — 0.0%(a) | ||||||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (e) | 420 | 259 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Cayman Islands — continued | ||||||||
Global Aircraft Leasing Co. Ltd. 6.50% (cash), 9/15/2024 (e) (h) | 4,990 | 3,017 | ||||||
|
| |||||||
3,276 | ||||||||
|
| |||||||
Chile — 0.0%(a) | ||||||||
Corp. Nacional del Cobre de Chile | ||||||||
4.88%, 11/4/2044 (b) | 400 | 428 | ||||||
3.70%, 1/30/2050 (e) | 1,400 | 1,269 | ||||||
Empresa Electrica Angamos SA 4.88%, 5/25/2029 (b) | 576 | 564 | ||||||
Empresa Nacional del Petroleo 3.75%, 8/5/2026 (b) | 700 | 674 | ||||||
|
| |||||||
2,935 | ||||||||
|
| |||||||
China — 0.0%(a) | ||||||||
China Evergrande Group | ||||||||
7.50%, 6/28/2023 (b) | 800 | 627 | ||||||
8.75%, 6/28/2025 (b) | 1,600 | 1,254 | ||||||
Sinopec Group Overseas Development 2018 Ltd. 3.68%, 8/8/2049 (e) | 500 | 541 | ||||||
State Grid Overseas Investment 2016 Ltd. 2.25%, 5/4/2020 (e) | 360 | 360 | ||||||
|
| |||||||
2,782 | ||||||||
|
| |||||||
Colombia — 0.0%(a) | ||||||||
Ecopetrol SA | ||||||||
5.88%, 9/18/2023 | 950 | 969 | ||||||
5.38%, 6/26/2026 | 690 | 677 | ||||||
7.38%, 9/18/2043 | 412 | 427 | ||||||
5.88%, 5/28/2045 | 730 | 643 | ||||||
|
| |||||||
2,716 | ||||||||
|
| |||||||
Costa Rica — 0.0%(a) | ||||||||
Instituto Costarricense de Electricidad 6.95%, 11/10/2021 (b) | 790 | 725 | ||||||
|
| |||||||
Denmark — 0.0%(a) | ||||||||
Danske Bank A/S (ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (d) (e) | 1,000 | 1,000 | ||||||
|
| |||||||
Finland — 0.1% | ||||||||
Nokia OYJ 6.63%, 5/15/2039 (g) | 1,134 | 1,202 | ||||||
Nordea Bank Abp (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (c) (d) (e) (f) | 3,870 | 3,894 | ||||||
|
| |||||||
5,096 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 65 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
France — 0.5% | ||||||||
Altice France SA | ||||||||
7.38%, 5/1/2026 (e) | 14,428 | 15,077 | ||||||
8.13%, 2/1/2027 (e) | 5,809 | 6,290 | ||||||
BPCE SA (SOFR + 0.44%), | 390 | 381 | ||||||
Credit Agricole SA | ||||||||
4.38%, 3/17/2025 (e) | 1,000 | 1,058 | ||||||
(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (c) (d) (e) (f) | 8,611 | 9,558 | ||||||
Societe Generale SA | ||||||||
(USD Swap Semi 5 Year + 6.24%), 7.38%, 9/13/2021 (c) (d) (e) (f) | 15,320 | 14,956 | ||||||
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (c) (d) (e) (f) | 10,965 | 11,130 | ||||||
(USD Swap Semi 5 Year + 3.93%), 6.75%, 4/6/2028 (c) (d) (e) (f) | 2,035 | 1,909 | ||||||
Total Capital International SA 2.83%, 1/10/2030 | 2,310 | 2,390 | ||||||
|
| |||||||
62,749 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
BMW US Capital LLC (ICE LIBOR USD 3 Month + 0.37%), 2.07%, 8/14/2020 (d) (e) | 501 | 499 | ||||||
Daimler Finance North America LLC 2.20%, 5/5/2020 (e) | 300 | 300 | ||||||
Deutsche Telekom International Finance BV | ||||||||
3.60%, 1/19/2027 (e) (g) | 1,185 | 1,287 | ||||||
8.75%, 6/15/2030 (i) | 4,340 | 6,409 | ||||||
Volkswagen Group of America Finance LLC 2.50%, 9/24/2021 (e) | 390 | 389 | ||||||
|
| |||||||
8,884 | ||||||||
|
| |||||||
Guatemala — 0.0% (a) | ||||||||
Energuate Trust 5.88%, 5/3/2027 (b) | 1,147 | 1,060 | ||||||
|
| |||||||
Hungary — 0.0% (a) | ||||||||
MFB Magyar Fejlesztesi Bank Zrt. 6.25%, 10/21/2020 (e) | 990 | 1,013 | ||||||
|
| |||||||
India — 0.0%(a) | ||||||||
Reliance Holding USA, Inc. | 830 | 861 | ||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
5.71%, 11/15/2023 (e) | 990 | 1,015 | ||||||
6.53%, 11/15/2028 (e) | 2,380 | 2,559 | ||||||
6.76%, 11/15/2048 (e) | 250 | 270 | ||||||
Minejesa Capital BV 4.63%, 8/10/2030 (e) | 824 | 783 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Indonesia — continued | ||||||||
Pertamina Persero PT | ||||||||
4.30%, 5/20/2023 (b) | 260 | 264 | ||||||
3.10%, 1/21/2030 (e) (g) | 450 | 410 | ||||||
6.00%, 5/3/2042 (b) | 880 | 927 | ||||||
Perusahaan Listrik Negara PT | ||||||||
4.13%, 5/15/2027 (b) | 680 | 675 | ||||||
6.25%, 1/25/2049 (b) | 810 | 883 | ||||||
|
| |||||||
7,786 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
AerCap Global Aviation Trust (ICE LIBOR USD 3 Month + 4.30%), 6.50%, | 3,073 | 2,243 | ||||||
Allied Irish Banks plc (EUR Swap Annual | EUR | 244 | 265 | |||||
Avolon Holdings Funding Ltd. | ||||||||
5.50%, 1/15/2023 (e) | 1,226 | 1,127 | ||||||
5.13%, 10/1/2023 (e) | 3,433 | 3,071 | ||||||
5.25%, 5/15/2024 (e) | 3,725 | 3,230 | ||||||
4.38%, 5/1/2026 (e) | 1,765 | 1,511 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
5.25%, 8/15/2022 (e) | 992 | 914 | ||||||
5.50%, 2/15/2024 (e) | 1,762 | 1,551 | ||||||
|
| |||||||
13,912 | ||||||||
|
| |||||||
Italy — 0.2% | ||||||||
Enel SpA (USD Swap Semi 5 Year + 5.88%), 8.75%, 9/24/2073 (d) (e) | 4,590 | 5,175 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 4,109 | 4,428 | ||||||
6.00%, 9/30/2034 | 5,846 | 6,056 | ||||||
7.72%, 6/4/2038 | 1,500 | 1,740 | ||||||
Telecom Italia SpA 5.30%, 5/30/2024 (e) | 3,510 | 3,650 | ||||||
|
| |||||||
21,049 | ||||||||
|
| |||||||
Japan — 0.1% | ||||||||
Nippon Life Insurance Co. (USD ICE Swap Rate 5 Year + 3.65%), 5.10%, 10/16/2044 (d) (e) | 2,887 | 3,132 | ||||||
Takeda Pharmaceutical Co. Ltd. 5.00%, 11/26/2028 | 2,585 | 3,114 | ||||||
Toyota Motor Corp. 3.18%, 7/20/2021 | 1,435 | 1,467 | ||||||
|
| |||||||
7,713 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
Kazakhstan — 0.1% | ||||||||
Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042 (b) | 1,545 | 1,779 | ||||||
KazMunayGas National Co. JSC | ||||||||
4.40%, 4/30/2023 (b) | 1,150 | 1,137 | ||||||
4.75%, 4/24/2025 (e) | 550 | 544 | ||||||
4.75%, 4/19/2027 (b) | 500 | 484 | ||||||
5.38%, 4/24/2030 (b) | 1,200 | 1,184 | ||||||
6.38%, 10/24/2048 (b) | 1,040 | 1,074 | ||||||
Tengizchevroil Finance Co. International Ltd. 4.00%, 8/15/2026 (b) | 800 | 761 | ||||||
|
| |||||||
6,963 | ||||||||
|
| |||||||
Luxembourg — 0.5% | ||||||||
Altice Financing SA 7.50%, 5/15/2026 (e) | 10,355 | 10,821 | ||||||
Altice France Holding SA | ||||||||
10.50%, 5/15/2027 (e) | 6,764 | 7,289 | ||||||
6.00%, 2/15/2028 (e) (g) | 3,550 | 3,239 | ||||||
INEOS Group Holdings SA | 9,470 | 9,210 | ||||||
Intelsat Jackson Holdings SA | ||||||||
5.50%, 8/1/2023 | 10,554 | 5,732 | ||||||
8.00%, 2/15/2024 (e) (g) | 8,800 | 9,036 | ||||||
8.50%, 10/15/2024 (e) | 16,148 | 9,366 | ||||||
9.75%, 7/15/2025 (e) | 1,585 | 919 | ||||||
|
| |||||||
55,612 | ||||||||
|
| |||||||
Mexico — 0.2% | ||||||||
Alfa SAB de CV 6.88%, 3/25/2044 (e) | 712 | 707 | ||||||
BBVA Bancomer SA 6.75%, 9/30/2022 (b) | 900 | 934 | ||||||
Cemex SAB de CV | ||||||||
5.70%, 1/11/2025 (e) | 985 | 892 | ||||||
7.75%, 4/16/2026 (e) | 7,840 | 7,315 | ||||||
Grupo KUO SAB de CV 5.75%, 7/7/2027 (e) | 1,020 | 849 | ||||||
Petroleos Mexicanos | ||||||||
5.38%, 3/13/2022 | 2,850 | 2,693 | ||||||
6.49%, 1/23/2027 (e) | 247 | 200 | ||||||
5.35%, 2/12/2028 | 1,200 | 896 | ||||||
5.63%, 1/23/2046 | 1,999 | 1,299 | ||||||
6.75%, 9/21/2047 | 850 | 587 | ||||||
6.35%, 2/12/2048 | 500 | 334 | ||||||
7.69%, 1/23/2050 (e) | 1,102 | 810 | ||||||
6.95%, 1/28/2060 (e) | 2,100 | 1,470 | ||||||
|
| |||||||
18,986 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Mongolia — 0.0%(a) | ||||||||
Trade & Development Bank of Mongolia LLC 9.38%, 5/19/2020 (b) | 1,900 | 1,881 | ||||||
|
| |||||||
Morocco — 0.0%(a) | ||||||||
OCP SA | ||||||||
5.63%, 4/25/2024 (b) | 1,080 | 1,156 | ||||||
6.88%, 4/25/2044 (b) | 1,030 | 1,224 | ||||||
|
| |||||||
2,380 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
ABN AMRO Bank NV (ICE LIBOR USD 3 Month + 0.57%), 2.21%, 8/27/2021 (d) (e) | 700 | 696 | ||||||
Cooperatieve Rabobank UA (EUR Swap Annual 5 Year + 6.70%), 6.62%, | EUR | 2,000 | 2,229 | |||||
ING Bank NV (ICE LIBOR USD 3 Month + 0.97%), 2.66%, 8/17/2020 (d) (e) | 401 | 402 | ||||||
ING Groep NV (USD Swap Semi 5 Year + 5.12%), 6.87%, | 7,168 | 7,157 | ||||||
OCI NV 5.25%, 11/1/2024 (e) | 1,340 | 1,320 | ||||||
Shell International Finance BV 2.75%, 4/6/2030 | 2,310 | 2,393 | ||||||
Starfruit Finco BV 8.00%, | 5,890 | 5,516 | ||||||
Trivium Packaging Finance BV | ||||||||
5.50%, 8/15/2026 (e) (i) | 2,741 | 2,810 | ||||||
8.50%, 8/15/2027 (e) (i) | 2,181 | 2,279 | ||||||
|
| |||||||
24,802 | ||||||||
|
| |||||||
Norway — 0.0%(a) | ||||||||
Aker BP ASA 5.88%, 3/31/2025 (e) | 1,816 | 1,697 | ||||||
DNB Bank ASA (USD Swap Semi 5 Year + 5.08%), 6.50%, | 1,642 | 1,654 | ||||||
|
| |||||||
3,351 | ||||||||
|
| |||||||
Panama — 0.0%(a) | ||||||||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (e) | 580 | 589 | ||||||
|
| |||||||
Peru — 0.0%(a) | ||||||||
Banco BBVA Peru SA | 580 | 602 | ||||||
Nexa Resources SA 5.38%, 5/4/2027 (b) | 950 | 856 | ||||||
Petroleos del Peru SA | ||||||||
4.75%, 6/19/2032 (e) | 900 | 877 | ||||||
5.63%, 6/19/2047 (b) | 600 | 584 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 67 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
Peru — continued | ||||||||
Southern Copper Corp. 5.88%, 4/23/2045 | 185 | 209 | ||||||
|
| |||||||
3,128 | ||||||||
|
| |||||||
Qatar — 0.0%(a) | ||||||||
ABQ Finance Ltd. | ||||||||
3.63%, 4/13/2021 (b) | 1,550 | 1,561 | ||||||
3.50%, 2/22/2022 (b) | 720 | 723 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.30%, 9/30/2020 (b) | 191 | 192 | ||||||
|
| |||||||
2,476 | ||||||||
|
| |||||||
South Africa — 0.0%(a) | ||||||||
Eskom Holdings SOC Ltd. | ||||||||
5.75%, 1/26/2021 (b) | 350 | 313 | ||||||
6.75%, 8/6/2023 (b) | 800 | 592 | ||||||
7.13%, 2/11/2025 (b) | 850 | 614 | ||||||
|
| |||||||
1,519 | ||||||||
|
| |||||||
South Korea — 0.0%(a) | ||||||||
Heungkuk Life Insurance Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, | 1,150 | 1,035 | ||||||
MagnaChip Semiconductor Corp. 6.63%, 7/15/2021 (g) (i) | 2,445 | 2,372 | ||||||
|
| |||||||
3,407 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
(EUR Swap Annual 5 Year + 9.18%), 8.87%, 4/14/2021 (b) (c) (d) (f) | EUR | 2,600 | 2,886 | |||||
(EUR Swap Annual 5 Year + 6.04%), 6.00%, 3/29/2024 (b) (c) (d) (f) | EUR | 2,000 | 2,044 | |||||
|
| |||||||
4,930 | ||||||||
|
| |||||||
Sweden — 0.0% (a) | ||||||||
Skandinaviska Enskilda Banken AB (ICE LIBOR USD 3 Month + 0.43%), 2.12%, 5/17/2021 (d) (e) | 380 | 378 | ||||||
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.69%), 6.25%, 3/1/2024 (b) (c) (d) (f) | 600 | 613 | ||||||
|
| |||||||
991 | ||||||||
|
| |||||||
Switzerland — 0.6% | ||||||||
Credit Suisse AG | ||||||||
2.80%, 4/8/2022 | 290 | 297 | ||||||
2.95%, 4/9/2025 | 305 | 321 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Switzerland — continued |
| |||||||
Credit Suisse Group AG | ||||||||
(USD Swap Semi 5 Year + 4.60%), 7.50%, 7/17/2023 (c) (d) (e) (f) | 1,825 | 1,843 | ||||||
(USD Swap Semi 5 Year + 4.60%), 7.50%, 12/11/2023 (c) (d) (e) (f) | 6,891 | 7,279 | ||||||
(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (c) (d) (e) (f) | 7,005 | 7,180 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.37%, 8/21/2026 (c) (d) (e) (f) | 7,834 | 7,716 | ||||||
(SOFR + 3.73%), 4.19%, 4/1/2031 (d) (e) | 1,635 | 1,777 | ||||||
Novartis Capital Corp. 2.20%, 8/14/2030 | 5,120 | 5,411 | ||||||
UBS AG 1.75%, 4/21/2022 (e) | 6,390 | 6,420 | ||||||
UBS Group AG | ||||||||
(USD ICE Swap Rate 5 Year + 5.50%), 6.87%, 3/22/2021 (b) (c) (d) (f) | 4,355 | 4,371 | ||||||
(USD Swap Semi 5 Year + 4.34%), 7.00%, 1/31/2024 (c) (d) (e) (f) | 10,430 | 10,730 | ||||||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (b) (c) (d) (f) | 8,000 | 8,580 | ||||||
6.87%, 8/7/2025 (b) (c) (f) | 3,000 | 3,101 | ||||||
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (d ) (e) | 1,000 | 1,041 | ||||||
|
| |||||||
66,067 | ||||||||
|
| |||||||
Trinidad and Tobago — 0.0% (a) |
| |||||||
Trinidad Petroleum Holdings Ltd. 9.75%, 6/15/2026 (e) | 1,565 | 1,404 | ||||||
|
| |||||||
Turkey — 0.0%(a) |
| |||||||
Turkcell Iletisim Hizmetleri A/S 5.80%, 4/11/2028 (b) | 660 | 620 | ||||||
|
| |||||||
United Arab Emirates — 0.1% |
| |||||||
DAE Funding LLC | ||||||||
4.50%, 8/1/2022 (e) | 1,205 | 1,098 | ||||||
5.75%, 11/15/2023 (e) | 665 | 587 | ||||||
5.00%, 8/1/2024 (e) | 1,489 | 1,331 | ||||||
Shelf Drilling Holdings Ltd. | 5,297 | 1,699 | ||||||
Telford Offshore Ltd. 12.00%, | 1,236 | 345 | ||||||
|
| |||||||
5,060 | ||||||||
|
| |||||||
United Kingdom — 0.9% |
| |||||||
Afren plc 6.63%, 12/9/2020 (b) (j) | 3,001 | — | (k) | |||||
Ashtead Capital, Inc. | ||||||||
4.13%, 8/15/2025 (e) | 2,645 | 2,619 | ||||||
4.38%, 8/15/2027 (e) | 500 | 487 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United Kingdom — continued | ||||||||
AstraZeneca plc 3.13%, 6/12/2027 | 3,545 | 3,866 | ||||||
BAE Systems plc 3.40%, 4/15/2030 (e) | 9,215 | 10,005 | ||||||
Barclays plc | ||||||||
4.38%, 9/11/2024 | 3,678 | 3,800 | ||||||
4.84%, 5/9/2028 | 1,277 | 1,344 | ||||||
(ICE LIBOR USD 3 Month + 3.05%), 5.09%, 6/20/2030 (d) | 1,190 | 1,289 | ||||||
BAT Capital Corp. | ||||||||
3.22%, 9/6/2026 (g) | 4,640 | 4,773 | ||||||
4.70%, 4/2/2027 | 2,715 | 2,998 | ||||||
4.39%, 8/15/2037 | 2,085 | 2,133 | ||||||
CK Hutchison International 17 II Ltd. 2.25%, 9/29/2020 (e) | 591 | 592 | ||||||
Diageo Capital plc 2.00%, 4/29/2030 | 1,050 | 1,046 | ||||||
HSBC Holdings plc | ||||||||
3.40%, 3/8/2021 | 2,000 | 2,037 | ||||||
(USD ICE Swap Rate 5 Year + 5.51%), 6.87%, 6/1/2021 (c) (d) (f) | 1,556 | 1,560 | ||||||
(EUR Swap Annual 5 Year + 5.34%), 6.00%, 9/29/2023 (b) (c) (d) (f) | EUR | 3,970 | 4,497 | |||||
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (d) | 1,000 | 1,064 | ||||||
(USD ICE Swap Rate 5 Year + 4.37%), 6.37%, 3/30/2025 (c) (d) (f) | 3,000 | 2,979 | ||||||
(USD ICE Swap Rate 5 Year + 3.61%), 6.50%, 3/23/2028 (c) (d) (f) | 8,180 | 8,116 | ||||||
Imperial Brands Finance plc | ||||||||
3.75%, 7/21/2022 (e) (g) | 2,323 | 2,354 | ||||||
3.13%, 7/26/2024 (e) | 1,555 | 1,531 | ||||||
Ithaca Energy North Sea plc 9.38%, 7/15/2024 (e) | 2,534 | 1,521 | ||||||
Lloyds Banking Group plc (ICE LIBOR USD 3 Month + 0.80%), 2.00%, 6/21/2021 (d) | 680 | 675 | ||||||
Nationwide Building Society (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.39%), 5.88%, | GBP | 200 | 246 | |||||
Royal Bank of Scotland Group plc | ||||||||
6.13%, 12/15/2022 | 14,167 | 15,181 | ||||||
6.00%, 12/19/2023 | 1,194 | 1,301 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (d) | 5,440 | 5,783 | ||||||
Virgin Media Secured Finance plc | ||||||||
5.50%, 8/15/2026 (e) | 2,545 | 2,627 | ||||||
5.50%, 5/15/2029 (e) | 6,525 | 6,774 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United Kingdom — continued | ||||||||
Vodafone Group plc | ||||||||
4.38%, 5/30/2028 | 3,050 | 3,495 | ||||||
5.00%, 5/30/2038 | 1,175 | 1,399 | ||||||
4.38%, 2/19/2043 | 3,355 | 3,770 | ||||||
4.25%, 9/17/2050 | 1,605 | 1,756 | ||||||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (d) | 3,890 | 4,450 | ||||||
|
| |||||||
108,068 | ||||||||
|
| |||||||
United States — 31.8% | ||||||||
Abbott Laboratories 4.75%, 11/30/2036 | 10,260 | 13,383 | ||||||
AbbVie, Inc. | ||||||||
3.20%, 11/21/2029 (e) | 11,330 | 11,970 | ||||||
4.05%, 11/21/2039 (e) | 1,310 | 1,444 | ||||||
4.25%, 11/21/2049 (e) | 250 | 287 | ||||||
Acadia Healthcare Co., Inc. | ||||||||
6.13%, 3/15/2021 | 528 | 521 | ||||||
5.63%, 2/15/2023 | 1,836 | 1,744 | ||||||
6.50%, 3/1/2024 | 3,004 | 2,884 | ||||||
ACCO Brands Corp. 5.25%, | 6,624 | 6,574 | ||||||
ACE Cash Express, Inc. 12.00%, | 2,638 | 2,048 | ||||||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (e) | 3,105 | 3,089 | ||||||
Adient Global Holdings Ltd. 4.88%, | 5,880 | 4,381 | ||||||
Adient US LLC | ||||||||
9.00%, 4/15/2025 (e) | 1,155 | 1,204 | ||||||
7.00%, 5/15/2026 (e) | 8,125 | 8,084 | ||||||
ADT Security Corp. (The) | ||||||||
4.13%, 6/15/2023 | 1,501 | 1,494 | ||||||
4.88%, 7/15/2032 (e) | 4,823 | 4,292 | ||||||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (e) | 1,438 | 1,413 | ||||||
AECOM | ||||||||
5.88%, 10/15/2024 | 346 | 366 | ||||||
5.13%, 3/15/2027 | 3,641 | 3,705 | ||||||
AES Corp. (The) | ||||||||
5.50%, 4/15/2025 | 6,707 | 6,875 | ||||||
6.00%, 5/15/2026 (g) | 1,765 | 1,845 | ||||||
Aetna, Inc. 3.88%, 8/15/2047 | 3,230 | 3,515 | ||||||
Ahern Rentals, Inc. 7.38%, 5/15/2023 (e) | 4,316 | 2,030 | ||||||
AIG Global Funding (ICE LIBOR USD 3 Month + 0.46%), 1.68%, 6/25/2021 (d) (e) | 435 | 430 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 69 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Air Lease Corp. | ||||||||
(ICE LIBOR USD 3 Month + 0.67%), 2.13%, 6/3/2021 (d) | 165 | 153 | ||||||
3.75%, 6/1/2026 | 1,275 | 1,127 | ||||||
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023 (e) | 2,845 | 2,646 | ||||||
Albertsons Cos., Inc. | ||||||||
3.50%, 2/15/2023 (e) | 2,005 | 1,965 | ||||||
6.63%, 6/15/2024 | 9,925 | 10,235 | ||||||
5.75%, 3/15/2025 | 3,625 | 3,716 | ||||||
7.50%, 3/15/2026 (e) | 2,170 | 2,371 | ||||||
4.63%, 1/15/2027 (e) | 7,060 | 7,095 | ||||||
5.88%, 2/15/2028 (e) | 3,316 | 3,464 | ||||||
4.88%, 2/15/2030 (e) | 2,850 | 2,889 | ||||||
Alcoa Nederland Holding BV | ||||||||
6.75%, 9/30/2024 (e) | 7,576 | 7,499 | ||||||
7.00%, 9/30/2026 (e) | 1,650 | 1,633 | ||||||
Allegheny Technologies, Inc. | ||||||||
7.88%, 8/15/2023 (i) | 500 | 458 | ||||||
5.88%, 12/1/2027 | 1,361 | 1,123 | ||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026 (e) | 909 | 935 | ||||||
9.75%, 7/15/2027 (e) | 907 | 916 | ||||||
Allison Transmission, Inc. | ||||||||
5.00%, 10/1/2024 (e) | 5,325 | 5,112 | ||||||
4.75%, 10/1/2027 (e) | 2,545 | 2,367 | ||||||
5.88%, 6/1/2029 (e) (g) | 4,125 | 3,999 | ||||||
Allstate Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.94%), 5.75%, 8/15/2053 (d) | 5,429 | 5,520 | ||||||
Ally Financial, Inc. | ||||||||
4.63%, 5/19/2022 (g) | 11,066 | 11,315 | ||||||
5.13%, 9/30/2024 | 1,908 | 1,974 | ||||||
4.63%, 3/30/2025 | 6,278 | 6,325 | ||||||
5.75%, 11/20/2025 | 8,200 | 8,405 | ||||||
8.00%, 11/1/2031 | 2,055 | 2,501 | ||||||
Altria Group, Inc. | ||||||||
4.40%, 2/14/2026 | 4,310 | 4,779 | ||||||
4.80%, 2/14/2029 | 2,410 | 2,691 | ||||||
AMC Entertainment Holdings, Inc. | ||||||||
5.75%, 6/15/2025 (g) | 6,249 | 1,406 | ||||||
5.88%, 11/15/2026 (g) | 1,663 | 370 | ||||||
6.13%, 5/15/2027 (g) | 2,144 | 504 | ||||||
AMC Networks, Inc. | ||||||||
5.00%, 4/1/2024 | 3,610 | 3,500 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
4.75%, 8/1/2025 (g) | 831 | 759 | ||||||
Ameren Corp. | ||||||||
2.70%, 11/15/2020 | 524 | 528 | ||||||
3.50%, 1/15/2031 | 1,615 | 1,786 | ||||||
American Airlines Group, Inc. 5.00%, 6/1/2022 (e) | 1,634 | 999 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.63%, 10/15/2022 | 264 | 221 | ||||||
6.25%, 4/1/2025 (g) | 14,199 | 10,813 | ||||||
6.25%, 3/15/2026 | 8,878 | 6,614 | ||||||
6.50%, 4/1/2027 | 4,572 | 3,440 | ||||||
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (e) | 4,195 | 4,011 | ||||||
American Electric Power Co., Inc. Series J, 4.30%, 12/1/2028 | 1,480 | 1,687 | ||||||
American Express Co. | ||||||||
Series C, (ICE LIBOR USD 3 Month + 3.29%), 4.03%, 6/15/2020 (c) (d) (f) | 1,274 | 1,091 | ||||||
Series B, (ICE LIBOR USD 3 Month + 3.43%), 5.12%, 8/15/2020 (c) (d) (f) | 688 | 600 | ||||||
American International Group, Inc. | ||||||||
3.88%, 1/15/2035 | 645 | 687 | ||||||
Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (d) | 4,853 | 4,930 | ||||||
American Tower Corp. | ||||||||
REIT, 3.38%, 10/15/2026 | 1,965 | 2,115 | ||||||
REIT, 2.75%, 1/15/2027 | 2,515 | 2,603 | ||||||
American Water Capital Corp. 3.45%, 5/1/2050 | 410 | 456 | ||||||
American Woodmark Corp. 4.88%, | 4,775 | 4,453 | ||||||
AmeriGas Partners LP | ||||||||
5.63%, 5/20/2024 | 515 | 525 | ||||||
5.50%, 5/20/2025 | 5,898 | 5,990 | ||||||
5.88%, 8/20/2026 | 2,714 | 2,763 | ||||||
5.75%, 5/20/2027 | 1,024 | 1,042 | ||||||
Amgen, Inc. 3.38%, 2/21/2050 | 1,605 | 1,718 | ||||||
Amkor Technology, Inc. 6.63%, 9/15/2027 (e) | 3,941 | 4,049 | ||||||
AMN Healthcare, Inc. 5.13%, 10/1/2024 (e) | 1,775 | 1,758 | ||||||
Amsted Industries, Inc. 5.63%, 7/1/2027 (e) | 1,629 | 1,631 | ||||||
Anixter, Inc. | ||||||||
5.50%, 3/1/2023 (g) | 3,646 | 3,682 | ||||||
6.00%, 12/1/2025 | 1,595 | 1,611 | ||||||
Antero Midstream Partners LP | ||||||||
5.38%, 9/15/2024 | 2,975 | 2,321 |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
5.75%, 1/15/2028 (e) | 1,425 | 1,047 | ||||||
Antero Resources Corp. | ||||||||
5.38%, 11/1/2021 (g) | 1,249 | 1,117 | ||||||
5.13%, 12/1/2022 | 1,244 | 868 | ||||||
5.63%, 6/1/2023 (g) | 7,057 | 4,147 | ||||||
Anthem, Inc. 2.25%, 5/15/2030 | 1,040 | 1,036 | ||||||
Apple, Inc. | ||||||||
4.50%, 2/23/2036 | 3,960 | 5,029 | ||||||
3.85%, 5/4/2043 | 2,125 | 2,555 | ||||||
4.65%, 2/23/2046 | 925 | 1,254 | ||||||
Aramark Services, Inc. 5.00%, 2/1/2028 (e) (g) | 9,045 | 8,633 | ||||||
Archrock Partners LP 6.88%, 4/1/2027 (e) | 472 | 354 | ||||||
Arconic Corp. | ||||||||
6.00%, 5/15/2025 (e) (l) | 2,269 | 2,295 | ||||||
6.13%, 2/15/2028 (e) | 1,910 | 1,817 | ||||||
Ardagh Packaging Finance plc | ||||||||
6.00%, 2/15/2025 (e) | 15,005 | 15,018 | ||||||
5.25%, 8/15/2027 (e) | 3,499 | 3,398 | ||||||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 (e) | 474 | 398 | ||||||
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (e) | 755 | 438 | ||||||
AT&T, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.17%, 7/15/2021 (d) | 263 | 263 | ||||||
Series B, (EURIBOR ICE Swap Rate 5 Year + 3.14%), 2.88%, 3/2/2025 (c) (d) (f) | EUR 700 | 706 | ||||||
4.30%, 2/15/2030 | 1,980 | 2,231 | ||||||
4.50%, 3/9/2048 | 1,275 | 1,445 | ||||||
Avantor, Inc. 6.00%, 10/1/2024 (e) | 3,880 | 4,090 | ||||||
Avis Budget Car Rental LLC | ||||||||
6.38%, 4/1/2024 (e) | 7,460 | 4,588 | ||||||
5.25%, 3/15/2025 (e) (g) | 8,155 | 4,812 | ||||||
5.75%, 7/15/2027 (e) (g) | 5,358 | 3,114 | ||||||
Axalta Coating Systems LLC 4.88%, 8/15/2024 (e) | 2,480 | 2,517 | ||||||
B&G Foods, Inc. 5.25%, 4/1/2025 (g) | 10,104 | 10,230 | ||||||
Baker Hughes a GE Co. LLC 3.34%, 12/15/2027 | 655 | 623 | ||||||
Bank of America Corp. | ||||||||
Series JJ, (ICE LIBOR USD 3 Month + 3.29%), 5.13%, 6/20/2024 (c) (d) (f) | 2,341 | 2,300 | ||||||
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (c) (d) (f) | 2,242 | 2,337 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (c) (d) (f) | 4,560 | 4,856 | ||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (c) (d) (f) | 10,083 | 10,674 | ||||||
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (d) | 2,750 | 2,933 | ||||||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (c) (d) (f) | 15,217 | 16,555 | ||||||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (c) (d) (f) | 18,929 | 19,311 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d) | 5,775 | 6,302 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d) | 2,375 | 2,544 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (d) | 4,240 | 4,286 | ||||||
Bank of America NA (ICE LIBOR USD 3 Month + 0.35%), 2.03%, 5/24/2021 (d) | 357 | 355 | ||||||
Bank of New York Mellon Corp. (The) | ||||||||
Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (c) (d) (f) | 7,890 | 7,393 | ||||||
1.60%, 4/24/2025 | 2,845 | 2,887 | ||||||
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (c) (d) (f) | 9,378 | 9,143 | ||||||
Bausch Health Americas, Inc. | ||||||||
9.25%, 4/1/2026 (e) | 3,511 | 3,862 | ||||||
8.50%, 1/31/2027 (e) | 3,851 | 4,245 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.50%, 3/15/2022 (e) | 1,266 | 1,291 | ||||||
5.50%, 3/1/2023 (e) | 58 | 57 | ||||||
5.88%, 5/15/2023 (e) | 763 | 757 | ||||||
7.00%, 3/15/2024 (e) | 12,827 | 13,310 | ||||||
6.13%, 4/15/2025 (e) | 24,707 | 24,970 | ||||||
5.50%, 11/1/2025 (e) | 9,060 | 9,418 | ||||||
9.00%, 12/15/2025 (e) | 23,732 | 25,880 | ||||||
5.75%, 8/15/2027 (e) (g) | 965 | 1,018 | ||||||
7.00%, 1/15/2028 (e) | 3,489 | 3,620 | ||||||
5.00%, 1/30/2028 (e) | 3,460 | 3,312 | ||||||
7.25%, 5/30/2029 (e) | 1,679 | 1,792 | ||||||
5.25%, 1/30/2030 (e) | 3,476 | 3,441 | ||||||
BCPE Cycle Merger Sub II, Inc. 10.63%, 7/15/2027 (e) | 900 | 897 | ||||||
Berkshire Hathaway Energy Co. 4.25%, 10/15/2050 (e) | 2,245 | 2,852 | ||||||
Berry Global, Inc. | ||||||||
6.00%, 10/15/2022 | 250 | 250 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 71 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
5.13%, 7/15/2023 (g) | 725 | 730 | ||||||
4.88%, 7/15/2026 (e) | 5,750 | 5,873 | ||||||
5.63%, 7/15/2027 (e) (g) | 1,179 | 1,217 | ||||||
Biogen, Inc. | ||||||||
2.25%, 5/1/2030 | 900 | 895 | ||||||
3.15%, 5/1/2050 | 960 | 928 | ||||||
Blue Racer Midstream LLC | ||||||||
6.13%, 11/15/2022 (e) | 9,765 | 8,300 | ||||||
6.63%, 7/15/2026 (e) | 1,510 | 1,012 | ||||||
Booz Allen Hamilton, Inc. 5.13%, 5/1/2025 (e) | 1,783 | 1,765 | ||||||
Boston Gas Co. 3.00%, 8/1/2029 (e) | 1,315 | 1,379 | ||||||
Boston Scientific Corp. | ||||||||
4.00%, 3/1/2029 | 2,690 | 3,015 | ||||||
4.55%, 3/1/2039 | 1,160 | 1,388 | ||||||
Boyd Gaming Corp. | ||||||||
6.38%, 4/1/2026 | 1,760 | 1,585 | ||||||
6.00%, 8/15/2026 | 3,654 | 3,307 | ||||||
Boyne USA, Inc. 7.25%, 5/1/2025 (e) | 4,052 | 4,052 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.02%, 1/16/2027 | 2,610 | 2,662 | ||||||
3.54%, 4/6/2027 | 2,285 | 2,396 | ||||||
3.63%, 4/6/2030 | 1,675 | 1,804 | ||||||
Brink’s Co. (The) 4.63%, 10/15/2027 (e) | 5,525 | 5,166 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.40%, 7/26/2029 (e) | 8,875 | 10,135 | ||||||
4.13%, 6/15/2039 (e) | 2,210 | 2,732 | ||||||
Broadcom, Inc. 4.25%, 4/15/2026 (e) | 650 | 696 | ||||||
Brookfield Property REIT, Inc. REIT, 5.75%, 5/15/2026 (e) | 4,531 | 3,625 | ||||||
Buckeye Partners LP | ||||||||
4.13%, 3/1/2025 (e) | 3,620 | 3,349 | ||||||
3.95%, 12/1/2026 | 200 | 181 | ||||||
4.13%, 12/1/2027 | 2,947 | 2,630 | ||||||
4.50%, 3/1/2028 (e) | 3,620 | 3,258 | ||||||
Builders FirstSource, Inc. 5.00%, 3/1/2030 (e) | 1,720 | 1,476 | ||||||
Bunge Ltd. Finance Corp. 3.00%, | 665 | 673 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.15%, 9/1/2043 | 790 | 1,062 | ||||||
3.05%, 2/15/2051 | 4,855 | 5,051 | ||||||
BWX Technologies, Inc. 5.38%, 7/15/2026 (e) | 3,360 | 3,431 | ||||||
Caesars Resort Collection LLC 5.25%, 10/15/2025 (e) | 985 | 774 | ||||||
Caleres, Inc. 6.25%, 8/15/2023 (g) | 659 | 583 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Callon Petroleum Co. | ||||||||
6.25%, 4/15/2023 | 2,653 | 528 | ||||||
6.13%, 10/1/2024 | 568 | 109 | ||||||
6.38%, 7/1/2026 | 487 | 78 | ||||||
Calpine Corp. | ||||||||
5.50%, 2/1/2024 | 990 | 981 | ||||||
5.75%, 1/15/2025 | 2,320 | 2,308 | ||||||
5.25%, 6/1/2026 (e) | 4,880 | 4,964 | ||||||
Cameron LNG LLC | ||||||||
2.90%, 7/15/2031 (e) | 685 | 663 | ||||||
3.30%, 1/15/2035 (e) | 570 | 566 | ||||||
Carnival Corp. 11.50%, 4/1/2023 (e) | 2,394 | 2,501 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
4.88%, 1/15/2026 (e) | 2,188 | 2,221 | ||||||
5.00%, 7/15/2027 (e) | 2,038 | 2,079 | ||||||
Caterpillar, Inc. 2.60%, 4/9/2030 | 680 | 720 | ||||||
CCM Merger, Inc. 6.00%, 3/15/2022 (e) | 1,601 | 1,513 | ||||||
CCO Holdings LLC | ||||||||
5.88%, 4/1/2024 (e) | 31,122 | 32,015 | ||||||
5.38%, 5/1/2025 (e) | 3,790 | 3,886 | ||||||
5.75%, 2/15/2026 (e) | 20,736 | 21,619 | ||||||
5.50%, 5/1/2026 (e) | 17,215 | 17,906 | ||||||
5.13%, 5/1/2027 (e) | 29,047 | 30,161 | ||||||
5.00%, 2/1/2028 (e) | 3,049 | 3,140 | ||||||
5.38%, 6/1/2029 (e) | 1,758 | 1,855 | ||||||
4.75%, 3/1/2030 (e) | 11,296 | 11,522 | ||||||
CDK Global, Inc. | ||||||||
5.88%, 6/15/2026 | 1,115 | 1,168 | ||||||
5.25%, 5/15/2029 (e) | 7,151 | 7,294 | ||||||
CDW LLC | ||||||||
5.50%, 12/1/2024 | 635 | 678 | ||||||
5.00%, 9/1/2025 (g) | 4,835 | 4,980 | ||||||
4.25%, 4/1/2028 (g) | 7,526 | 7,561 | ||||||
Cedar Fair LP | ||||||||
5.50%, 5/1/2025 (e) | 1,455 | 1,459 | ||||||
5.38%, 4/15/2027 | 160 | 142 | ||||||
5.25%, 7/15/2029 (e) | 1,395 | 1,200 | ||||||
Centene Corp. | ||||||||
4.75%, 1/15/2025 (g) | 1,626 | 1,664 | ||||||
5.25%, 4/1/2025 (e) | 4,503 | 4,695 | ||||||
5.38%, 6/1/2026 (e) | 889 | 942 | ||||||
4.25%, 12/15/2027 (e) | 10,622 | 11,113 | ||||||
4.63%, 12/15/2029 (e) | 12,950 | 14,180 | ||||||
3.38%, 2/15/2030 (e) | 5,040 | 5,084 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
CenterPoint Energy, Inc. Series A, (ICE LIBOR USD 3 Month + 3.27%), 6.13%, | 2,680 | 2,445 | ||||||
Central Garden & Pet Co. | ||||||||
6.13%, 11/15/2023 | 4,700 | 4,747 | ||||||
5.13%, 2/1/2028 | 4,900 | 4,949 | ||||||
CenturyLink, Inc. | ||||||||
Series T, 5.80%, 3/15/2022 | 3,290 | 3,369 | ||||||
Series Y, 7.50%, 4/1/2024 (g) | 12,991 | 14,095 | ||||||
5.63%, 4/1/2025 | 6,409 | 6,409 | ||||||
5.13%, 12/15/2026 (e) | 6,505 | 6,164 | ||||||
4.00%, 2/15/2027 (e) | 1,295 | 1,256 | ||||||
Series G, 6.88%, 1/15/2028 (g) | 799 | 827 | ||||||
Charles Schwab Corp. (The) | ||||||||
Series E, (ICE LIBOR USD 3 Month + 3.32%), 4.62%, 3/1/2022 (c) (d) (f) | 770 | 747 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (c) (d) (f) | 5,370 | 5,571 | ||||||
Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, 12/1/2027 (c) (d) (f) | 10,634 | 10,365 | ||||||
Chemours Co. (The) | ||||||||
6.63%, 5/15/2023 (g) | 5,095 | 4,764 | ||||||
7.00%, 5/15/2025 (g) | 7,650 | 7,189 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.88%, 3/31/2025 | 2,960 | 3,063 | ||||||
5.13%, 6/30/2027 | 895 | 892 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 1,258 | 1,201 | ||||||
5.63%, 10/1/2026 | 1,278 | 1,221 | ||||||
4.50%, 10/1/2029 (e) | 4,325 | 3,990 | ||||||
Chesapeake Energy Corp. 11.50%, | 4,918 | 135 | ||||||
Cincinnati Bell, Inc. | ||||||||
7.00%, 7/15/2024 (e) | 4,656 | 4,713 | ||||||
8.00%, 10/15/2025 (e) | 2,388 | 2,418 | ||||||
Cinemark USA, Inc. | ||||||||
4.88%, 6/1/2023 | 5,466 | 4,591 | ||||||
8.75%, 5/1/2025 (e) | 1,000 | 1,008 | ||||||
CIT Group, Inc. | ||||||||
4.75%, 2/16/2024 | 1,001 | 956 | ||||||
5.25%, 3/7/2025 | 4,078 | 4,028 | ||||||
6.13%, 3/9/2028 | 1,838 | 1,884 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Citibank NA | ||||||||
(ICE LIBOR USD 3 Month + 0.30%), 1.44%, 10/20/2020 (d) | 530 | 529 | ||||||
(ICE LIBOR USD 3 Month + 0.53%), 2.22%, 2/19/2022 (d) | 350 | 347 | ||||||
Citigroup, Inc. | ||||||||
Series Q, (ICE LIBOR USD 3 Month + 4.10%), 5.95%, 8/15/2020 (c) (d) (f) | 845 | 779 | ||||||
Series R, (ICE LIBOR USD 3 Month + 4.48%), 6.13%, 11/15/2020 (c) (d) (f) (g) | 5,175 | 5,022 | ||||||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (c) (d) (f) | 8,138 | 8,100 | ||||||
(ICE LIBOR USD 3 Month + 4.23%), 5.90%, 2/15/2023 (c) (d) (f) | 9,315 | 9,415 | ||||||
Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, 5/15/2023 (c) (d) (f) | 1,555 | 1,423 | ||||||
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (c) (d) (f) | 17,173 | 16,958 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 4.04%, 6/1/2024 (d) | 1,260 | 1,345 | ||||||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (c) (d) (f) | 11,864 | 10,788 | ||||||
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (c) (d) (f) | 4,520 | 3,932 | ||||||
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (c) (d) (f) | 6,362 | 6,411 | ||||||
(SOFR + 2.75%), 3.11%, 4/8/2026 (d) | 5,265 | 5,513 | ||||||
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (c) (d) (f) | 8,363 | 8,948 | ||||||
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (d) | 9,315 | 10,040 | ||||||
Citizens Financial Group, Inc. | ||||||||
Series C, (ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (c) (d) (f) | 3,684 | 3,481 | ||||||
Clean Harbors, Inc. | ||||||||
4.88%, 7/15/2027 (e) | 785 | 813 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.25%, 2/15/2024 (e) | 20,479 | 17,049 | ||||||
5.13%, 8/15/2027 (e) (g) | 7,173 | 6,740 | ||||||
Clearwater Paper Corp. | ||||||||
4.50%, 2/1/2023 (g) | 2,836 | 2,758 | ||||||
Clearway Energy Operating LLC | ||||||||
5.75%, 10/15/2025 | 20 | 21 | ||||||
5.00%, 9/15/2026 | 2,612 | 2,625 | ||||||
Cleveland Electric Illuminating Co. (The) | ||||||||
4.55%, 11/15/2030 (e) | 1,390 | 1,609 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 73 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
CNG Holdings, Inc. | ||||||||
12.50%, 6/15/2024 (e) | 1,759 | 1,504 | ||||||
Coca-Cola Co. (The) | ||||||||
2.50%, 6/1/2040 | 1,360 | 1,352 | ||||||
2.60%, 6/1/2050 | 1,710 | 1,678 | ||||||
Cogent Communications Group, Inc. | ||||||||
5.63%, 4/15/2021 (e) | 2,669 | 2,656 | ||||||
5.38%, 3/1/2022 (e) | 3,480 | 3,526 | ||||||
Colfax Corp. | ||||||||
6.00%, 2/15/2024 (e) | 2,616 | 2,655 | ||||||
6.38%, 2/15/2026 (e) | 483 | 498 | ||||||
Comcast Corp. | ||||||||
4.15%, 10/15/2028 (g) | 7,710 | 8,993 | ||||||
2.65%, 2/1/2030 | 6,515 | 6,935 | ||||||
3.20%, 7/15/2036 | 2,950 | 3,188 | ||||||
3.45%, 2/1/2050 | 3,720 | 4,150 | ||||||
Commercial Metals Co. | ||||||||
4.88%, 5/15/2023 | 627 | 624 | ||||||
5.38%, 7/15/2027 | 1,415 | 1,383 | ||||||
CommScope Technologies LLC | ||||||||
6.00%, 6/15/2025 (e) | 9,930 | 8,837 | ||||||
5.00%, 3/15/2027 (e) (g) | 2,405 | 2,056 | ||||||
CommScope, Inc. | ||||||||
5.00%, 6/15/2021 (e) | 181 | 178 | ||||||
5.50%, 3/1/2024 (e) | 1,923 | 1,923 | ||||||
5.50%, 6/15/2024 (e) | 1,435 | 1,285 | ||||||
6.00%, 3/1/2026 (e) | 9,090 | 9,090 | ||||||
8.25%, 3/1/2027 (e) | 8,624 | 8,279 | ||||||
Community Health Systems, Inc. | ||||||||
6.25%, 3/31/2023 | 3,798 | 3,532 | ||||||
8.63%, 1/15/2024 (e) | 7,722 | 7,529 | ||||||
8.00%, 3/15/2026 (e) | 848 | 813 | ||||||
Comstock Resources, Inc. 7.50%, | 3,730 | 3,096 | ||||||
Constellation Brands, Inc. 2.88%, 5/1/2030 | 972 | 987 | ||||||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (e) (g) | 2,652 | 1,631 | ||||||
Constellium SE | ||||||||
5.75%, 5/15/2024 (e) | 466 | 450 | ||||||
6.63%, 3/1/2025 (e) | 1,650 | 1,584 | ||||||
Cooper-Standard Automotive, Inc. 5.63%, 11/15/2026 (e) | 6,858 | 4,458 | ||||||
CoreCivic, Inc. | ||||||||
REIT, 5.00%, 10/15/2022 | 430 | 413 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
REIT, 4.63%, 5/1/2023 (g) | 4,230 | 3,998 | ||||||
Costco Wholesale Corp. 1.60%, 4/20/2030 | 2,085 | 2,058 | ||||||
Coty, Inc. 6.50%, 4/15/2026 (e) | 2,005 | 1,684 | ||||||
Covanta Holding Corp. 5.88%, 7/1/2025 | 379 | 367 | ||||||
Cox Communications, Inc. | 553 | 638 | ||||||
Credit Acceptance Corp. 6.63%, 3/15/2026 | 1,650 | 1,485 | ||||||
Crestwood Midstream Partners LP | ||||||||
6.25%, 4/1/2023 (i) | 3,589 | 2,620 | ||||||
5.75%, 4/1/2025 (g) | 5,719 | 4,118 | ||||||
5.63%, 5/1/2027 (e) | 2,445 | 1,589 | ||||||
Crown Americas LLC 4.75%, 2/1/2026 | 681 | 700 | ||||||
Crown Castle International Corp. REIT, 3.30%, 7/1/2030 | 3,505 | 3,751 | ||||||
CSC Holdings LLC | ||||||||
6.75%, 11/15/2021 | 2,089 | 2,179 | ||||||
5.88%, 9/15/2022 (g) | 1,585 | 1,650 | ||||||
5.38%, 7/15/2023 (e) | 4,070 | 4,116 | ||||||
5.25%, 6/1/2024 | 1,349 | 1,403 | ||||||
7.75%, 7/15/2025 (e) | 725 | 756 | ||||||
6.63%, 10/15/2025 (e) | 5,030 | 5,261 | ||||||
10.88%, 10/15/2025 (e) | 7,357 | 7,953 | ||||||
5.50%, 5/15/2026 (e) | 6,208 | 6,425 | ||||||
5.50%, 4/15/2027 (e) | 5,420 | 5,635 | ||||||
5.38%, 2/1/2028 (e) | 2,010 | 2,098 | ||||||
7.50%, 4/1/2028 (e) | 2,260 | 2,484 | ||||||
6.50%, 2/1/2029 (e) | 5,444 | 5,947 | ||||||
CSX Corp. | ||||||||
2.40%, 2/15/2030 | 4,420 | 4,538 | ||||||
4.75%, 11/15/2048 | 965 | 1,254 | ||||||
Cumulus Media New Holdings, Inc. 6.75%, 7/1/2026 (e) | 1,475 | 1,201 | ||||||
Curo Group Holdings Corp. 8.25%, | 5,322 | 4,250 | ||||||
CVR Partners LP 9.25%, 6/15/2023 (e) | 13,017 | 11,442 | ||||||
CVS Health Corp. | ||||||||
3.25%, 8/15/2029 | 1,375 | 1,469 | ||||||
4.78%, 3/25/2038 | 1,225 | 1,443 | ||||||
Dana Financing Luxembourg SARL 6.50%, 6/1/2026 (e) | 6,145 | 5,623 | ||||||
Dana, Inc. 5.38%, 11/15/2027 | 895 | 790 | ||||||
Darling Ingredients, Inc. | 4,001 | 4,031 | ||||||
DaVita, Inc. | ||||||||
5.13%, 7/15/2024 (g) | 7,963 | 8,083 |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
5.00%, 5/1/2025 | 16,412 | 16,658 | ||||||
DCP Midstream Operating LP | ||||||||
3.88%, 3/15/2023 | 2,613 | 2,169 | ||||||
5.38%, 7/15/2025 | 1,919 | 1,554 | ||||||
6.75%, 9/15/2037 (e) (g) | 1,740 | 1,044 | ||||||
5.60%, 4/1/2044 | 525 | 273 | ||||||
Deere & Co. | ||||||||
3.10%, 4/15/2030 | 1,170 | 1,292 | ||||||
3.75%, 4/15/2050 | 45 | 53 | ||||||
Delek Logistics Partners LP 6.75%, | 3,673 | 3,517 | ||||||
Dell International LLC | ||||||||
5.88%, 6/15/2021 (e) | 939 | 939 | ||||||
7.13%, 6/15/2024 (e) | 1,465 | 1,518 | ||||||
5.85%, 7/15/2025 (e) | 340 | 371 | ||||||
6.02%, 6/15/2026 (e) | 4,575 | 4,950 | ||||||
4.90%, 10/1/2026 (e) | 625 | 647 | ||||||
6.10%, 7/15/2027 (e) | 680 | 743 | ||||||
6.20%, 7/15/2030 (e) | 680 | 752 | ||||||
Delphi Technologies plc 5.00%, 10/1/2025 (e) | 9,315 | 8,710 | ||||||
Denbury Resources, Inc. | ||||||||
9.00%, 5/15/2021 (e) | 1,017 | 183 | ||||||
9.25%, 3/31/2022 (e) | 2,114 | 381 | ||||||
Diamond Sports Group LLC | ||||||||
5.38%, 8/15/2026 (e) | 11,028 | 8,381 | ||||||
6.63%, 8/15/2027 (e) (g) | 971 | 532 | ||||||
Discover Financial Services Series C, (ICE LIBOR USD 3 Month + 3.08%), 5.50%, 10/30/2027 (c) (d) (f) | 2,681 | 2,268 | ||||||
DISH DBS Corp. | ||||||||
6.75%, 6/1/2021 | 8,412 | 8,378 | ||||||
5.88%, 7/15/2022 | 2,197 | 2,217 | ||||||
5.00%, 3/15/2023 | 12,079 | 11,505 | ||||||
5.88%, 11/15/2024 | 26,873 | 25,848 | ||||||
7.75%, 7/1/2026 (g) | 15,105 | 14,879 | ||||||
Dole Food Co., Inc. 7.25%, 6/15/2025 (e) (g) | 3,818 | 3,589 | ||||||
Dominion Energy Gas Holdings LLC 2.80%, 11/15/2020 | 384 | 386 | ||||||
Dominion Energy, Inc. | ||||||||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (c) (d) (f) | 3,636 | 3,536 | ||||||
(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (d) | 4,140 | 4,200 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (e) | 5,736 | 3,442 | ||||||
Duke Energy Corp. | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.39%), 4.88%, 9/16/2024 (c) (d) (f) | 2,270 | 2,247 | ||||||
3.40%, 6/15/2029 | 1,620 | 1,773 | ||||||
Duke Energy Florida LLC 2.50%, 12/1/2029 | 3,255 | 3,481 | ||||||
Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026(e) | 2,590 | 2,726 | ||||||
DuPont de Nemours, Inc. (ICE LIBOR USD 3 Month + 0.71%), 2.40%, 11/15/2020 (d) | 361 | 360 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
6.40%, 9/15/2020 (e) | 50 | 51 | ||||||
3.62%, 8/1/2027 (e) | 114 | 114 | ||||||
E*TRADE Financial Corp. Series A, (ICE LIBOR USD 3 Month + 4.44%), 5.87%, 9/15/2026 (c) (d) (f) | 493 | 503 | ||||||
Edison International 3.13%, 11/15/2022 | 160 | 164 | ||||||
Eli Lilly & Co. 3.38%, 3/15/2029 | 5,315 | 6,053 | ||||||
Eli Lilly and Co. 2.25%, 5/15/2050 | 3,275 | 3,119 | ||||||
Embarq Corp. 8.00%, 6/1/2036 | 9,098 | 9,371 | ||||||
EMC Corp. 3.38%, 6/1/2023 | 2,029 | 2,019 | ||||||
Encompass Health Corp. | ||||||||
5.75%, 11/1/2024 | 4,407 | 4,429 | ||||||
5.75%, 9/15/2025 | 4,690 | 4,761 | ||||||
4.50%, 2/1/2028 | 4,340 | 4,348 | ||||||
Endo Dac | ||||||||
6.00%, 7/15/2023 (e) (g) | 8,971 | 6,725 | ||||||
5.88%, 10/15/2024 (e) | 925 | 888 | ||||||
6.00%, 2/1/2025 (e) (i) | 1,770 | 1,265 | ||||||
Energizer Holdings, Inc. | ||||||||
5.50%, 6/15/2025 (e) | 7,355 | 7,441 | ||||||
7.75%, 1/15/2027 (e) | 5,370 | 5,700 | ||||||
Energy Transfer Operating LP | ||||||||
Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (c) (d) (f) | 7,534 | 5,396 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (c) (d) (f) | 3,275 | 2,610 | ||||||
EnLink Midstream LLC 5.38%, 6/1/2029 (g) | 803 | 498 | ||||||
EnLink Midstream Partners LP | ||||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (c) (d) (f) | 3,192 | 862 | ||||||
4.40%, 4/1/2024 | 4,495 | 2,832 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 75 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
4.15%, 6/1/2025 | 1,600 | 992 | ||||||
4.85%, 7/15/2026 | 2,940 | 1,793 | ||||||
5.60%, 4/1/2044 | 522 | 209 | ||||||
EnPro Industries, Inc. 5.75%, 10/15/2026 (g) | 2,337 | 2,279 | ||||||
Entegris, Inc. 4.63%, 2/10/2026 (e) (g) | 7,946 | 7,966 | ||||||
Entercom Media Corp. | ||||||||
7.25%, 11/1/2024 (e) (g) | 4,240 | 2,629 | ||||||
6.50%, 5/1/2027 (e) (g) | 3,564 | 2,628 | ||||||
Entergy Arkansas LLC 4.00%, 6/1/2028 | 765 | 874 | ||||||
Entergy Louisiana LLC 3.25%, 4/1/2028 | 1,770 | 1,935 | ||||||
Entergy Mississippi LLC | ||||||||
2.85%, 6/1/2028 | 1,315 | 1,384 | ||||||
Entergy Texas, Inc. | ||||||||
4.00%, 3/30/2029 | 925 | 1,053 | ||||||
3.55%, 9/30/2049 | 1,435 | 1,617 | ||||||
Enterprise Development Authority (The) 12.00%, 7/15/2024 (e) | 3,904 | 3,523 | ||||||
Enterprise Products Operating LLC | ||||||||
3.13%, 7/31/2029 | 1,330 | 1,325 | ||||||
Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (d) | 4,380 | 3,941 | ||||||
Envision Healthcare Corp. 8.75%, | 7,419 | 2,481 | ||||||
EP Energy LLC | ||||||||
9.38%, 5/1/2024 (e) (j) | 6,625 | 10 | ||||||
8.00%, 11/29/2024 (e) (j) | 5,336 | 13 | ||||||
8.00%, 2/15/2025 (e) (j) | 4,503 | 7 | ||||||
7.75%, 5/15/2026 (e) (j) | 12,831 | 1,411 | ||||||
EQT Corp. 7.00%, 2/1/2030 (i) | 1,165 | 1,101 | ||||||
Equinix, Inc. REIT, 5.88%, 1/15/2026 | 6,715 | 6,974 | ||||||
ESH Hospitality, Inc. | ||||||||
REIT, 5.25%, 5/1/2025 (e) | 6,047 | 5,684 | ||||||
REIT, 4.63%, 10/1/2027 (e) | 5,963 | 5,397 | ||||||
Evergy, Inc. 2.90%, 9/15/2029 | 2,660 | 2,723 | ||||||
Eversource Energy Series M, 3.30%, 1/15/2028 | 2,890 | 3,138 | ||||||
Exela Intermediate LLC 10.00%, | 6,862 | 1,269 | ||||||
Expedia Group, Inc. | ||||||||
6.25%, 5/1/2025 (e) | 1,432 | 1,460 | ||||||
7.00%, 5/1/2025 (e) | 859 | 873 | ||||||
Express Scripts Holding Co. (ICE LIBOR USD 3 Month + 0.75%), 2.33%, 11/30/2020 (d) | 106 | 105 | ||||||
Exxon Mobil Corp. | ||||||||
2.61%, 10/15/2030 | 2,220 | 2,312 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
4.23%, 3/19/2040 (g) | 1,060 | 1,255 | ||||||
Fair Isaac Corp. | ||||||||
5.25%, 5/15/2026 (e) | 1,314 | 1,357 | ||||||
4.00%, 6/15/2028 (e) | 1,866 | 1,852 | ||||||
Fifth Third Bancorp | ||||||||
(ICE LIBOR USD 3 Month + 3.03%), 5.10%, 6/30/2023 (c) (d) (f) | 1,520 | 1,353 | ||||||
2.38%, 1/28/2025 | 2,715 | 2,756 | ||||||
FirstCash, Inc. 5.38%, 6/1/2024 (e) | 1,807 | 1,812 | ||||||
FirstEnergy Corp. | ||||||||
2.05%, 3/1/2025 | 185 | 185 | ||||||
2.65%, 3/1/2030 | 75 | 76 | ||||||
Florida Power & Light Co. 4.05%, 6/1/2042 | 2,140 | 2,654 | ||||||
Ford Motor Co. | ||||||||
8.50%, 4/21/2023 | 3,269 | 3,237 | ||||||
9.00%, 4/22/2025 | 3,269 | 3,179 | ||||||
9.63%, 4/22/2030 (g) | 1,415 | 1,390 | ||||||
Ford Motor Credit Co. LLC | ||||||||
4.69%, 6/9/2025 | 6,445 | 5,688 | ||||||
4.39%, 1/8/2026 | 6,665 | 5,732 | ||||||
4.54%, 8/1/2026 | 1,725 | 1,479 | ||||||
4.27%, 1/9/2027 | 7,870 | 6,689 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3.88%, 3/15/2023 | 14,905 | 14,868 | ||||||
4.55%, 11/14/2024 | 8,785 | 8,796 | ||||||
4.13%, 3/1/2028 | 5,265 | 4,883 | ||||||
5.40%, 11/14/2034 | 375 | 352 | ||||||
Frontier Communications Corp. | ||||||||
7.63%, 4/15/2024 | 882 | 250 | ||||||
6.88%, 1/15/2025 | 9,178 | 2,478 | ||||||
11.00%, 9/15/2025 (j) | 6,729 | 2,084 | ||||||
8.50%, 4/1/2026 (e) | 8,283 | 7,662 | ||||||
8.00%, 4/1/2027 (e) | 3,050 | 3,110 | ||||||
Gap, Inc. (The) | ||||||||
8.38%, 5/15/2023 (e) | 7,565 | 7,886 | ||||||
8.63%, 5/15/2025 (e) | 538 | 557 | ||||||
8.88%, 5/15/2027 (e) | 538 | 557 | ||||||
Gartner, Inc. 5.13%, 4/1/2025 (e) | 3,500 | 3,609 | ||||||
GCI LLC | ||||||||
6.63%, 6/15/2024 (e) | 1,395 | 1,444 | ||||||
6.88%, 4/15/2025 | 1,942 | 2,005 | ||||||
GCP Applied Technologies, Inc. | ||||||||
5.50%, 4/15/2026 (e) | 6,630 | 6,381 |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
General Electric Co. | ||||||||
Series D, (ICE LIBOR USD 3 Month + 3.33%), 5.00%, 1/21/2021 (c) (d) (f) | 29,208 | 24,034 | ||||||
3.10%, 1/9/2023 | 1,320 | 1,348 | ||||||
Genesis Energy LP | ||||||||
6.00%, 5/15/2023 | 1,359 | 1,200 | ||||||
6.50%, 10/1/2025 | 180 | 151 | ||||||
6.25%, 5/15/2026 | 1,933 | 1,614 | ||||||
7.75%, 2/1/2028 | 3,721 | 3,163 | ||||||
Genesys Telecommunications Laboratories, Inc. 10.00%, 11/30/2024 (e) | 2,182 | 2,297 | ||||||
GEO Group, Inc. (The) | ||||||||
REIT, 5.88%, 1/15/2022 (g) | 4,035 | 3,732 | ||||||
REIT, 5.88%, 10/15/2024 | 2,215 | 1,750 | ||||||
Gilead Sciences, Inc. 4.15%, 3/1/2047 | 1,390 | 1,746 | ||||||
Global Partners LP | ||||||||
7.00%, 6/15/2023 | 2,530 | 2,201 | ||||||
7.00%, 8/1/2027 | 1,916 | 1,542 | ||||||
GLP Capital LP | ||||||||
REIT, 5.25%, 6/1/2025 | 2,780 | 2,704 | ||||||
REIT, 5.75%, 6/1/2028 | 2,780 | 2,738 | ||||||
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (e) | 1,581 | 1,624 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
Series M, (ICE LIBOR USD 3 Month + 3.92%), 5.38%, 6/4/2020 (c) (d) (f) | 11,811 | 10,970 | ||||||
3.50%, 4/1/2025 | 6,545 | 6,961 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d) | 5,182 | 5,524 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.81%, 4/23/2029 (d) | 2,555 | 2,758 | ||||||
Goodyear Tire & Rubber Co. (The) | ||||||||
5.00%, 5/31/2026 (g) | 4,195 | 3,650 | ||||||
4.88%, 3/15/2027 (g) | 2,597 | 2,222 | ||||||
Gray Television, Inc. | ||||||||
5.13%, 10/15/2024 (e) (g) | 1,385 | 1,364 | ||||||
5.88%, 7/15/2026 (e) | 2,102 | 2,018 | ||||||
7.00%, 5/15/2027 (e) | 6,085 | 6,129 | ||||||
Greif, Inc. 6.50%, 3/1/2027 (e) | 5,836 | 5,836 | ||||||
Griffon Corp. 5.75%, 3/1/2028 | 3,475 | 3,310 | ||||||
Guardian Life Insurance Co. of America (The) | ||||||||
4.88%, 6/19/2064 (e) | 621 | 800 | ||||||
3.70%, 1/22/2070 (e) | 305 | 308 | ||||||
Gulfport Energy Corp. | ||||||||
6.63%, 5/1/2023 | 745 | 402 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
6.00%, 10/15/2024 | 4,620 | 2,298 | ||||||
6.38%, 5/15/2025 | 1,458 | 686 | ||||||
6.38%, 1/15/2026 | 4,130 | 1,879 | ||||||
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | 1,753 | 1,670 | ||||||
Hanesbrands, Inc. 4.88%, 5/15/2026 (e) (g) | 2,975 | 2,994 | ||||||
Harsco Corp. 5.75%, 7/31/2027 (e) | 757 | 714 | ||||||
HAT Holdings I LLC REIT, 5.25%, | 973 | 966 | ||||||
HCA, Inc. | ||||||||
5.88%, 5/1/2023 | 3,940 | 4,239 | ||||||
5.38%, 2/1/2025 | 39,771 | 42,759 | ||||||
5.88%, 2/15/2026 | 16,880 | 18,779 | ||||||
5.38%, 9/1/2026 | 4,251 | 4,602 | ||||||
5.63%, 9/1/2028 | 10,285 | 11,397 | ||||||
3.50%, 9/1/2030 | 7,926 | 7,564 | ||||||
Healthpeak Properties, Inc. | ||||||||
REIT, 3.25%, 7/15/2026 | 1,295 | 1,299 | ||||||
REIT, 3.00%, 1/15/2030 | 685 | 660 | ||||||
Herc Holdings, Inc. 5.50%, 7/15/2027 (e) | 9,623 | 9,021 | ||||||
Hertz Corp. (The) | ||||||||
7.63%, 6/1/2022 (e) | 1,824 | 693 | ||||||
6.25%, 10/15/2022 | 1,106 | 265 | ||||||
5.50%, 10/15/2024 (e) | 11,828 | 2,366 | ||||||
7.13%, 8/1/2026 (e) | 5,505 | 1,115 | ||||||
6.00%, 1/15/2028 (e) | 5,450 | 981 | ||||||
Hess Midstream Operations LP 5.63%, 2/15/2026 (e) | 1,315 | 1,223 | ||||||
Hexion, Inc. 7.88%, 7/15/2027 (e) (g) | 2,444 | 2,212 | ||||||
Hilcorp Energy I LP | ||||||||
5.00%, 12/1/2024 (e) | 1,369 | 774 | ||||||
5.75%, 10/1/2025 (e) | 320 | 178 | ||||||
6.25%, 11/1/2028 (e) | 2,000 | 1,035 | ||||||
Hillman Group, Inc. (The) 6.38%, | 865 | 653 | ||||||
Hill-Rom Holdings, Inc. | ||||||||
5.00%, 2/15/2025 (e) | 3,197 | 3,261 | ||||||
4.38%, 9/15/2027 (e) | 2,722 | 2,756 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
4.25%, 9/1/2024 | 1,175 | 1,141 | ||||||
5.38%, 5/1/2025 (e) | 584 | 586 | ||||||
5.13%, 5/1/2026 | 9,419 | 9,299 | ||||||
5.75%, 5/1/2028 (e) | 876 | 887 | ||||||
4.88%, 1/15/2030 | 1,473 | 1,410 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 77 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | 2,845 | 2,617 | ||||||
Hilton Worldwide Finance LLC | ||||||||
4.63%, 4/1/2025 (g) | 1,665 | 1,644 | ||||||
4.88%, 4/1/2027 (g) | 3,279 | 3,179 | ||||||
Holly Energy Partners LP 5.00%, 2/1/2028 (e) | 1,435 | 1,305 | ||||||
Hologic, Inc. 4.38%, 10/15/2025 (e) | 7,661 | 7,696 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.13%, 10/1/2024 | 6,366 | 6,145 | ||||||
6.88%, 5/1/2025 | 995 | 1,017 | ||||||
5.90%, 2/1/2027 | 4,185 | 3,998 | ||||||
Hughes Satellite Systems Corp. | ||||||||
5.25%, 8/1/2026 | 4,580 | 4,832 | ||||||
6.63%, 8/1/2026 (g) | 2,485 | 2,659 | ||||||
Huntington Bancshares, Inc. | ||||||||
7.00%, 12/15/2020 | 650 | 666 | ||||||
Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023 (c) (d) (f) | 1,920 | 1,690 | ||||||
Huntsman International LLC 5.13%, 11/15/2022 (g) | 5,105 | 5,150 | ||||||
Hyatt Hotels Corp. | ||||||||
5.38%, 4/23/2025 | 685 | 698 | ||||||
5.75%, 4/23/2030 | 685 | 708 | ||||||
Icahn Enterprises LP | ||||||||
6.75%, 2/1/2024 | 800 | 801 | ||||||
4.75%, 9/15/2024 | 2,865 | 2,695 | ||||||
6.38%, 12/15/2025 | 2,340 | 2,328 | ||||||
6.25%, 5/15/2026 | 3,065 | 3,012 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 5/1/2026 | 2,920 | 2,760 | ||||||
8.38%, 5/1/2027 (g) | 6,901 | 5,763 | ||||||
5.25%, 8/15/2027 (e) | 3,190 | 2,847 | ||||||
ILFC E-Capital Trust I (USD Constant Maturity 30 Year + 1.55%), 3.33%, 12/21/2065 (d) (e) | 7,148 | 3,431 | ||||||
ILFC E-Capital Trust II (US Treasury Yield Curve Rate T Note Constant Maturity 30 Year), 3.57%, 12/21/2065 (d) (e) | 2,205 | 1,097 | ||||||
Infor US, Inc. 6.50%, 5/15/2022 | 19,235 | 19,252 | ||||||
Intel Corp. 3.75%, 3/25/2027 (g) | 4,760 | 5,401 | ||||||
International Business Machines Corp. | ||||||||
3.30%, 5/15/2026 | 4,245 | 4,683 | ||||||
1.70%, 5/15/2027 | 650 | 649 | ||||||
3.50%, 5/15/2029 | 5,890 | 6,635 | ||||||
4.15%, 5/15/2039 | 1,475 | 1,748 | ||||||
2.85%, 5/15/2040 | 470 | 467 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
International Game Technology plc | ||||||||
6.50%, 2/15/2025 (e) | 9,688 | 9,494 | ||||||
6.25%, 1/15/2027 (e) | 4,429 | 4,306 | ||||||
Interstate Power & Light Co. 4.10%, 9/26/2028 | 1,540 | 1,748 | ||||||
IQVIA, Inc. | ||||||||
5.00%, 10/15/2026 (e) | 7,463 | 7,693 | ||||||
5.00%, 5/15/2027 (e) | 2,790 | 2,866 | ||||||
IRB Holding Corp. 6.75%, 2/15/2026 (e) | 4,363 | 3,621 | ||||||
Iron Mountain, Inc. | ||||||||
REIT, 5.75%, 8/15/2024 (g) | 3,197 | 3,141 | ||||||
REIT, 4.88%, 9/15/2027 (e) | 4,756 | 4,637 | ||||||
REIT, 5.25%, 3/15/2028 (e) | 4,263 | 4,167 | ||||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 308 | 316 | ||||||
3.35%, 11/15/2027 | 1,600 | 1,703 | ||||||
Jackson National Life Global Funding (ICE LIBOR USD 3 Month + 0.31%), 1.05%, | 530 | 525 | ||||||
Jagged Peak Energy LLC 5.88%, 5/1/2026 | 1,315 | 1,118 | ||||||
James Hardie International Finance DAC 4.75%, 1/15/2025 (e) | 1,080 | 1,066 | ||||||
JB Poindexter & Co., Inc. 7.13%, | 1,631 | 1,582 | ||||||
JBS USA LUX SA | ||||||||
5.88%, 7/15/2024 (e) | 3,968 | 4,013 | ||||||
5.75%, 6/15/2025 (e) | 5,467 | 5,460 | ||||||
6.75%, 2/15/2028 (e) | 1,722 | 1,829 | ||||||
6.50%, 4/15/2029 (e) | 5,243 | 5,518 | ||||||
JELD-WEN, Inc. | ||||||||
6.25%, 5/15/2025 (e) | 1,015 | 1,028 | ||||||
4.63%, 12/15/2025 (e) | 2,505 | 2,229 | ||||||
4.88%, 12/15/2027 (e) | 1,890 | 1,668 | ||||||
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (e) (g) | 1,235 | 1,351 | ||||||
John Deere Capital Corp. 1.75%, 3/9/2027 | 2,940 | 2,944 | ||||||
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (e) | 1,500 | 1,396 | ||||||
Kennedy-Wilson, Inc. 5.88%, 4/1/2024 | 1,247 | 1,193 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
2.55%, 9/15/2026 | 680 | 695 | ||||||
3.20%, 5/1/2030 | 2,275 | 2,427 | ||||||
KeyCorp Series D, (ICE LIBOR USD 3 Month + 3.61%), 5.00%, 9/15/2026 (c) (d) (f) | 5,265 | 4,844 | ||||||
Kinder Morgan Energy Partners LP 5.00%, 10/1/2021 | 1,425 | 1,454 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Kroger Co. (The) | ||||||||
2.20%, 5/1/2030 | 3,140 | 3,147 | ||||||
3.88%, 10/15/2046 | 425 | 454 | ||||||
L Brands, Inc. | ||||||||
6.88%, 11/1/2035 | 137 | 101 | ||||||
6.75%, 7/1/2036 | 2,650 | 1,908 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.83%, 4/27/2025 | 1,620 | 1,738 | ||||||
2.90%, 12/15/2029 | 955 | 973 | ||||||
LABL Escrow Issuer LLC | ||||||||
6.75%, 7/15/2026 (e) | 9,270 | 9,579 | ||||||
10.50%, 7/15/2027 (e) | 2,020 | 2,003 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
REIT, 5.25%, 3/15/2022 (e) | 1,514 | 1,249 | ||||||
REIT, 5.25%, 10/1/2025 (e) | 1,937 | 1,409 | ||||||
Lamar Media Corp. | ||||||||
5.75%, 2/1/2026 (g) | 1,998 | 2,032 | ||||||
3.75%, 2/15/2028 (e) | 895 | 824 | ||||||
4.00%, 2/15/2030 (e) | 630 | 580 | ||||||
Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (e) (g) | 4,360 | 4,382 | ||||||
Lennar Corp. | ||||||||
8.38%, 1/15/2021 | 295 | 302 | ||||||
5.38%, 10/1/2022 | 600 | 616 | ||||||
4.50%, 4/30/2024 | 1,455 | 1,484 | ||||||
5.88%, 11/15/2024 | 2,770 | 2,881 | ||||||
5.25%, 6/1/2026 | 1,630 | 1,695 | ||||||
5.00%, 6/15/2027 | 535 | 549 | ||||||
Level 3 Financing, Inc. | ||||||||
5.63%, 2/1/2023 | 561 | 562 | ||||||
5.13%, 5/1/2023 | 3,136 | 3,128 | ||||||
5.38%, 1/15/2024 | 4,086 | 4,117 | ||||||
5.38%, 5/1/2025 | 10,443 | 10,600 | ||||||
5.25%, 3/15/2026 | 2,170 | 2,224 | ||||||
Liberty Interactive LLC 8.25%, 2/1/2030 | 2,370 | 2,112 | ||||||
Live Nation Entertainment, Inc. | ||||||||
4.88%, 11/1/2024 (e) | 2,560 | 2,270 | ||||||
5.63%, 3/15/2026 (e) | 4,047 | 3,561 | ||||||
4.75%, 10/15/2027 (e) | 1,555 | 1,330 | ||||||
Lowe’s Cos., Inc. | ||||||||
3.65%, 4/5/2029 | 635 | 696 | ||||||
3.70%, 4/15/2046 | 305 | 331 | ||||||
LPL Holdings, Inc. | ||||||||
5.75%, 9/15/2025 (e) | 3,564 | 3,537 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
4.63%, 11/15/2027 (e) | 1,400 | 1,337 | ||||||
LTF Merger Sub, Inc. 8.50%, 6/15/2023 (e) | 5,407 | 4,326 | ||||||
Mallinckrodt International Finance SA | ||||||||
5.63%, 10/15/2023 (e) | 2,615 | 750 | ||||||
5.50%, 4/15/2025 (e) | 5,555 | 1,389 | ||||||
Marriott International, Inc. Series EE, 5.75%, 5/1/2025 | 895 | 935 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
6.50%, 9/15/2026 | 8,393 | 7,952 | ||||||
4.75%, 1/15/2028 (e) | 108 | 95 | ||||||
Martin Midstream Partners LP 7.25%, 2/15/2021 | 3,546 | 1,418 | ||||||
Masonite International Corp. | ||||||||
5.75%, 9/15/2026 (e) | 2,890 | 2,803 | ||||||
5.38%, 2/1/2028 (e) | 1,680 | 1,600 | ||||||
MasTec, Inc. 4.88%, 3/15/2023 | 4,614 | 4,545 | ||||||
Matador Resources Co. 5.88%, 9/15/2026 | 1,977 | 969 | ||||||
Mattel, Inc. | ||||||||
3.15%, 3/15/2023 (g) | 1,000 | 921 | ||||||
6.75%, 12/31/2025 (e) | 23,164 | 23,512 | ||||||
5.88%, 12/15/2027 (e) | 1,475 | 1,442 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50%, 4/15/2024 (e) | 8,072 | 7,444 | ||||||
7.25%, 4/15/2025 (e) (g) | 3,000 | 2,347 | ||||||
McDonald’s Corp. | ||||||||
3.70%, 2/15/2042 | 670 | 731 | ||||||
3.63%, 9/1/2049 | 680 | 744 | ||||||
4.20%, 4/1/2050 | 15 | 18 | ||||||
Merck & Co., Inc. 3.40%, 3/7/2029 | 6,610 | 7,614 | ||||||
Meredith Corp. 6.88%, 2/1/2026 (g) | 7,260 | 6,171 | ||||||
MetLife, Inc. | ||||||||
Series C, (ICE LIBOR USD 3 Month + 3.58%), 5.25%, 6/15/2020 (c) (d) (f) | 16,773 | 15,263 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (c) (d) (f) | 8,635 | 8,894 | ||||||
6.40%, 12/15/2036 | 12,667 | 14,175 | ||||||
MGM Growth Properties Operating Partnership LP | ||||||||
REIT, 5.63%, 5/1/2024 | 1,490 | 1,513 | ||||||
REIT, 4.50%, 9/1/2026 | 995 | 962 | ||||||
REIT, 5.75%, 2/1/2027 | 4,882 | 4,943 | ||||||
REIT, 4.50%, 1/15/2028 | 555 | 522 | ||||||
MGM Resorts International | ||||||||
6.00%, 3/15/2023 | 11,330 | 11,018 | ||||||
5.75%, 6/15/2025 (g) | 8,803 | 8,451 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 79 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
4.63%, 9/1/2026 (g) | 2,814 | 2,519 | ||||||
5.50%, 4/15/2027 | 3,764 | 3,458 | ||||||
Microsoft Corp. | ||||||||
3.45%, 8/8/2036 | 6,715 | 7,787 | ||||||
4.10%, 2/6/2037 | 3,215 | 3,997 | ||||||
MidAmerican Energy Co. 4.25%, 5/1/2046 | 1,945 | 2,460 | ||||||
Midcontinent Communications 5.38%, 8/15/2027 (e) | 2,488 | 2,515 | ||||||
Morgan Stanley | ||||||||
Series H, (ICE LIBOR USD 3 Month + 3.61%), 4.83%, 7/15/2020 (c) (d) (f) | 15,143 | 13,629 | ||||||
Series J, (ICE LIBOR USD 3 Month + 3.81%), 5.55%, 7/15/2020 (c) (d) (f) | 11,888 | 10,937 | ||||||
(SOFR + 1.15%), 2.72%, 7/22/2025 (d) | 8,280 | 8,526 | ||||||
(SOFR + 1.99%), 2.19%, 4/28/2026 (d) | 2,015 | 2,037 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (d) | 3,640 | 3,937 | ||||||
(SOFR + 1.14%), 2.70%, 1/22/2031 (d) | 4,175 | 4,273 | ||||||
Mosaic Co. (The) 4.05%, 11/15/2027 (g) | 320 | 319 | ||||||
Motors Liquidation Co. | ||||||||
6.75%, 5/1/2028 ‡ (j) (m) | 10 | — | ||||||
8.38%, 7/15/2033 ‡ (j) | 115 | — | ||||||
7.75%, 3/15/2036 ‡ (j) | 11 | — | ||||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (e) (g) | 6,229 | 5,551 | ||||||
MPLX LP | ||||||||
(ICE LIBOR USD 3 Month + 0.90%), 1.90%, 9/9/2021 (d) | 350 | 329 | ||||||
6.25%, 10/15/2022 (e) | 894 | 893 | ||||||
6.38%, 5/1/2024 (e) | 1,540 | 1,572 | ||||||
4.50%, 4/15/2038 | 680 | 606 | ||||||
MSCI, Inc. 5.38%, 5/15/2027 (e) | 6,475 | 6,977 | ||||||
MTS Systems Corp. 5.75%, 8/15/2027 (e) | 2,772 | 2,571 | ||||||
Mueller Water Products, Inc. 5.50%, 6/15/2026 (e) | 1,425 | 1,458 | ||||||
Nabors Industries Ltd. 7.25%, | 2,395 | 910 | ||||||
Nabors Industries, Inc. 5.75%, 2/1/2025 | 3,930 | 904 | ||||||
Narragansett Electric Co. (The) 3.40%, 4/9/2030 (e) | 1,820 | 2,021 | ||||||
National CineMedia LLC 5.88%, 4/15/2028 (e) | 1,130 | 802 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
2.40%, 3/15/2030 | 1,710 | 1,765 | ||||||
(ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (d) | 3,053 | 3,106 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
8.13%, 7/15/2023 (e) | 2,707 | 2,598 | ||||||
9.13%, 7/15/2026 (e) | 2,360 | 2,257 | ||||||
6.00%, 1/15/2027 (e) | 450 | 384 | ||||||
Navient Corp. 5.00%, 3/15/2027 (g) | 1,330 | 1,120 | ||||||
NCR Corp. | ||||||||
8.13%, 4/15/2025 (e) | 1,030 | 1,092 | ||||||
5.75%, 9/1/2027 (e) | 6,319 | 6,335 | ||||||
6.13%, 9/1/2029 (e) | 5,370 | 5,329 | ||||||
Neiman Marcus Group Ltd. LLC | ||||||||
14.00% (Blend (cash 8.00% + PIK 6.00%)), 4/25/2024 (e) | 8,684 | 1,997 | ||||||
8.00%, 10/25/2024 (e) | 7,847 | 628 | ||||||
8.75%, 10/25/2024 (e) | 5,573 | 446 | ||||||
Netflix, Inc. | ||||||||
4.88%, 4/15/2028 | 6,870 | 7,306 | ||||||
5.88%, 11/15/2028 | 7,453 | 8,428 | ||||||
5.38%, 11/15/2029 (e) | 2,603 | 2,859 | ||||||
4.88%, 6/15/2030 (e) | 5,731 | 6,137 | ||||||
New Albertsons LP | ||||||||
7.75%, 6/15/2026 | 1,535 | 1,527 | ||||||
6.63%, 6/1/2028 | 613 | 607 | ||||||
7.45%, 8/1/2029 | 392 | 391 | ||||||
8.00%, 5/1/2031 | 3,108 | 3,139 | ||||||
New York Life Global Funding | ||||||||
(ICE LIBOR USD 3 Month + 0.16%), 1.59%, 10/1/2020 (d) (e) | 175 | 175 | ||||||
(ICE LIBOR USD 3 Month + 0.28%), 1.39%, 1/21/2022 (d) (e) | 460 | 454 | ||||||
Newell Brands, Inc. | ||||||||
4.70%, 4/1/2026 (i) | 5,225 | 5,287 | ||||||
5.63%, 4/1/2036 (i) | 4,455 | 4,667 | ||||||
Newfield Exploration Co. | ||||||||
5.63%, 7/1/2024 | 2,010 | 1,438 | ||||||
5.38%, 1/1/2026 | 1,515 | 1,045 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
5.63%, 8/1/2024 (e) (g) | 2,155 | 2,096 | ||||||
5.63%, 7/15/2027 (e) | 10,142 | 9,685 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 0.48%), 2.23%, 5/4/2021 (d) | 345 | 342 | ||||||
2.40%, 9/1/2021 | 2,540 | 2,582 | ||||||
(ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079 (d) | 4,773 | 4,876 |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
NextEra Energy Operating Partners LP | ||||||||
4.25%, 7/15/2024 (e) | 1,811 | 1,843 | ||||||
4.25%, 9/15/2024 (e) | 637 | 647 | ||||||
4.50%, 9/15/2027 (e) (g) | 986 | 1,012 | ||||||
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (e) (g) | 914 | 882 | ||||||
Nielsen Finance LLC 5.00%, 4/15/2022 (e) | 13,712 | 13,508 | ||||||
NIKE, Inc. | ||||||||
3.25%, 3/27/2040 | 225 | 244 | ||||||
3.38%, 3/27/2050 | 205 | 229 | ||||||
NiSource, Inc. | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (c) (d) (f) | 2,492 | 2,293 | ||||||
3.49%, 5/15/2027 | 2,297 | 2,481 | ||||||
3.60%, 5/1/2030 | 771 | 858 | ||||||
Noble Holding International Ltd. | ||||||||
6.20%, 8/1/2040 | 1,121 | 7 | ||||||
5.25%, 3/15/2042 | 915 | 9 | ||||||
8.95%, 4/1/2045 (i) | 410 | 2 | ||||||
Nordstrom, Inc. 8.75%, 5/15/2025 (e) | 1,050 | 1,127 | ||||||
Norfolk Southern Corp. | ||||||||
2.55%, 11/1/2029 | 6,084 | 6,310 | ||||||
3.05%, 5/15/2050 (l) | 770 | 768 | ||||||
Northern States Power Co. 3.40%, 8/15/2042 | 2,355 | 2,693 | ||||||
Northrop Grumman Corp. 3.25%, 1/15/2028 | 1,185 | 1,288 | ||||||
Northwestern Mutual Life Insurance Co. (The) 3.85%, 9/30/2047 (e) | 320 | 357 | ||||||
Novelis Corp. | ||||||||
5.88%, 9/30/2026 (e) | 3,615 | 3,515 | ||||||
4.75%, 1/30/2030 (e) | 4,705 | 4,187 | ||||||
NRG Energy, Inc. | ||||||||
7.25%, 5/15/2026 | 2,340 | 2,516 | ||||||
6.63%, 1/15/2027 | 7,041 | 7,516 | ||||||
5.75%, 1/15/2028 | 880 | 946 | ||||||
5.25%, 6/15/2029 (e) | 1,892 | 2,027 | ||||||
Nuance Communications, Inc. 5.63%, 12/15/2026 | 3,789 | 3,972 | ||||||
NuStar Logistics LP | ||||||||
6.00%, 6/1/2026 | 992 | 906 | ||||||
5.63%, 4/28/2027 | 2,195 | 1,976 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022 | 5,782 | 860 | ||||||
6.88%, 1/15/2023 (g) | 1,505 | 196 | ||||||
6.25%, 5/1/2026 (e) (g) | 4,347 | 565 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Occidental Petroleum Corp. 2.70%, 8/15/2022 | 510 | 444 | ||||||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 1,175 | 604 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
2.75%, 5/15/2030 (e) | 2,840 | 3,110 | ||||||
4.10%, 11/15/2048 | 1,610 | 2,080 | ||||||
ONEOK, Inc. 3.40%, 9/1/2029 | 685 | 571 | ||||||
Oracle Corp. | ||||||||
3.25%, 11/15/2027 | 1,860 | 2,039 | ||||||
3.90%, 5/15/2035 | 3,390 | 4,027 | ||||||
3.85%, 7/15/2036 | 610 | 701 | ||||||
3.60%, 4/1/2040 | 4,360 | 4,903 | ||||||
Otis Worldwide Corp. 3.36%, 2/15/2050 (e) | 765 | 779 | ||||||
Outfront Media Capital LLC | ||||||||
5.63%, 2/15/2024 (g) | 1,650 | 1,638 | ||||||
5.00%, 8/15/2027 (e) | 2,982 | 2,847 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
5.00%, 1/15/2022 (e) | 810 | 818 | ||||||
6.38%, 8/15/2025 (e) (g) | 1,084 | 1,100 | ||||||
PacifiCorp | ||||||||
2.70%, 9/15/2030 | 725 | 786 | ||||||
3.30%, 3/15/2051 | 1,732 | 1,934 | ||||||
Panther BF Aggregator 2 LP 6.25%, 5/15/2026 (e) | 4,076 | 4,087 | ||||||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (e) | 4,796 | 4,857 | ||||||
Parsley Energy LLC | ||||||||
5.38%, 1/15/2025 (e) | 2,925 | 2,625 | ||||||
5.25%, 8/15/2025 (e) | 4,950 | 4,356 | ||||||
5.63%, 10/15/2027 (e) | 904 | 773 | ||||||
4.13%, 2/15/2028 (e) | 3,565 | 2,923 | ||||||
PBF Holding Co. LLC 6.00%, 2/15/2028 (e) | 3,215 | 2,289 | ||||||
PBF Logistics LP 6.88%, 5/15/2023 | 1,254 | 966 | ||||||
Peabody Energy Corp. | ||||||||
6.00%, 3/31/2022 (e) (g) | 502 | 371 | ||||||
6.38%, 3/31/2025 (e) | 1,130 | 669 | ||||||
Pennsylvania Electric Co. 3.60%, 6/1/2029 (e) | 635 | 692 | ||||||
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | 5,777 | 5,339 | ||||||
Performance Food Group, Inc. | ||||||||
6.88%, 5/1/2025 (e) | 400 | 407 | ||||||
5.50%, 10/15/2027 (e) | 4,211 | 4,001 | ||||||
PetSmart, Inc. | ||||||||
7.13%, 3/15/2023 (e) | 10,970 | 10,394 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 81 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
5.88%, 6/1/2025 (e) (g) | 10,344 | 10,422 | ||||||
8.88%, 6/1/2025 (e) (g) | 2,365 | 2,294 | ||||||
Pfizer, Inc. 2.63%, 4/1/2030 | 13,510 | 14,564 | ||||||
PGT Innovations, Inc. 6.75%, 8/1/2026 (e) | 2,080 | 2,053 | ||||||
Philip Morris International, Inc. | ||||||||
3.13%, 3/2/2028 (g) | 4,490 | 4,835 | ||||||
3.38%, 8/15/2029 | 5,345 | 5,896 | ||||||
2.10%, 5/1/2030 | 2,470 | 2,441 | ||||||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (e) | 10,815 | 9,364 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.75%, 3/15/2025 (e) | 5,329 | 5,383 | ||||||
5.88%, 9/30/2027 (e) | 2,116 | 2,141 | ||||||
Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (c) (d) (f) | 825 | 553 | ||||||
Plantronics, Inc. 5.50%, 5/31/2023 (e) | 7,166 | 5,678 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023 (c) (d) (f) | 7,762 | 7,141 | ||||||
Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/1/2026 (c) (d) (f) | 4,756 | 4,837 | ||||||
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (e) (g) (h) | 3,361 | 2,815 | ||||||
Post Holdings, Inc. | ||||||||
5.00%, 8/15/2026 (e) | 2,728 | 2,718 | ||||||
5.75%, 3/1/2027 (e) | 5,130 | 5,252 | ||||||
5.63%, 1/15/2028 (e) | 1,900 | 1,933 | ||||||
5.50%, 12/15/2029 (e) | 2,860 | 2,874 | ||||||
4.63%, 4/15/2030 (e) (g) | 2,427 | 2,379 | ||||||
Presidio Holdings, Inc. 4.88%, | 1,785 | 1,746 | ||||||
Prestige Brands, Inc. | ||||||||
6.38%, 3/1/2024 (e) (g) | 3,220 | 3,309 | ||||||
5.13%, 1/15/2028 (e) | 900 | 910 | ||||||
Pricoa Global Funding I 2.20%, 6/3/2021 (e) | 176 | 179 | ||||||
Prime Security Services Borrower LLC | ||||||||
5.25%, 4/15/2024 (e) | 2,327 | 2,280 | ||||||
5.75%, 4/15/2026 (e) (g) | 8,426 | 8,302 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, | 5,340 | 5,176 | ||||||
Prologis LP REIT, 2.13%, 4/15/2027 | 1,480 | 1,492 | ||||||
Protective Life Global Funding 2.92%, 4/15/2022 (e) | 681 | 699 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Prudential Financial, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 4.18%), 5.87%, 9/15/2042 (d) | 8,461 | 8,914 | ||||||
(ICE LIBOR USD 3 Month + 3.92%), 5.63%, 6/15/2043 (d) | 23,639 | 24,396 | ||||||
PTC, Inc. | ||||||||
3.63%, 2/15/2025 (e) | 940 | 925 | ||||||
4.00%, 2/15/2028 (e) | 820 | 804 | ||||||
QEP Resources, Inc. | ||||||||
5.38%, 10/1/2022 | 1,144 | 395 | ||||||
5.25%, 5/1/2023 | 1,072 | 356 | ||||||
5.63%, 3/1/2026 | 1,350 | 435 | ||||||
Qorvo, Inc. 5.50%, 7/15/2026 | 3,537 | 3,714 | ||||||
Quicken Loans, Inc. | ||||||||
5.75%, 5/1/2025 (e) (g) | 3,596 | 3,524 | ||||||
5.25%, 1/15/2028 (e) | 5,290 | 5,136 | ||||||
Qwest Corp. 7.25%, 9/15/2025 | 325 | 348 | ||||||
Radian Group, Inc. | ||||||||
4.50%, 10/1/2024 (g) | 2,265 | 2,197 | ||||||
4.88%, 3/15/2027 | 1,859 | 1,633 | ||||||
Rain CII Carbon LLC 7.25%, 4/1/2025 (e) | 4,225 | 3,617 | ||||||
Range Resources Corp. 4.88%, 5/15/2025 (g) | 4,485 | 3,476 | ||||||
Raytheon Technologies Corp. 4.13%, 11/16/2028 | 9,575 | 11,102 | ||||||
RBS Global, Inc. 4.88%, 12/15/2025 (e) | 1,560 | 1,521 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
6.25%, 5/15/2026 (e) | 2,627 | 2,800 | ||||||
8.25%, 11/15/2026 (e) | 3,869 | 4,198 | ||||||
Reliance Standard Life Global Funding II 2.15%, 1/21/2023 (e) | 295 | 295 | ||||||
Revlon Consumer Products Corp. 6.25%, 8/1/2024 | 2,027 | 375 | ||||||
RHP Hotel Properties LP REIT, 5.00%, 4/15/2023 | 3,363 | 3,128 | ||||||
Rite Aid Corp. | ||||||||
6.13%, 4/1/2023 (e) | 4,858 | 4,396 | ||||||
7.50%, 7/1/2025 (e) | 2,722 | 2,654 | ||||||
Ryman Hospitality Properties, Inc. REIT, 4.75%, 10/15/2027 (e) | 4,562 | 3,980 | ||||||
Sabre GLBL, Inc. | ||||||||
5.38%, 4/15/2023 (e) | 6,087 | 5,661 | ||||||
5.25%, 11/15/2023 (e) (g) | 2,152 | 1,991 | ||||||
9.25%, 4/15/2025 (e) | 1,432 | 1,512 | ||||||
SBA Communications Corp. | ||||||||
REIT, 4.00%, 10/1/2022 | 314 | 316 |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
REIT, 4.88%, 9/1/2024 (g) | 3,980 | 4,117 | ||||||
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (e) | 635 | 610 | ||||||
Science Applications International Corp. 4.88%, 4/1/2028 (e) | 710 | 695 | ||||||
Scientific Games International, Inc. 5.00%, 10/15/2025 (e) | 6,792 | 5,931 | ||||||
Scotts Miracle-Gro Co. (The) | ||||||||
5.25%, 12/15/2026 | 2,180 | 2,212 | ||||||
4.50%, 10/15/2029 | 640 | 624 | ||||||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (e) | 880 | 744 | ||||||
Sealed Air Corp. | ||||||||
5.25%, 4/1/2023 (e) | 633 | 652 | ||||||
5.13%, 12/1/2024 (e) | 355 | 367 | ||||||
Sensata Technologies BV | ||||||||
4.88%, 10/15/2023 (e) | 4,531 | 4,554 | ||||||
5.63%, 11/1/2024 (e) | 1,825 | 1,852 | ||||||
5.00%, 10/1/2025 (e) | 895 | 890 | ||||||
Sensata Technologies UK Financing Co. plc 6.25%, 2/15/2026 (e) | 12,061 | 12,453 | ||||||
Service Corp. International | ||||||||
8.00%, 11/15/2021 | 1,240 | 1,302 | ||||||
5.38%, 5/15/2024 | 6,180 | 6,273 | ||||||
7.50%, 4/1/2027 | 2,735 | 2,954 | ||||||
4.63%, 12/15/2027 | 825 | 843 | ||||||
5.13%, 6/1/2029 | 3,012 | 3,132 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 3,290 | 3,564 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.63%, 8/1/2024 (e) (g) | 3,933 | 3,588 | ||||||
5.88%, 3/15/2026 (e) | 205 | 177 | ||||||
5.13%, 2/15/2027 (e) (g) | 2,890 | 2,435 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.63%, 5/15/2023 (e) | 2,336 | 2,351 | ||||||
4.63%, 7/15/2024 (e) | 3,675 | 3,747 | ||||||
5.38%, 4/15/2025 (e) | 8,871 | 9,148 | ||||||
5.38%, 7/15/2026 (e) | 7,266 | 7,538 | ||||||
5.00%, 8/1/2027 (e) | 7,829 | 8,007 | ||||||
5.50%, 7/1/2029 (e) | 1,642 | 1,732 | ||||||
Six Flags Entertainment Corp. | ||||||||
4.88%, 7/31/2024 (e) (g) | 6,530 | 5,748 | ||||||
5.50%, 4/15/2027 (e) (g) | 874 | 756 | ||||||
Six Flags Theme Parks, Inc. 7.00%, | 1,390 | 1,438 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
SM Energy Co. | ||||||||
5.63%, 6/1/2025 | 3,980 | 1,114 | ||||||
6.75%, 9/15/2026 | 968 | 264 | ||||||
6.63%, 1/15/2027 (g) | 3,281 | 864 | ||||||
Solera LLC 10.50%, 3/1/2024 (e) | 2,308 | 2,296 | ||||||
Southern California Edison Co. | ||||||||
Series E, (ICE LIBOR USD 3 Month + 4.20%), 6.25%, 2/1/2022 (c) (d) (f) | 2,040 | 1,948 | ||||||
Series E, 3.70%, 8/1/2025 | 1,275 | 1,387 | ||||||
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | 1,540 | 1,720 | ||||||
Southwestern Energy Co. | ||||||||
6.20%, 1/23/2025 (g) (i) | 3,097 | 2,741 | ||||||
7.50%, 4/1/2026 (g) | 477 | 427 | ||||||
7.75%, 10/1/2027 (g) | 1,165 | 1,014 | ||||||
Spectrum Brands, Inc. | ||||||||
6.13%, 12/15/2024 | 3,812 | 3,774 | ||||||
5.75%, 7/15/2025 | 7,488 | 7,469 | ||||||
5.00%, 10/1/2029 (e) | 2,486 | 2,374 | ||||||
Spirit AeroSystems, Inc. 7.50%, | 4,150 | 4,088 | ||||||
Springleaf Finance Corp. | ||||||||
7.75%, 10/1/2021 | 854 | 850 | ||||||
6.13%, 5/15/2022 | 1,830 | 1,807 | ||||||
5.63%, 3/15/2023 | 4,267 | 4,054 | ||||||
6.13%, 3/15/2024 | 1,060 | 994 | ||||||
6.88%, 3/15/2025 | 2,110 | 1,995 | ||||||
7.13%, 3/15/2026 | 7,618 | 7,061 | ||||||
6.63%, 1/15/2028 | 5,378 | 4,746 | ||||||
5.38%, 11/15/2029 | 1,405 | 1,166 | ||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 (g) | 140 | 169 | ||||||
8.75%, 3/15/2032 | 20,354 | 28,597 | ||||||
Sprint Communications, Inc. 11.50%, 11/15/2021 | 305 | 341 | ||||||
Sprint Corp. | ||||||||
7.25%, 9/15/2021 | 1,006 | 1,055 | ||||||
7.88%, 9/15/2023 | 18,616 | 20,939 | ||||||
7.13%, 6/15/2024 | 6,327 | 7,102 | ||||||
7.63%, 2/15/2025 | 33,116 | 38,252 | ||||||
7.63%, 3/1/2026 | 30,103 | 35,585 | ||||||
SPX FLOW, Inc. | ||||||||
5.63%, 8/15/2024 (e) | 1,969 | 1,984 | ||||||
5.88%, 8/15/2026 (e) | 2,175 | 2,197 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 83 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (e) | 8,338 | 8,546 | ||||||
Standard Industries, Inc. | ||||||||
6.00%, 10/15/2025 (e) | 3,115 | 3,208 | ||||||
5.00%, 2/15/2027 (e) | 837 | 839 | ||||||
4.75%, 1/15/2028 (e) | 8,598 | 8,411 | ||||||
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (d) | 670 | 647 | ||||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026 (e) | 14,320 | 11,313 | ||||||
10.75%, 4/15/2027 (e) (g) | 7,739 | 4,411 | ||||||
State Street Corp. | ||||||||
Series F, (ICE LIBOR USD 3 Month + 3.60%), 5.25%, 9/15/2020 (c) (d) (f) | 1,650 | 1,564 | ||||||
Series H, (ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (c) (d) (f) | 2,460 | 2,398 | ||||||
(ICE LIBOR USD 3 Month + 1.03%), 4.14%, 12/3/2029 (d) | 1,300 | 1,507 | ||||||
2.40%, 1/24/2030 | 2,335 | 2,419 | ||||||
(SOFR + 2.65%), 3.15%, 3/30/2031 (d) (e) | 285 | 310 | ||||||
Station Casinos LLC | ||||||||
5.00%, 10/1/2025 (e) | 2,945 | 2,455 | ||||||
4.50%, 2/15/2028 (e) | 5,250 | 4,200 | ||||||
Steel Dynamics, Inc. | ||||||||
5.25%, 4/15/2023 | 780 | 784 | ||||||
4.13%, 9/15/2025 | 1,440 | 1,439 | ||||||
5.00%, 12/15/2026 | 1,085 | 1,114 | ||||||
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (e) | 1,940 | 1,944 | ||||||
Summit Materials LLC | ||||||||
6.13%, 7/15/2023 | 1,475 | 1,476 | ||||||
5.13%, 6/1/2025 (e) | 1,270 | 1,229 | ||||||
Summit Midstream Holdings LLC | ||||||||
5.50%, 8/15/2022 | 1,559 | 374 | ||||||
5.75%, 4/15/2025 | 3,155 | 632 | ||||||
Sunoco Logistics Partners Operations LP 4.00%, 10/1/2027 | 1,315 | 1,231 | ||||||
Sunoco LP | ||||||||
4.88%, 1/15/2023 | 1,540 | 1,498 | ||||||
5.50%, 2/15/2026 | 931 | 898 | ||||||
6.00%, 4/15/2027 | 2,890 | 2,818 | ||||||
5.88%, 3/15/2028 | 423 | 402 | ||||||
Sysco Corp. | ||||||||
5.65%, 4/1/2025 | 600 | 672 | ||||||
5.95%, 4/1/2030 | 420 | 494 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Tallgrass Energy Partners LP | ||||||||
5.50%, 9/15/2024 (e) | 2,040 | 1,551 | ||||||
5.50%, 1/15/2028 (e) | 710 | 486 | ||||||
Targa Resources Partners LP | ||||||||
4.25%, 11/15/2023 | 2,888 | 2,607 | ||||||
6.75%, 3/15/2024 | 8,710 | 8,231 | ||||||
5.13%, 2/1/2025 | 2,869 | 2,582 | ||||||
5.88%, 4/15/2026 (g) | 4,488 | 3,983 | ||||||
6.50%, 7/15/2027 | 3,538 | 3,184 | ||||||
5.00%, 1/15/2028 | 1,745 | 1,485 | ||||||
6.88%, 1/15/2029 (g) | 1,906 | 1,748 | ||||||
Team Health Holdings, Inc. 6.38%, 2/1/2025 (e) (g) | 7,717 | 4,243 | ||||||
TEGNA, Inc. | ||||||||
5.50%, 9/15/2024 (e) (g) | 725 | 729 | ||||||
4.63%, 3/15/2028 (e) | 1,820 | 1,631 | ||||||
Teleflex, Inc. 4.88%, 6/1/2026 | 368 | 374 | ||||||
Tempur Sealy International, Inc. | ||||||||
5.63%, 10/15/2023 (g) | 4,942 | 4,868 | ||||||
5.50%, 6/15/2026 | 9,236 | 8,802 | ||||||
Tenet Healthcare Corp. | ||||||||
6.75%, 6/15/2023 | 11,335 | 11,324 | ||||||
4.63%, 7/15/2024 | 4,053 | 3,999 | ||||||
4.63%, 9/1/2024 (e) | 1,018 | 998 | ||||||
7.50%, 4/1/2025 (e) | 1,374 | 1,478 | ||||||
5.13%, 5/1/2025 | 6,321 | 5,910 | ||||||
7.00%, 8/1/2025 (g) | 870 | 809 | ||||||
4.88%, 1/1/2026 (e) | 21,631 | 21,421 | ||||||
6.25%, 2/1/2027 (e) | 19,083 | 18,789 | ||||||
5.13%, 11/1/2027 (e) | 8,371 | 8,266 | ||||||
Tennant Co. 5.63%, 5/1/2025 | 4,377 | 4,382 | ||||||
Tenneco, Inc. 5.00%, 7/15/2026 (g) | 4,155 | 1,859 | ||||||
Terex Corp. 5.63%, 2/1/2025 (e) (g) | 6,140 | 5,570 | ||||||
Terraform Global Operating LLC 6.13%, 3/1/2026 (e) | 1,712 | 1,695 | ||||||
TerraForm Power Operating LLC | ||||||||
4.25%, 1/31/2023 (e) | 1,869 | 1,915 | ||||||
5.00%, 1/31/2028 (e) | 1,839 | 1,929 | ||||||
Texas Competitive Electric Holdings Co. LLC 8.50%, 5/1/2020 ‡ (j) | 29,250 | 8 | ||||||
Texas Instruments, Inc. 1.75%, 5/4/2030 | 630 | 628 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
2.60%, 10/1/2029 | 3,840 | 4,033 | ||||||
4.50%, 3/25/2030 | 11,265 | 13,665 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
T-Mobile USA, Inc. | ||||||||
6.00%, 3/1/2023 | 1,598 | 1,613 | ||||||
6.50%, 1/15/2024 | 665 | 680 | ||||||
6.38%, 3/1/2025 | 2,030 | 2,083 | ||||||
3.50%, 4/15/2025 (e) | 2,240 | 2,351 | ||||||
5.13%, 4/15/2025 | 1,704 | 1,725 | ||||||
6.50%, 1/15/2026 | 17,580 | 18,547 | ||||||
4.50%, 2/1/2026 | 10,879 | 11,209 | ||||||
3.75%, 4/15/2027 (e) | 3,385 | 3,629 | ||||||
4.75%, 2/1/2028 | 19,226 | 20,188 | ||||||
3.88%, 4/15/2030 (e) | 6,970 | 7,624 | ||||||
4.38%, 4/15/2040 (e) | 2,995 | 3,383 | ||||||
4.50%, 4/15/2050 (e) | 235 | 274 | ||||||
Toyota Motor Credit Corp. (SOFR + 0.40%), 0.41%, 10/23/2020 (d) | 928 | 923 | ||||||
Trans-Allegheny Interstate Line Co. 3.85%, 6/1/2025 (e) | 2,913 | 3,243 | ||||||
TransDigm, Inc. | ||||||||
6.50%, 7/15/2024 | 3,961 | 3,659 | ||||||
6.50%, 5/15/2025 | 1,650 | 1,477 | ||||||
6.25%, 3/15/2026 (e) | 9,380 | 9,180 | ||||||
Transocean Guardian Ltd. 5.88%, 1/15/2024 (e) | 1,717 | 1,313 | ||||||
Transocean Pontus Ltd. 6.13%, 8/1/2025 (e) | 4,847 | 3,926 | ||||||
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (e) | 2,486 | 1,951 | ||||||
Transocean Proteus Ltd. 6.25%, 12/1/2024 (e) | 431 | 365 | ||||||
Transocean, Inc. | ||||||||
7.25%, 11/1/2025 (e) (g) | 3,541 | 1,372 | ||||||
7.50%, 1/15/2026 (e) | 2,710 | 1,030 | ||||||
Travelers Cos., Inc. (The) 2.55%, 4/27/2050 | 260 | 259 | ||||||
TreeHouse Foods, Inc. 6.00%, 2/15/2024 (e) | 4,010 | 4,090 | ||||||
TriMas Corp. 4.88%, 10/15/2025 (e) | 2,315 | 2,266 | ||||||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (e) (g) | 9,060 | 7,724 | ||||||
Triumph Group, Inc. | ||||||||
6.25%, 9/15/2024 (e) | 545 | 431 | ||||||
7.75%, 8/15/2025 (g) | 1,670 | 1,083 | ||||||
Tronox Finance plc 5.75%, 10/1/2025 (e) | 1,222 | 1,081 | ||||||
Tronox, Inc. 6.50%, 4/15/2026 (e) (g) | 1,755 | 1,588 | ||||||
Truist Financial Corp. | ||||||||
Series N, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 4.80%, 9/1/2024 (c) (d) (f) | 3,110 | 2,907 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series L, (ICE LIBOR USD 3 Month + 3.10%), 5.05%, 12/15/2024 (c) (d) (f) | 1,568 | 1,474 | ||||||
Series M, (ICE LIBOR USD 3 Month + 2.79%), 5.13%, 12/15/2027 (c) (d) (f) | 8,713 | 8,386 | ||||||
Tucson Electric Power Co. 4.00%, 6/15/2050 | 1,491 | 1,745 | ||||||
Tyson Foods, Inc. 3.90%, 9/28/2023 | 1,330 | 1,432 | ||||||
UDR, Inc. REIT, 3.00%, 8/15/2031 | 1,355 | 1,363 | ||||||
Ultra Resources, Inc. 11.00% (Blend (cash 9.00% + PIK 2.00%)), 7/12/2024 (h) (m) | 8,293 | 448 | ||||||
Union Electric Co. 2.95%, 3/15/2030 | 2,750 | 3,018 | ||||||
Union Pacific Corp. 3.70%, 3/1/2029 | 5,285 | 5,929 | ||||||
United Airlines Holdings, Inc. | ||||||||
5.00%, 2/1/2024 (g) | 2,404 | 1,838 | ||||||
4.88%, 1/15/2025 (g) | 2,345 | 1,712 | ||||||
United Rentals North America, Inc. | ||||||||
5.50%, 7/15/2025 (g) | 3,281 | 3,322 | ||||||
4.63%, 10/15/2025 | 8,030 | 7,866 | ||||||
5.88%, 9/15/2026 | 931 | 957 | ||||||
6.50%, 12/15/2026 (g) | 8,423 | 8,739 | ||||||
5.50%, 5/15/2027 | 10,010 | 10,110 | ||||||
4.88%, 1/15/2028 | 4,455 | 4,433 | ||||||
5.25%, 1/15/2030 | 2,500 | 2,506 | ||||||
United States Cellular Corp. 6.70%, 12/15/2033 | 1,860 | 1,962 | ||||||
United States Steel Corp. | ||||||||
6.88%, 8/15/2025 (g) | 808 | 546 | ||||||
6.25%, 3/15/2026 (g) | 2,223 | 1,413 | ||||||
UnitedHealth Group, Inc. 3.85%, 6/15/2028 | 7,220 | 8,320 | ||||||
Uniti Group LP | ||||||||
REIT, 6.00%, 4/15/2023 (e) | 2,600 | 2,412 | ||||||
REIT, 8.25%, 10/15/2023 (g) | 1,144 | 949 | ||||||
REIT, 7.13%, 12/15/2024 (e) | 55 | 43 | ||||||
Vail Resorts, Inc. 6.25%, 5/15/2025 (e) | 1,142 | 1,179 | ||||||
Valvoline, Inc. 4.25%, 2/15/2030 (e) | 1,400 | 1,361 | ||||||
Venator Finance SARL 5.75%, 7/15/2025 (e) (g) | 3,375 | 2,329 | ||||||
Verizon Communications, Inc. | ||||||||
3.15%, 3/22/2030 | 7,195 | 7,964 | ||||||
4.40%, 11/1/2034 | 1,185 | 1,440 | ||||||
4.27%, 1/15/2036 | 2,265 | 2,701 | ||||||
3.85%, 11/1/2042 | 1,275 | 1,510 | ||||||
4.86%, 8/21/2046 | 8,370 | 11,292 | ||||||
4.52%, 9/15/2048 | 1,020 | 1,344 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 85 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
ViacomCBS, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (d) | 5,029 | 4,579 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (d) (g) | 7,455 | 7,306 | ||||||
VICI Properties LP | ||||||||
REIT, 3.50%, 2/15/2025 (e) | 1,195 | 1,120 | ||||||
REIT, 4.25%, 12/1/2026 (e) | 7,084 | 6,621 | ||||||
REIT, 3.75%, 2/15/2027 (e) | 1,875 | 1,744 | ||||||
REIT, 4.63%, 12/1/2029 (e) | 4,688 | 4,330 | ||||||
REIT, 4.13%, 8/15/2030 (e) | 1,620 | 1,474 | ||||||
Vista Outdoor, Inc. 5.88%, 10/1/2023 (g) | 7,094 | 6,722 | ||||||
Vistra Energy Corp. 5.88%, 6/1/2023 | 3,604 | 3,640 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 9/1/2026 (e) | 212 | 218 | ||||||
5.63%, 2/15/2027 (e) | 6,585 | 6,931 | ||||||
W&T Offshore, Inc. 9.75%, 11/1/2023 (e) | 4,630 | 1,528 | ||||||
W.R. Grace & Co.-Conn. 5.63%, 10/1/2024 (e) | 1,010 | 1,013 | ||||||
Wabash National Corp. 5.50%, 10/1/2025 (e) | 3,730 | 3,059 | ||||||
Waste Management, Inc. 4.00%, 7/15/2039 | 1,480 | 1,769 | ||||||
Welbilt, Inc. 9.50%, 2/15/2024 | 2,435 | 2,015 | ||||||
Wells Fargo & Co. | ||||||||
3.75%, 1/24/2024 | 2,550 | 2,713 | ||||||
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (c) (d) (f) | 4,986 | 5,061 | ||||||
Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (c) (d) (f) | 4,403 | 4,700 | ||||||
(SOFR + 2.00%), 2.19%, 4/30/2026 (d) | 2,390 | 2,402 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (d) | 665 | 703 | ||||||
(ICE LIBOR USD 3 Month + 3.77%), 4.48%, 4/4/2031 (d) | 7,985 | 9,294 | ||||||
Welltower, Inc. REIT, 4.13%, 3/15/2029 | 1,870 | 1,926 | ||||||
WESCO Distribution, Inc. 5.38%, 6/15/2024 | 2,287 | 2,115 | ||||||
Western Digital Corp. 4.75%, 2/15/2026 (g) | 8,487 | 8,665 | ||||||
Whiting Petroleum Corp. | ||||||||
5.75%, 3/15/2021 (g) (j) | 2,310 | 231 | ||||||
6.25%, 4/1/2023 (j) | 2,140 | 209 | ||||||
6.63%, 1/15/2026 (g) (j) | 6,703 | 670 | ||||||
William Carter Co. (The) 5.63%, 3/15/2027 (e) | 7,290 | 7,390 | ||||||
Windstream Services LLC | ||||||||
9.00%, 6/30/2025 (e) (j) | 15,731 | 826 | ||||||
8.63%, 10/31/2025 (e) (i) | 2,498 | 1,499 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Wisconsin Power & Light Co. 4.60%, 6/15/2020 | 479 | 481 | ||||||
WMG Acquisition Corp. | ||||||||
5.00%, 8/1/2023 (e) | 1,420 | 1,427 | ||||||
4.88%, 11/1/2024 (e) | 930 | 930 | ||||||
5.50%, 4/15/2026 (e) | 3,018 | 3,090 | ||||||
Wolverine Escrow LLC | ||||||||
9.00%, 11/15/2026 (e) | 10,310 | 7,148 | ||||||
13.13%, 11/15/2027 (e) | 1,855 | 1,094 | ||||||
WPX Energy, Inc. | ||||||||
8.25%, 8/1/2023 | 720 | 691 | ||||||
5.75%, 6/1/2026 (g) | 3,249 | 2,945 | ||||||
Wyndham Destinations, Inc. | ||||||||
4.25%, 3/1/2022 | 162 | 153 | ||||||
5.40%, 4/1/2024 (i) | 1,513 | 1,324 | ||||||
6.35%, 10/1/2025 (g) (i) | 1,258 | 1,113 | ||||||
5.75%, 4/1/2027 (i) | 1,602 | 1,402 | ||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025 (e) | 13,373 | 11,902 | ||||||
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (e) (g) | 6,675 | 6,258 | ||||||
Xerox Corp. 4.12%, 3/15/2023 (i) | 2,347 | 2,335 | ||||||
XPO Logistics, Inc. | ||||||||
6.50%, 6/15/2022 (e) | 2,310 | 2,319 | ||||||
6.13%, 9/1/2023 (e) | 4,967 | 5,029 | ||||||
6.75%, 8/15/2024 (e) | 4,161 | 4,284 | ||||||
Yum! Brands, Inc. | ||||||||
7.75%, 4/1/2025 (e) (g) | 900 | 981 | ||||||
4.75%, 1/15/2030 (e) | 1,834 | 1,871 | ||||||
Zoetis, Inc. | ||||||||
3.00%, 9/12/2027 | 1,325 | 1,434 | ||||||
3.90%, 8/20/2028 | 1,240 | 1,426 | ||||||
4.45%, 8/20/2048 | 2,655 | 3,401 | ||||||
|
| |||||||
3,778,901 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 4,431,386 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Common Stocks — 33.2% |
| |||||||
Australia — 0.8% | ||||||||
Adelaide Brighton Ltd. | 567 | 999 | ||||||
AGL Energy Ltd. | 442 | 4,856 | ||||||
Alumina Ltd. | 1,505 | 1,670 | ||||||
APA Group | 297 | 2,095 | ||||||
Atlas Arteria Ltd. | 177 | 716 |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
Australia — continued | ||||||||
AusNet Services | 791 | 965 | ||||||
Bank of Queensland Ltd. | 413 | 1,394 | ||||||
Bendigo & Adelaide Bank Ltd. | 168 | 709 | ||||||
BHP Group plc | 524 | 8,796 | ||||||
CSR Ltd. | 534 | 1,283 | ||||||
Dexus, REIT | 1,225 | 7,270 | ||||||
Goodman Group, REIT | 1,479 | 12,601 | ||||||
IOOF Holdings Ltd. | 287 | 802 | ||||||
Mirvac Group, REIT | 6,850 | 9,953 | ||||||
Rio Tinto plc | 736 | 34,178 | ||||||
Sonic Healthcare Ltd. | 74 | 1,303 | ||||||
Spark Infrastructure Group | 699 | 858 | ||||||
Sydney Airport | 644 | 2,622 | ||||||
Transurban Group | 291 | 2,593 | ||||||
Wesfarmers Ltd. | 100 | 2,421 | ||||||
Woodside Petroleum Ltd. | 118 | 1,697 | ||||||
|
| |||||||
99,781 | ||||||||
|
| |||||||
Austria — 0.0%(a) | ||||||||
Erste Group Bank AG | 34 | 733 | ||||||
OMV AG | 24 | 769 | ||||||
Raiffeisen Bank International AG | 42 | 718 | ||||||
Verbund AG | 19 | 858 | ||||||
|
| |||||||
3,078 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Ageas | 21 | 739 | ||||||
KBC Group NV | 24 | 1,277 | ||||||
Proximus SADP | 97 | 2,079 | ||||||
Shurgard Self Storage SA | 191 | 6,281 | ||||||
Telenet Group Holding NV (g) | 19 | 804 | ||||||
Warehouses De Pauw CVA, REIT, CVA* | 304 | 8,345 | ||||||
|
| |||||||
19,525 | ||||||||
|
| |||||||
Brazil — 0.1% | ||||||||
Ambev SA, ADR* | 2,759 | 5,933 | ||||||
BB Seguridade Participacoes SA | 981 | 4,786 | ||||||
Itau Unibanco Holding SA (Preference) | 1,597 | 6,735 | ||||||
|
| |||||||
17,454 | ||||||||
|
| |||||||
Canada — 0.8% | ||||||||
Advanz Pharma Corp. Ltd.* | 171 | 569 | ||||||
Algonquin Power & Utilities Corp. | 137 | 1,901 | ||||||
Allied Properties, REIT | 442 | 14,155 | ||||||
AltaGas Ltd. | 103 | 1,236 | ||||||
Atco Ltd., Class I | 16 | 439 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Canada — continued | ||||||||
BCE, Inc. | 51 | 2,046 | ||||||
Canadian Apartment Properties, REIT | 323 | 11,132 | ||||||
Canadian Imperial Bank of Commerce | 26 | 1,537 | ||||||
Canadian Utilities Ltd., Class A | 116 | 2,841 | ||||||
Capital Power Corp. | 38 | 733 | ||||||
Emera, Inc. | 70 | 2,805 | ||||||
Enbridge, Inc. | 62 | 1,901 | ||||||
Fortis, Inc. | 132 | 5,116 | ||||||
Great-West Lifeco, Inc. | 35 | 581 | ||||||
Husky Energy, Inc. (g) | 171 | 548 | ||||||
Hydro One Ltd. (b) | 200 | 3,628 | ||||||
IGM Financial, Inc. | 54 | 1,141 | ||||||
Inter Pipeline Ltd. | 133 | 1,111 | ||||||
Northland Power, Inc. | 68 | 1,460 | ||||||
Nutrien Ltd. | 38 | 1,356 | ||||||
Pembina Pipeline Corp. | 56 | 1,278 | ||||||
Power Corp. of Canada | 104 | 1,664 | ||||||
Rogers Communications, Inc., Class B | 14 | 581 | ||||||
Shaw Communications, Inc., Class B | 114 | 1,857 | ||||||
Superior Plus Corp. | 81 | 575 | ||||||
TC Energy Corp. | 466 | 21,433 | ||||||
TELUS Corp. | 122 | 1,995 | ||||||
Thomson Reuters Corp. | 31 | 2,184 | ||||||
Toronto-Dominion Bank (The) | 245 | 10,218 | ||||||
|
| |||||||
98,021 | ||||||||
|
| |||||||
Cayman Islands — 0.0%(a) | ||||||||
Telford Offshore Holdings Ltd.* ‡ | 58 | 22 | ||||||
|
| |||||||
Chile — 0.0%(a) | ||||||||
Banco Santander Chile, ADR | 141 | 2,366 | ||||||
|
| |||||||
China — 1.5% | ||||||||
China Construction Bank Corp., Class H | 26,610 | 21,359 | ||||||
China Life Insurance Co. Ltd., Class H | 2,013 | 4,293 | ||||||
China Merchants Bank Co. Ltd., Class H | 2,002 | 9,472 | ||||||
China Mobile Ltd. | 1,139 | 9,157 | ||||||
China Overseas Land & Investment Ltd. | 5,246 | 19,378 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 2,589 | 8,567 | ||||||
China Petroleum & Chemical Corp., Class H | 10,120 | 5,044 | ||||||
CNOOC Ltd. | 5,321 | 5,883 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class A | 2,118 | 5,884 | ||||||
Guangdong Investment Ltd. | 2,414 | 5,017 | ||||||
Haier Electronics Group Co. Ltd. | 985 | 2,713 | ||||||
Huayu Automotive Systems Co. Ltd., Class A | 1,477 | 4,191 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 87 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
China — continued | ||||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | 3,304 | 13,497 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 926 | 12,784 | ||||||
Joyoung Co. Ltd., Class A | 1,110 | 4,894 | ||||||
Midea Group Co. Ltd., Class A | 2,228 | 16,637 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 2,294 | 23,339 | ||||||
Postal Savings Bank of China Co. Ltd., Class H (b) | 11,252 | 6,724 | ||||||
SAIC Motor Corp. Ltd., Class A | 147 | 387 | ||||||
|
| |||||||
179,220 | ||||||||
|
| |||||||
Colombia — 0.0%(a) | ||||||||
Millicom International Cellular SA, SDR | 26 | 680 | ||||||
|
| |||||||
Czech Republic — 0.0%(a) | ||||||||
Komercni banka A/S * | 126 | 2,663 | ||||||
Moneta Money Bank A/S (b) | 444 | 922 | ||||||
|
| |||||||
3,585 | ||||||||
|
| |||||||
Denmark — 0.0%(a) | ||||||||
Pandora A/S | 25 | 881 | ||||||
|
| |||||||
Finland — 0.2% |
| |||||||
Elisa OYJ | 18 | 1,074 | ||||||
Fortum OYJ | 284 | 4,700 | ||||||
Kone OYJ, Class B | 215 | 12,997 | ||||||
Neste OYJ | 39 | 1,377 | ||||||
Nordea Bank Abp | 381 | 2,443 | ||||||
Orion OYJ, Class B | 37 | 1,895 | ||||||
Stora Enso OYJ, Class R | 101 | 1,188 | ||||||
UPM-Kymmene OYJ | 46 | 1,273 | ||||||
Wartsila OYJ Abp | 148 | 1,090 | ||||||
|
| |||||||
28,037 | ||||||||
|
| |||||||
France — 1.0% | ||||||||
Aeroports de Paris | 6 | 547 | ||||||
Airbus SE * | 6 | 353 | ||||||
Airbus SE * | 52 | 3,316 | ||||||
Alstom SA | 15 | 600 | ||||||
Amundi SA (b) | 14 | 905 | ||||||
Atos SE * | 26 | 1,894 | ||||||
AXA SA | 111 | 1,979 | ||||||
BNP Paribas SA | 59 | 1,838 | ||||||
Bouygues SA * | 38 | 1,169 | ||||||
Casino Guichard Perrachon SA (g) | 36 | 1,348 | ||||||
Cie de Saint-Gobain | 31 | 825 | ||||||
Cie Generale des Etablissements Michelin SCA | 15 | 1,413 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
France — continued | ||||||||
CNP Assurances * | 64 | 659 | ||||||
Covivio, REIT | 161 | 10,095 | ||||||
Credit Agricole SA | 115 | 927 | ||||||
Eiffage SA | 12 | 1,013 | ||||||
Electricite de France SA | 233 | 1,851 | ||||||
Engie SA | 391 | 4,237 | ||||||
Eutelsat Communications SA | 147 | 1,640 | ||||||
Gecina SA, REIT | 10 | 1,357 | ||||||
ICADE, REIT | 12 | 905 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 45 | 17,449 | ||||||
Natixis SA | 281 | 664 | ||||||
Orange SA | 137 | 1,661 | ||||||
Peugeot SA | 73 | 1,029 | ||||||
Publicis Groupe SA | 29 | 859 | ||||||
Renault SA * | 32 | 639 | ||||||
Rexel SA | 79 | 735 | ||||||
Rubis SCA | 22 | 991 | ||||||
Sanofi | 140 | 13,646 | ||||||
Schneider Electric SE * | 158 | 14,610 | ||||||
Societe Generale SA | 133 | 2,079 | ||||||
Suez | 288 | 3,253 | ||||||
TOTAL SA | 100 | 3,533 | ||||||
Veolia Environnement SA | 171 | 3,637 | ||||||
Vinci SA | 130 | 10,652 | ||||||
|
| |||||||
114,308 | ||||||||
|
| |||||||
Germany — 0.7% | ||||||||
adidas AG (g) | 35 | 8,058 | ||||||
Allianz SE (Registered) | 20 | 3,616 | ||||||
Aroundtown SA | 591 | 3,179 | ||||||
BASF SE | 37 | 1,902 | ||||||
Bayer AG (Registered) | 71 | 4,680 | ||||||
Bayerische Motoren Werke AG | 28 | 1,631 | ||||||
Deutsche Post AG (Registered) | 51 | 1,518 | ||||||
Deutsche Telekom AG (Registered) | 170 | 2,480 | ||||||
E.ON SE | 457 | 4,577 | ||||||
Evonik Industries AG | 43 | 1,061 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 16 | 717 | ||||||
Hannover Rueck SE | 7 | 1,131 | ||||||
HeidelbergCement AG | 20 | 932 | ||||||
HOCHTIEF AG | 9 | 734 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 58 | 12,755 | ||||||
Porsche Automobil Holding SE (Preference) | 19 | 947 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
Germany — 0.7% | ||||||||
ProSiebenSat.1 Media SE | 163 | 1,633 | ||||||
RWE AG | 153 | 4,393 | ||||||
Siemens AG (Registered) | 29 | 2,662 | ||||||
Telefonica Deutschland Holding AG | 1,139 | 3,241 | ||||||
TUI AG | 183 | 728 | ||||||
Uniper SE | 57 | 1,527 | ||||||
Volkswagen AG (Preference) | 11 | 1,464 | ||||||
Vonovia SE | 270 | 13,374 | ||||||
|
| |||||||
78,940 | ||||||||
|
| |||||||
Hong Kong — 0.7% | ||||||||
CK Infrastructure Holdings Ltd. | 273 | 1,622 | ||||||
CLP Holdings Ltd. | 307 | 3,286 | ||||||
Hang Seng Bank Ltd. | 550 | 9,611 | ||||||
HKT Trust & HKT Ltd. | 11,522 | 18,593 | ||||||
Hong Kong & China Gas Co. Ltd. | 1,598 | 2,864 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 365 | 11,693 | ||||||
Link, REIT | 2,286 | 20,380 | ||||||
Power Assets Holdings Ltd. | 422 | 2,824 | ||||||
VTech Holdings Ltd. | 120 | 901 | ||||||
WH Group Ltd. (b) | 6,294 | 6,003 | ||||||
Xinyi Glass Holdings Ltd. | 590 | 683 | ||||||
Yue Yuen Industrial Holdings Ltd. | 516 | 822 | ||||||
|
| |||||||
79,282 | ||||||||
|
| |||||||
India — 0.5% | ||||||||
Infosys Ltd., ADR | 988 | 9,121 | ||||||
ITC Ltd. | 5,342 | 12,869 | ||||||
Tata Consultancy Services Ltd. | 1,269 | 33,606 | ||||||
|
| |||||||
55,596 | ||||||||
|
| |||||||
Indonesia — 0.2% | ||||||||
Bank Rakyat Indonesia Persero Tbk. PT | 37,726 | 6,862 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 64,073 | 14,734 | ||||||
|
| |||||||
21,596 | ||||||||
|
| |||||||
Ireland — 0.0%(a) | ||||||||
Smurfit Kappa Group plc | 39 | 1,228 | ||||||
|
| |||||||
Italy — 0.3% | ||||||||
A2A SpA | 1,457 | 1,986 | ||||||
Assicurazioni Generali SpA | 105 | 1,493 | ||||||
Atlantia SpA | 133 | 2,183 | ||||||
Enel SpA | 2,088 | 14,265 | ||||||
Eni SpA | 121 | 1,152 | ||||||
ERG SpA | 29 | 514 | ||||||
Hera SpA | 367 | 1,359 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Italy — continued | ||||||||
Intesa Sanpaolo SpA | 1,847 | 2,884 | ||||||
Iren SpA | 234 | 576 | ||||||
Italgas SpA | 311 | 1,743 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 114 | 664 | ||||||
Poste Italiane SpA (b) | 101 | 858 | ||||||
Snam SpA | 992 | 4,449 | ||||||
Telecom Italia SpA | 2,015 | 804 | ||||||
Terna Rete Elettrica Nazionale SpA | 664 | 4,157 | ||||||
UniCredit SpA * | 151 | 1,164 | ||||||
|
| |||||||
40,251 | ||||||||
|
| |||||||
Japan — 1.3% | ||||||||
Aozora Bank Ltd. | 88 | 1,564 | ||||||
Chubu Electric Power Co., Inc. | 208 | 2,817 | ||||||
Chugoku Electric Power Co., Inc. (The) | 150 | 2,020 | ||||||
Daiwa House REIT Investment Corp., REIT | 3 | 6,959 | ||||||
Electric Power Development Co. Ltd. | 66 | 1,327 | ||||||
FANUC Corp. | 14 | 2,220 | ||||||
Hokkaido Electric Power Co., Inc. | 163 | 622 | ||||||
Invesco Office J-Reit, Inc., REIT | 52 | 6,883 | ||||||
Japan Airlines Co. Ltd. | 37 | 658 | ||||||
Japan Hotel REIT Investment Corp., REIT | 16 | 5,170 | ||||||
Japan Post Holdings Co. Ltd. | 80 | 641 | ||||||
Japan Tobacco, Inc. | 74 | 1,371 | ||||||
JFE Holdings, Inc. | 214 | 1,417 | ||||||
JXTG Holdings, Inc. | 498 | 1,765 | ||||||
Kamigumi Co. Ltd. | 35 | 607 | ||||||
Kansai Electric Power Co., Inc. (The) | 496 | 5,080 | ||||||
KDDI Corp. | 74 | 2,140 | ||||||
Kenedix Office Investment Corp., REIT | 2 | 7,474 | ||||||
Kenedix Retail REIT Corp., REIT | 4 | 6,209 | ||||||
Kyushu Electric Power Co., Inc. | 247 | 1,960 | ||||||
Lawson, Inc. | 35 | 1,840 | ||||||
Matsui Securities Co. Ltd. | 170 | 1,241 | ||||||
Miraca Holdings, Inc. | 52 | 1,307 | ||||||
Mitsubishi Chemical Holdings Corp. | 67 | 380 | ||||||
Mitsubishi Logistics Corp. | 28 | 612 | ||||||
Mitsui Fudosan Logistics Park, Inc., REIT | 2 | 6,509 | ||||||
Nippon Accommodations Fund, Inc., REIT | 2 | 10,946 | ||||||
Nippon Prologis REIT, Inc., REIT | 4 | 11,181 | ||||||
Nippon Telegraph & Telephone Corp. | 825 | 18,788 | ||||||
Nissan Motor Co. Ltd. | 428 | 1,458 | ||||||
NTT DOCOMO, Inc. | 93 | 2,747 | ||||||
Orix JREIT, Inc., REIT | 4 | 4,350 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 89 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
Japan — continued | ||||||||
Otsuka Corp. | 152 | 6,882 | ||||||
Shikoku Electric Power Co., Inc. | 90 | 693 | ||||||
Sumitomo Chemical Co. Ltd. | 185 | 568 | ||||||
Takeda Pharmaceutical Co. Ltd. | 32 | 1,147 | ||||||
Tohoku Electric Power Co., Inc. | 361 | 3,400 | ||||||
Tokio Marine Holdings, Inc. | 325 | 15,224 | ||||||
Tokyo Electron Ltd. | 11 | 2,364 | ||||||
|
| |||||||
150,541 | ||||||||
|
| |||||||
Macau — 0.1% | ||||||||
Sands China Ltd. | 2,626 | 10,631 | ||||||
|
| |||||||
Mexico — 0.2% | ||||||||
Bolsa Mexicana de Valores SAB de CV | 1,140 | 2,057 | ||||||
Fibra Uno Administracion SA de CV, REIT | 2,782 | 2,310 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 778 | 2,130 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 3,939 | 5,565 | ||||||
Wal-Mart de Mexico SAB de CV | 5,728 | 13,824 | ||||||
|
| |||||||
25,886 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
ABN AMRO Bank NV, CVA (b) | 97 | 747 | ||||||
Akzo Nobel NV | 43 | 3,239 | ||||||
Eurocommercial Properties NV, REIT, CVA | 195 | 2,175 | ||||||
ING Groep NV | 297 | 1,665 | ||||||
Koninklijke Ahold Delhaize NV (g) | 73 | 1,779 | ||||||
Koninklijke KPN NV (g) | 314 | 723 | ||||||
NN Group NV | 37 | 1,075 | ||||||
Randstad NV * | 36 | 1,441 | ||||||
Royal Dutch Shell plc, Class A | 95 | 1,567 | ||||||
Royal Dutch Shell plc, Class B | 302 | 4,838 | ||||||
|
| |||||||
19,249 | ||||||||
|
| |||||||
New Zealand — 0.0%(a) | ||||||||
Contact Energy Ltd. | 409 | 1,560 | ||||||
Spark New Zealand Ltd. | 685 | 1,854 | ||||||
UCI Holdings LLC * ‡ | 65 | 1,521 | ||||||
|
| |||||||
4,935 | ||||||||
|
| |||||||
Norway — 0.0% (a) | ||||||||
Aker BP ASA | 84 | 1,384 | ||||||
DNB ASA | 97 | 1,174 | ||||||
Gjensidige Forsikring ASA | 71 | 1,250 | ||||||
Telenor ASA | 159 | 2,443 | ||||||
|
| |||||||
6,251 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Peru — 0.0%(a) | ||||||||
Southern Copper Corp. | 58 | 1,869 | ||||||
|
| |||||||
Portugal — 0.0%(a) | ||||||||
EDP — Energias de Portugal SA | 1,051 | 4,429 | ||||||
Galp Energia SGPS SA | 83 | 953 | ||||||
|
| |||||||
5,382 | ||||||||
|
| |||||||
Russia — 0.4% | ||||||||
Alrosa PJSC | 4,739 | 3,925 | ||||||
Evraz plc | 706 | 2,339 | ||||||
LUKOIL PJSC, ADR | 103 | 6,716 | ||||||
Moscow Exchange MICEX-RTS PJSC | 8,494 | 13,730 | ||||||
Sberbank of Russia PJSC | 7,322 | 19,294 | ||||||
Sberbank of Russia PJSC | 421 | 1,109 | ||||||
Severstal PJSC, GDR (b) | 309 | 3,683 | ||||||
Severstal PJSC, GDR (b) | 10 | 123 | ||||||
|
| |||||||
50,919 | ||||||||
|
| |||||||
Saudi Arabia — 0.1% | ||||||||
Al Rajhi Bank | 758 | 11,521 | ||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
Ascendas, REIT | 6,173 | 12,909 | ||||||
Mapletree Logistics Trust, REIT | 6,137 | 7,774 | ||||||
SATS Ltd. | 303 | 703 | ||||||
Singapore Telecommunications Ltd. | 755 | 1,509 | ||||||
StarHub Ltd. | 729 | 768 | ||||||
|
| |||||||
23,663 | ||||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Absa Group Ltd. | 605 | 2,984 | ||||||
Anglo American plc | 89 | 1,576 | ||||||
AVI Ltd. | 734 | 3,116 | ||||||
Bid Corp. Ltd. | 348 | 4,529 | ||||||
FirstRand Ltd. | 1,118 | 2,440 | ||||||
SPAR Group Ltd. (The) | 228 | 2,175 | ||||||
Vodacom Group Ltd. | 705 | 4,686 | ||||||
|
| |||||||
21,506 | ||||||||
|
| |||||||
South Korea — 0.3% | ||||||||
KT&G Corp. | 127 | 8,497 | ||||||
Samsung Electronics Co. Ltd. | 667 | 27,410 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 3 | 548 | ||||||
SK Telecom Co. Ltd., ADR | 222 | 4,240 | ||||||
|
| |||||||
40,695 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
Spain — 0.7% | ||||||||
Acciona SA | 13 | 1,310 | ||||||
ACS Actividades de Construccion y Servicios SA | 42 | 1,047 | ||||||
Aena SME SA * (b) | 20 | 2,563 | ||||||
Atlantica Yield plc | 40 | 946 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 474 | 1,549 | ||||||
Banco de Sabadell SA | 1,141 | 473 | ||||||
Banco Santander SA | 806 | 1,800 | ||||||
CaixaBank SA | 465 | 836 | ||||||
Enagas SA | 177 | 4,143 | ||||||
Endesa SA | 188 | 4,162 | ||||||
Iberdrola SA | 3,222 | 32,047 | ||||||
Industria de Diseno Textil SA | 507 | 12,979 | ||||||
Inmobiliaria Colonial Socimi SA, REIT | 554 | 5,351 | ||||||
Naturgy Energy Group SA | 226 | 3,988 | ||||||
Red Electrica Corp. SA | 243 | 4,285 | ||||||
Telefonica SA | 178 | 812 | ||||||
|
| |||||||
78,291 | ||||||||
|
| |||||||
Sweden — 0.2% | ||||||||
Autoliv, Inc. | 22 | 1,320 | ||||||
Sandvik AB * | 88 | 1,355 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 191 | 1,573 | ||||||
Skanska AB, Class B * | 57 | 1,085 | ||||||
SKF AB, Class B | 65 | 1,032 | ||||||
Svenska Handelsbanken AB, Class A * | 163 | 1,486 | ||||||
Swedbank AB, Class A | 154 | 1,825 | ||||||
Swedish Match AB | 26 | 1,629 | ||||||
Tele2 AB, Class B | 83 | 1,071 | ||||||
Telia Co. AB | 713 | 2,480 | ||||||
Volvo AB, Class B | 266 | 3,407 | ||||||
|
| |||||||
18,263 | ||||||||
|
| |||||||
Switzerland — 1.3% | ||||||||
ABB Ltd. (Registered) | 107 | 2,028 | ||||||
Adecco Group AG (Registered) | 23 | 1,007 | ||||||
Credit Suisse Group AG (Registered) * | 173 | 1,578 | ||||||
Flughafen Zurich AG (Registered) * | 13 | 1,636 | ||||||
LafargeHolcim Ltd. (Registered) * | 36 | 1,505 | ||||||
Nestle SA (Registered) | 161 | 17,097 | ||||||
Novartis AG (Registered) | 643 | 54,856 | ||||||
OC Oerlikon Corp. AG (Registered) | 184 | 1,379 | ||||||
Roche Holding AG | 156 | 53,985 | ||||||
Swiss Re AG | 19 | 1,402 | ||||||
UBS Group AG (Registered) * | 202 | 2,158 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Switzerland — continued | ||||||||
Zurich Insurance Group AG | 60 | 19,072 | ||||||
|
| |||||||
157,703 | ||||||||
|
| |||||||
Taiwan — 1.4% | ||||||||
Accton Technology Corp. | 461 | 3,342 | ||||||
Asustek Computer, Inc. | 721 | 4,873 | ||||||
Catcher Technology Co. Ltd. | 872 | 6,605 | ||||||
Chicony Electronics Co. Ltd. | 716 | 2,018 | ||||||
Delta Electronics, Inc. | 1,270 | 5,925 | ||||||
MediaTek, Inc. * | 842 | 11,627 | ||||||
Mega Financial Holding Co. Ltd. | 6,699 | 6,739 | ||||||
Novatek Microelectronics Corp. * | 421 | 2,618 | ||||||
President Chain Store Corp. | 716 | 7,404 | ||||||
Quanta Computer, Inc. | 5,404 | 11,676 | ||||||
Taiwan Mobile Co. Ltd. * | 1,093 | 3,939 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1,634 | 86,824 | ||||||
Vanguard International Semiconductor Corp. | 3,532 | 8,194 | ||||||
|
| |||||||
161,784 | ||||||||
|
| |||||||
Thailand — 0.1% | ||||||||
Siam Cement PCL (The) (Registered) | 695 | 7,387 | ||||||
|
| |||||||
United Kingdom — 1.7% | ||||||||
3i Group plc | 105 | 1,035 | ||||||
Admiral Group plc | 31 | 896 | ||||||
AstraZeneca plc | 51 | 5,386 | ||||||
Aviva plc | 334 | 1,009 | ||||||
BAE Systems plc | 179 | 1,143 | ||||||
Barclays plc | 1,116 | 1,491 | ||||||
Barratt Developments plc | 454 | 2,961 | ||||||
Berkeley Group Holdings plc | 123 | 6,460 | ||||||
BP plc | 1,224 | 4,822 | ||||||
British American Tobacco plc | 101 | 3,876 | ||||||
BT Group plc | 1,091 | 1,591 | ||||||
Centrica plc | 5,902 | 2,952 | ||||||
Diageo plc | 181 | 6,219 | ||||||
Direct Line Insurance Group plc | 600 | 2,046 | ||||||
Drax Group plc | 202 | 528 | ||||||
easyJet plc | 136 | 1,032 | ||||||
Fiat Chrysler Automobiles NV | 119 | 1,032 | ||||||
GlaxoSmithKline plc | 323 | 6,743 | ||||||
Imperial Brands plc | 178 | 3,738 | ||||||
J Sainsbury plc | 272 | 677 | ||||||
John Wood Group plc | 469 | 1,186 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 91 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
United Kingdom — continued | ||||||||
Legal & General Group plc | 447 | 1,150 | ||||||
Linde plc | 106 | 19,418 | ||||||
Lloyds Banking Group plc | 3,763 | 1,522 | ||||||
M&G plc | 615 | 1,020 | ||||||
Micro Focus International plc | 209 | 1,237 | ||||||
National Grid plc | 482 | 5,647 | ||||||
NewRiver REIT plc, REIT | 1,715 | 1,442 | ||||||
Next plc | 20 | 1,212 | ||||||
Pennon Group plc | 126 | 1,732 | ||||||
Persimmon plc | 110 | 3,051 | ||||||
Prudential plc | 113 | 1,589 | ||||||
RELX plc | 103 | 2,331 | ||||||
RSA Insurance Group plc | 179 | 812 | ||||||
Safestore Holdings plc, REIT | 742 | 6,714 | ||||||
Schroders plc | 18 | 610 | ||||||
Segro plc, REIT | 1,406 | 14,735 | ||||||
Severn Trent plc | 140 | 4,192 | ||||||
Signature Aviation plc | 288 | 707 | ||||||
SSE plc | 408 | 6,407 | ||||||
Standard Chartered plc | 157 | 803 | ||||||
Standard Life Aberdeen plc | 376 | 1,041 | ||||||
Taylor Wimpey plc | 3,472 | 6,412 | ||||||
Tesco plc | 596 | 1,763 | ||||||
Tritax Big Box REIT plc, REIT | 4,055 | 6,155 | ||||||
Tritax EuroBox plc (b) | 3,191 | 3,337 | ||||||
Unilever NV | 54 | 2,705 | ||||||
Unilever plc | 451 | 23,248 | ||||||
UNITE Group plc (The), REIT | 728 | 8,042 | ||||||
United Utilities Group plc | 367 | 4,156 | ||||||
Vodafone Group plc | 2,337 | 3,297 | ||||||
Workspace Group plc, REIT | 702 | 6,919 | ||||||
WPP plc | 144 | 1,114 | ||||||
|
| |||||||
201,343 | ||||||||
|
| |||||||
United States — 17.8% |
| |||||||
3M Co. | 13 | 2,018 | ||||||
AbbVie, Inc. | 385 | 31,676 | ||||||
Accenture plc, Class A | 43 | 7,952 | ||||||
AES Corp. (The) | 154 | 2,043 | ||||||
AGNC Investment Corp., REIT | 133 | 1,655 | ||||||
Air Products & Chemicals, Inc. | 73 | 16,396 | ||||||
ALLETE, Inc. | 30 | 1,751 | ||||||
Altria Group, Inc. | 443 | 17,377 | ||||||
Ameren Corp. | 40 | 2,891 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
American Electric Power Co., Inc. | 34 | 2,849 | ||||||
American States Water Co. | 15 | 1,177 | ||||||
American Tower Corp., REIT | 61 | 14,632 | ||||||
Americold Realty Trust, REIT | 524 | 16,033 | ||||||
Amgen, Inc. | 12 | 2,773 | ||||||
Analog Devices, Inc. | 227 | 24,901 | ||||||
Annaly Capital Management, Inc., REIT | 248 | 1,548 | ||||||
Apple, Inc. | 40 | 11,721 | ||||||
Arthur J Gallagher & Co. | 94 | 7,388 | ||||||
AT&T, Inc. | 66 | 2,020 | ||||||
Automatic Data Processing, Inc. | 241 | 35,324 | ||||||
AvalonBay Communities, Inc., REIT | 178 | 28,966 | ||||||
Avangrid, Inc. | 104 | 4,469 | ||||||
Avaya Holdings Corp. * | 200 | 1,990 | ||||||
Avista Corp. | 56 | 2,415 | ||||||
Bank of America Corp. | 832 | 20,010 | ||||||
Battalion Oil Corp. * | 18 | 90 | ||||||
Black Hills Corp. | 37 | 2,316 | ||||||
BlackRock, Inc. | 40 | 19,904 | ||||||
Brandywine Realty Trust, REIT | 606 | 6,763 | ||||||
Bristol-Myers Squibb Co. | 1,054 | 64,066 | ||||||
Broadcom, Inc. | 8 | 2,203 | ||||||
Bunge Ltd. | 42 | 1,664 | ||||||
Cardinal Health, Inc. | 44 | 2,183 | ||||||
Carnival Corp. | 59 | 935 | ||||||
Carrier Global Corp. * | 105 | 1,853 | ||||||
CenterPoint Energy, Inc. | 237 | 4,031 | ||||||
CenturyLink, Inc. | 181 | 1,921 | ||||||
CF Industries Holdings, Inc. | 46 | 1,270 | ||||||
Chevron Corp. | 444 | 40,884 | ||||||
Chubb Ltd. | 94 | 10,117 | ||||||
Citigroup, Inc. | 265 | 12,857 | ||||||
Claire’s Stores, Inc. * ‡ | 4 | 2,302 | ||||||
Clear Channel Outdoor Holdings, Inc. * | 287 | 277 | ||||||
Clearway Energy, Inc., Class C | 71 | 1,413 | ||||||
CME Group, Inc. | 212 | 37,784 | ||||||
CMS Energy Corp. | 209 | 11,916 | ||||||
CNA Financial Corp. | 47 | 1,497 | ||||||
Coca-Cola Co. (The) | 1,632 | 74,893 | ||||||
Comcast Corp., Class A | 921 | 34,673 | ||||||
ConocoPhillips | 361 | 15,179 | ||||||
Consolidated Edison, Inc. | 63 | 4,986 | ||||||
Coty, Inc., Class A | 214 | 1,164 | ||||||
Deere & Co. | 110 | 16,005 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Digital Realty Trust, Inc., REIT | 165 | 24,708 | ||||||
Dominion Energy, Inc. | 71 | 5,458 | ||||||
Douglas Emmett, Inc., REIT | 429 | 13,081 | ||||||
Dover Corp. | 161 | 15,064 | ||||||
DTE Energy Co. | 87 | 9,023 | ||||||
Duke Energy Corp. | 60 | 5,107 | ||||||
DuPont de Nemours, Inc. | 28 | 1,312 | ||||||
Eastman Chemical Co. | 27 | 1,612 | ||||||
Eaton Corp. plc | 303 | 25,327 | ||||||
Eaton Corp. plc | 6 | 479 | ||||||
Edison International | 77 | 4,506 | ||||||
Eli Lilly & Co. | 149 | 23,020 | ||||||
Emerson Electric Co. | 22 | 1,268 | ||||||
Entergy Corp. | 12 | 1,181 | ||||||
Equinix, Inc., REIT | 31 | 20,723 | ||||||
Equity LifeStyle Properties, Inc., REIT | 369 | 22,257 | ||||||
Essex Property Trust, Inc., REIT | 102 | 24,947 | ||||||
Evergy, Inc. | 46 | 2,707 | ||||||
Exelon Corp. | 70 | 2,605 | ||||||
Exxon Mobil Corp. | 39 | 1,809 | ||||||
Federal Realty Investment Trust, REIT | 115 | 9,562 | ||||||
Ferguson plc | 20 | 1,427 | ||||||
Fidelity National Information Services, Inc. | 112 | 14,760 | ||||||
FirstEnergy Corp. | 115 | 4,731 | ||||||
Ford Motor Co. | 283 | 1,443 | ||||||
Gap, Inc. (The) | 138 | 1,118 | ||||||
General Dynamics Corp. | 89 | 11,674 | ||||||
General Motors Co. | 65 | 1,444 | ||||||
Gilead Sciences, Inc. | 33 | 2,798 | ||||||
Goodman Networks, Inc. * ‡ | 53 | – | (k) | |||||
Hanesbrands, Inc. | 149 | 1,479 | ||||||
Harley-Davidson, Inc. | 65 | 1,412 | ||||||
Hawaiian Electric Industries, Inc. | 46 | 1,828 | ||||||
Healthcare Trust of America, Inc., Class A, REIT | 494 | 12,167 | ||||||
Healthpeak Properties, Inc., REIT | 730 | 19,072 | ||||||
Home Depot, Inc. (The) | 84 | 18,553 | ||||||
Honeywell International, Inc. | 153 | 21,648 | ||||||
HP, Inc. | 103 | 1,602 | ||||||
IDACORP, Inc. | 27 | 2,505 | ||||||
iHeartMedia, Inc., Class A * | 14 | 101 | ||||||
Illinois Tool Works, Inc. | 20 | 3,275 | ||||||
International Business Machines Corp. | 211 | 26,529 | ||||||
International Flavors & Fragrances, Inc. | 5 | 631 | ||||||
International Paper Co. | 48 | 1,645 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Interpublic Group of Cos., Inc. (The) | 77 | 1,312 | ||||||
Invesco Ltd. | 137 | 1,180 | ||||||
Invitation Homes, Inc., REIT | 961 | 22,730 | ||||||
Iron Mountain, Inc., REIT | 359 | 8,687 | ||||||
Johnson & Johnson | 135 | 20,292 | ||||||
Johnson Controls International plc | 36 | 1,049 | ||||||
Kellogg Co. | 38 | 2,491 | ||||||
KeyCorp | 535 | 6,232 | ||||||
Kilroy Realty Corp., REIT | 219 | 13,610 | ||||||
Kimco Realty Corp., REIT | 114 | 1,246 | ||||||
Kohl’s Corp. | 50 | 927 | ||||||
Kraft Heinz Co. (The) | 81 | 2,454 | ||||||
Las Vegas Sands Corp. | 36 | 1,747 | ||||||
Leggett & Platt, Inc. | 19 | 668 | ||||||
Lowe’s Cos., Inc. | 93 | 9,778 | ||||||
LyondellBasell Industries NV, Class A | 25 | 1,469 | ||||||
M&T Bank Corp. | 45 | 5,063 | ||||||
Macquarie Infrastructure Corp. | 77 | 2,134 | ||||||
Macy’s, Inc. | 149 | 871 | ||||||
Maxim Integrated Products, Inc. | 339 | 18,638 | ||||||
McDonald’s Corp. | 142 | 26,687 | ||||||
MDU Resources Group, Inc. | 182 | 4,081 | ||||||
Medtronic plc | 111 | 10,822 | ||||||
Merck & Co., Inc. | 815 | 64,676 | ||||||
Microsoft Corp. | 116 | 20,789 | ||||||
Mondelez International, Inc., Class A | 300 | 15,430 | ||||||
Moran Foods Backstop Equity * ‡ | 148 | 148 | ||||||
Morgan Stanley | 208 | 8,187 | ||||||
National Fuel Gas Co. | 88 | 3,611 | ||||||
National Retail Properties, Inc., REIT | 361 | 11,788 | ||||||
New Jersey Resources Corp. | 61 | 2,064 | ||||||
Newell Brands, Inc. | 128 | 1,772 | ||||||
Newmont Corp. | 28 | 1,662 | ||||||
NextEra Energy, Inc. | 96 | 22,191 | ||||||
Nielsen Holdings plc | 108 | 1,593 | ||||||
Nordstrom, Inc. | 56 | 1,049 | ||||||
Norfolk Southern Corp. | 145 | 24,850 | ||||||
Northern Trust Corp. | 100 | 7,907 | ||||||
Northwest Natural Holding Co. | 17 | 1,082 | ||||||
NorthWestern Corp. | 40 | 2,302 | ||||||
NRG Energy, Inc. | 73 | 2,446 | ||||||
Nucor Corp. | 38 | 1,585 | ||||||
Occidental Petroleum Corp. | 44 | 726 | ||||||
OGE Energy Corp. | 85 | 2,668 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 93 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Old Republic International Corp. | 86 | 1,374 | ||||||
ONE Gas, Inc. | 27 | 2,185 | ||||||
ONEOK, Inc. | 30 | 885 | ||||||
Otis Worldwide Corp. * | 30 | 1,529 | ||||||
PACCAR, Inc. | 23 | 1,579 | ||||||
Packaging Corp. of America | 23 | 2,193 | ||||||
Park Hotels & Resorts, Inc., REIT | 880 | 8,369 | ||||||
Parker-Hannifin Corp. | 62 | 9,746 | ||||||
Penn Virginia Corp. * | 12 | 74 | ||||||
PepsiCo, Inc. | 236 | 31,210 | ||||||
Pfizer, Inc. | 495 | 19,007 | ||||||
Philip Morris International, Inc. | 302 | 22,565 | ||||||
Pinnacle West Capital Corp. | 37 | 2,845 | ||||||
PNC Financial Services Group, Inc. (The) | 133 | 14,167 | ||||||
PNM Resources, Inc. | 37 | 1,494 | ||||||
Portland General Electric Co. | 52 | 2,415 | ||||||
PPG Industries, Inc. | 96 | 8,722 | ||||||
PPL Corp. | 184 | 4,680 | ||||||
Procter & Gamble Co. (The) | 490 | 57,706 | ||||||
Prologis, Inc., REIT | 858 | 76,550 | ||||||
Prudential Financial, Inc. | 99 | 6,150 | ||||||
Public Service Enterprise Group, Inc. | 91 | 4,637 | ||||||
Public Storage, REIT | 171 | 31,642 | ||||||
QUALCOMM, Inc. | 13 | 989 | ||||||
Raytheon Technologies Corp. | 126 | 8,172 | ||||||
Remington Outdoor Co., Inc. * ‡ | 16 | 19 | ||||||
Republic Services, Inc. | 102 | 7,971 | ||||||
Rexford Industrial Realty, Inc., REIT | 227 | 9,236 | ||||||
Schlumberger Ltd. | 73 | 1,228 | ||||||
Seagate Technology plc | 45 | 2,247 | ||||||
Simon Property Group, Inc., REIT | 16 | 1,069 | ||||||
South Jersey Industries, Inc. | 73 | 2,098 | ||||||
Southern Co. (The) | 92 | 5,199 | ||||||
Southwest Gas Holdings, Inc. | 37 | 2,809 | ||||||
Spire, Inc. | 30 | 2,200 | ||||||
Stanley Black & Decker, Inc. | 53 | 5,815 | ||||||
Steel Dynamics, Inc. | 69 | 1,673 | ||||||
T. Rowe Price Group, Inc. | 122 | 14,055 | ||||||
Tapestry, Inc. | 84 | 1,250 | ||||||
Targa Resources Corp. | 61 | 791 | ||||||
TerraForm Power, Inc., Class A | 96 | 1,666 | ||||||
Texas Instruments, Inc. | 366 | 42,458 | ||||||
Trane Technologies plc | 69 | 6,022 | ||||||
Travelers Cos., Inc. (The) | 78 | 7,882 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Truist Financial Corp. | 296 | 11,056 | ||||||
UGI Corp. | 66 | 2,004 | ||||||
United Parcel Service, Inc., Class B | 22 | 2,103 | ||||||
UnitedHealth Group, Inc. | 133 | 38,868 | ||||||
US Bancorp | 423 | 15,454 | ||||||
Ventas, Inc., REIT | 468 | 15,136 | ||||||
VEREIT, Inc., REIT | 2,381 | 13,046 | ||||||
Verizon Communications, Inc. | 1,520 | 87,345 | ||||||
VF Corp. | 82 | 4,787 | ||||||
VICI Properties, Inc., REIT | 1,437 | 25,026 | ||||||
Vistra Energy Corp. | 145 | 2,842 | ||||||
Vornado Realty Trust, REIT | 267 | 11,681 | ||||||
Walmart, Inc. | 65 | 7,928 | ||||||
WEC Energy Group, Inc. | 34 | 3,082 | ||||||
Weingarten Realty Investors, REIT | 444 | 8,073 | ||||||
Wells Fargo & Co. | 241 | 6,995 | ||||||
WestRock Co. | 59 | 1,907 | ||||||
Williams Cos., Inc. (The) | 104 | 2,005 | ||||||
Xcel Energy, Inc. | 772 | 49,059 | ||||||
|
| |||||||
2,112,383 | ||||||||
|
| |||||||
Total Common Stocks |
| 3,954,053 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
Collateralized Mortgage Obligations — 7.0% | ||||||||
Bermuda — 0.1% | ||||||||
Bellemeade Re Ltd. | ||||||||
Series 2018-3A, Class M1B, 2.34%, 10/25/2028 ‡ (e) (m) | 1,222 | 1,151 | ||||||
Series 2018-3A, Class M2, 3.24%, 10/25/2028 ‡ (e) (m) | 1,365 | 1,065 | ||||||
Series 2019-1A, Class M2, 3.19%, 3/25/2029 ‡ (e) (m) | 1,000 | 743 | ||||||
Eagle RE Ltd. | ||||||||
Series 2019-1, Class M1B, 2.29%, 4/25/2029 ‡ (e) (m) | 656 | 615 | ||||||
Series 2019-1, Class M2, 3.79%, 4/25/2029 ‡ (e) (m) | 1,980 | 1,610 | ||||||
|
| |||||||
5,184 | ||||||||
|
| |||||||
United States — 6.9% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
Series 2004-2, Class 6A1, 3.91%, 2/25/2035 (m) | 1,702 | 1,617 |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2004-4, Class 4A1, 3.93%, 3/25/2035 (m) | 3,182 | 2,989 | ||||||
Series 2005-2, Class 3A1, 4.06%, 6/25/2035 (m) | 775 | 708 | ||||||
Alternative Loan Trust | ||||||||
Series 2004-28CB, Class 4A1, 5.00%, 1/25/2020 | 6 | 6 | ||||||
Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | 7 | 7 | ||||||
Series 2005-J11, Class 5A1, 5.50%, 11/25/2020 | 182 | 174 | ||||||
Series 2005-85CB, Class 3A2, 5.25%, 2/25/2021 | 229 | 221 | ||||||
Series 2007-25, Class 2A1, 6.00%, 11/25/2022 | 78 | 72 | ||||||
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | 160 | 154 | ||||||
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026 | 385 | 331 | ||||||
Series 2005-J1, Class 3A1, 6.50%, 8/25/2032 | 63 | 63 | ||||||
Series 2004-12CB, Class 2A1, 6.00%, 6/25/2034 | 398 | 416 | ||||||
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 5,080 | 5,191 | ||||||
Series 2004-27CB, Class A1, 6.00%, 12/25/2034 | 319 | 303 | ||||||
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035 | 476 | 460 | ||||||
Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035 | 877 | 909 | ||||||
Series 2004-32CB, Class 2A5, 5.50%, 2/25/2035 | 3,075 | 2,992 | ||||||
Series 2005-3CB, Class 1A4, 5.25%, 3/25/2035 | 76 | 73 | ||||||
Series 2005-3CB, Class 1A13, 5.50%, 3/25/2035 | 9,174 | 8,826 | ||||||
Series 2005-J2, Class 1A5, 0.99%, 4/25/2035 (m) | 5,666 | 4,456 | ||||||
Series 2005-6CB, Class 1A4, 5.50%, 4/25/2035 | 3,777 | 3,518 | ||||||
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | 443 | 428 | ||||||
Series 2005-10CB, Class 1A5, 5.50%, 5/25/2035 | 3,795 | 3,412 | ||||||
Series 2005-10CB, Class 1A8, 5.50%, 5/25/2035 | 2,187 | 2,125 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2005-13CB, Class A4, 5.50%, 5/25/2035 | 1,612 | 1,580 | ||||||
Series 2005-21CB, Class A4, 5.25%, 6/25/2035 | 820 | 734 | ||||||
Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | 3,648 | 3,381 | ||||||
Series 2005-20CB, Class 1A1, 5.50%, 7/25/2035 | 182 | 160 | ||||||
Series 2005-23CB, Class A15, 5.50%, 7/25/2035 | 1,859 | 1,721 | ||||||
Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035 | 680 | 638 | ||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035 | 1,720 | 1,616 | ||||||
Series 2005-J14, Class A3, 5.50%, 12/25/2035 | 350 | 275 | ||||||
Series 2005-J14, Class A7, 5.50%, 12/25/2035 | 1,844 | 1,450 | ||||||
Series 2005-J14, Class A8, 5.50%, 12/25/2035 | 1,543 | 1,213 | ||||||
Series 2005-86CB, Class A4, 5.50%, 2/25/2036 | 426 | 343 | ||||||
Series 2006-J1, Class 1A13, 5.50%, 2/25/2036 | 161 | 140 | ||||||
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | 5,130 | 4,999 | ||||||
Series 2006-4CB, Class 2A5, 5.50%, 4/25/2036 | 967 | 882 | ||||||
Series 2006-14CB, Class A1, 6.00%, 6/25/2036 | 1,595 | 1,140 | ||||||
Series 2006-19CB, Class A15, 6.00%, 8/25/2036 | 615 | 495 | ||||||
Series 2006-25CB, Class A2, 6.00%, 10/25/2036 | 287 | 219 | ||||||
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037 | 3,119 | 2,248 | ||||||
Series 2007-8CB, Class A9, 6.00%, 5/25/2037 | 207 | 162 | ||||||
Series 2007-19, Class 1A8, 6.00%, 8/25/2037 | 178 | 126 | ||||||
American Home Mortgage Investment Trust | ||||||||
Series 2007-2, Class 12A1, 0.76%, 3/25/2037 (m) | 5,746 | 3,107 | ||||||
Series 2005-1, Class 6A, 2.97%, 6/25/2045 (m) | 180 | 175 | ||||||
Angel Oak Mortgage Trust | ||||||||
Series 2019-5, Class B1, 3.96%, 10/25/2049 ‡ (e) (m) | 2,250 | 2,059 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 95 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2019-3, Class B1, 4.10%, 5/25/2059 ‡ (e) (m) | 7,000 | 6,180 | ||||||
Series 2019-6, Class B1, 3.94%, 11/25/2059 (e) (m) | 4,000 | 3,352 | ||||||
Angel Oak Mortgage Trust I LLC | ||||||||
Series 2018-2, Class A1, 3.67%, 7/27/2048 (e) (m) | 6,924 | 6,988 | ||||||
Series 2018-3, Class A1, 3.65%, 9/25/2048 (e) (m) | 4,642 | 4,641 | ||||||
Series 2019-2, Class B1, 5.02%, 3/25/2049 ‡ (e) (m) | 4,000 | 3,795 | ||||||
Series 2019-4, Class A3, 3.30%, 7/26/2049 (e) (m) | 4,888 | 4,921 | ||||||
Series 2019-4, Class B1, 4.41%, 7/26/2049 (e) (m) | 5,000 | 4,570 | ||||||
Antler Mortgage Trust Series 2018-RTL1, Class A1, 4.34%, 7/25/2022 (e) | 6,760 | 6,750 | ||||||
Arroyo Mortgage Trust | ||||||||
Series 2018-1, Class A1, 3.76%, 4/25/2048 (e) (m) | 5,767 | 5,811 | ||||||
Series 2019-3, Class M1, 4.20%, 10/25/2048 ‡ (e) (m) | 3,000 | 2,408 | ||||||
Banc of America Alternative Loan Trust | ||||||||
Series 2005-12, Class 5A1, 5.25%, 1/25/2021 | 92 | 85 | ||||||
Series 2006-4, Class 2A1, 6.00%, 5/25/2021 | 4 | 4 | ||||||
Series 2005-11, Class 4A5, 5.75%, 12/25/2035 | 634 | 540 | ||||||
Series 2006-4, Class 3CB4, 6.00%, 5/25/2046 | 734 | 671 | ||||||
Series 2006-4, Class 4CB1, 6.50%, 5/25/2046 | 2,557 | 2,483 | ||||||
Series 2006-5, Class CB7, 6.00%, 6/25/2046 | 449 | 410 | ||||||
Banc of America Funding Trust | ||||||||
Series 2007-4, Class 8A1, 5.50%, 11/25/2034 | 51 | 41 | ||||||
Series 2005-6, Class 1A2, 5.50%, 10/25/2035 | 2,104 | 1,892 | ||||||
Series 2005-7, Class 4A7, 6.00%, 11/25/2035 | 389 | 386 | ||||||
Series 2006-A, Class 1A1, 4.37%, 2/20/2036 (m) | 859 | 765 | ||||||
Series 2006-2, Class 2A20, 5.75%, 3/25/2036 | 492 | 458 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2007-5, Class 4A1, 0.86%, 7/25/2037 (m) | 3,828 | 2,338 | ||||||
Banc of America Mortgage Trust | ||||||||
Series 2004-A, Class 2A2, 3.87%, 2/25/2034 (m) | 436 | 409 | ||||||
Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | 272 | 256 | ||||||
Bear Stearns ALT-A Trust Series 2006-8, Class 3A1, 0.65%, 2/25/2034 (m) | 314 | 281 | ||||||
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class M1, 1.49%, 10/25/2034 ‡ (m) | 392 | 59 | ||||||
Chase Mortgage Finance Trust | ||||||||
Series 2007-A2, Class 3A1, 4.30%, 6/25/2035 (m) | 5,380 | 5,111 | ||||||
Series 2006-S3, Class 1A2, 6.00%, 11/25/2036 | 1,292 | 852 | ||||||
Series 2006-S4, Class A5, 6.00%, 12/25/2036 | 981 | 648 | ||||||
Series 2007-S2, Class 1A8, 6.00%, 3/25/2037 | 259 | 188 | ||||||
CHL GMSR Issuer Trust | ||||||||
Series 2018-GT1, Class A, 3.24%, 5/25/2023 (e) (m) | 4,530 | 3,824 | ||||||
Series 2018-GT1, Class B, 3.99%, 5/25/2023 ‡ (e) (m) | 795 | 554 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series 2005-20, Class A7, 5.25%, 12/25/2027 | 144 | 118 | ||||||
Series 2004-25, Class 2A1, 1.17%, 2/25/2035 (m) | 2,960 | 2,516 | ||||||
Series 2005-26, Class 1A11, 5.50%, 11/25/2035 | 2,033 | 1,735 | ||||||
Series 2005-31, Class 2A1, 3.31%, 1/25/2036 (m) | 977 | 812 | ||||||
Series 2005-30, Class A5, 5.50%, 1/25/2036 | 207 | 172 | ||||||
Series 2006-HYB1, Class 2A2C, 3.37%, 3/20/2036 (m) | 2,959 | 2,622 | ||||||
Series 2006-HYB2, Class 2A1B, 3.59%, 4/20/2036 (m) | 1,027 | 875 | ||||||
Series 2006-J2, Class 1A1, 6.00%, 4/25/2036 | 119 | 94 | ||||||
Series 2006-10, Class 1A16, 6.00%, 5/25/2036 | 1,498 | 1,115 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2006-15, Class A1, 6.25%, 10/25/2036 | 111 | 80 | ||||||
Series 2006-17, Class A2, 6.00%, 12/25/2036 | 411 | 268 | ||||||
Series 2006-18, Class 2A4, 6.00%, 12/25/2036 | 2,817 | 2,273 | ||||||
Series 2007-2, Class A2, 6.00%, 3/25/2037 | 167 | 127 | ||||||
Series 2007-3, Class A18, 6.00%, 4/25/2037 | 1,226 | 924 | ||||||
Series 2007-10, Class A4, 5.50%, 7/25/2037 | 150 | 107 | ||||||
Series 2007-13, Class A4, 6.00%, 8/25/2037 | 316 | 238 | ||||||
Series 2007-16, Class A1, 6.50%, 10/25/2037 | 2,899 | 2,185 | ||||||
Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | 503 | 297 | ||||||
CIM Trust Series 2019-INV1, Class A2, 1.49%, 2/25/2049 (e) (m) | 2,419 | 2,435 | ||||||
Citicorp Mortgage Securities TrustSeries 2007-4, Class 1A9, 6.00%, 5/25/2037 | 595 | 557 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2005-3, Class 2A2A, 4.41%, 8/25/2035 (m) | 147 | 133 | ||||||
Series 2005-11, Class A2A, 4.38%, 10/25/2035 (m) | 291 | 269 | ||||||
Series 2006-AR3, Class 1A1A, 4.11%, 6/25/2036 (m) | 1,552 | 1,356 | ||||||
Series 2006-AR5, Class 1A5A, 3.83%, 7/25/2036 (m) | 784 | 672 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2005-4, Class A, 4.62%, 8/25/2035 (m) | 381 | 360 | ||||||
Series 2005-6, Class A1, 3.84%, 9/25/2035 (m) | 517 | 503 | ||||||
Series 2006-8, Class A3, 0.84%, 10/25/2035 (e) (m) | 753 | 493 | ||||||
Series 2005-9, Class 2A2, 5.50%, 11/25/2035 | 146 | 145 | ||||||
Civic Mortgage LLC | ||||||||
Series 2018-2, Class A1, 4.35%, 11/25/2022 (e) (i) | 564 | 563 | ||||||
Series 2018-2, Class A2, 5.32%, 11/25/2022 (e) (i) | 198 | 197 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
COLT Mortgage Loan Trust | ||||||||
Series 2018-4, Class A1, 4.01%, 12/28/2048 (e) (m) | 3,616 | 3,633 | ||||||
Series 2019-1, Class A1, 3.71%, 3/25/2049 (e) (m) | 5,972 | 5,996 | ||||||
Connecticut Avenue Securities Trust | ||||||||
Series 2018-R07, Class 1M2, 2.89%, 4/25/2031 (e) (m) | 11,317 | 10,564 | ||||||
Series 2019-R01, Class 2M2, 2.94%, 7/25/2031 (e) (m) | 4,555 | 4,058 | ||||||
Series 2019-R02, Class 1M2, 2.79%, 8/25/2031 ‡ (e) (m) | 11,133 | 10,155 | ||||||
Series 2019-R03, Class 1M2, 2.64%, 9/25/2031 (e) (m) | 1,890 | 1,718 | ||||||
Series 2019-R04, Class 2M2, 2.59%, 6/25/2039 ‡ (e) (m) | 2,500 | 2,227 | ||||||
Series 2019-R05, Class 1M2, 2.49%, 7/25/2039 (e) (m) | 7,963 | 7,254 | ||||||
Series 2019-R06, Class 2M1, 1.24%, 9/25/2039 (e) (m) | 3,291 | 3,268 | ||||||
Series 2019-R07, Class 1M2, 2.59%, 10/25/2039 (e) (m) | 12,000 | 10,374 | ||||||
Series 2020-R02, Class 2M2, 2.49%, 1/25/2040 (e) (m) | 10,000 | 7,054 | ||||||
Series 2020-R01, Class 1M2, 2.54%, 1/25/2040 ‡ (e) (m) | 5,000 | 3,771 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates | ||||||||
Series 2005-10, Class 11A1, 5.50%, 11/25/2020 | 608 | 154 | ||||||
Series 2003-29, Class 3A1, 5.50%, 12/25/2033 | 309 | 304 | ||||||
Series 2004-AR4, Class 4A1, 3.79%, 5/25/2034 (m) | 2,152 | 2,046 | ||||||
Series 2004-AR4, Class 2A1, 3.89%, 5/25/2034 (m) | 365 | 352 | ||||||
Series 2004-AR5, Class 6A1, 4.00%, 6/25/2034 (m) | 498 | 480 | ||||||
Series 2004-4, Class 4A1, 5.50%, 8/25/2034 | 3,160 | 3,198 | ||||||
Series 2004-8, Class 4A3, 5.50%, 12/25/2034 | 121 | 120 | ||||||
Series 2005-4, Class 2A5, 1.04%, 6/25/2035 (m) | 3,744 | 2,787 | ||||||
Series 2005-10, Class 5A3, 5.50%, 11/25/2035 | 430 | 371 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 97 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
CSFB Mortgage-Backed Trust Series 2004-AR6, Class 7A1, 3.89%, 10/25/2034 (m) | 1,212 | 1,135 | ||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2006-8, Class 5A1, 5.66%, 10/25/2026 (m) | 48 | 47 | ||||||
Series 2007-2, Class 3A13, 5.50%, 3/25/2037 | 554 | 445 | ||||||
Series 2007-3, Class 4A5, 5.00%, 4/25/2037 | 106 | 98 | ||||||
Deephave Residential Mortgage Trust | ||||||||
Series 2019-2A, Class B1, 4.72%, 4/25/2059 ‡ (e) (m) | 7,061 | 6,476 | ||||||
Series 2019-2A, Class B2, 5.79%, 4/25/2059 ‡ (e) (m) | 3,100 | 2,790 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
Series 2018-3A, Class A1, 3.79%, 8/25/2058 (e) (m) | 3,648 | 3,646 | ||||||
Series 2019-1A, Class B1, 5.25%, 1/25/2059 ‡ (e) (m) | 4,750 | 4,152 | ||||||
Series 2019-3A, Class B1, 4.26%, 7/25/2059 ‡ (e) (m) | 3,900 | 3,444 | ||||||
Series 2019-3A, Class B2, 5.66%, 7/25/2059 ‡ (e) (m) | 6,000 | 5,401 | ||||||
Series 2019-4A, Class B1, 3.99%, 10/25/2059 ‡ (e) (m) | 4,000 | 3,447 | ||||||
Series 2019-4A, Class B2, 4.92%, 10/25/2059 ‡ (e) (m) | 5,250 | 4,518 | ||||||
Series 2020-1, Class A3, 2.65%, 1/25/2060 (e) (m) | 5,691 | 5,598 | ||||||
Series 2020-1, Class B1, 3.66%, 1/25/2060 ‡ (e) (m) | 2,000 | 1,788 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 5.06%, 2/25/2020 (m) | 45 | 44 | ||||||
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 0.98%, 8/19/2045 (m) | 2,230 | 1,931 | ||||||
FHLMC STACR Remic Trust | ||||||||
Series 2020-DNA2, Class M2, 2.34%, 2/25/2050 (e) (m) | 3,000 | 2,222 | ||||||
Series 2020-HQA2, Class M2, 3.59%, 3/25/2050 (e) (m) | 6,228 | 4,354 | ||||||
FHLMC STACR Trust Series 2018-HQA2, Class M2, 2.79%, 10/25/2048 (e) (m) | 7,260 | 6,129 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
FHLMC Structured Agency Credit Risk Debt Notes | ||||||||
Series 2017-DNA1, Class M2, 3.74%, 7/25/2029 (m) | 3,000 | 2,859 | ||||||
Series 2017-DNA2, Class M2, 3.94%, 10/25/2029 (m) | 4,000 | 3,836 | ||||||
Series 2017-DNA3, Class M2, 2.99%, 3/25/2030 (m) | 6,000 | 5,642 | ||||||
Series 2017-DNA3, Class B1, 4.94%, 3/25/2030 (m) | 3,000 | 2,225 | ||||||
Series 2018-HQA1, Class M2, 2.79%, 9/25/2030 (m) | 9,889 | 8,697 | ||||||
FHLMC, REMIC | ||||||||
Series 4068, Class DS, IF, IO, 5.19%, 6/15/2042 (m) | 4,545 | 837 | ||||||
Series 4097, Class ES, IF, IO, 5.29%, 8/15/2042 (m) | 6,353 | 1,207 | ||||||
Series 4103, Class SB, IF, IO, 5.24%, | 6,682 | 1,300 | ||||||
Series 4425, Class SA, IF, IO, 5.24%, | 6,919 | 1,274 | ||||||
Series 4594, Class SG, IF, IO, 5.19%, | 5,690 | 1,303 | ||||||
Series 4606, Class SB, IF, IO, 5.19%, | 9,854 | 2,281 | ||||||
Series 4614, Class SK, IF, IO, 5.19%, | 18,095 | 4,112 | ||||||
Series 4616, Class HS, IF, IO, 5.19%, | 7,818 | 1,511 | ||||||
Series 4703, Class SA, IF, IO, 5.34%, | 11,566 | 2,451 | ||||||
Series 4718, Class SD, IF, IO, 5.34%, | 6,573 | 1,324 | ||||||
Series 4768, Class SG, IF, IO, 5.39%, | 5,216 | 965 | ||||||
Series 4820, Class ES, IF, IO, 5.39%, | 4,591 | 616 | ||||||
Series 4834, Class SA, IF, IO, 5.34%, 10/15/2048 (m) | 9,907 | 1,607 | ||||||
Series 4632, Class MA, 4.00%, 8/15/2054 | 11,790 | 12,740 | ||||||
Series 4839, Class WS, IF, IO, 5.29%, | 11,143 | 2,479 | ||||||
FHLMC, STRIPS | ||||||||
Series 264, Class S1, IF, IO, 5.14%, | 4,519 | 765 | ||||||
Series 274, Class S1, IF, IO, 5.19%, | 5,803 | 1,028 |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 278, Class S1, IF, IO, 5.24%, | 5,794 | 1,001 | ||||||
Series 279, Class S6, IF, IO, 5.24%, | 4,231 | 798 | ||||||
Series 300, Class S1, IF, IO, 5.29%, | 5,110 | 879 | ||||||
Series 311, Class S1, IF, IO, 5.14%, | 2,961 | 513 | ||||||
Series 316, Class S7, IF, IO, 5.29%, | 4,572 | 1,002 | ||||||
Series 326, Class S2, IF, IO, 5.14%, | 6,017 | 997 | ||||||
Series 336, Class S1, IF, IO, 5.24%, | 3,708 | 695 | ||||||
Series 337, Class S1, IF, IO, 5.24%, | 2,674 | 482 | ||||||
Series 356, Class S5, IF, IO, 5.19%, | 15,883 | 3,190 | ||||||
First Horizon Alternative Mortgage Securities Trust Series 2006-FA6, Class 3A1, 5.75%, 11/25/2021 | 99 | 95 | ||||||
FNMA, Connecticut Avenue Securities | ||||||||
Series 2017-C01, Class 1B1, 6.24%, | 1,820 | 1,500 | ||||||
Series 2017-C05, Class 1M2, 2.69%, | 12,479 | 11,554 | ||||||
Series 2017-C07, Class 2M2, 2.99%, 5/25/2030 (m) | 2,681 | 2,335 | ||||||
Series 2018-C01, Class 1M2, 2.74%, 7/25/2030 (m) | 8,000 | 6,976 | ||||||
Series 2018-C03, Class 1M2, 2.64%, 10/25/2030 (m) | 6,083 | 5,457 | ||||||
Series 2018-C04, Class 2M2, 3.04%, 12/25/2030 (m) | 14,271 | 12,339 | ||||||
Series 2018-C05, Class 1M2, 2.84%, 1/25/2031 (m) | 8,000 | 7,141 | ||||||
FNMA, REMIC | ||||||||
Series 2011-126, Class SM, IF, IO, 5.46%, 12/25/2041 (m) | 5,825 | 908 | ||||||
Series 2012-20, Class SL, IF, IO, 5.96%, 3/25/2042 (m) | 6,719 | 1,638 | ||||||
Series 2012-35, Class SN, IF, IO, 5.96%, 4/25/2042 (m) | 6,921 | 1,416 | ||||||
Series 2012-75, Class DS, IF, IO, 5.46%, 7/25/2042 (m) | 6,548 | 1,225 | ||||||
Series 2012-128, Class MS, IF, IO, 5.66%, 11/25/2042 (m) | 2,228 | 530 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2013-124, Class SB, IF, IO, 5.46%, 12/25/2043 (m) | 6,468 | 1,183 | ||||||
Series 2013-136, Class SB, IF, IO, 5.41%, 1/25/2044 (m) | 7,503 | 1,239 | ||||||
Series 2015-35, Class SA, IF, IO, 5.11%, 6/25/2045 (m) | 6,732 | 1,152 | ||||||
Series 2015-37, Class ST, IF, IO, 5.13%, 6/25/2045 (m) | 6,103 | 985 | ||||||
Series 2016-1, Class SJ, IF, IO, 5.66%, 2/25/2046 (m) | 16,588 | 2,681 | ||||||
Series 2016-77, Class SA, IF, IO, 5.51%, 10/25/2046 (m) | 5,672 | 1,041 | ||||||
Series 2017-1, Class SA, IF, IO, 5.56%, 2/25/2047 (m) | 5,511 | 1,158 | ||||||
Series 2017-16, Class SM, IF, IO, 5.56%, 3/25/2047 (m) | 3,557 | 715 | ||||||
Series 2017-37, Class AS, IF, IO, 5.61%, 5/25/2047 (m) | 16,155 | 3,154 | ||||||
Series 2018-14, Class SA, IF, IO, 5.71%, 3/25/2048 (m) | 12,542 | 2,343 | ||||||
Series 2018-15, Class JS, IF, IO, 5.71%, 3/25/2048 (m) | 7,232 | 1,299 | ||||||
Series 2018-16, Class SN, IF, IO, 5.76%, 3/25/2048 (m) | 3,337 | 577 | ||||||
Series 2018-27, Class SE, IF, IO, 5.71%, 5/25/2048 (m) | 4,451 | 1,007 | ||||||
Series 2018-60, Class SK, IF, IO, 5.21%, 8/25/2048 (m) | 5,571 | 959 | ||||||
Series 2018-73, Class SC, IF, IO, 5.71%, 10/25/2048 (m) | 10,697 | 2,107 | ||||||
Series 2019-9, Class SM, IF, IO, 5.56%, 3/25/2049 (m) | 7,780 | 1,291 | ||||||
Series 2019-20, Class BS, IF, IO, 5.56%, 5/25/2049 (m) | 3,828 | 378 | ||||||
Fremont Home Loan Trust Series 2004-A, Class M1, 1.31%, 1/25/2034 ‡ (m) | 2,751 | 2,533 | ||||||
GCAT LLC Series 2019-NQM1, Class M1, 3.85%, 2/25/2059 ‡ (e) (m) | 2,500 | 2,282 | ||||||
GCAT Trust | ||||||||
Series 2019-NQM2, Class M1, 3.31%, 9/25/2059 ‡ (e) (m) | 10,000 | 9,237 | ||||||
Series 2019-NQM2, Class B1, 4.01%, 9/25/2059 ‡ (e) (m) | 5,000 | 4,309 | ||||||
Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 ‡ (e) (m) | 3,000 | 2,518 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 99 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
GMACM Mortgage Loan Trust | ||||||||
Series 2004-AR2, Class 3A, 4.61%, 8/19/2034 (m) | 499 | 441 | ||||||
Series 2005-AR1, Class 3A, 4.27%, 3/18/2035 (m) | 235 | 215 | ||||||
GNMA | ||||||||
Series 2014-25, Class HS, IF, IO, 5.38%, 2/20/2044 (m) | 4,380 | 886 | ||||||
Series 2015-124, Class SB, IF, IO, 5.53%, 9/20/2045 (m) | 7,392 | 1,644 | ||||||
Series 2015-149, Class GS, IF, IO, 5.53%, 10/20/2045 (m) | 6,797 | 1,367 | ||||||
Series 2016-111, Class SA, IF, IO, 5.38%, 8/20/2046 (m) | 3,531 | 783 | ||||||
Series 2016-120, Class NS, IF, IO, 5.38%, 9/20/2046 (m) | 9,528 | 2,132 | ||||||
Series 2017-11, Class AS, IF, IO, 5.38%, 1/20/2047 (m) | 4,261 | 862 | ||||||
Series 2017-55, Class AS, IF, IO, 5.43%, 4/20/2047 (m) | 3,376 | 627 | ||||||
Series 2017-56, Class SC, IF, IO, 5.43%, 4/20/2047 (m) | 6,337 | 1,287 | ||||||
Series 2017-68, Class SA, IF, IO, 5.43%, 5/20/2047 (m) | 5,890 | 1,200 | ||||||
Series 2017-67, Class ST, IF, IO, 5.48%, 5/20/2047 (m) | 10,090 | 2,398 | ||||||
Series 2017-75, Class SD, IF, IO, 5.48%, 5/20/2047 (m) | 3,003 | 513 | ||||||
Series 2017-80, Class AS, IF, IO, 5.48%, 5/20/2047 (m) | 6,498 | 1,371 | ||||||
Series 2017-93, Class SE, IF, IO, 5.48%, 6/20/2047 (m) | 4,573 | 948 | ||||||
Series 2017-107, Class SL, IF, IO, 5.48%, 7/20/2047 (m) | 11,727 | 2,567 | ||||||
Series 2017-112, Class S, IF, IO, 5.48%, 7/20/2047 (m) | 10,544 | 2,180 | ||||||
Series 2017-120, Class QS, IF, IO, 5.48%, 8/20/2047 (m) | 5,465 | 1,025 | ||||||
Series 2017-134, Class SB, IF, IO, 5.48%, 9/20/2047 (m) | 5,990 | 942 | ||||||
Series 2017-141, Class QS, IF, IO, 5.48%, 9/20/2047 (m) | 12,712 | 2,469 | ||||||
Series 2017-149, Class QS, IF, IO, 5.48%, 10/20/2047 (m) | 6,207 | 1,111 | ||||||
Series 2018-1, Class ST, IF, IO, 5.48%, 1/20/2048 (m) | 11,189 | 2,487 | ||||||
Series 2018-11, Class SA, IF, IO, 5.48%, 1/20/2048 (m) | 8,783 | 1,025 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2018-6, Class CS, IF, IO, 5.48%, 1/20/2048 (m) | 3,714 | 836 | ||||||
Series 2018-36, Class SG, IF, IO, 5.48%, 3/20/2048 (m) | 10,922 | 2,397 | ||||||
Series 2018-63, Class SB, IF, IO, 5.48%, 4/20/2048 (m) | 2,403 | 552 | ||||||
Series 2018-64, Class GS, IF, IO, 5.48%, 5/20/2048 (m) | 9,904 | 1,673 | ||||||
Series 2018-65, Class SE, IF, IO, 5.48%, 5/20/2048 (m) | 10,075 | 1,903 | ||||||
Series 2018-92, Class SH, IF, IO, 5.48%, 7/20/2048 (m) | 5,667 | 954 | ||||||
Series 2018-115, Class DS, IF, IO, 5.48%, 8/20/2048 (m) | 13,728 | 2,670 | ||||||
Series 2018-126, Class CS, IF, IO, 5.48%, 9/20/2048 (m) | 8,840 | 1,249 | ||||||
Series 2018-146, Class S, IF, IO, 5.43%, 10/20/2048 (m) | 7,350 | 1,354 | ||||||
Series 2018-147, Class SD, IF, IO, 5.43%, 10/20/2048 (m) | 16,160 | 3,130 | ||||||
Series 2018-168, Class SA, IF, IO, 5.38%, 12/20/2048 (m) | 6,007 | 1,047 | ||||||
Series 2019-16, Class SB, IF, IO, 5.33%, 2/20/2049 (m) | 11,965 | 1,570 | ||||||
Series 2019-22, Class SM, IF, IO, 5.33%, 2/20/2049 (m) | 24,057 | 4,737 | ||||||
Series 2019-23, Class JS, IF, IO, 5.33%, 2/20/2049 (m) | 9,020 | 1,301 | ||||||
Series 2019-30, Class SA, IF, IO, 5.33%, 3/20/2049 (m) | 13,825 | 2,123 | ||||||
Series 2019-38, Class SN, IF, IO, 5.33%, 3/20/2049 (m) | 11,072 | 2,176 | ||||||
Series 2019-41, Class CS, IF, IO, 5.33%, 3/20/2049 (m) | 11,977 | 1,402 | ||||||
Series 2019-42, Class SJ, IF, IO, 5.33%, 4/20/2049 (m) | 12,276 | 1,504 | ||||||
Series 2019-56, Class GS, IF, IO, 5.43%, 5/20/2049 (m) | 7,022 | 1,390 | ||||||
Series 2019-69, Class DS, IF, IO, 5.38%, 6/20/2049 (m) | 7,878 | 1,421 | ||||||
Series 2019-70, Class SM, IF, IO, 5.38%, 6/20/2049 (m) | 7,674 | 1,421 | ||||||
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (e) (m) | 1,399 | 701 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-15F, Class 1A2, 5.50%, 12/25/2034 | 267 | 274 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2005-1F, Class 2A3, 6.00%, 2/25/2035 | 240 | 230 | ||||||
Series 2005-AR3, Class 6A1, 3.79%, 5/25/2035 (m) | 121 | 107 | ||||||
Series 2005-AR4, Class 3A5, 4.21%, 7/25/2035 (m) | 1,996 | 1,680 | ||||||
Series 2005-6F, Class 3A18, 5.50%, 7/25/2035 | 1,174 | 1,188 | ||||||
Series 2005-AR7, Class 6A1, 4.12%, 11/25/2035 (m) | 1,085 | 987 | ||||||
Series 2006-1F, Class 2A16, 6.00%, 2/25/2036 | 828 | 582 | ||||||
Series 2006-1F, Class 2A9, 6.00%, 2/25/2036 | 1,341 | 943 | ||||||
Series 2006-9F, Class 3A1, 6.25%, 10/25/2036 | 768 | 736 | ||||||
Series 2007-1F, Class 3A13, 6.00%, 1/25/2037 | 386 | 340 | ||||||
HarborView Mortgage Loan TrustSeries 2005-11, Class 2A1A, 1.34%, 8/19/2045 (m) | 266 | 235 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
Series 2018-2, Class A1, 3.98%, 11/25/2058 (e) (m) | 2,883 | 2,891 | ||||||
Series 2019-1, Class M1, 3.95%, 1/25/2059 ‡ (e) (m) | 2,000 | 1,855 | ||||||
Series 2019-1, Class B1, 4.80%, 1/25/2059 ‡ (e) (m) | 1,850 | 1,654 | ||||||
Series 2019-3, Class B1, 4.02%, 11/25/2059 ‡ (e) (m) | 4,970 | 4,035 | ||||||
Impac CMB Trust | ||||||||
Series 2004-5, Class 1A1, 1.21%, 10/25/2034 (m) | 567 | �� | 529 | |||||
Series 2004-6, Class 1A2, 1.27%, 10/25/2034 (m) | 1,459 | 1,379 | ||||||
Series 2004-5, Class 1M2, 1.36%, 10/25/2034 ‡ (m) | 207 | 186 | ||||||
Series 2004-7, Class 1A2, 1.41%, 11/25/2034 (m) | 627 | 591 | ||||||
Series 2004-9, Class 1A1, 1.25%, 1/25/2035 (m) | 2,355 | 2,255 | ||||||
Series 2004-10, Class 2A, 1.13%, 3/25/2035 (m) | 771 | 644 | ||||||
Series 2004-10, Class 3A1, 1.19%, 3/25/2035 (m) | 2,551 | 2,235 | ||||||
Series 2005-1, Class 1A1, 1.01%, 4/25/2035 (m) | 487 | 440 | ||||||
Series 2005-1, Class 1A2, 1.11%, 4/25/2035 (m) | 596 | 537 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2005-2, Class 1A2, 1.11%, 4/25/2035 (m) | 535 | 483 | ||||||
Series 2005-4, Class 1A1A, 1.03%, 5/25/2035 (m) | 393 | 367 | ||||||
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A4, 3.75%, 8/25/2033 | 287 | 272 | ||||||
Impac Secured Assets Trust | ||||||||
Series 2007-3, Class A1B, 0.73%, 9/25/2037 (m) | 2,832 | 2,218 | ||||||
Series 2007-3, Class A1C, 0.85%, 9/25/2037 (m) | 4,745 | 3,414 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
Series 2005-AR3, Class 3A1, 3.53%, 4/25/2035 (m) | 352 | 320 | ||||||
Series 2005-AR14, Class 2A1A, 0.79%, 7/25/2035 (m) | 1,154 | 976 | ||||||
Series 2007-AR21, Class 6A1, 3.46%, 9/25/2037 (m) | 5,823 | 4,532 | ||||||
JP Morgan Alternative Loan TrustSeries 2006-A2, Class 1A1, 0.67%, 5/25/2036 (m) | 3,651 | 3,105 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2006-S2, Class 2A1, 5.00%, 6/25/2021 | 32 | 28 | ||||||
Series 2006-S3, Class 2A4, 5.50%, 8/25/2021 | 22 | 22 | ||||||
Series 2007-S3, Class 2A3, 6.00%, 8/25/2022 | 28 | 30 | ||||||
Series 2004-A6, Class 1A1, 3.53%, 12/25/2034 (m) | 159 | 144 | ||||||
Series 2005-A3, Class 6A6, 3.91%, 6/25/2035 (m) | 419 | 395 | ||||||
Series 2007-A1, Class 2A2, 4.17%, 7/25/2035 (m) | 299 | 281 | ||||||
Series 2005-A6, Class 1A2, 4.31%, 9/25/2035 (m) | 384 | 373 | ||||||
Series 2005-A8, Class 1A1, 3.91%, 11/25/2035 (m) | 151 | 129 | ||||||
Series 2005-A8, Class 4A1, 4.09%, 11/25/2035 (m) | 1,990 | 1,699 | ||||||
Series 2006-A7, Class 2A4, 3.80%, 1/25/2037 (m) | 752 | 639 | ||||||
Series 2007-S1, Class 2A17, 0.82%, 3/25/2037 (m) | 5,013 | 1,698 | ||||||
Lehman Mortgage Trust | ||||||||
Series 2005-2, Class 2A5, 5.50%, 12/25/2035 | 1,124 | 942 | ||||||
Series 2007-7, Class 5A7, 6.50%, 8/25/2037 | 9,011 | 6,490 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 101 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Lehman XS Trust | ||||||||
Series 2005-5N, Class 3A1A, 0.79%, 11/25/2035 (m) | 5,179 | 4,874 | ||||||
Series 2005-7N, Class 1A1A, 1.03%, 12/25/2035 (m) | 4,317 | 3,871 | ||||||
LHOME Mortgage Trust | ||||||||
Series 2019-RTL1, Class A1, 4.58%, 10/25/2023 (e) (i) | 2,900 | 2,777 | ||||||
Series 2019-RTL2, Class A1, 3.84%, 3/25/2024 (e) | 3,660 | 3,418 | ||||||
Series 2019-RTL2, Class A2, 4.34%, 3/25/2024 (e) (i) | 580 | 509 | ||||||
Series 2019-RTL3, Class A2, 4.34%, 7/25/2024 (e) (i) | 1,340 | 1,180 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2006-3, Class 3A1, 5.50%, 6/25/2021 | 131 | 139 | ||||||
Series 2004-8, Class 1A1, 6.50%, 9/25/2034 | 402 | 425 | ||||||
Series 2004-12, Class 3A1, 6.00%, 12/25/2034 | 1,001 | 1,005 | ||||||
Series 2005-3, Class 1A1, 5.50%, 4/25/2035 | 295 | 292 | ||||||
Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | 271 | 198 | ||||||
Series 2005-6, Class 1A2, 5.50%, 12/25/2035 | 660 | 578 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2005-1, Class 2A1, 3.48%, 4/25/2035 (m) | 84 | 76 | ||||||
Series 2005-1, Class 2A2, 3.48%, 4/25/2035 (m) | 267 | 240 | ||||||
Series 2006-1, Class 2A1, 3.58%, 2/25/2036 (m) | 1,173 | 1,068 | ||||||
Series 2006-AF2, Class AF2, 6.25%, 10/25/2036 | 291 | 218 | ||||||
Metlife Securitization Trust Series 2017-1A, Class A, 3.00%, 4/25/2055 (e) (m) | 5,872 | 5,966 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
Series 2006-2, Class 1A, 5.25%, 2/25/2021 | 662 | 631 | ||||||
Series 2004-8AR, Class 4A1, 3.98%, 10/25/2034 (m) | 931 | 901 | ||||||
Series 2004-9, Class 1A, 5.38%, 11/25/2034 (m) | 642 | 663 | ||||||
Series 2005-4, Class 1A, 5.00%, 8/25/2035 | 23 | 23 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
MortgageIT Trust | ||||||||
Series 2005-3, Class A1, 1.09%, 8/25/2035 (m) | 2,821 | 2,620 | ||||||
Series 2005-5, Class A1, 1.01%, 12/25/2035 (m) | 405 | 369 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2018-NQM1, Class A1, 3.99%, 11/25/2048 (e) (m) | 5,152 | 5,237 | ||||||
Series 2019-NQM1, Class A1, 3.67%, 1/25/2049 (e) (m) | 5,019 | 4,975 | ||||||
Series 2019-NQM2, Class M1, 4.27%, 4/25/2049 ‡ (e) (m) | 2,000 | 1,882 | ||||||
Series 2019-NQM4, Class B1, 3.74%, 9/25/2059 ‡ (e) (m) | 2,500 | 2,189 | ||||||
Series 2019-NQM4, Class B2, 5.05%, 9/25/2059 ‡ (e) (m) | 4,000 | 3,561 | ||||||
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 ‡ (e) (m) | 2,041 | 1,813 | ||||||
Series 2020-NQM1, Class A3, 2.77%, 1/26/2060 (e) (m) | 6,383 | 6,158 | ||||||
Series 2020-NQM1, Class M1, 3.21%, 1/26/2060 ‡ (e) (m) | 3,600 | 3,069 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-WF1, Class 2A5, 5.16%, 3/25/2035 (i) | 17 | 18 | ||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates | ||||||||
Series 2005-4, Class 1A2, 0.88%, 11/25/2035 (m) | 243 | 239 | ||||||
Series 2005-5, Class 1APT, 0.77%, 12/25/2035 (m) | 1,806 | 1,582 | ||||||
Opteum Mortgage Acceptance Corp. Trust | ||||||||
Series 2006-1, Class 1APT, 0.70%, 4/25/2036 (m) | 613 | 534 | ||||||
Series 2006-1, Class 1AC1, 0.79%, 4/25/2036 (m) | 2,193 | 1,898 | ||||||
PMT Credit Risk Transfer Trust Series 2019-2R, Class A, 3.19%, 5/27/2023 (e) (m) | 794 | 754 | ||||||
Provident Funding Mortgage Loan Trust Series 2005-1, Class 2A1, 3.82%, 5/25/2035 (m) | 58 | 58 | ||||||
PRPM LLC Series 2019-1A, Class A1, 4.50%, 1/25/2024 (e) (i) | 10,744 | 10,221 | ||||||
RALI Trust | ||||||||
Series 2003-QS20, Class CB, 5.00%, 11/25/2018 | 3 | 3 | ||||||
Series 2005-QA5, Class A2, 4.99%, 4/25/2035 (m) | 1,664 | 1,486 |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2005-QS17, Class A3, 6.00%, 12/25/2035 | 984 | 909 | ||||||
Series 2006-QS3, Class 1A10, 6.00%, 3/25/2036 | 1,587 | 1,475 | ||||||
Series 2006-QS4, Class A2, 6.00%, 4/25/2036 | 1,810 | 1,645 | ||||||
Series 2006-QS17, Class A5, 6.00%, 12/25/2036 | 2,864 | 2,543 | ||||||
Residential Asset Securitization Trust | ||||||||
Series 2004-A6, Class A1, 5.00%, 8/25/2019 | 4 | 4 | ||||||
Series 2005-A3, Class A2, 5.50%, 4/25/2035 | 3,252 | 2,702 | ||||||
Series 2005-A8CB, Class A11, 6.00%, 7/25/2035 | 2,014 | 1,621 | ||||||
Series 2005-A14, Class A1, 5.50%, 12/25/2035 | 169 | 124 | ||||||
Series 2006-A8, Class 3A1, 6.00%, 8/25/2036 | 3,456 | 2,446 | ||||||
Series 2007-A5, Class 2A2, 6.00%, 5/25/2037 | 8,313 | 6,073 | ||||||
Residential Mortgage Loan Trust Series 2019-2, Class M1, 3.86%, 5/25/2059 (e) (m) | 1,700 | 1,618 | ||||||
RFMSI Trust | ||||||||
Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 | — | (k) | 1 | |||||
Series 2005-SA1, Class 3A, 4.12%, 3/25/2035 (m) | 75 | 74 | ||||||
Series 2005-S7, Class A6, 5.50%, 11/25/2035 | 118 | 106 | ||||||
Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | 2,220 | 1,982 | ||||||
Series 2006-SA4, Class 2A1, 5.22%, 11/25/2036 (m) | 2,199 | 1,815 | ||||||
Seasoned Credit Risk Transfer Trust Series 2017-3, Class AIO, IO, 0.02%, 7/25/2056 (m) | 291,439 | 286 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2007-3, Class 1A1, 0.92%, 7/20/2036 (m) | 727 | 657 | ||||||
Series 2018-2, Class A4, 3.50%, 2/25/2048 (e) (m) | 5,074 | 5,152 | ||||||
Spruce Hill Mortgage Loan Trust | ||||||||
Series 2019-SH1, Class A1, 3.40%, 4/29/2049 (e) (m) | 2,319 | 2,313 | ||||||
Series 2019-SH1, Class A3, 3.65%, 4/29/2049 (e) (m) | 2,916 | 2,904 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
STACR Trust Series 2018-DNA2, Class M2, 2.64%, 12/25/2030 ‡ (e) (m) | 11,100 | 9,600 | ||||||
STACR Trust 2018-DNA3 Series 2018-DNA3, Class M2, 2.59%, 9/25/2048 ‡ (e) (m) | 8,000 | 6,846 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2018-IMC1, Class A1, 3.79%, 3/25/2048 (e) (m) | 4,125 | 4,126 | ||||||
Series 2018-IMC1, Class B1, 5.29%, 3/25/2048 (e) (m) | 5,661 | 5,266 | ||||||
Series 2019-IMC1, Class B1, 5.05%, 2/25/2049 (e) (m) | 1,599 | 1,191 | ||||||
Series 2019-1, Class A1, 2.94%, 6/25/2049 (e) (m) | 6,834 | 6,788 | ||||||
Series 2019-1, Class M1, 3.76%, 6/25/2049 ‡ (e) (m) | 6,250 | 5,542 | ||||||
Series 2020-1, Class B1, 3.73%, 2/25/2050 ‡ (e) (m) | 5,410 | 4,619 | ||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 1A1, 3.74%, 2/25/2035 (m) | 381 | 350 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
Series 2005-AR3, Class 1A1, 1.03%, 8/25/2035 (m) | 3,167 | 2,941 | ||||||
Series 2007-AR7, Class 1A1, 1.34%, 5/25/2047 (m) | 3,694 | 2,586 | ||||||
Toorak Mortgage Corp. Ltd. | ||||||||
Series 2018-1, Class A1, 4.34%, 8/25/2021 (e) (i) | 5,620 | 4,880 | ||||||
Series 2019-1, Class A1, 4.46%, 3/25/2022 (e) (i) | 7,400 | 6,634 | ||||||
Series 2019-2, Class A1, 3.72%, 9/25/2022 (i) | 1,970 | 1,788 | ||||||
Verus Securitization Trust | ||||||||
Series 2018-INV1, Class B1, 4.55%, 3/25/2058 ‡ (e) (m) | 5,000 | 4,408 | ||||||
Series 2018-2, Class A1, 3.68%, 6/1/2058 (e) (m) | 4,707 | 4,729 | ||||||
Series 2018-3, Class A1, 4.11%, 10/25/2058 (e) (m) | 3,157 | 3,192 | ||||||
Series 2019-1, Class A1, 3.84%, 2/25/2059 (e) (m) | 3,891 | 3,856 | ||||||
Series 2019-2, Class B1, 4.44%, 5/25/2059 ‡ (e) (m) | 1,700 | 1,365 | ||||||
Series 2019-INV2, Class M1, 3.50%, 7/25/2059 ‡ (e) (m) | 2,000 | 1,624 | ||||||
Series 2019-INV2, Class B1, 4.45%, 7/25/2059 ‡ (e) (m) | 2,000 | 1,588 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 103 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 ‡ (e) (m) | 5,000 | 3,882 | ||||||
Series 2019-INV1, Class M1, 4.03%, 12/25/2059 ‡ (e) (m) | 1,000 | 815 | ||||||
Series 2019-INV1, Class B1, 4.99%, 12/25/2059 ‡ (e) | 4,100 | 3,316 | ||||||
Series 2020-1, Class M1, 3.02%, 1/25/2060 ‡ (e) (m) | 1,700 | 1,415 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2004-AR11, Class A, 4.22%, 10/25/2034 (m) | 1,091 | 1,023 | ||||||
Series 2005-AR5, Class A6, 4.14%, 5/25/2035 (m) | 2,529 | 2,430 | ||||||
Series 2005-AR7, Class A3, 4.25%, 8/25/2035 (m) | 3,657 | 3,317 | ||||||
Series 2005-AR10, Class 1A3, 4.13%, 9/25/2035 (m) | 2,131 | 2,094 | ||||||
Series 2005-AR16, Class 1A1, 3.75%, 12/25/2035 (m) | 713 | 638 | ||||||
Series 2005-AR14, Class 1A3, 3.83%, 12/25/2035 (m) | 1,630 | 1,503 | ||||||
Series 2005-AR14, Class 1A4, 3.83%, 12/25/2035 (m) | 1,087 | 1,002 | ||||||
Series 2005-AR18, Class 1A3A, 3.69%, 1/25/2036 (m) | 71 | 67 | ||||||
Series 2006-AR2, Class 1A1, 3.71%, 3/25/2036 (m) | 312 | 273 | ||||||
Series 2004-AR10, Class A1B, 0.91%, 7/25/2044 (m) | 931 | 857 | ||||||
Series 2005-AR15, Class A1A1, 0.75%, 11/25/2045 (m) | 44 | 41 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||||||||
Series 2006-3, Class 5A2, 5.50%, 3/25/2021 | 387 | 378 | ||||||
Series 2007-1, Class 2A1, 6.00%, 1/25/2022 | 724 | 666 | ||||||
Series 2005-1, Class 1A3, 5.50%, 3/25/2035 | 873 | 819 | ||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 576 | 488 | ||||||
Series 2005-10, Class 2A5, 5.75%, 11/25/2035 | 2,749 | 2,465 | ||||||
Series 2005-10, Class 4CB1, 5.75%, 12/25/2035 | 895 | 852 | ||||||
Series 2006-5, Class 2CB5, 6.50%, 7/25/2036 | 211 | 184 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Series 2007-1, Class 1A7, 1.09%, 2/25/2037 (m) | 4,176 | 2,754 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-AR7, Class 2A1, 4.37%, 5/25/2035 (m) | 1 | 1 | ||||||
Series 2006-AR19, Class A3, 4.35%, 12/25/2036 (m) | 223 | 196 | ||||||
Series 2007-15, Class A1, 6.00%, 11/25/2037 | 301 | 292 | ||||||
|
| |||||||
822,589 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| 827,773 | ||||||
|
| |||||||
Asset-Backed Securities — 4.1% | ||||||||
Cayman Islands — 0.0%(a) | ||||||||
BlueMountain CLO Ltd. | ||||||||
Series 2015-1A, Class C, 5.06%, 4/13/2027 ‡ (e) (m) | 285 | 256 | ||||||
Series 2012-2A, Class DR2, 4.59%, 11/20/2028 ‡ (e) (m) | 1,500 | 1,189 | ||||||
Series 2018-3A, Class D, 4.24%, 10/25/2030 ‡ (e) (m) | 1,285 | 893 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
Series 2016-1A, Class CR, 3.89%, 4/20/2027 ‡ (e) (m) | 1,250 | 1,006 | ||||||
CIFC Funding Ltd. | ||||||||
Series 2014-5A, Class BR2, 2.93%, 10/17/2031 ‡ (e) (m) | 943 | 872 | ||||||
LCM Ltd. | ||||||||
Series 28A, Class B, 2.74%, 10/20/2030 ‡ (e) (m) | 975 | 919 | ||||||
Voya CLO Ltd. | ||||||||
Series 2016-3A, Class CR, 4.39%, 10/18/2031 ‡ (e) (m) | 1,050 | 727 | ||||||
|
| |||||||
5,862 | ||||||||
|
| |||||||
United States — 4.1% | ||||||||
ABFC Trust | ||||||||
Series 2003-OPT1, Class A1A, 1.31%, 4/25/2033 ‡ (m) | 185 | 169 | ||||||
Series 2004-OPT3, Class M1, 1.24%, 9/25/2033 ‡ (m) | 593 | 565 | ||||||
Series 2004-HE1, Class M1, 1.39%, 3/25/2034 ‡ (m) | 1,145 | 1,080 | ||||||
Series 2005-WF1, Class M1, 1.03%, 11/25/2034 ‡ (m) | 643 | 634 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
ACC Trust | ||||||||
Series 2018-1, Class B, 4.82%, | 506 | 507 | ||||||
Series 2019-1, Class A, 3.75%, | 373 | 373 | ||||||
Series 2019-1, Class B, 4.47%, 10/20/2022 (e) | 3,145 | 2,950 | ||||||
Series 2018-1, Class C, 6.81%, | 715 | 708 | ||||||
Series 2019-1, Class C, 6.41%, | 2,050 | 1,780 | ||||||
Accredited Mortgage Loan Trust Series 2004-4, Class M1, 1.36%, 1/25/2035 ‡ (m) | 694 | 612 | ||||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||
Series 2003-FM1, Class M1, 1.78%, 11/25/2032 ‡ (m) | 747 | 726 | ||||||
Series 2003-NC1, Class M1, 1.66%, 7/25/2033 ‡ (m) | 453 | 438 | ||||||
Series 2003-HE1, Class M1, 1.46%, | 958 | 894 | ||||||
Series 2003-OP1, Class M1, 1.54%, | 2,846 | 2,658 | ||||||
Series 2004-OP1, Class M2, 2.06%, | 2,969 | 2,812 | ||||||
Series 2004-HE4, Class M2, 1.46%, | 1,166 | 1,076 | ||||||
Ally Auto Receivables Trust | ||||||||
Series 2017-1, Class A3, 1.70%, 6/15/2021 | 27 | 27 | ||||||
Series 2017-3, Class A3, 1.74%, 9/15/2021 | 319 | 319 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
Series 2018-3, Class D, 4.14%, 10/15/2024 (e) | 1,816 | 1,820 | ||||||
Series 2018-3, Class E, 5.17%, | 1,545 | 1,516 | ||||||
Series 2017-4, Class E, 5.02%, | 420 | 426 | ||||||
Series 2018-4, Class D, 4.40%, | 3,280 | 3,109 | ||||||
Series 2018-4, Class E, 5.38%, | 725 | 642 | ||||||
Series 2019-1, Class D, 3.81%, | 3,850 | 3,617 | ||||||
Series 2019-1, Class E, 4.84%, | 2,505 | 1,948 | ||||||
Series 2019-2, Class D, 3.41%, | 610 | 574 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series 2019-2, Class E, 4.29%, | 480 | 394 | ||||||
Series 2018-3, Class F, 6.44%, | 1,255 | 1,144 | ||||||
Series 2019-3, Class D, 2.89%, | 1,899 | 1,816 | ||||||
Series 2019-3, Class E, 3.80%, | 847 | 782 | ||||||
Series 2018-4, Class F, 6.94%, | 1,045 | 912 | ||||||
Series 2019-1, Class F, 6.06%, | 1,630 | 1,192 | ||||||
Series 2019-3, Class F, 5.42%, | 1,210 | 872 | ||||||
Series 2019-2, Class F, 5.81%, | 510 | 368 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2018-2, Class A2A, 2.86%, 11/18/2021 | 11 | 11 | ||||||
Series 2018-3, Class A2A, 3.11%, 1/18/2022 | 271 | 272 | ||||||
Series 2019-1, Class C, 3.36%, 2/18/2025 | 925 | 932 | ||||||
Series 2019-1, Class D, 3.62%, 3/18/2025 | 1,185 | 1,187 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2002-AR1, Class M1, 2.02%, | 369 | 359 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Securities | ||||||||
Series 2004-R1, Class A2, 1.09%, | 739 | 643 | ||||||
Series 2004-R1, Class M1, 1.28%, | 1,913 | 1,763 | ||||||
Series 2004-R1, Class M2, 1.36%, | 343 | 315 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2004-W3, Class A3, 1.31%, | 1,384 | 1,241 | ||||||
Series 2004-W2, Class M2, 2.36%, | 503 | 487 | ||||||
Series 2004-W2, Class M3, 2.59%, | 371 | 365 | ||||||
Series 2004-W7, Class M2, 1.39%, | 402 | 369 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 105 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust | ||||||||
Series 2001-HE3, Class A1, 1.35%, | 1,344 | 1,287 | ||||||
Series 2003-HE3, Class M2, 3.81%, | 54 | 54 | ||||||
Series 2003-HE4, Class M1, 2.06%, | 1,242 | 1,160 | ||||||
Series 2003-HE4, Class M2, 3.81%, | 803 | 761 | ||||||
Series 2004-HE2, Class M2, 2.36%, | 1,258 | 1,222 | ||||||
Series 2004-HE7, Class M2, 2.06%, | 875 | 857 | ||||||
Series 2005-HE6, Class M4, 1.45%, | 500 | 485 | ||||||
Bayview Financial Acquisition Trust Series 2006-D, Class 1A5, 5.67%, | 192 | 196 | ||||||
Bayview Financial Mortgage Pass-Through Trust Series 2006-C, Class 1A2, 5.64%, | 91 | 91 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2004-HE6, Class M2, 2.36%, | 2,586 | 2,520 | ||||||
Series 2004-HE11, Class M2, 2.06%, | 955 | 944 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series 2003-SD1, Class A, 1.39%, | 376 | 315 | ||||||
Series 2003-SD1, Class M1, 1.76%, | 388 | 363 | ||||||
Series 2004-HE2, Class M2, 2.29%, 3/25/2034 ‡ (m) | 875 | 852 | ||||||
Series 2003-1, Class M1, 2.14%, 11/25/2042 ‡ (m) | 281 | 277 | ||||||
Series 2004-SD4, Class A1, 1.39%, 8/25/2044 ‡ (m) | 1,253 | 1,128 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2016-2, Class A4, 1.68%, 9/15/2021 | 464 | 464 | ||||||
Series 2018-3, Class A2A, 2.88%, 10/15/2021 | 9 | 9 | ||||||
Series 2017-1, Class A3, 1.98%, 11/15/2021 | 46 | 46 | ||||||
CDC Mortgage Capital Trust Series 2003-HE1, Class M1, 1.84%, 8/25/2033 (m) | 306 | 298 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Centex Home Equity Loan Trust | ||||||||
Series 2004-A, Class M1, 1.09%, 1/25/2034 ‡ (m) | 3,024 | 2,899 | ||||||
Series 2004-C, Class M2, 1.28%, 6/25/2034 ‡ (m) | 528 | 485 | ||||||
Series 2004-D, Class MV2, 1.18%, 9/25/2034 ‡ (m) | 176 | 168 | ||||||
Series 2004-D, Class MF2, 5.56%, 9/25/2034 ‡ (i) | 603 | 599 | ||||||
Series 2004-D, Class MF3, 5.76%, 9/25/2034 ‡ (i) | 1,640 | 1,605 | ||||||
Chase Funding Loan Acquisition Trust | ||||||||
Series 2004-AQ1, Class M1, 1.58%, 5/25/2034 ‡ (m) | 1,116 | 1,017 | ||||||
Series 2004-OPT1, Class M2, 1.99%, 6/25/2034 ‡ (m) | 461 | 441 | ||||||
Chase Funding Trust | ||||||||
Series 2003-5, Class 1M2, 5.64%, 9/25/2032 ‡ (m) | 150 | 141 | ||||||
Series 2003-4, Class 2M1, 1.39%, 3/25/2033 ‡ (m) | 65 | 63 | ||||||
Series 2004-1, Class 1M1, 4.73%, 5/25/2033 ‡ | 841 | 787 | ||||||
Series 2003-4, Class 1A5, 5.12%, 5/25/2033 ‡ (i) | 965 | 969 | ||||||
Series 2004-1, Class 2M1, 1.24%, 9/25/2033 ‡ (m) | 229 | 222 | ||||||
Series 2003-6, Class 2A2, 1.07%, 11/25/2034 ‡ (m) | 2,345 | 2,031 | ||||||
Series 2003-6, Class 2M1, 1.24%, 11/25/2034 ‡ (m) | 1,085 | 1,067 | ||||||
Series 2004-2, Class 1M1, 5.70%, 2/26/2035 ‡ (m) | 1,803 | 1,786 | ||||||
CHEC Loan Trust Series 2004-1, Class M1, 1.39%, 7/25/2034 ‡ (e) (m) | 901 | 826 | ||||||
Citifinancial Mortgage Securities, Inc. Series 2004-1, Class AF4, 5.07%, 4/25/2034 ‡ (i) | 2,788 | 2,830 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2005-OPT1, Class M4, 1.54%, 2/25/2035 ‡ (m) | 195 | 165 | ||||||
Series 2005-WF2, Class AF7, 5.25%, 8/25/2035 ‡ (i) | 41 | 39 | ||||||
CLUB Credit Trust Series 2018-NP1, Class C, 4.74%, 5/15/2024 (e) | 408 | 401 | ||||||
Conn’s Receivables Funding LLC | ||||||||
Series 2018-A, Class B, 4.65%, | 385 | 374 |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series 2018-A, Class C, 6.02%, | 302 | 293 | ||||||
Series 2019-A, Class B, 4.36%, 10/16/2023 ‡ (e) | 1,489 | 1,424 | ||||||
Series 2019-A, Class C, 5.29%, | 2,205 | 1,290 | ||||||
Series 2019-B, Class B, 3.62%, | 920 | 779 | ||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | ||||||||
Series 2020-9, Class PT, 1.32%, 4/15/2045 (e) (m) | 8,154 | 7,297 | ||||||
Series 2020-8, Class PT, HB, 34.58%, 4/17/2045 (e) (m) | 3,234 | 2,868 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2002-4, Class M1, 1.61%, 12/25/2032 ‡ (m) | 458 | 446 | ||||||
Series 2004-2, Class M1, 1.24%, 5/25/2034 ‡ (m) | 3,494 | 3,417 | ||||||
Series 2004-3, Class M1, 1.24%, 6/25/2034 ‡ (m) | 427 | 402 | ||||||
Series 2004-3, Class M2, 1.31%, 6/25/2034 ‡ (m) | 397 | 383 | ||||||
Series 2004-BC4, Class M1, 1.54%, 11/25/2034 ‡ (m) | 139 | 135 | ||||||
Series 2004-ECC2, Class M2, 1.46%, 12/25/2034 ‡ (m) | 269 | 260 | ||||||
Series 2005-12, Class M2, 0.98%, 2/25/2036 ‡ (m) | 2,647 | 2,598 | ||||||
Series 2005-AB4, Class 2A1, 0.76%, 3/25/2036 ‡ (m) | 1,707 | 1,408 | ||||||
Series 2006-19, Class 2A2, 0.65%, 3/25/2037 ‡ (m) | 5,156 | 5,006 | ||||||
Countrywide Partnership TrustSeries 2004-EC1, Class M2, 1.43%, 1/25/2035 ‡ (m) | 618 | 605 | ||||||
CPS Auto Receivables Trust Series 2019-A, Class D, 4.35%, 12/16/2024 (e) | 820 | 796 | ||||||
Credit Acceptance Auto Loan Trust Series 2019-1A, Class B, 3.75%, 4/17/2028 (e) | 4,875 | 4,860 | ||||||
Credit-Based Asset Servicing & Securitization LLC | ||||||||
Series 2004-CB2, Class M1, 1.27%, 7/25/2033 ‡ (m) | 1,121 | 1,026 | ||||||
Series 2003-CB6, Class M1, 1.54%, 12/25/2033 ‡ (m) | 1,873 | 1,722 | ||||||
CWABS Asset-Backed Certificates Trust Series 2005-11, Class AF6, 5.05%, 2/25/2036 ‡ (m) | 477 | 476 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
CWABS, Inc. Asset-Backed Certificates | ||||||||
Series 2004-1, Class M3, 1.46%, 2/25/2034 ‡ (m) | 926 | 905 | ||||||
Series 2004-1, Class M2, 1.31%, 3/25/2034 ‡ (m) | 516 | 497 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust | ||||||||
Series 2004-5, Class M2, 1.49%, 7/25/2034 ‡ (m) | 1,245 | 1,203 | ||||||
Series 2004-6, Class M2, 1.46%, 10/25/2034 ‡ (m) | 478 | 451 | ||||||
Dell Equipment Finance Trust Series 2017-2, Class A3, 2.19%, 10/24/2022 (e) | 80 | 80 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2019-4, Class A2A, 2.32%, 6/15/2022 | 507 | 508 | ||||||
Series 2019-3, Class C, 2.90%, 8/15/2025 | 2,390 | 2,376 | ||||||
Series 2018-4, Class D, 4.09%, 1/15/2026 | 1,920 | 1,916 | ||||||
Series 2018-5, Class D, 4.30%, 4/15/2026 | 1,830 | 1,828 | ||||||
Series 2019-1, Class D, 4.09%, 6/15/2026 | 1,685 | 1,655 | ||||||
Series 2019-3, Class D, 3.18%, 10/15/2026 | 2,010 | 1,921 | ||||||
Driven Brands Funding LLC Series 2019-1A, Class A2, 4.64%, 4/20/2049 (e) | 2,064 | 2,021 | ||||||
DT Auto Owner Trust | ||||||||
Series 2018-3A, Class D, 4.19%, 7/15/2024 (e) | 2,620 | 2,558 | ||||||
Series 2019-1A, Class D, 3.87%, 11/15/2024 (e) | 3,285 | 3,173 | ||||||
Series 2017-4A, Class E, 5.15%, 11/15/2024 (e) | 1,525 | 1,539 | ||||||
Series 2018-2A, Class E, 5.54%, | 685 | 679 | ||||||
Series 2018-3A, Class E, 5.33%, 11/17/2025 (e) | 2,732 | 2,288 | ||||||
Series 2019-1A, Class E, 4.94%, | 3,690 | 2,845 | ||||||
Series 2019-2A, Class E, 4.46%, | 4,167 | 3,526 | ||||||
Series 2019-3A, Class E, 3.85%, | 3,900 | 3,745 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2016-2A, Class D, 8.25%, 4/17/2023 (e) | 940 | 948 | ||||||
Series 2018-4A, Class C, 3.97%, | 2,930 | 2,949 | ||||||
Series 2018-2A, Class D, 4.04%, 3/15/2024 (e) | 6,330 | 6,410 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 107 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series 2018-3A, Class E, 5.43%, | 990 | 956 | ||||||
Series 2018-4A, Class D, 4.35%, 9/16/2024 (e) | 2,490 | 2,513 | ||||||
Series 2019-1A, Class C, 3.82%, 12/16/2024 (e) | 1,240 | 1,228 | ||||||
Series 2019-1A, Class D, 4.13%, 12/16/2024 (e) | 2,320 | 2,262 | ||||||
Series 2019-2A, Class D, 3.71%, 3/17/2025 (e) | 620 | 593 | ||||||
Series 2018-2A, Class E, 5.33%, | 1,300 | 1,284 | ||||||
Series 2018-4A, Class E, 5.38%, | 1,050 | 1,007 | ||||||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (e) | 2,385 | 2,227 | ||||||
Series 2019-1A, Class E, 5.20%, | 4,340 | 3,538 | ||||||
Series 2019-2A, Class E, 4.68%, | 10,840 | 9,059 | ||||||
Series 2019-3A, Class E, 4.00%, | 2,333 | 1,716 | ||||||
Series 2020-1A, Class E, 3.74%, | 2,690 | 2,114 | ||||||
FFMLT Trust Series 2005-FF11, Class M1, 1.13%, 11/25/2035 ‡ (m) | 3,959 | 3,886 | ||||||
Finance America Mortgage Loan Trust Series 2004-3, Class M2, 1.43%, 11/25/2034 ‡ (m) | 147 | 117 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates Series 2004-FF3, Class M1, 1.31%, 5/25/2034 ‡ (m) | 586 | 551 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
Series 2003-FF5, Class M1, 1.39%, 3/25/2034 ‡ (m) | 3,025 | 2,894 | ||||||
Series 2004-FF5, Class A1, 1.21%, 8/25/2034 ‡ (m) | 1,499 | 1,477 | ||||||
Series 2005-FF10, Class A1, 0.79%, 11/25/2035 ‡ (m) | 7,034 | 6,546 | ||||||
Series 2006-FF8, Class IIA3, 0.64%, 7/25/2036 ‡ (m) | 359 | 356 | ||||||
Flagship Credit Auto Trust | ||||||||
Series 2016-3, Class E, 6.25%, | 1,460 | 1,491 | ||||||
Series 2018-4, Class C, 4.11%, | 825 | 840 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
FREED ABS Trust | ||||||||
Series 2018-2, Class B, 4.61%, 10/20/2025 ‡ (e) | 1,135 | 1,072 | ||||||
Series 2019-1, Class A, 3.42%, | 662 | 653 | ||||||
Series 2019-1, Class B, 3.87%, | 2,320 | 2,033 | ||||||
Series 2019-1, Class C, 5.39%, | 1,760 | 1,041 | ||||||
Fremont Home Loan Trust | ||||||||
Series 2003-A, Class M1, 1.46%, 8/25/2033 ‡ (m) | 1,541 | 1,446 | ||||||
Series 2002-1, Class M1, 1.74%, 8/25/2033 ‡ (m) | 1,574 | 1,510 | ||||||
Series 2004-B, Class M2, 1.43%, 5/25/2034 ‡ (m) | 373 | 361 | ||||||
Series 2004-2, Class M2, 1.42%, 7/25/2034 (m) | 377 | 352 | ||||||
Series 2004-C, Class M1, 1.46%, 8/25/2034 ‡ (m) | 668 | 569 | ||||||
Series 2004-D, Class M1, 1.36%, 11/25/2034 (m) | 1,666 | 1,433 | ||||||
Series 2004-D, Class M2, 1.39%, 11/25/2034 (m) | 230 | 206 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
Series 2019-4A, Class A, 2.47%, 11/15/2023 (e) | 615 | 613 | ||||||
Series 2019-4A, Class B, 2.78%, 9/16/2024 (e) | 1,330 | 1,294 | ||||||
Series 2019-1A, Class C, 3.87%, 12/16/2024 (e) | 1,485 | 1,485 | ||||||
Series 2019-4A, Class C, 3.06%, 8/15/2025 (e) | 1,050 | 954 | ||||||
Series 2019-1A, Class D, 4.94%, 12/15/2025 (e) | 540 | 541 | ||||||
Series 2019-2A, Class D, 4.52%, 2/17/2026 (e) | 1,000 | 910 | ||||||
GLS Auto Receivables Trust Series 2018-3A, Class D, 5.34%, 8/15/2025 (e) | 860 | 815 | ||||||
GM Financial Consumer Automobile Series 2017-1A, Class A3, 1.78%, 10/18/2021 (e) | 380 | 381 | ||||||
GM Financial Consumer Automobile Receivables Trust Series 2019-2, Class A2A, 2.66%, 6/16/2022 | 649 | 652 | ||||||
GSAA Home Equity Trust Series 2005-6, Class A3, 0.86%, 6/25/2035 ‡ (m) | 58 | 58 |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
GSAMP Trust | ||||||||
Series 2003-SEA, Class A1, 0.89%, 2/25/2033 ‡ (m) | 817 | 776 | ||||||
Series 2003-HE1, Class M1, 1.96%, 6/20/2033 ‡ (m) | 1,518 | 1,452 | ||||||
Series 2005-NC1, Class M1, 1.16%, 2/25/2035 ‡ (m) | 942 | 925 | ||||||
Series 2006-FM1, Class A2C, 0.65%, 4/25/2036 ‡ (m) | 2,680 | 1,926 | ||||||
Series 2006-HE4, Class A2C, 0.64%, 6/25/2036 ‡ (m) | 589 | 583 | ||||||
Series 2007-SEA1, Class A, 0.79%, 12/25/2036 ‡ (e) (m) | 4,878 | 4,507 | ||||||
Series 2006-HE3, Class A2C, 0.65%, 5/25/2046 (m) | 3,027 | 2,930 | ||||||
Home Equity Asset Trust | ||||||||
Series 2002-5, Class M1, 2.19%, 5/25/2033 ‡ (m) | 2,367 | 2,264 | ||||||
Series 2003-3, Class M1, 1.78%, 8/25/2033 ‡ (m) | 592 | 563 | ||||||
Series 2004-6, Class M2, 1.39%, 12/25/2034 ‡ (m) | 443 | 418 | ||||||
Home Equity Loan Trust Series 2007-FRE1, Class 2AV3, 0.72%, 4/25/2037 ‡ (m) | 13,840 | 12,566 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust SPMD | ||||||||
Series 2004-B, Class M2, 1.61%, 11/25/2034 ‡ (m) | 363 | 346 | ||||||
Series 2004-C, Class M1, 1.33%, 3/25/2035 ‡ (m) | 6,248 | 5,693 | ||||||
Series 2004-C, Class M2, 1.39%, 3/25/2035 ‡ (m) | 719 | 597 | ||||||
Honda Auto Receivables Owner Trust Series 2017-2, Class A3, 1.68%, 8/16/2021 | 634 | 635 | ||||||
Lendmark Funding Trust Series 2018-1A, Class C, 5.03%, 12/21/2026 ‡ (e) | 1,110 | 984 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2001-2, Class M1, 1.05%, 7/25/2031 ‡ (m) | 314 | 307 | ||||||
Series 2002-5, Class M1, 1.73%, 11/25/2032 ‡ (m) | 1,864 | 1,769 | ||||||
Series 2003-4, Class M1, 1.51%, 8/25/2033 ‡ (m) | 140 | 135 | ||||||
Series 2004-3, Class M2, 1.39%, 7/25/2034 ‡ (m) | 627 | 583 | ||||||
Series 2004-3, Class M4, 2.10%, 7/25/2034 ‡ (m) | 409 | 394 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series 2004-3, Class M6, 2.62%, 7/25/2034 (m) | 372 | 370 | ||||||
Series 2004-4, Class M1, 1.39%, 10/25/2034 ‡ (m) | 1,118 | 1,045 | ||||||
Mariner Finance Issuance TrustSeries 2018-AA, Class A, 4.20%, 11/20/2030 (e) | 2,050 | 1,957 | ||||||
MASTR Asset-Backed Securities Trust | ||||||||
Series 2003-OPT1, Class M3, 4.61%, 12/25/2032 ‡ (m) | 2,099 | 2,026 | ||||||
Series 2004-OPT2, Class M1, 1.39%, 9/25/2034 ‡ (m) | 426 | 392 | ||||||
Series 2004-OPT2, Class M2, 1.46%, 9/25/2034 ‡ (m) | 720 | 664 | ||||||
Series 2005-NC1, Class M2, 1.24%, 12/25/2034 ‡ (m) | 526 | 484 | ||||||
Series 2005-NC1, Class M4, 1.63%, 12/25/2034 ‡ (m) | 736 | 701 | ||||||
ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (e) | 4,726 | 3,804 | ||||||
Mercedes-Benz Auto Lease TrustSeries 2019-B, Class A2, 2.01%, 12/15/2021 | 831 | 833 | ||||||
Mercedes-Benz Auto Receivables Trust Series 2019-1, Class A2A, 2.04%, 6/15/2022 | 733 | 737 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2003-OPT1, Class M1, 1.46%, 7/25/2034 (m) | 320 | 297 | ||||||
Series 2004-WMC5, Class M5, 2.21%, 7/25/2035 ‡ (m) | 11 | 11 | ||||||
Series 2004-HE2, Class M1, 1.69%, 8/25/2035 ‡ (m) | 175 | 168 | ||||||
Series 2005-FM1, Class M1, 1.21%, 5/25/2036 (m) | 1,165 | 1,100 | ||||||
MFA LLC | ||||||||
Series 2017-NPL1, Class A1, 3.35%, 11/25/2047 ‡ (e) (i) | 4,868 | 4,388 | ||||||
Series 2018-NPL1, Class A1, 3.88%, 5/25/2048 ‡ (e) (i) | 12,369 | 11,122 | ||||||
Series 2018-NPL2, Class A1, 4.16%, 7/25/2048 ‡ (e) (i) | 9,221 | 8,326 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2003-NC10, Class M1, 1.51%, 10/25/2033 ‡ (m) | 573 | 552 | ||||||
Series 2004-HE1, Class M1, 1.34%, 1/25/2034 ‡ (m) | 1,793 | 1,748 | ||||||
Series 2004-NC3, Class M1, 1.28%, 3/25/2034 ‡ (m) | 1,869 | 1,732 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 109 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series 2004-HE3, Class M1, 1.34%, 3/25/2034 ‡ (m) | 2,596 | 2,437 | ||||||
Series 2004-HE2, Class M2, 2.29%, 3/25/2034 ‡ (m) | 135 | 134 | ||||||
Series 2004-HE3, Class M2, 2.36%, 3/25/2034 ‡ (m) | 583 | 567 | ||||||
Series 2004-HE2, Class M3, 2.66%, 3/25/2034 ‡ (m) | 1,033 | 968 | ||||||
Series 2004-NC5, Class M1, 1.39%, 5/25/2034 ‡ (m) | 3,829 | 3,487 | ||||||
Series 2004-WMC2, Class M1, 1.40%, 7/25/2034 ‡ (m) | 1,425 | 1,347 | ||||||
Series 2004-WMC2, Class M2, 2.29%, 7/25/2034 ‡ (m) | 325 | 301 | ||||||
Series 2004-NC6, Class M2, 2.36%, 7/25/2034 ‡ (m) | 467 | 453 | ||||||
Series 2004-HE6, Class M1, 1.31%, 8/25/2034 (m) | 509 | 495 | ||||||
Series 2004-HE6, Class M2, 1.39%, 8/25/2034 ‡ (m) | 858 | 805 | ||||||
Series 2004-HE7, Class M2, 1.43%, 8/25/2034 ‡ (m) | 223 | 213 | ||||||
Series 2004-HE6, Class M3, 1.46%, 8/25/2034 ‡ (m) | 568 | 539 | ||||||
Series 2004-HE7, Class M3, 1.51%, 8/25/2034 ‡ (m) | 57 | 56 | ||||||
Series 2004-HE8, Class M1, 1.45%, 9/25/2034 ‡ (m) | 1,864 | 1,718 | ||||||
Series 2004-HE8, Class M2, 1.51%, 9/25/2034 ‡ (m) | 308 | 284 | ||||||
Series 2004-NC8, Class M3, 1.60%, 9/25/2034 ‡ (m) | 433 | 404 | ||||||
Series 2004-HE8, Class M3, 1.61%, 9/25/2034 ‡ (m) | 541 | 508 | ||||||
Series 2005-HE1, Class M2, 1.19%, 12/25/2034 ‡ (m) | 321 | 266 | ||||||
Series 2005-HE1, Class M3, 1.27%, 12/25/2034 ‡ (m) | 881 | 732 | ||||||
Series 2005-NC1, Class M3, 1.25%, 1/25/2035 ‡ (m) | 263 | 227 | ||||||
Series 2004-WMC3, Class M2, 1.28%, 1/25/2035 ‡ (m) | 2,673 | 2,472 | ||||||
Morgan Stanley Mortgage Loan Trust Series 2007-5AX, Class 2A2, 0.64%, 2/25/2037 ‡ (m) | 3,698 | 1,460 | ||||||
New Century Home Equity Loan Trust | ||||||||
Series 2003-3, Class M1, 1.67%, 7/25/2033 ‡ (m) | 34 | 34 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series 2003-B, Class M2, 2.96%, 11/25/2033 ‡ (m) | 468 | 466 | ||||||
Series 2004-1, Class M1, 1.37%, 5/25/2034 (m) | 2,070 | 1,903 | ||||||
Series 2004-2, Class M2, 1.42%, 8/25/2034 ‡ (m) | 163 | 151 | ||||||
Series 2004-2, Class M4, 2.29%, 8/25/2034 ‡ (m) | 760 | 734 | ||||||
Series 2004-2, Class M6, 2.74%, 8/25/2034 ‡ (m) | 523 | 520 | ||||||
Series 2004-3, Class M2, 1.46%, 11/25/2034 ‡ (m) | 412 | 391 | ||||||
Series 2004-3, Class M3, 1.55%, 11/25/2034 ‡ (m) | 319 | 308 | ||||||
Series 2004-4, Class M1, 1.25%, 2/25/2035 ‡ (m) | 3,503 | 3,159 | ||||||
Series 2004-4, Class M2, 1.28%, 2/25/2035 ‡ (m) | 391 | 369 | ||||||
Series 2005-1, Class M3, 1.27%, 3/25/2035 ‡ (m) | 292 | 240 | ||||||
Series 2006-2, Class A2B, 0.65%, 8/25/2036 ‡ (m) | 1,551 | 1,421 | ||||||
New Residential Mortgage LLC | ||||||||
Series 2018-FNT1, Class D, 4.69%, 5/25/2023 ‡(e) | 785 | 780 | ||||||
Series 2018-FNT1, Class E, 4.89%, 5/25/2023 ‡ (e) | 643 | 638 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
Series 2017-A, Class A3, 1.74%, 8/16/2021 | 416 | 416 | ||||||
Series 2019-B, Class A2, 2.56%, 3/15/2022 | 689 | 694 | ||||||
NovaStar Mortgage Funding Trust | ||||||||
Series 2003-2, Class M2, 3.26%, 9/25/2033 ‡ (m) | 1,156 | 1,135 | ||||||
Series 2004-2, Class M4, 2.29%, 9/25/2034 ‡ (m) | 1,753 | 1,663 | ||||||
OnDeck Asset Securitization Trust LLC | ||||||||
Series 2018-1A, Class C, 4.52%, 4/18/2022 ‡ (e) | 250 | 250 | ||||||
OneMain Financial Issuance Trust | ||||||||
Series 2015-3A, Class C, 5.82%, 11/20/2028 ‡ (e) | 915 | 876 | ||||||
Series 2019-1A, Class B, 3.79%, 2/14/2031 ‡ (e) | 990 | 911 |
SEE NOTES TO FINANCIAL STATEMENTS.
110 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Option One Mortgage Acceptance Corp. Asset-Backed Certificates | ||||||||
Series 2003-5, Class A2, 1.13%, 8/25/2033 ‡ (m) | 368 | 333 | ||||||
Series 2003-5, Class M2, 2.81%, 8/25/2033 ‡ (m) | 135 | 139 | ||||||
Option One Mortgage Loan Trust | ||||||||
Series 2002-3, Class A1, 0.99%, 8/25/2032 ‡ (m) | 2,800 | 2,693 | ||||||
Series 2002-3, Class A2, 1.03%, 8/25/2032 ‡ (m) | 474 | 455 | ||||||
Series 2004-3, Class M2, 1.34%, 11/25/2034 ‡ (m) | 509 | 459 | ||||||
People’s Choice Home Loan Securities Trust Series 2004-2, Class M3, 2.21%, 10/25/2034 ‡ (m) | 1,910 | 1,675 | ||||||
PNMAC FMSR Issuer Trust Series 2018-FT1, Class A, 2.84%, 4/25/2023 (e) (m) | 2,878 | 2,398 | ||||||
PNMAC GMSR Issuer Trust Series 2018-GT1, Class A, 3.34%, 2/25/2023 (e) (m) | 3,715 | 3,109 | ||||||
Prestige Auto Receivables Trust | ||||||||
Series 2017-1A, Class E, 4.89%, | 780 | 777 | ||||||
Series 2018-1A, Class D, 4.14%, 10/15/2024 (e) | 865 | 852 | ||||||
Series 2018-1A, Class E, 5.03%, | 635 | 538 | ||||||
Pretium Mortgage Credit Partners I LLC | ||||||||
Series 2019-NPL2, Class A1, 3.84%, 12/25/2058 ‡ (e) (i) | 2,968 | 2,785 | ||||||
Series 2019-NPL2, Class A2, 5.93%, 12/25/2058 ‡ (e) (i) | 5,500 | 4,771 | ||||||
Series 2019-NPL3, Class A2, 4.58%, 7/27/2059 ‡ (e) (i) | 2,500 | 1,992 | ||||||
PRPM LLC | ||||||||
Series 2019-2A, Class A1, 3.97%, 4/25/2024 ‡ (e) (i) | 7,781 | 7,237 | ||||||
Series 2019-2A, Class A2, 5.44%, 4/25/2024 ‡ (e) (i) | 3,250 | 2,747 | ||||||
Series 2019-3A, Class A1, 3.35%, 7/25/2024 ‡ (e) (i) | 4,423 | 4,120 | ||||||
Series 2019-4A, Class A1, 3.35%, 11/25/2024 ‡ (e) (i) | 4,213 | 3,889 | ||||||
RAMP Trust | ||||||||
Series 2002-RS2, Class AI5, 5.84%, 3/25/2032 ‡ (m) | 382 | 384 | ||||||
Series 2006-RZ3, Class M1, 0.84%, 8/25/2036 ‡ (m) | 5,500 | 5,042 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
RASC Trust | ||||||||
Series 2005-EMX1, Class M1, 1.13%, 3/25/2035 ‡ (m) | 1,510 | 1,469 | ||||||
Series 2005-KS2, Class M1, 1.13%, 3/25/2035 ‡ (m) | 734 | 705 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
Series 2002-3, Class M1, 1.99%, 12/25/2032 ‡ (m) | 690 | 656 | ||||||
Series 2003-1, Class M1, 1.99%, 6/25/2033 ‡ (m) | 292 | 271 | ||||||
Series 2003-4, Class M1, 1.34%, 3/25/2034 ‡ (m) | 1,506 | 1,358 | ||||||
Series 2003-4, Class M2F, 6.24%, 3/25/2034 ‡ (i) | 784 | 746 | ||||||
Series 2005-1, Class AF6, 4.97%, 5/25/2035 ‡ (i) | 129 | 132 | ||||||
Series 2005-2, Class AV3, 0.86%, 8/25/2035 ‡ (m) | 840 | 728 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2019-1, Class C, 3.42%, 4/15/2025 | 2,123 | 2,128 | ||||||
Series 2019-1, Class D, 3.65%, 4/15/2025 | 4,025 | 3,992 | ||||||
Santander Prime Auto Issuance Notes Trust | ||||||||
Series 2018-A, Class E, 5.04%, | 1,211 | 1,179 | ||||||
Series 2018-A, Class F, 6.80%, | 1,834 | 1,787 | ||||||
Santander Retail Auto Lease Trust | ||||||||
Series 2019-A, Class A2, 2.72%, 12/20/2021 (e) | 730 | 735 | ||||||
SASCO Mortgage Loan Trust | ||||||||
Series 2004-GEL3, Class M1, 2.06%, 8/25/2034 ‡ (m) | 668 | 630 | ||||||
Saxon Asset Securities Trust | ||||||||
Series 2003-3, Class M1, 1.46%, 12/25/2033 (m) | 3,742 | 3,461 | ||||||
Series 2004-2, Class MV2, 2.29%, | 837 | 817 | ||||||
Series 2004-2, Class AF3, 3.83%, | 24 | 24 | ||||||
Series 2005-2, Class M2, 1.15%, 10/25/2035 (m) | 2,890 | 2,671 | ||||||
Securitized Asset-Backed Receivables LLC Trust | ||||||||
Series 2004-NC1, Class M1, 1.73%, | 1,815 | 1,694 | ||||||
Series 2004-OP1, Class M2, 2.14%, | 491 | 484 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 111 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series 2004-OP2, Class M1, 1.46%, | 2,224 | 2,108 | ||||||
Series 2005-OP1, Class M2, 1.16%, | 723 | 660 | ||||||
Series 2005-FR2, Class M2, 1.46%, | 355 | 352 | ||||||
Specialty Underwriting & Residential Finance Trust | ||||||||
Series 2004-BC1, Class M2, 2.09%, | 507 | 502 | ||||||
Series 2004-BC3, Class M1, 1.42%, | 809 | 771 | ||||||
Stanwich Mortgage Loan Trust | 5,365 | 5,311 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC6, Class M1, 1.61%, | 463 | 442 | ||||||
Series 2003-BC7, Class M1, 1.61%, | 31 | 31 | ||||||
Series 2003-BC12, Class M1, 1.46%, | 88 | 87 | ||||||
Series 2004-5, Class M3, 1.42%, 5/25/2034 ‡ (m) | 135 | 110 | ||||||
Series 2004-6, Class M1, 1.39%, 7/25/2034 ‡ (m) | 808 | 793 | ||||||
Series 2004-7, Class M1, 1.54%, 8/25/2034 ‡ (m) | 965 | 947 | ||||||
Series 2004-8, Class M2, 1.42%, 9/25/2034 ‡ (m) | 375 | 349 | ||||||
Series 2004-BNC1, Class A5, 1.73%, | 174 | 168 | ||||||
Series 2005-HE2, Class M1, 1.21%, | 173 | 172 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-BC4, Class A4, 0.66%, | 2,971 | 2,780 | ||||||
Series 2006-BC6, Class A4, 0.66%, | 6,298 | 6,030 | ||||||
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡ | 2,175 | 2,076 | ||||||
Toyota Auto Receivables Owner Trust Series 2018-C, Class A2A, 2.77%, 8/16/2021 | 394 | 395 | ||||||
Tricolor Auto Securitization Trust | 266 | 266 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Upgrade Receivables Trust Series 2018-1A, Class A, 3.76%, 11/15/2024 (e) | 46 | 46 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
Series 2019-NPL2, Class A1, 3.97%, | 10,255 | 9,341 | ||||||
Series 2019-NPL4, Class A2, 5.44%, | 540 | 372 | ||||||
Series 2019-NPL7, Class A1A, 3.18%, 10/25/2049 ‡ (e) (i) | 10,713 | 9,295 | ||||||
Verizon Owner Trust Series 2017-2A, Class A, 1.92%, 12/20/2021 (e) | 444 | 444 | ||||||
VOLT LXIV LLC Series 2017-NP11, Class A1, 3.38%, 10/25/2047 ‡ (e) (i) | 1,063 | 983 | ||||||
Volvo Financial Equipment LLC Series 2019-2A, Class A2, 2.02%, 8/15/2022 (e) | 949 | 952 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust | ||||||||
Series 2004-2, Class M4, 2.29%, 12/25/2033 (m) | 901 | 883 | ||||||
Series 2004-2, Class M1, 1.39%, | 583 | 544 | ||||||
Series 2004-2, Class M5, 2.36%, | 215 | 215 | ||||||
Series 2004-2, Class M8A, 4.99%, | 290 | 243 | ||||||
Series 2004-2, Class M8B, 5.00%, | 290 | 247 | ||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates | ||||||||
Series 2004-1, Class M2, 1.12%, 4/25/2034 ‡ (m) | 305 | 293 | ||||||
Series 2004-1, Class M4, 1.64%, 4/25/2034 ‡ (m) | 630 | 557 | ||||||
Westlake Automobile Receivables Trust | ||||||||
Series 2019-1A, Class C, 3.45%, | 3,040 | 3,040 | ||||||
Series 2019-1A, Class D, 3.67%, 3/15/2024 (e) | 2,765 | 2,735 | ||||||
Series 2019-2A, Class C, 2.84%, | 1,700 | 1,648 | ||||||
Series 2019-1A, Class E, 4.49%, | 2,865 | 2,819 | ||||||
Series 2018-3A, Class F, 6.02%, | 3,605 | 3,260 | ||||||
Series 2019-2A, Class E, 4.02%, | 1,760 | 1,548 | ||||||
Series 2019-1A, Class F, 5.67%, | 1,769 | 1,472 |
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series 2019-2A, Class F, 5.00%, | 1,880 | 1,452 | ||||||
|
| |||||||
486,737 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 492,599 | ||||||
|
| |||||||
Equity Linked Notes — 2.3% | ||||||||
Credit Suisse AG, ELN, 10.00%, 6/16/2020, (linked to S&P 500 Index) (e) | 95 | 277,615 | ||||||
|
| |||||||
Loan Assignments — 2.3%(n) | ||||||||
Canada — 0.1% | ||||||||
1011778 BC ULC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.15%, 11/19/2026 (d) | 1,276 | 1,194 | ||||||
Concordia Healthcare Corp., Initial Dollar Term Loan (ICE LIBOR USD 3 Month + 5.50%), 6.57%, 9/6/2024 (d) (o) | 5,622 | 4,841 | ||||||
Kik Custom Products, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 5.00%, 5/15/2023 (d) (o) | 725 | 646 | ||||||
Stars Group Holdings BV, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.95%, 7/10/2025 (d) (o) | 115 | 114 | ||||||
|
| |||||||
6,795 | ||||||||
|
| |||||||
France — 0.0%(a) | ||||||||
Altice France SA, 1st Lien Term loan B-13 (ICE LIBOR USD 1 Month + 4.00%), 4.81%, 8/14/2026 (d) | 2,716 | 2,514 | ||||||
|
| |||||||
United States — 2.2% | ||||||||
Acadia Healthcare Co., Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 2/16/2023 (d) | 844 | 808 | ||||||
Adient US LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.52%, | 467 | 419 | ||||||
Advanced Drainage Systems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.25%, 7/31/2026 (d) | 363 | 352 | ||||||
Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 8/30/2024 (d) | 690 | 629 | ||||||
Allied Universal Holdco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.65%, 7/10/2026 (d) (o) | 477 | 442 | ||||||
Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.56%, 7/15/2025 (d) | 902 | 831 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
AMC Entertainment Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.08%, 4/22/2026 (d) | 521 | 379 | ||||||
American Airlines, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.81%, 12/15/2023 (d) | 669 | 512 | ||||||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.74%, 4/6/2024 (d) | 1,608 | 1,385 | ||||||
API Group Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.90%, | 669 | 644 | ||||||
Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, | 338 | 316 | ||||||
Asurion LLC, 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 6.50%), 6.90%, | 261 | 252 | ||||||
Asurion LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 11/3/2023 (d) | 997 | 950 | ||||||
Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 11/3/2024 (d) | 247 | 235 | ||||||
Avaya, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.06%, 12/15/2024 (d) | 2,116 | 1,851 | ||||||
Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 3.20%, 6/1/2024 (d) | 2,186 | 2,121 | ||||||
B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 10/10/2026 (d) | 267 | 257 | ||||||
Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.00%, 3/4/2025 (d) (o) | 890 | 817 | ||||||
Barracuda Networks, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.52%, 2/12/2025 (d) | 334 | 319 | ||||||
Berry Global, Inc., 1st Lien Term Loan W (ICE LIBOR USD 1 Month + 2.00%), 2.83%, 10/1/2022 (d) | 750 | 730 | ||||||
BJ’s Wholesale Club, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 3.08%, 2/3/2024 (d) | 349 | 338 | ||||||
Blackstone CQP Holdco LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.62%, 9/30/2024 (d) | 650 | 595 | ||||||
BMC Software Finance, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.65%, 10/2/2025 (d) | 355 | 305 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 113 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
Bombardier Recreational Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 12/30/2027 (d) | 689 | 620 | ||||||
Brookfield WEC Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 8/1/2025 (d) | 608 | 575 | ||||||
Buckeye Partners LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.77%, 11/1/2026 (d) | 2,765 | 2,584 | ||||||
Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.56%, 4/3/2024 (d) | 6,189 | 5,296 | ||||||
Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 12/23/2024 (d) (o) | 339 | 285 | ||||||
California Resources Corp., Senior Secured First Out (ICE LIBOR USD 3 Month + 4.75%), 6.36%, 12/31/2022 (d) | 11,561 | 2,537 | ||||||
Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 1/15/2025 (d) | 1,005 | 963 | ||||||
Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.95%, 2/16/2026 (d) | 838 | 775 | ||||||
CBS Radio, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 11/18/2024 (d) | 295 | 259 | ||||||
CCM Merger Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 8/6/2021 (d) | 1,278 | 1,178 | ||||||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.65%, 3/15/2027 (d) | 4,437 | 4,188 | ||||||
CEOC LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 10/7/2024 (d) | 804 | 775 | ||||||
Charter Communications Operating LLC, 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 1.75%), 2.16%, 2/1/2027 (d) | 2,469 | 2,368 | ||||||
Chemours Co. (The), Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.16%, | 1,065 | 969 | ||||||
CHG Healthcare Services, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.07%, 6/7/2023 (d) | 1,009 | 954 | ||||||
Cincinnati Bell, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, | 3,454 | 3,378 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Cineworld Finance US, Inc., 1st Lien Term Loan B | ||||||||
(ICE LIBOR USD 3 Month + 2.25%), 3.32%, 2/28/2025 (d) | 442 | 277 | ||||||
(ICE LIBOR USD 3 Month + 2.75%), 2.75%, 2/5/2027 (d) (o) | 213 | 128 | ||||||
CITGO Holding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 7.00%), 8.00%, 8/1/2023 (d) | 332 | 274 | ||||||
CityCenter Holdings LLC, Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/18/2024 (d) | 1,007 | 884 | ||||||
Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 8.42%, 12/18/2026 (d) (p) | 1,851 | 1,412 | ||||||
Clear Channel Outdoor Holdings Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 8/21/2026 (d) | 2,363 | 2,047 | ||||||
Clover Merger Sub, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 3.90%, 9/26/2024 (d) | 732 | 656 | ||||||
Club Corp Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.20%, 9/18/2024 (d) | 379 | 277 | ||||||
CommScope, Inc., 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 4/6/2026 (d) | 1,418 | 1,330 | ||||||
Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.99%, 3/2/2027 (d) (o) | 2,155 | 2,020 | ||||||
CPV Shore Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.16%, 12/29/2025 (d) | 327 | 298 | ||||||
CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 3.06%, 7/17/2025 (d) | 2,045 | 1,942 | ||||||
CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.06%, 1/15/2026 (d) | 2,478 | 2,351 | ||||||
Cumulus Media New Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.82%, 3/31/2026 (d) | 1,095 | 918 | ||||||
CVS Holdings I LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.65%, 7/31/2026 (d) | 326 | 274 | ||||||
CVS Holdings I LP, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 4.25%), 3.32%, 8/31/2026 (d) | 57 | 48 |
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
DaVita Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.15%, | 650 | 630 | ||||||
Dawn Acquisition LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 5.20%, 12/31/2025 (d) | 505 | 431 | ||||||
Dell International LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.75%, 9/19/2025 (d) (o) | 996 | 969 | ||||||
Delta 2 SARL, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, | 467 | 425 | ||||||
Diamond Sports Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.82%, 8/24/2026 (d) | 627 | 509 | ||||||
Digicert, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.40%, 10/16/2026 (d) | 339 | 318 | ||||||
Dole Food Co., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, | 4,032 | 3,862 | ||||||
Duff & Phelps Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 4/9/2027 (d) | 435 | 413 | ||||||
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.49%, 2/6/2026 (d) | 485 | 452 | ||||||
Edgewater Generation LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.15%, 12/13/2025 (d) | 422 | 387 | ||||||
EIF Channelview Cogeneration LLC, Term Loan (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 5/3/2025 (d) | 308 | 304 | ||||||
Elanco Animal Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.00%), 2.00%, 2/4/2027 (d) (o) | 960 | 925 | ||||||
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.00%, 4/29/2024 (d) | 331 | 300 | ||||||
Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 5.51%, 8/3/2026 (d) | 310 | 296 | ||||||
Envision Healthcare Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 4.15%, 10/10/2025 (d) | 830 | 567 | ||||||
Epic Crude Services LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 6.62%, 3/2/2026 (d) | 11,565 | 6,904 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
ESH Hospitality, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 9/18/2026 (d) | 674 | 616 | ||||||
Exela Intermediate LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 8.38%, 7/12/2023 (d) | 566 | 135 | ||||||
ExGen Renewables IV LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.62%, 11/28/2024 (d) | 719 | 690 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 10.00%), 12.00%, 5/16/2022 ‡ (d) | 195 | 194 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100 (d) (j) | 792 | – | (k) | |||||
Flex Acquisition Co., Inc., Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.43%, 12/29/2023 (d) | 492 | 458 | ||||||
Frontera Generation Holdings LLC, 1st Lien Senior Secured Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.39%, 5/2/2025 (d) | 390 | 252 | ||||||
Gates Global LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 4/1/2024 (d) | 5,384 | 4,943 | ||||||
Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.45%, 12/1/2023 (d) | 2,285 | 1,428 | ||||||
Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 3.45%, 12/30/2026 (d) (o) | 642 | 620 | ||||||
Getty Images, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 4.94%, | 2,877 | 2,409 | ||||||
GGP, Inc., 1st Lien Term Loan B REIT, (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 8/27/2025 (d) | 1,010 | 745 | ||||||
Go Daddy Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.15%, 2/15/2024 (d) | 1,261 | 1,216 | ||||||
Golden Nugget, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%; ICE LIBOR USD 3 Month + 2.50%), 3.46%, 10/4/2023 (d) | 8,017 | 6,397 | ||||||
GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 10/10/2025 (d) | 672 | 642 | ||||||
Gray Television, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.49%, 1/2/2026 (d) | 862 | 810 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 115 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
Greeneden US Holdings II LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 12/1/2023 (d) | 1,363 | 1,288 | ||||||
Grizzly Acquisitions Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.68%, 10/1/2025 (d) | 319 | 256 | ||||||
Gulf Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%; ICE LIBOR USD 3 Month + 5.25%), 6.42%, 8/25/2023 (d) | 3,042 | 1,584 | ||||||
Hanjin International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 10/19/2020 (d) | 476 | 395 | ||||||
Hargray Communications Group, Inc., Senior Secured Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 5/16/2024 (d) | 1,212 | 1,145 | ||||||
Hearthside Group Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.69%), 4.09%, 5/23/2025 (d) | 355 | 325 | ||||||
Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.51%, 6/30/2023 (d) | 666 | 411 | ||||||
Hillman Group, Inc., Initial Term Loan (ICE LIBOR USD 3 Month + 4.00%), 5.07%, 5/30/2025 (d) | 433 | 365 | ||||||
Hostess Brands LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.01%, 8/3/2025 (d) | 545 | 520 | ||||||
Hoya Midco LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.57%, 6/30/2024 (d) | 693 | 492 | ||||||
HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.02%, 4/25/2025 (d) | 977 | 913 | ||||||
iHeart Communications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 5/1/2026 (d) | 4,703 | 4,203 | ||||||
II-VI, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.90%, 9/24/2026 (d) | 8,936 | 8,176 | ||||||
INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 5.11%, 8/28/2026 (d) | 541 | 507 | ||||||
Infor US, Inc., Tranche B-6 Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 2/1/2022 (d) | 1,306 | 1,281 | ||||||
Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 2/25/2027 (d) (o) | 1,268 | 1,189 | ||||||
Intelsat Jackson Holdings, 1st Lien Term Loan (3-MONTH PRIME + 2.75%), 6.00%, 11/27/2023 (d) | 2,707 | 2,651 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Invenergy LLC, Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 8/28/2025 (d) | 320 | 307 | ||||||
IRB Holding Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/2025 (d) (o) | 1,138 | 991 | ||||||
JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.00%), 3.07%, 5/1/2026 (d) | 3,675 | 3,535 | ||||||
KDC US Holding Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.15%, 12/22/2025 (d) | 766 | 673 | ||||||
Kestrel Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.25%, 6/2/2025 (d) | 362 | 292 | ||||||
Lifepoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.15%, 11/16/2025 (d) | 466 | 429 | ||||||
Lightstone Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024 (d) | 452 | 355 | ||||||
Lightstone Holdco LLC, 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024 (d) | 26 | 20 | ||||||
MacDonald Dettwiler and Associates Ltd., Term Loan B (3-MONTH PRIME + 1.75%), 3.16%, 10/4/2024 (d) | 461 | 426 | ||||||
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/30/2024 (d) | 354 | 244 | ||||||
Meredith Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.26%, 1/31/2025 (d) | 1,400 | 1,278 | ||||||
Midcontinent Communications., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.74%, 8/15/2026 (d) | 350 | 336 | ||||||
Misys, Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 6/13/2024 (d) | 347 | 300 | ||||||
Moda Midstream LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 9/29/2025 (d) | 335 | 293 | ||||||
Momentive Performance, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.66%, 5/15/2024 (d) | 681 | 605 | ||||||
Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.43%, 4/1/2024 ‡ (d) | 2,992 | 2,992 | ||||||
Moran Foods LLC, 1st Lien Term Loan B-2 (ICE LIBOR USD 3 Month + 10.75%), 11.75%, 12/31/2100 ‡ (d) | 2,126 | 1,666 |
SEE NOTES TO FINANCIAL STATEMENTS.
116 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
MultiPlan, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.20%, 6/7/2023 (d) | 9,984 | 9,167 | ||||||
NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 5/8/2025 (d) | 295 | 224 | ||||||
Navistar International, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.22%, 11/6/2024 (d) | 2,734 | 2,462 | ||||||
Neiman Marcus Group Ltd. LLC, Term Loan | ||||||||
(ICE LIBOR USD 1 Month + 6.00%), 7.50%, 10/25/2023 (d) | 100 | 37 | ||||||
(ICE LIBOR USD 1 Month + 6.50%), 8.00%, 10/25/2023 (d) | 7,293 | 2,645 | ||||||
Nestle Skin Health SA, 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 4.25%), 5.32%, 10/1/2026 (d) | 6,608 | 6,038 | ||||||
Nielsen Finance LLC, 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 2.00%), 2.86%, 10/4/2023 (d) | 471 | 452 | ||||||
Numericable US LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.69%), 4.50%, 1/31/2026 (d) | 891 | 820 | ||||||
Oryx Midstream Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.40%, 5/22/2026 (d) | 359 | 247 | ||||||
Pelican Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 5/1/2025 (d) | 356 | 292 | ||||||
Pelican Products, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 7.75%), 8.75%, 5/1/2026 (d) | 592 | 456 | ||||||
PetSmart, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.00%, 3/11/2022 (d) | 5,886 | 5,703 | ||||||
Petvet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 2/14/2025 (d) | 907 | 813 | ||||||
Pike Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 7/24/2026 (d) | 727 | 697 | ||||||
Plantronics, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%; ICE LIBOR USD 3 Month + 2.50%), 2.99%, 7/2/2025 (d) | 5,186 | 4,216 | ||||||
Prestige Brands, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 1/26/2024 (d) | 942 | 915 | ||||||
Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.27%, 9/23/2026 (d) | 1,392 | 1,317 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.90%, 6/1/2026 (d) | 408 | 354 | ||||||
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.90%, 12/22/2025 (d) (o) | 10,645 | 7,969 | ||||||
Qlik Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 5.38%, 4/26/2024 (d) | 347 | 328 | ||||||
Quest Software US Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 5.01%, 5/16/2025 (d) | 544 | 497 | ||||||
Quidditch Acquisition, Inc., 1st Lien Cov-Lite Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.45%, 3/21/2025 (d) | 147 | 115 | ||||||
Rackspace Hosting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.76%, 11/3/2023 (d) | 595 | 556 | ||||||
Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.90%, 11/8/2024 (d) | 336 | 308 | ||||||
Refinitiv US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%, 10/1/2025 (d) | 1,689 | 1,650 | ||||||
Reynolds Consumer Products, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 1.75%), 2.15%, 2/4/2027 (d) (o) | 950 | 914 | ||||||
Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 2/5/2023 (d) | 3,229 | 3,072 | ||||||
Ring Container Technologies LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 10/31/2024 (d) | 338 | 301 | ||||||
Samsonite IP Holdings SARL, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.15%, 4/25/2025 (d) | 410 | 371 | ||||||
Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%), 3.52%, 8/14/2024 (d) | 5,570 | 4,590 | ||||||
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.00%), 7.45%, 9/25/2026 (d) | 2,039 | 1,767 | ||||||
Sound Inpatient Physicians Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.15%, 6/27/2025 (d) | 401 | 376 | ||||||
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 1.75%), 2.74%, 4/16/2025 (d) (o) | 467 | 448 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 117 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 1.75%), 2.74%, 4/16/2025 (d) (o) | 333 | 320 | ||||||
St George’s University Scholastic Services LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.66%, 7/17/2025 (d) | 1,006 | 946 | ||||||
Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 6.02%, | 3,065 | 2,431 | ||||||
Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.54%, 2/14/2025 (d) | 3,827 | 3,547 | ||||||
Summit Materials LLC, Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 11/21/2024 (d) | 469 | 440 | ||||||
Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 3/17/2027 (d) (o) | 445 | 347 | ||||||
Syniverse Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 6.87%, 3/9/2023 (d) | 2,600 | 1,782 | ||||||
Tenneco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 10/1/2025 (d) | 634 | 491 | ||||||
Tennessee Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 2/6/2024 (d) | 971 | 711 | ||||||
Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/2025 (d) | 6,840 | 5,987 | ||||||
Tivity Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 5.65%, 3/6/2026 (d) | 331 | 284 | ||||||
T-Mobile USA, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 3.00%, 4/1/2027 (d) (o) | 7,230 | 7,182 | ||||||
Trans Union LLC, 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 1.75%), 2.15%, 11/16/2026 (d) | 651 | 622 | ||||||
TransDigm Group, Inc., 1st Lien Term Loan E (ICE LIBOR USD 1 Month + 2.25%), 2.65%, 5/30/2025 (d) | 1,088 | 950 | ||||||
TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.25%), 2.65%, 12/9/2025 (d) | 1,777 | 1,552 | ||||||
Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.40%, 9/6/2024 (d) | 343 | 323 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Tronox Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 3.59%, 9/23/2024 (d) | 450 | 421 | ||||||
U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.44%, 6/26/2026 (d) | 4,029 | 3,798 | ||||||
UFC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 4/29/2026 (d) | 2,797 | 2,608 | ||||||
United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.65%, 10/22/2025 (d) | 2,447 | 2,198 | ||||||
USI, Inc., Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 5/16/2024 (d) | 549 | 516 | ||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.72%, 6/2/2025 (d) | 13,836 | 13,369 | ||||||
VeriFone Systems, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 5.70%, 8/20/2025 (d) | 353 | 268 | ||||||
VICI Properties 1 LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.42%, 12/22/2024 (d) (o) | 660 | 611 | ||||||
Viskase Cos., Inc., Initial Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.70%, | 2,580 | 1,880 | ||||||
WestJet Airlines Ltd., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 12/11/2026 (d) | 658 | 527 | ||||||
Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.73%, | 259 | 238 | ||||||
Windstream Corp., 1st Lien Term Loan B(3-MONTH PRIME + 5.00%), 8.25%, 3/29/2021 (d) | 1,385 | 769 | ||||||
WIRB Copernicus Group, Inc., 1st Lien term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.24%, 1/8/2027 (d) (o) | 945 | 891 | ||||||
WMG Acquisition Corp., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.13%), 2.53%, 11/1/2023 (d) | 2,020 | 1,952 | ||||||
XPO Logistics, Inc., Term Loan (ICE LIBOR USD 3 Month + 2.00%), 3.61%, 2/24/2025 (d) | 625 | 602 | ||||||
Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.40%, 3/9/2027 (d) (o) | 3,420 | 3,205 |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Loan Assignments — continued | ||||||||
United States — continued | ||||||||
Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.82%, 1/17/2027 (d) | 685 | 647 | ||||||
|
| |||||||
260,549 | ||||||||
|
| |||||||
Total Loan Assignments |
| 269,858 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 2.2% |
| |||||||
Cayman Islands — 0.0%(a) | ||||||||
GPMT Ltd. Series 2018-FL1, Class B, 2.22%, 11/21/2035 ‡ (e) (m) | 3,000 | 2,598 | ||||||
|
| |||||||
United States — 2.2% | ||||||||
Banc of America Commercial Mortgage Trust Series 2017-BNK3, Class D, 3.25%, 2/15/2050 ‡ (e) | 655 | 387 | ||||||
BANK | ||||||||
Series 2019-BN19, Class D, 3.00%, 8/15/2061 ‡ (e) | 4,750 | 2,621 | ||||||
Series 2019-BN20, Class E, 2.50%, 9/15/2062 ‡ (e) | 615 | 260 | ||||||
Series 2020-BN26, Class XA, IO, 1.36%, 3/15/2063 (m) | 41,884 | 3,617 | ||||||
Barclays Commercial Mortgage Trust Series 2019-C4, Class D, 3.25%, 8/15/2052 ‡ (e) | 2,641 | 1,571 | ||||||
BENCHMARK Mortgage Trust | ||||||||
Series 2018-B1, Class D, 2.75%, 1/15/2051 ‡ (e) | 975 | 601 | ||||||
Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (e) | 4,000 | 2,349 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2018-IND, Class E, 2.51%, 11/15/2035 (e) (m) | 455 | 432 | ||||||
Series 2020-BXLP, Class F, 2.81%, 12/15/2036 ‡ (e) (m) | 925 | 866 | ||||||
Series 2018-BIOA, Class D, 2.14%, 3/15/2037 ‡ (e) (m) | 6,000 | 5,555 | ||||||
BXMT Ltd. | ||||||||
Series 2017-FL1, Class B, 2.25%, 6/15/2035 ‡ (e) (m) | 3,000 | 2,746 | ||||||
Series 2017-FL1, Class C, 2.70%, 6/15/2035 ‡ (e) (m) | 1,500 | 1,329 | ||||||
Series 2017-FL1, Class D, 3.45%, 6/15/2035 ‡ (e) (m) | 3,000 | 2,461 | ||||||
CAMB Commercial Mortgage Trust | ||||||||
Series 2019-LIFE, Class E, 2.96%, 12/15/2037 ‡ (e) (m) | 2,690 | 2,516 | ||||||
Series 2019-LIFE, Class G, 4.06%, 12/15/2037 ‡ (e) (m) | 2,420 | 2,215 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
CD Mortgage Trust Series 2017-CD5, Class D, 3.35%, 8/15/2050 ‡ (e) | 331 | 220 | ||||||
CFCRE Commercial Mortgage Trust Series 2016-C6, Class D, 4.35%, 11/10/2049 ‡ (e) (m) | 1,000 | 643 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2019-SMRT, Class D, 4.90%, 1/10/2036 ‡ (e) (m) | 2,500 | 2,220 | ||||||
Series 2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (e) | 2,750 | 2,448 | ||||||
Series 2015-P1, Class D, 3.23%, 9/15/2048 ‡ (e) | 2,500 | 1,600 | ||||||
Series 2016-C1, Class D, 5.12%, 5/10/2049 ‡ (e) (m) | 2,225 | 1,621 | ||||||
Series 2016-P6, Class D, 3.25%, 12/10/2049 ‡ (e) | 1,325 | 788 | ||||||
Series 2017-P7, Class B, 4.14%, 4/14/2050 ‡ (m) | 910 | 873 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (e) (m) | 2,750 | 1,666 | ||||||
Series 2014-CR15, Class C, 4.89%, 2/10/2047 ‡ (m) | 3,375 | 3,215 | ||||||
Series 2014-CR19, Class D, 4.89%, 8/10/2047 ‡ (e) (m) | 1,250 | 946 | ||||||
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 ‡ (e) | 3,100 | 1,554 | ||||||
Series 2014-CR20, Class D, 3.22%, 11/10/2047 ‡ (e) | 3,000 | 2,087 | ||||||
Series 2015-LC21, Class D, 4.49%, 7/10/2048 ‡ (m) | 900 | 636 | ||||||
Series 2016-CR28, Class D, 4.05%, 2/10/2049 ‡ (m) | 2,350 | 1,309 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C1, Class AM, 5.42%, 2/15/2040 | 17 | 17 | ||||||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class D, 2.41%, 5/15/2036 ‡ (e) (m) | 4,500 | 4,193 | ||||||
CSAIL Commercial Mortgage Trust | 3,835 | 3,144 | ||||||
DBGS Mortgage Trust | ||||||||
Series 2018-5BP, Class D, 2.16%, 6/15/2033 ‡ (e) (m) | 7,000 | 6,124 | ||||||
Series 2018-BIOD, Class C, 1.76%, 5/15/2035 ‡ (e) (m) | 3,016 | 2,781 | ||||||
Series 2018-BIOD, Class D, 2.11%, 5/15/2035 ‡ (e) (m) | 6,033 | 5,551 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 119 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued | ||||||||
Series 2019-1735, Class E, 4.33%, 4/10/2037 ‡ (e) (m) | 1,785 | 1,383 | ||||||
FHLMC Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 (m) | 17,110 | 2,649 | ||||||
FHLMC, Multifamily Structured Pass-Through Certificates | ||||||||
Series K033, Class X1, IO, 0.41%, 7/25/2023 (m) | 108,709 | 940 | ||||||
Series KC03, Class X1, IO, 0.63%, 11/25/2024 (m) | 64,998 | 1,279 | ||||||
Series K082, Class X3, IO, 2.29%, 10/25/2028 (m) | 11,750 | 1,743 | ||||||
Series K084, Class X3, IO, 2.31%, 11/25/2028 (m) | 6,000 | 903 | ||||||
Series KL05, Class A2HG, 2.65%, 2/25/2029 (m) | 3,750 | 4,090 | ||||||
Series K105, Class X1, IO, 1.65%, 1/25/2030 (m) | 41,098 | 4,831 | ||||||
Series K054, Class X3, IO, 1.65%, 4/25/2043 (m) | 17,000 | 1,138 | ||||||
Series K067, Class X3, IO, 2.19%, 9/25/2044 (m) | 34,106 | 4,379 | ||||||
Series K727, Class X3, IO, 2.07%, 10/25/2044 (m) | 33,818 | 2,632 | ||||||
Series K059, Class X3, IO, 1.98%, 11/25/2044 (m) | 24,693 | 2,579 | ||||||
Series K087, Class X3, IO, 2.39%, 1/25/2046 (m) | 18,300 | 2,887 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series K734, Class X3, IO, 2.24%, 7/25/2026 (m) | 13,025 | 1,431 | ||||||
Series KC04, Class X1, IO, 1.41%, 12/25/2026 (m) | 15,000 | 908 | ||||||
Series K094, Class X1, IO, 1.02%, 6/25/2029 (m) | 39,342 | 2,613 | ||||||
Series K090, Class X3, IO, 2.39%, 10/25/2029 (m) | 1,750 | 291 | ||||||
Series K723, Class X3, IO, 1.98%, 10/25/2034 (m) | 6,552 | 381 | ||||||
Series K716, Class X3, IO, 1.86%, 8/25/2042 (m) | 15,656 | 325 | ||||||
Series K068, Class X3, IO, 2.13%, 10/25/2044 (m) | 11,050 | 1,380 | ||||||
Series K729, Class X3, IO, 2.04%, 11/25/2044 (m) | 37,637 | 2,953 | ||||||
Series K728, Class X3, IO, 2.02%, 11/25/2045 (m) | 8,120 | 604 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series K071, Class X3, IO, 2.08%, 11/25/2045 (m) | 5,000 | 626 | ||||||
Series K088, Class X3, IO, 2.42%, 2/25/2047 (m) | 11,130 | 1,826 | ||||||
Series K092, Class X3, IO, 2.32%, 5/25/2047 (m) | 21,150 | 3,393 | ||||||
Series K094, Class X3, IO, 2.20%, 7/25/2047 (m) | 14,206 | 2,172 | ||||||
FNMA ACES | ||||||||
Series 2019-M21, Class X2, IO, 1.47%, 2/25/2031 (m) | 6,542 | 719 | ||||||
Series 2016-M4, Class X2, IO, 2.71%, 1/25/2039 (m) | 17,517 | 1,269 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2015-KF09, Class B, 6.34%, 5/25/2022 (e) (m) | 111 | 110 | ||||||
Series 2015-KF10, Class B, 7.09%, 7/25/2022 (e) (m) | 405 | 377 | ||||||
Series 2017-KF31, Class B, 3.89%, 4/25/2024 (e) (m) | 1,324 | 1,119 | ||||||
Series 2017-KF32, Class B, 3.54%, 5/25/2024 (e) (m) | 2,465 | 2,117 | ||||||
Series 2017-KF38, Class B, 3.49%, 9/25/2024 (e) (m) | 1,500 | 1,278 | ||||||
Series 2018-K731, Class C, 4.06%, 2/25/2025 (e) (m) | 2,000 | 1,895 | ||||||
Series 2018-KF47, Class B, 2.99%, 5/25/2025 (e) (m) | 6,053 | 5,143 | ||||||
Series 2018-KF49, Class B, 2.89%, 6/25/2025 (e) (m) | 501 | 423 | ||||||
Series 2019-KF58, Class B, 3.14%, 1/25/2026 (e) (m) | 2,232 | 1,886 | ||||||
Series 2019-KC03, Class B, 4.51%, 1/25/2026 (e) (m) | 2,304 | 2,020 | ||||||
Series 2019-KF62, Class B, 3.04%, 4/25/2026 (e) (m) | 2,220 | 1,851 | ||||||
Series 2019-K736, Class C, 3.88%, 7/25/2026 (e) (m) | 475 | 423 | ||||||
Series 2017-KF33, Class B, 3.54%, 6/25/2027 (e) (m) | 624 | 509 | ||||||
Series 2017-KF40, Class B, 3.69%, 11/25/2027 (e) (m) | 1,955 | 1,580 | ||||||
Series 2018-KF43, Class B, 3.14%, 1/25/2028 (e) (m) | 2,683 | 2,126 | ||||||
Series 2018-KF50, Class B, 2.89%, 7/25/2028 (e) (m) | 721 | 564 | ||||||
Series 2018-K82, Class B, 4.27%, 9/25/2028 (e) (m) | 1,460 | 1,471 |
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued | ||||||||
Series 2019-KF59, Class B, 3.34%, 2/25/2029 (e) (m) | 3,999 | 3,119 | ||||||
Series 2019-KG01, Class B, 4.31%, 4/25/2029 (e) (m) | 3,090 | 2,337 | ||||||
Series 2019-KF63, Class B, 3.34%, 5/25/2029 (e) (m) | 4,710 | 3,623 | ||||||
Series 2017-K67, Class C, 4.08%, 9/25/2049 (e) (m) | 730 | 663 | ||||||
Series 2017-K729, Class B, 3.80%, 11/25/2049 (e) (m) | 1,400 | 1,406 | ||||||
Series 2017-K63, Class C, 4.00%, 2/25/2050 (e) (m) | 1,380 | 1,261 | ||||||
Series 2017-K65, Class B, 4.21%, 7/25/2050 (e) (m) | 5,365 | 5,427 | ||||||
Series 2017-K71, Class B, 3.88%, 11/25/2050 (e) (m) | 1,280 | 1,293 | ||||||
Series 2017-K71, Class C, 3.88%, 11/25/2050 (e) (m) | 1,065 | 952 | ||||||
Series 2018-K72, Class B, 4.12%, 12/25/2050 (e) (m) | 3,000 | 3,048 | ||||||
Series 2019-K87, Class B, 4.47%, 1/25/2051 (e) (m) | 3,600 | 3,666 | ||||||
Series 2019-K87, Class C, 4.47%, 1/25/2051 (e) (m) | 2,000 | 1,856 | ||||||
Series 2018-K74, Class B, 4.23%, 2/25/2051 (e) (m) | 2,445 | 2,467 | ||||||
Series 2018-K75, Class B, 4.11%, 4/25/2051 (e) (m) | 1,235 | 1,236 | ||||||
Series 2019-K103, Class C, 3.57%, 12/25/2051 (e) (m) | 400 | 338 | ||||||
Series 2019-K88, Class C, 4.53%, 2/25/2052 (e) (m) | 3,750 | 3,289 | ||||||
Series 2019-K94, Class C, 4.10%, 7/25/2052 (e) (m) | 2,000 | 1,686 | ||||||
Series 2020-K737, Class B, 3.30%, 1/25/2053 (e) (m) | 1,000 | 975 | ||||||
Series 2020-K737, Class C, 3.30%, 1/25/2053 (e) (m) | 1,470 | 1,312 | ||||||
Series 2019-K96, Class B, 3.94%, 8/25/2056 (e) (m) | 1,915 | 1,859 | ||||||
GNMA | ||||||||
Series 2012-44, IO, 0.26%, 3/16/2049 (m) | 12,191 | 75 | ||||||
Series 2015-86, IO, 0.69%, 5/16/2052 (m) | 24,337 | 952 | ||||||
Series 2013-7, IO, 0.36%, 5/16/2053 (m) | 64,328 | 1,197 | ||||||
Series 2012-89, IO, 0.55%, | 13,254 | 204 | ||||||
Series 2014-186, IO, 0.73%, | 19,500 | 727 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series 2013-178, IO, 0.64%, | 6,283 | 163 | ||||||
Series 2015-33, IO, 0.74%, 2/16/2056 (m) | 16,856 | 721 | ||||||
Series 2015-59, IO, 1.00%, 6/16/2056 (m) | 5,692 | 263 | ||||||
Series 2015-172, IO, 0.81%, | 5,363 | 234 | ||||||
Series 2016-40, IO, 0.71%, 7/16/2057 (m) | 19,087 | 822 | ||||||
Series 2016-157, IO, 0.95%, | 21,620 | 1,417 | ||||||
Series 2016-71, Class QI, IO, 0.97%, 11/16/2057 (m) | 115,750 | 7,043 | ||||||
Series 2016-155, IO, 0.88%, | 34,252 | 2,244 | ||||||
Series 2016-151, IO, 1.07%, | 81,023 | 5,546 | ||||||
Series 2017-54, IO, 0.64%, | 15,814 | 801 | ||||||
Series 2017-86, IO, 0.78%, 5/16/2059 (m) | 4,995 | 281 | ||||||
Series 2017-148, IO, 0.66%, | 19,519 | 970 | ||||||
Series 2017-69, IO, 0.81%, 7/16/2059 (m) | 2,723 | 161 | ||||||
Series 2019-53, Class IA, IO, 0.85%, 6/16/2061 (m) | 19,844 | 1,425 | ||||||
Series 2020-28, IO, 0.86%, | 16,173 | 1,220 | ||||||
Series 2020-23, IO, 0.79%, 4/16/2062 (m) | 25,318 | 1,848 | ||||||
GRACE Mortgage Trust Series 2014-GRCE, Class F, 3.71%, 6/10/2028 ‡ (e) (m) | 4,700 | 4,661 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2006-GG8, Class AJ, 5.62%, 11/10/2039 | 1,769 | 1,331 | ||||||
Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (e) | 800 | 570 | ||||||
Series 2013-GC12, Class D, 4.59%, 6/10/2046 ‡ (e) (m) | 750 | 607 | ||||||
Series 2013-GC14, Class D, 4.90%, 8/10/2046 ‡ (e) (m) | 2,500 | 1,482 | ||||||
Series 2015-GC34, Class D, 2.98%, 10/10/2048 ‡ | 1,380 | 589 | ||||||
Series 2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (e) (m) | 2,000 | 1,376 | ||||||
Hudson Yards Mortgage Trust Series 2019-30HY, Class E, 3.56%, 7/10/2039 ‡ (e) (m) | 2,000 | 1,767 | ||||||
JPMBB Commercial Mortgage Securities Trust Series 2013-C17, Class D, 5.05%, 1/15/2047 ‡ (e) (m) | 1,250 | 986 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 121 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued | ||||||||
KNDL Mortgage Trust Series 2019-KNSQ, Class E, 2.61%, 5/15/2036 ‡ (e) (m) | 2,040 | 1,877 | ||||||
LB Commercial Mortgage Trust Series 2007-C3, Class AJ, 6.11%, 7/15/2044 (m) | 339 | 334 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (m) | 4,115 | 2,405 | ||||||
Series 2007-C6, Class AJ, 6.47%, 7/15/2040 (m) | 3,626 | 3,499 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2012-C5, Class G, 4.50%, 8/15/2045 ‡ (e) | 1,500 | 1,128 | ||||||
Series 2014-C15, Class D, 5.07%, 4/15/2047 ‡ (e) (m) | 365 | 284 | ||||||
Series 2014-C17, Class D, 4.90%, 8/15/2047 ‡ (e) (m) | 601 | 440 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (e) (m) | 730 | 639 | ||||||
Series 2006-T23, Class D, 6.37%, 8/12/2041 ‡ (e) (m) | 1,798 | 1,811 | ||||||
Series 2007-HQ11, Class B, 5.54%, 2/12/2044 ‡ (m) | 61 | 61 | ||||||
Series 2006-HQ8, Class D, 5.79%, 3/12/2044 ‡ (m) | 246 | 245 | ||||||
Series 2019-L2, Class D, 3.00%, 3/15/2052 ‡ (e) | 4,075 | 2,251 | ||||||
Series 2019-L2, Class E, 3.00%, 3/15/2052 ‡ (e) | 2,575 | 1,200 | ||||||
Multifamily Connecticut Avenue Securities Trust Series 2019-01, Class M7, 2.19%, 10/15/2049 ‡ (e) (m) | 582 | 488 | ||||||
Velocity Commercial Capital Loan Trust | ||||||||
Series 2018-2, Class A, 4.05%, 10/26/2048 (e) (m) | 6,149 | 6,121 | ||||||
Series 2018-2, Class M2, 4.51%, 10/26/2048 ‡ (e) (m) | 313 | 299 | ||||||
Series 2018-2, Class M3, 4.72%, 10/26/2048 ‡ (e) (m) | 451 | 423 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2019-C50, Class E, 3.00%, 5/15/2052 (e) | 2,000 | 916 | ||||||
Series 2019-C52, Class XA, IO, 1.77%, 8/15/2052 (m) | 3,983 | 398 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 4.05%, | 3,005 | 2,389 | ||||||
|
| |||||||
261,082 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 263,680 | ||||||
|
| |||||||
Convertible Bonds — 1.5% | ||||||||
Australia — 0.0%(a) | ||||||||
DEXUS Finance Pty. Ltd. REIT, 2.30%, 6/19/2026 (b) | AUD | 2,900 | 1,774 | |||||
|
| |||||||
Bermuda — 0.0%(a) | ||||||||
Golar LNG Ltd. 2.75%, 2/15/2022 | 1,886 | 1,205 | ||||||
|
| |||||||
China — 0.2% | ||||||||
China Conch Venture Holdings International Ltd. Zero Coupon, 9/5/2023 (b) | HKD | 25,000 | 3,613 | |||||
CRRC Corp. Ltd. Zero Coupon, | 2,000 | 1,930 | ||||||
Harvest International Co. Zero Coupon, 11/21/2022 (b) | HKD | 26,000 | 3,358 | |||||
Huazhu Group Ltd. 0.38%, 11/1/2022 | 1,288 | 1,300 | ||||||
Lenovo Group Ltd. 3.38%, 1/24/2024 (b) | 1,270 | 1,259 | ||||||
Momo, Inc. 1.25%, 7/1/2025 | 3,345 | 2,699 | ||||||
Trip.com Group Ltd. 1.99%, 7/1/2025 | 2,425 | 2,395 | ||||||
Weibo Corp. 1.25%, 11/15/2022 | 2,660 | 2,414 | ||||||
Zhongsheng Group Holdings Ltd. Zero Coupon, 5/23/2023 (b) | HKD | 21,000 | 3,057 | |||||
|
| |||||||
22,025 | ||||||||
|
| |||||||
France — 0.0%(a) | ||||||||
Orpar SA Zero Coupon, 6/20/2024 (b) | EUR | 3,400 | 3,604 | |||||
|
| |||||||
Singapore — 0.1% | ||||||||
CapitaLand Ltd. | ||||||||
1.85%, 6/19/2020 (b) | SGD | 7,000 | 4,916 | |||||
2.95%, 6/20/2022 (b) | SGD | 5,000 | 3,459 | |||||
|
| |||||||
8,375 | ||||||||
|
| |||||||
South Africa — 0.0%(a) | ||||||||
Remgro Jersey GBP Ltd. 2.63%, | GBP | 2,800 | 3,504 | |||||
|
| |||||||
Spain — 0.0%(a) | ||||||||
Cellnex Telecom SA 0.50%, 7/5/2028 (b) | EUR | 3,300 | 4,450 | |||||
|
| |||||||
Switzerland — 0.0%(a) | ||||||||
Glencore Funding LLC Zero Coupon, 3/27/2025 (b) | 3,000 | 2,274 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Convertible Bonds — continued | ||||||||
United Arab Emirates — 0.1% | ||||||||
Borr Drilling Ltd. 3.88%, 5/23/2023 (b) | 2,200 | 220 | ||||||
DP World plc 1.75%, 6/19/2024 (b) | 6,400 | 6,339 | ||||||
|
| |||||||
6,559 | ||||||||
|
| |||||||
United Kingdom — 0.1% | ||||||||
Barclays Bank plc | ||||||||
Zero Coupon, 2/4/2025 | 1,975 | 2,100 | ||||||
Zero Coupon, 2/18/2025 | 2,025 | 2,076 | ||||||
TechnipFMC plc 0.88%, 1/25/2021 (b) | EUR 1,700 | 1,789 | ||||||
|
| |||||||
5,965 | ||||||||
|
| |||||||
United States — 1.0% | ||||||||
Ares Capital Corp. | ||||||||
3.75%, 2/1/2022 | 4,716 | 4,523 | ||||||
4.63%, 3/1/2024 | 2,550 | 2,379 | ||||||
BlackRock Capital Investment Corp. 5.00%, 6/15/2022 | 2,580 | 2,006 | ||||||
BlackRock TCP Capital Corp. 4.63%, 3/1/2022 | 2,536 | 2,362 | ||||||
BofA Finance LLC 0.25%, 5/1/2023 | 2,670 | 2,603 | ||||||
Colony Capital, Inc. | ||||||||
REIT, 3.88%, 1/15/2021 | 1,455 | 1,362 | ||||||
REIT, 5.00%, 4/15/2023 | 3,721 | 2,884 | ||||||
DISH Network Corp. | ||||||||
2.38%, 3/15/2024 | 9,116 | 7,665 | ||||||
3.38%, 8/15/2026 | 3,235 | 2,622 | ||||||
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 | 5,700 | 1,014 | ||||||
Etsy, Inc. 0.13%, 10/1/2026 (e) | 3,070 | 3,111 | ||||||
FireEye, Inc. Series B, 1.63%, 6/1/2035 | 6,958 | 6,475 | ||||||
Hercules Capital, Inc. 4.38%, 2/1/2022 | 3,031 | 2,836 | ||||||
Liberty Interactive LLC | ||||||||
4.00%, 11/15/2029 | 6,966 | 4,685 | ||||||
3.75%, 2/15/2030 | 320 | 211 | ||||||
1.75%, 9/30/2046 (e) | 2,426 | 3,564 | ||||||
Live Nation Entertainment, Inc. 2.00%, 2/15/2025 (e) | 2,800 | 2,199 | ||||||
Macquarie Infrastructure Corp. 2.00%, 10/1/2023 | 4,269 | 3,415 | ||||||
Meritor, Inc. 3.25%, 10/15/2037 | 1,220 | 1,171 | ||||||
MFA Financial, Inc. REIT, 6.25%, 6/15/2024 | 3,869 | 2,667 | ||||||
MongoDB, Inc. 0.25%, 1/15/2026 (e) | 1,410 | 1,472 | ||||||
Oasis Petroleum, Inc. 2.63%, 9/15/2023 | 865 | 104 | ||||||
Okta, Inc. 0.13%, 9/1/2025 (e) | 5,019 | 5,305 | ||||||
Pluralsight, Inc. 0.38%, 3/1/2024 | 4,910 | 4,058 | ||||||
Redwood Trust, Inc. REIT, 4.75%, 8/15/2023 | 2,632 | �� | 1,826 | |||||
RingCentral, Inc. Zero Coupon, 3/1/2025 (e) | 2,930 | 2,826 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
RWT Holdings, Inc. 5.75%, 10/1/2025 (e) | 1,340 | 893 | ||||||
Snap, Inc. 0.75%, 8/1/2026 (e) | 1,920 | 1,989 | ||||||
Spirit Realty Capital, Inc. REIT, 3.75%, 5/15/2021 | 3,821 | 3,690 | ||||||
Starwood Property Trust, Inc. REIT, 4.38%, 4/1/2023 | 3,788 | 3,277 | ||||||
SunPower Corp. 0.88%, 6/1/2021 | 3,183 | 2,714 | ||||||
Supernus Pharmaceuticals, Inc. 0.63%, 4/1/2023 | 2,705 | 2,309 | ||||||
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 | 959 | 947 | ||||||
Twitter, Inc. | ||||||||
1.00%, 9/15/2021 | 4,079 | 3,957 | ||||||
0.25%, 6/15/2024 | 3,146 | 2,933 | ||||||
Veeco Instruments, Inc. 2.70%, 1/15/2023 | 3,193 | 2,647 | ||||||
VEREIT, Inc. REIT, 3.75%, 12/15/2020 | 2,552 | 2,495 | ||||||
Vishay Intertechnology, Inc. 2.25%, 6/15/2025 | 3,329 | 3,068 | ||||||
Vonage Holdings Corp. 1.75%, 6/1/2024 (e) | 5,210 | 4,671 | ||||||
Whiting Petroleum Corp. 1.25%, 4/1/2020 (j) | 974 | 88 | ||||||
Zillow Group, Inc. 1.50%, 7/1/2023 | 3,031 | 2,832 | ||||||
|
| |||||||
113,855 | ||||||||
|
| |||||||
Total Convertible Bonds | 173,590 | |||||||
|
| |||||||
Foreign Government Securities — 1.4% |
| |||||||
Angola — 0.0%(a) |
| |||||||
Republic of Angola | ||||||||
9.50%, 11/12/2025 (b) | 1,570 | 742 | ||||||
8.00%, 11/26/2029 (e) | 1,550 | 666 | ||||||
9.13%, 11/26/2049 (b) | 1,800 | 769 | ||||||
|
| |||||||
2,177 | ||||||||
|
| |||||||
Argentina — 0.0%(a) | ||||||||
Argentine Republic | ||||||||
6.88%, 4/22/2021 | 580 | 166 | ||||||
6.88%, 1/26/2027 | 810 | 200 | ||||||
5.88%, 1/11/2028 | 2,958 | 725 | ||||||
8.28%, 12/31/2033 | 1,486 | 522 | ||||||
6.88%, 1/11/2048 | 1,160 | 269 | ||||||
7.13%, 6/28/2117 | 852 | 198 | ||||||
|
| |||||||
2,080 | ||||||||
|
| |||||||
Bahrain — 0.0%(a) | ||||||||
Kingdom of Bahrain | ||||||||
7.00%, 10/12/2028 (b) | 1,400 | 1,390 | ||||||
6.00%, 9/19/2044 (b) | 1,850 | 1,566 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 123 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Bahrain — continued | ||||||||
7.50%, 9/20/2047 (b) | 1,410 | 1,338 | ||||||
|
| |||||||
4,294 | ||||||||
|
| |||||||
Belarus — 0.0%(a) | ||||||||
Republic of Belarus | ||||||||
6.20%, 2/28/2030 (b) | 400 | 359 | ||||||
|
| |||||||
Brazil — 0.1% | ||||||||
Federative Republic of Brazil | ||||||||
4.25%, 1/7/2025 | 880 | 911 | ||||||
4.50%, 5/30/2029 | 1,130 | 1,127 | ||||||
8.25%, 1/20/2034 | 585 | 715 | ||||||
5.63%, 1/7/2041 | 1,450 | 1,444 | ||||||
5.00%, 1/27/2045 | 1,230 | 1,145 | ||||||
|
| |||||||
5,342 | ||||||||
|
| |||||||
Chile — 0.0%(a) | ||||||||
Republic of Chile | ||||||||
3.86%, 6/21/2047 | 500 | 537 | ||||||
3.50%, 1/25/2050 | 600 | 612 | ||||||
|
| |||||||
1,149 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
Republic of Colombia | ||||||||
4.50%, 1/28/2026 | 350 | 359 | ||||||
3.88%, 4/25/2027 | 690 | 680 | ||||||
7.38%, 9/18/2037 | 1,000 | 1,235 | ||||||
6.13%, 1/18/2041 | 950 | 1,059 | ||||||
5.00%, 6/15/2045 | 1,370 | 1,377 | ||||||
5.20%, 5/15/2049 | 670 | 692 | ||||||
|
| |||||||
5,402 | ||||||||
|
| |||||||
Costa Rica — 0.0%(a) | ||||||||
Republic of Costa Rica | ||||||||
4.38%, 4/30/2025 (b) | 200 | 165 | ||||||
7.00%, 4/4/2044 (b) | 1,100 | 839 | ||||||
|
| |||||||
1,004 | ||||||||
|
| |||||||
Croatia — 0.0%(a) | ||||||||
Republic of Croatia 6.00%, 1/26/2024 (b) | 1,290 | 1,438 | ||||||
|
| |||||||
Dominican Republic — 0.1% | ||||||||
Dominican Republic Government Bond | ||||||||
7.50%, 5/6/2021 (b) | 347 | 346 | ||||||
5.88%, 4/18/2024 (b) | 760 | 732 | ||||||
5.50%, 1/27/2025 (b) | 510 | 476 | ||||||
6.88%, 1/29/2026 (b) | 600 | 573 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Dominican Republic — continued | ||||||||
9.75%, 6/5/2026 (e) | DOP | 47,550 | 721 | |||||
5.95%, 1/25/2027 (b) | 780 | 702 | ||||||
7.45%, 4/30/2044 (b) | 1,580 | 1,417 | ||||||
6.85%, 1/27/2045 (b) | 1,200 | 1,024 | ||||||
6.50%, 2/15/2048 (b) | 1,250 | 1,021 | ||||||
5.88%, 1/30/2060 (e) | 880 | 691 | ||||||
|
| |||||||
7,703 | ||||||||
|
| |||||||
Egypt — 0.1% | ||||||||
Arab Republic of Egypt | ||||||||
7.50%, 1/31/2027 (b) | 1,180 | 1,142 | ||||||
7.60%, 3/1/2029 (e) | 1,090 | 1,034 | ||||||
7.05%, 1/15/2032 (e) | 880 | 778 | ||||||
8.50%, 1/31/2047 (b) | 1,049 | 934 | ||||||
8.70%, 3/1/2049 (e) | 1,620 | 1,450 | ||||||
8.15%, 11/20/2059 (e) | 1,050 | 910 | ||||||
|
| |||||||
6,248 | ||||||||
|
| |||||||
El Salvador — 0.1% | ||||||||
Republic of El Salvador | ||||||||
7.75%, 1/24/2023 (b) | 1,322 | 1,137 | ||||||
5.88%, 1/30/2025 (b) | 650 | 520 | ||||||
6.38%, 1/18/2027 (b) | 1,250 | 989 | ||||||
7.65%, 6/15/2035 (b) | 700 | 554 | ||||||
7.12%, 1/20/2050 (b) | 2,100 | 1,585 | ||||||
|
| |||||||
4,785 | ||||||||
|
| |||||||
Ethiopia — 0.0%(a) | ||||||||
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (b) | 777 | 669 | ||||||
|
| |||||||
Gabon — 0.0%(a) | ||||||||
Gabonese Republic | ||||||||
6.38%, 12/12/2024 (b) | 646 | 463 | ||||||
6.95%, 6/16/2025 (b) | 300 | 213 | ||||||
|
| |||||||
676 | ||||||||
|
| |||||||
Ghana — 0.0%(a) | ||||||||
Republic of Ghana | ||||||||
7.88%, 3/26/2027 (b) | 360 | 283 | ||||||
7.63%, 5/16/2029 (b) | 560 | 427 | ||||||
10.75%, 10/14/2030 (b) | 1,325 | 1,378 | ||||||
8.63%, 6/16/2049 (b) | 840 | 634 | ||||||
|
| |||||||
2,722 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
124 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Guatemala — 0.0%(a) | ||||||||
Republic of Guatemala | ||||||||
4.50%, 5/3/2026 (b) | 655 | 651 | ||||||
6.13%, 6/1/2050 (e) (g) | 720 | 748 | ||||||
|
| |||||||
1,399 | ||||||||
|
| |||||||
Honduras — 0.0%(a) |
| |||||||
Republic of Honduras 8.75%, 12/16/2020 (b) | 1,178 | 1,160 | ||||||
|
| |||||||
Hungary — 0.0%(a) |
| |||||||
Hungary Government Bond 7.63%, 3/29/2041 | 952 | 1,529 | ||||||
|
| |||||||
Indonesia — 0.0%(a) |
| |||||||
Republic of Indonesia | ||||||||
3.50%, 1/11/2028 | 670 | 675 | ||||||
6.75%, 1/15/2044 (b) | 650 | 871 | ||||||
|
| |||||||
1,546 | ||||||||
|
| |||||||
Iraq — 0.0%(a) |
| |||||||
Republic of Iraq 6.75%, 3/9/2023 (b) | 950 | 714 | ||||||
|
| |||||||
Ivory Coast — 0.0%(a) |
| |||||||
Republic of Cote d’Ivoire | ||||||||
5.75%, 12/31/2032 (b) (i) | 1,112 | 971 | ||||||
6.13%, 6/15/2033 (b) | 3,430 | 2,952 | ||||||
|
| |||||||
3,923 | ||||||||
|
| |||||||
Jamaica — 0.0%(a) |
| |||||||
Jamaica Government Bond | ||||||||
8.00%, 3/15/2039 | 1,243 | 1,309 | ||||||
7.88%, 7/28/2045 | 550 | 577 | ||||||
|
| |||||||
1,886 | ||||||||
|
| |||||||
Kazakhstan — 0.0%(a) |
| |||||||
Republic of Kazakhstan 6.50%, 7/21/2045 (b) | 560 | 741 | ||||||
|
| |||||||
Kenya — 0.0%(a) |
| |||||||
Republic of Kenya | ||||||||
6.88%, 6/24/2024 (b) | 2,663 | 2,417 | ||||||
8.00%, 5/22/2032 (e) | 1,360 | 1,227 | ||||||
|
| |||||||
3,644 | ||||||||
|
| |||||||
Lebanon — 0.0%(a) |
| |||||||
Lebanese Republic | ||||||||
6.38%, 3/9/2020 (j) | 3,391 | 509 | ||||||
6.00%, 1/27/2023 (b) (j) | 1,250 | 197 | ||||||
6.65%, 4/22/2024 (b) (j) | 625 | 98 | ||||||
6.85%, 3/23/2027 (b) (j) | 2,639 | 419 | ||||||
6.65%, 11/3/2028 (b) (j) | 2,215 | 349 | ||||||
7.25%, 3/23/2037 (b) (j) | 492 | 77 | ||||||
|
| |||||||
1,649 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Mexico — 0.0%(a) |
| |||||||
United Mexican States | ||||||||
5.55%, 1/21/2045 | 650 | 677 | ||||||
4.60%, 1/23/2046 | 610 | 554 | ||||||
|
| |||||||
1,231 | ||||||||
|
| |||||||
Mongolia — 0.0%(a) |
| |||||||
State of Mongolia | ||||||||
10.88%, 4/6/2021 (b) | 480 | 471 | ||||||
5.13%, 12/5/2022 (b) | 903 | 800 | ||||||
|
| |||||||
1,271 | ||||||||
|
| |||||||
Morocco — 0.0%(a) |
| |||||||
Kingdom of Morocco 5.50%, 12/11/2042 (b) | 1,000 | 1,132 | ||||||
|
| |||||||
Nigeria — 0.0%(a) |
| |||||||
Federal Republic of Nigeria | ||||||||
7.63%, 11/21/2025 (b) | 1,000 | 836 | ||||||
6.50%, 11/28/2027 (b) | 920 | 693 | ||||||
6.50%, 11/28/2027 (e) | 1,220 | 919 | ||||||
8.75%, 1/21/2031 (b) | 780 | 624 | ||||||
7.88%, 2/16/2032 (b) | 710 | 539 | ||||||
7.63%, 11/28/2047 (e) | 1,290 | 943 | ||||||
|
| |||||||
4,554 | ||||||||
|
| |||||||
Oman — 0.0%(a) |
| |||||||
Sultanate of Oman Government Bond | ||||||||
4.75%, 6/15/2026 (b) | 1,100 | 835 | ||||||
5.38%, 3/8/2027 (b) | 1,320 | 1,002 | ||||||
6.00%, 8/1/2029 (b) | 1,180 | 899 | ||||||
6.50%, 3/8/2047 (b) | 340 | 236 | ||||||
6.75%, 1/17/2048 (b) | 1,770 | 1,241 | ||||||
|
| |||||||
4,213 | ||||||||
|
| |||||||
Pakistan — 0.0%(a) |
| |||||||
Islamic Republic of Pakistan | ||||||||
8.25%, 4/15/2024 (b) | 930 | 876 | ||||||
8.25%, 9/30/2025 (b) | 550 | 507 | ||||||
|
| |||||||
1,383 | ||||||||
|
| |||||||
Panama — 0.1% |
| |||||||
Republic of Panama | ||||||||
3.75%, 3/16/2025 | 1,050 | 1,103 | ||||||
3.88%, 3/17/2028 | 2,500 | 2,696 | ||||||
6.70%, 1/26/2036 | 1,150 | 1,505 | ||||||
4.50%, 5/15/2047 | 1,230 | 1,379 | ||||||
4.50%, 4/1/2056 | 810 | 911 | ||||||
3.87%, 7/23/2060 | 380 | 395 | ||||||
|
| |||||||
7,989 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 125 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Paraguay — 0.1% |
| |||||||
Republic of Paraguay | ||||||||
4.70%, 3/27/2027 (b) | 2,020 | 2,075 | ||||||
6.10%, 8/11/2044 (b) | 2,130 | 2,324 | ||||||
5.60%, 3/13/2048 (b) | 350 | 369 | ||||||
5.40%, 3/30/2050 (e) | 950 | 933 | ||||||
|
| |||||||
5,701 | ||||||||
|
| |||||||
Peru — 0.0%(a) |
| |||||||
Republic of Peru | ||||||||
4.13%, 8/25/2027 | 760 | 855 | ||||||
6.35%, 8/12/2028 (b) | PEN | 3,900 | 1,339 | |||||
5.63%, 11/18/2050 | 750 | 1,115 | ||||||
|
| |||||||
3,309 | ||||||||
|
| |||||||
Philippines — 0.0%(a) |
| |||||||
Republic of Philippines | ||||||||
10.63%, 3/16/2025 | 655 | 897 | ||||||
3.00%, 2/1/2028 | 1,100 | 1,158 | ||||||
7.75%, 1/14/2031 | 270 | 395 | ||||||
3.70%, 2/2/2042 | 1,430 | 1,650 | ||||||
|
| |||||||
4,100 | ||||||||
|
| |||||||
Poland — 0.0%(a) |
| |||||||
Republic of Poland 3.25%, 4/6/2026 | 1,580 | 1,722 | ||||||
|
| |||||||
Qatar — 0.1% |
| |||||||
State of Qatar | ||||||||
3.25%, 6/2/2026 (b) | 520 | 551 | ||||||
4.50%, 4/23/2028 (b) | 940 | 1,076 | ||||||
4.00%, 3/14/2029 (e) | 540 | 601 | ||||||
5.10%, 4/23/2048 (b) | 2,270 | 2,832 | ||||||
5.10%, 4/23/2048 (e) | 600 | 749 | ||||||
4.82%, 3/14/2049 (b) | 1,570 | 1,889 | ||||||
4.82%, 3/14/2049 (e) | 430 | 517 | ||||||
|
| |||||||
8,215 | ||||||||
|
| |||||||
Romania — 0.0%(a) |
| |||||||
Romania Government Bond | ||||||||
4.38%, 8/22/2023 (b) | 1,010 | 1,050 | ||||||
6.13%, 1/22/2044 (b) | 810 | 964 | ||||||
5.13%, 6/15/2048 (b) | 730 | 771 | ||||||
|
| |||||||
2,785 | ||||||||
|
| |||||||
Russia — 0.1% |
| |||||||
Russian Federation | ||||||||
4.88%, 9/16/2023 (b) | 400 | 436 | ||||||
12.75%, 6/24/2028 (b) | 1,390 | 2,339 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Russia — continued |
| |||||||
5.10%, 3/28/2035 (e) | 2,600 | 3,049 | ||||||
5.88%, 9/16/2043 (b) | 3,400 | 4,467 | ||||||
5.25%, 6/23/2047 (b) | 800 | 993 | ||||||
|
| |||||||
11,284 | ||||||||
|
| |||||||
Saudi Arabia — 0.1% |
| |||||||
Kingdom of Saudi Arabia | ||||||||
3.25%, 10/26/2026 (b) | 1,000 | 1,031 | ||||||
3.63%, 3/4/2028 (b) | 1,980 | 2,078 | ||||||
4.63%, 10/4/2047 (b) | 1,050 | 1,100 | ||||||
5.00%, 4/17/2049 (b) | 650 | 718 | ||||||
|
| |||||||
4,927 | ||||||||
|
| |||||||
Senegal — 0.0%(a) | ||||||||
Republic of Senegal 6.75%, 3/13/2048 (e) | 460 | 383 | ||||||
|
| |||||||
Serbia — 0.0%(a) | ||||||||
Republic of Serbia 7.25%, 9/28/2021 (b) | 1,190 | 1,241 | ||||||
|
| |||||||
South Africa — 0.0%(a) | ||||||||
Republic of South Africa | ||||||||
5.88%, 5/30/2022 | 750 | 771 | ||||||
4.30%, 10/12/2028 | 1,700 | 1,424 | ||||||
6.25%, 3/8/2041 | 2,500 | 2,191 | ||||||
|
| |||||||
4,386 | ||||||||
|
| |||||||
Sri Lanka — 0.0%(a) | ||||||||
Democratic Socialist Republic of Sri Lanka | ||||||||
6.25%, 10/4/2020 (b) | 700 | 614 | ||||||
6.25%, 7/27/2021 (b) | 1,500 | 1,041 | ||||||
5.88%, 7/25/2022 (b) | 710 | 438 | ||||||
6.13%, 6/3/2025 (b) | 200 | 116 | ||||||
6.85%, 11/3/2025 (b) | 996 | 568 | ||||||
6.75%, 4/18/2028 (b) | 1,600 | 886 | ||||||
7.55%, 3/28/2030 (e) | 660 | 372 | ||||||
|
| |||||||
4,035 | ||||||||
|
| |||||||
Tajikistan — 0.0%(a) | ||||||||
Republic of Tajikistan 7.13%, 9/14/2027 (b) | 800 | 507 | ||||||
|
| |||||||
Turkey — 0.1% | ||||||||
Republic of Turkey | ||||||||
3.25%, 3/23/2023 | 780 | 719 | ||||||
5.75%, 3/22/2024 | 1,390 | 1,341 | ||||||
5.60%, 11/14/2024 | 1,200 | 1,144 | ||||||
4.88%, 10/9/2026 | 900 | 792 | ||||||
5.13%, 2/17/2028 | 940 | 818 | ||||||
6.00%, 1/14/2041 | 1,040 | 833 |
SEE NOTES TO FINANCIAL STATEMENTS.
126 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Turkey — continued | ||||||||
4.88%, 4/16/2043 | 510 | 371 | ||||||
|
| |||||||
6,018 | ||||||||
|
| |||||||
Ukraine — 0.1% | ||||||||
Ukraine Government Bond | ||||||||
7.75%, 9/1/2020 (b) | 360 | 351 | ||||||
7.75%, 9/1/2021 (b) | 990 | 950 | ||||||
7.75%, 9/1/2022 (b) | 1,210 | 1,150 | ||||||
7.75%, 9/1/2023 (b) | 1,910 | 1,810 | ||||||
7.75%, 9/1/2024 (b) | 700 | 661 | ||||||
7.75%, 9/1/2025 (b) | 970 | 906 | ||||||
7.75%, 9/1/2026 (b) | 500 | 464 | ||||||
7.75%, 9/1/2027 (b) | 1,080 | 995 | ||||||
9.75%, 11/1/2028 (b) | 840 | 823 | ||||||
7.38%, 9/25/2032 (b) | 1,060 | 939 | ||||||
|
| |||||||
9,049 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% |
| |||||||
United Arab Emirates Government Bond | ||||||||
4.13%, 10/11/2047 (b) | 4,100 | 4,614 | ||||||
3.13%, 9/30/2049 (b) | 1,430 | 1,370 | ||||||
|
| |||||||
5,984 | ||||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
Oriental Republic of Uruguay | ||||||||
4.38%, 10/27/2027 | 550 | 599 | ||||||
7.88%, 1/15/2033 | 1,060 | 1,478 | ||||||
7.63%, 3/21/2036 | 790 | 1,092 | ||||||
5.10%, 6/18/2050 | 2,700 | 3,064 | ||||||
4.98%, 4/20/2055 | 440 | 498 | ||||||
|
| |||||||
6,731 | ||||||||
|
| |||||||
Zambia — 0.0%(a) | ||||||||
Republic of Zambia 8.97%, 7/30/2027 (b) | 1,950 | 628 | ||||||
|
| |||||||
Total Foreign Government Securities |
| 167,017 | ||||||
|
| |||||||
Mortgage-Backed Securities — 0.9% | ||||||||
United States — 0.9% | ||||||||
FHLMC Gold Pools, 15 Year Pool # G18569, 3.00%, 9/1/2030 | 2,022 | 2,138 | ||||||
FNMA UMBS, 20 Year | ||||||||
Pool # BM3100, 4.00%, 11/1/2037 | 4,030 | 4,363 | ||||||
Pool # CA1231, 3.50%, 2/1/2038 | 572 | 612 | ||||||
FNMA UMBS, 30 Year | ||||||||
Pool # AS4085, 4.00%, 12/1/2044 | 1,276 | 1,430 | ||||||
Pool # BM1909, 4.00%, 2/1/2045 | 7,438 | 8,319 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Pool # AS7542, 3.50%, 7/1/2046 | 11,206 | 12,289 | ||||||
Pool # AS8684, 3.50%, 1/1/2047 | 57 | 62 | ||||||
Pool # AS9403, 3.50%, 4/1/2047 | 574 | 631 | ||||||
Pool # FM1747, 3.50%, 8/1/2047 | 9,166 | 10,070 | ||||||
Pool # BM4028, 3.50%, 10/1/2047 | 3,272 | 3,559 | ||||||
Pool # BM3141, 3.50%, 11/1/2047 | 2,698 | 2,952 | ||||||
Pool # CA0906, 3.50%, 12/1/2047 | 9,590 | 10,414 | ||||||
Pool # CA0995, 3.50%, 1/1/2048 | 5,583 | 6,061 | ||||||
Pool # MA4018, 2.00%, 5/1/2050 | 5,700 | 5,786 | ||||||
FNMA, Other | ||||||||
Pool # AN5676, 3.25%, 6/1/2029 | 1,678 | 1,905 | ||||||
Pool # AN6368, 3.09%, 9/1/2029 | 1,700 | 1,913 | ||||||
Pool # AN7845, 3.08%, 12/1/2029 | 6,650 | 7,498 | ||||||
Pool # AN8281, 3.19%, 2/1/2030 | 2,560 | 2,938 | ||||||
Pool # AN8572, 3.55%, 4/1/2030 | 2,710 | 3,161 | ||||||
Pool # AN9116, 3.61%, 5/1/2030 | 1,930 | 2,261 | ||||||
Pool # AN6122, 3.06%, 8/1/2032 | 4,820 | 5,529 | ||||||
Pool # BM3226, 3.44%, 10/1/2032 (m) | 2,384 | 2,632 | ||||||
Pool # AN7633, 3.13%, 12/1/2032 | 1,870 | 2,126 | ||||||
Pool # AN8095, 3.24%, 1/1/2033 | 4,010 | 4,637 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 103,286 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Preferred Stocks — 0.7% | ||||||||
United States — 0.7% | ||||||||
Allstate Corp. (The), Series H, 5.10%, 10/15/2024 ($25 par value) (q) | 49 | 1,261 | ||||||
Bank of America Corp., | ||||||||
Series CC, 6.20%, 1/29/2021 ($25 par value) (q) | 4 | 117 | ||||||
Series GG, 6.00%, 5/16/2023 ($25 par value) (q) | 154 | 4,166 | ||||||
Series HH, 5.88%, 7/24/2023 ($25 par value) (q) | 109 | 2,908 | ||||||
Series HH, 5.88%, 7/24/2023 ($25 par value) (q) | 12 | 319 | ||||||
Series KK, 5.38%, 6/25/2024 ($25 par value) (q) | 49 | 1,277 | ||||||
Series LL, 5.00%, 9/17/2024 ($25 par value) (q) | 49 | 1,238 | ||||||
Citigroup, Inc., Series S, 6.30%, 2/12/2021 ($25 par value) (q) | 60 | 1,532 | ||||||
Claire’s Stores, Inc. *‡ | 3 | 4,954 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 127 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Preferred Stocks — continued | ||||||||
United States — continued | ||||||||
Dominion Energy, Inc., Series A, 5.25%, 7/30/2076 ($25 par value) | 51 | 1,304 | ||||||
Energy Transfer Operating LP, Series E, (ICE LIBOR USD 3 Month + 5.16%), 7.60%, 5/15/2024 ($25 par value) (d) (q) | 255 | 5,401 | ||||||
GMAC Capital Trust I, Series 2, (ICE LIBOR USD 3 Month + 5.79%), 7.48%, 2/15/2040 ($25 par value) (d) | 12 | 271 | ||||||
Goldman Sachs Group, Inc. (The), Series J, (ICE LIBOR USD 3 Month + 3.64%), 5.50%, 5/10/2023 ($25 par value) (d) (q) | 71 | 1,780 | ||||||
Goodman Networks, Inc. * ‡ | 64 | 1 | ||||||
MetLife, Inc., Series F, 4.75%, 3/15/2025 ($25 par value) (q) | 99 | 2,455 | ||||||
Morgan Stanley, | ||||||||
Series I, (ICE LIBOR USD 3 Month + 3.71%), 6.38%, 10/15/2024 ($25 par value) (d) (q) | 197 | 5,290 | ||||||
Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 4/15/2027 ($25 par value) (d) (q) | 422 | 11,127 | ||||||
MYT Holding Co., 10.00%, 6/7/2029 (e) | 2,731 | 1,775 | ||||||
NextEra Energy Capital Holdings, Inc., Series N, 5.65%, 3/1/2079 ($25 par value) | 115 | 3,047 | ||||||
Regions Financial Corp., Series C, (ICE LIBOR USD 3 Month + 3.15%), 5.70%, 5/15/2029 ($25 par value) (d) (q) | 60 | 1,601 | ||||||
SCE Trust II, 5.10%, 5/5/2020 | 150 | 3,501 | ||||||
SCE Trust VI, 5.00%, 6/26/2022 | 312 | 6,873 | ||||||
Sempra Energy, 5.75%, 7/1/2079 ($25 par value) | 18 | 454 | ||||||
Southern Co. (The), Series 2020, 4.95%, 1/30/2080 ($25 par value) | 160 | 3,947 | ||||||
State Street Corp., Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 3/15/2026 ($25 par value) (d) (q) | 43 | 1,167 | ||||||
Truist Financial Corp., Series F, 5.20%, 6/1/2020 ($25 par value) (q) | 285 | 7,186 | ||||||
US Bancorp, Series K, 5.50%, 10/15/2023 ($25 par value) (q) | 137 | 3,635 | ||||||
Wells Fargo & Co., | ||||||||
Series X, 5.50%, 9/15/2021 ($25 par value) (q) | 16 | 415 | ||||||
Series Y, 5.63%, 6/15/2022 ($25 par value) (q) | 164 | 4,288 |
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
United States — continued | ||||||||
Series Z, 4.75%, 3/15/2025 ($25 par value) (q) | 277 | 6,621 | ||||||
|
| |||||||
Total Preferred Stocks |
| 89,911 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
U.S. Treasury Obligations — 0.7% | ||||||||
U.S. Treasury Notes 2.50%, 1/31/2021 (r) (Cost $78,245) | 77,486 | 78,848 | ||||||
|
| |||||||
SHARES | ||||||||
Convertible Preferred Stocks — 0.6% |
| |||||||
United States — 0.6% | ||||||||
AMG Capital Trust II 5.15%, 10/15/2037 ($50 par value) | 86 | 3,089 | ||||||
Bank of America Corp. Series L, 7.25% ($1,000 par value) | 9 | 12,943 | ||||||
Broadcom, Inc. Series A, 8.00%, 9/30/2022 ($1,000 par value) | 4 | 4,229 | ||||||
Bunge Ltd. 4.88% ($100 par value) | 40 | 3,762 | ||||||
Crown Castle International Corp. Series A, REIT, 6.88%, 8/1/2020 ($1,000 par value) | 4 | 5,423 | ||||||
Dominion Energy, Inc., Series A, 7.25%, 6/1/2022 ($100 par value) | 42 | 4,085 | ||||||
Energizer Holdings, Inc. Series A, 7.50%, 1/15/2022 ($100 par value) | 26 | 2,234 | ||||||
Essential Utilities, Inc. 6.00%, 4/30/2022 ($50 par value) | 34 | 1,954 | ||||||
International Flavors & Fragrances, Inc. 6.00%, 9/15/2021 ($50 par value) | 88 | 4,168 | ||||||
NextEra Energy, Inc. 4.87%, 9/1/2022 ($50 par value) | 105 | 5,026 | ||||||
Sempra Energy Series B, 6.75%, 7/15/2021 ($100 par value) | 33 | 3,368 | ||||||
Stanley Black & Decker, Inc. 5.38%, 5/15/2020 ($100 par value) | 39 | 3,121 | ||||||
Wells Fargo & Co. Series L, 7.50% ($1,000 par value) | 10 | 14,446 | ||||||
|
| |||||||
Total Convertible Preferred Stocks |
| 67,848 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
U.S. Government Agency Securities — 0.0%(a) |
| |||||||
Israel — 0.0%(a) | ||||||||
Israel Government AID Bond | ||||||||
4.50%, 1/30/2043 | 2,773 | 3,341 |
SEE NOTES TO FINANCIAL STATEMENTS.
128 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
U.S. Government Agency Securities — continued |
| |||||||
Israel — continued | ||||||||
4.13%, 1/17/2048 | 1,966 | 2,287 | ||||||
|
| |||||||
Total U.S. Government Agency Securities |
| 5,628 | ||||||
|
| |||||||
NO. OF WARRANTS (000) | ||||||||
Warrants — 0.0%(a) | ||||||||
United States — 0.0%(a) | ||||||||
iHeartMedia Capital I LLC expiring 5/2/2039, price 1.00 USD * ‡ (Cost $1,929) | 108 | 673 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
Supranational — 0.0%(a) | ||||||||
Supranational — 0.0%(a) | ||||||||
African Export-Import Bank (The) | ||||||||
4.13%, 6/20/2024 (b) (Cost $590) | 600 | 587 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (a) | ||||||||
United States — 0.0%(a) | ||||||||
Vistra Energy Corp., expiring 12/31/2049 * ‡ (Cost $—) | 483 | 459 | ||||||
|
| |||||||
PRINCIPAL AMOUNT (000) | ||||||||
Short-Term Investments — 6.8% | ||||||||
Commercial Paper — 0.0%(a) | ||||||||
Boeing Co. (The) | ||||||||
2.06%, 5/19/2020 (e) (s) | 298 | 298 | ||||||
Natwest Markets Securities, Inc. | ||||||||
1.96%, 7/29/2020(e)(s) | 360 | 358 | ||||||
|
| |||||||
Total Commercial Paper |
| 656 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Investment Companies — 5.2% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (t) (u) | 541,341 | 541,774 | ||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.69% (t) (u) | 77,944 | 78,007 | ||||||
|
| |||||||
Total Investment Companies |
| 619,781 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE (000) | ||||||
Investment of Cash Collateral from Securities Loaned — 1.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77% (t) (u) | 135,998 | 136,025 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23% (t) (u) | 47,145 | 47,145 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 183,170 | ||||||
|
| |||||||
Total Short-Term Investments |
| 803,607 | ||||||
|
| |||||||
Total Investments—101.0% |
| 12,008,418 | ||||||
Liabilities in Excess of Other Assets — (1.0)% |
| (118,776 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| 11,889,642 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 129 |
Table of Contents
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Equity Real Estate Investment Trusts (REITs) | 6.9 | % | ||
Collateralized Mortgage Obligations | 6.9 | |||
Banks | 5.9 | |||
Diversified Telecommunication Services | 4.6 | |||
Pharmaceuticals | 4.5 | |||
Asset-Backed Securities | 4.1 | |||
Oil, Gas & Consumable Fuels | 3.5 | |||
Media | 3.4 | |||
Electric Utilities | 3.3 | |||
Capital Markets | 3.0 | |||
Health Care Providers & Services | 2.9 | |||
Convertible Bonds | 2.3 | |||
Commercial Mortgage-Backed Securities | 2.2 | |||
Insurance | 2.1 | |||
Semiconductors & Semiconductor Equipment | 2.1 |
INDUSTRY | PERCENTAGE | |||
Wireless Telecommunication Services | 2.0 | % | ||
Hotels, Restaurants & Leisure | 2.0 | |||
IT Services | 1.5 | |||
Foreign Government Securities | 1.4 | |||
Chemicals | 1.4 | |||
Beverages | 1.3 | |||
Metals & Mining | 1.2 | |||
Food Products | 1.2 | |||
Machinery | 1.1 | |||
Multi-Utilities | 1.1 | |||
Software | 1.0 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Others (each less than 1.0%) | 18.4 | |||
Short-Term Investments | 6.7 |
Abbreviations
ABS | Asset-backed securities | |
ACES | Alternative Credit Enhancement Securities | |
ADR | American Depositary Receipt | |
AUD | Australian Dollar | |
CIFC | Commercial Industrial Finance Corp. | |
CJSC | Closed Joint Stock Company | |
CLO | Collateralized Loan Obligations | |
CSMC | Credit Suisse Mortgage Trust | |
CVA | Dutch Certification | |
DOP | Dominican Republic Peso | |
EUR | Euro | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GBP | British Pound | |
GDR | Global Depositary Receipt | |
GMAC | General Motors Acceptance Corp. | |
GNMA | Government National Mortgage Association | |
HB | High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
HKD | Hong Kong Dollar | |
ICE | Intercontinental Exchange | |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of April 30, 2020. 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. | |
JSC | Joint Stock Company | |
LIBOR | London Interbank Offered Rate | |
OYJ | Public Limited Company | |
PEN | Peruvian Nuevo Sol | |
PJSC | Public Joint Stock Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
RTS | Russian Trading System | |
SCA | Limited partnership with share capital | |
SDR | Swedish Depositary Receipt | |
SGD | Singapore Dollar | |
SGPS | Holding company | |
SOFR | Secured Overnight Financing Rate | |
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. | |
UMBS | Uniform Mortgage-Backed Securities | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
(a) | Amount rounds to less than 0.1% of net assets. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | 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 April 30, 2020. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2020. | |
(e) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(f) | Security is an interest bearing note with preferred security characteristics. | |
(g) | The security or a portion of this security is on loan at April 30, 2020. The total value of securities on loan at April 30, 2020 is approximately $176,029,000. | |
(h) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(i) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of April 30, 2020. |
(j) | Defaulted security. | |
(k) | Amount rounds to less than one thousand. | |
(l) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(m) | 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 April 30, 2020. | |
(n) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(o) | All or a portion of this security is unsettled as of April 30, 2020. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(p) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(q) | The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of April 30, 2020. | |
(r) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(s) | The rate shown is the effective yield as of April 30, 2020. | |
(t) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(u) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | 142 | 06/2020 | EUR | 4,485 | 49 | |||||||||||||||
FTSE 100 Index | 19 | 06/2020 | GBP | 1,403 | 15 | |||||||||||||||
U.S. Treasury 10 Year Note | 10,540 | 06/2020 | USD | 1,463,743 | 59,740 | |||||||||||||||
U.S. Treasury Long Bond | 1,487 | 06/2020 | USD | 268,357 | (148 | ) | ||||||||||||||
|
| |||||||||||||||||||
59,656 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | (3,520) | 06/2020 | EUR | (111,170 | ) | (16,292 | ) | |||||||||||||
Foreign Exchange GBP/USD | (3,336) | 06/2020 | USD | (262,606 | ) | 6,659 | ||||||||||||||
|
| |||||||||||||||||||
(9,633 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
50,023 | ||||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 131 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Income Builder Fund | |||||||
ASSETS: | ||||||||
Investments innon-affiliates, at value | $ | 3,169,599 | $ | 11,205,467 | ||||
Investments in affiliates, at value | 202,721 | 619,781 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.F.) | 109,995 | 183,170 | ||||||
Options purchased, at value | 230 | — | ||||||
Cash | 8,396 | 3,513 | ||||||
Foreign currency, at value | 27,293 | 6,312 | ||||||
Deposits at broker for futures contracts | 3,882 | 784 | ||||||
Deposits at broker for securities sold short | 16,834 | — | ||||||
Receivables: | ||||||||
Due from custodian | 4,810 | — | ||||||
Investment securities sold | 40,102 | 64,814 | ||||||
Fund shares sold | 4,384 | 11,112 | ||||||
Interest and dividends fromnon-affiliates | 12,297 | 86,207 | ||||||
Dividends from affiliates | 130 | 348 | ||||||
Tax reclaims | 2,371 | 9,387 | ||||||
Securities lending income (See Note 2.F.) | 47 | 153 | ||||||
Variation margin on futures contracts | 2,935 | — | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 4,191 | — | ||||||
Outstanding OTC swap contracts, at value | 1,377 | — | ||||||
|
|
|
| |||||
Total Assets | 3,611,594 | 12,191,048 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Securities sold short, at value | 16,395 | — | ||||||
Investment securities purchased | 78,063 | 85,172 | ||||||
Investment securities purchased — delayed delivery securities | 190 | 3,037 | ||||||
Interest expense tonon-affiliates on securities sold short | 5 | — | ||||||
Collateral received on securities loaned (See Note 2.F.) | 109,995 | 183,170 | ||||||
Fund shares redeemed | 11,470 | 17,678 | ||||||
Variation margin on futures contracts | — | 3,412 | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 7,064 | — | ||||||
Unrealized depreciation on unfunded commitments | — | 4 | ||||||
Outstanding options written, at fair value | 133 | — | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 1,410 | 3,894 | ||||||
Administration fees | 189 | 660 | ||||||
Distribution fees | 358 | 2,629 | ||||||
Service fees | 297 | 339 | ||||||
Custodian and accounting fees | 287 | 650 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | ||||
Deferred foreign capital gains tax | 27 | — | ||||||
Other | 346 | 761 | ||||||
|
|
|
| |||||
Total Liabilities | 226,229 | 301,406 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,385,365 | $ | 11,889,642 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
132 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan | JPMorgan Income Builder Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 3,458,215 | $ | 12,507,682 | ||||
Total distributable earnings (loss) | (72,850 | ) | (618,040 | ) | ||||
|
|
|
| |||||
Total Net Assets | $ | 3,385,365 | $ | 11,889,642 | ||||
|
|
|
| |||||
Net Assets: |
| |||||||
Class A | $ | 416,024 | $ | 3,461,886 | ||||
Class C | 457,627 | 3,183,872 | ||||||
Class I | 1,981,595 | 4,844,847 | ||||||
Class R2 | 5,603 | — | ||||||
Class R3 | 57 | — | ||||||
Class R4 | 791 | — | ||||||
Class R5 | 20 | — | ||||||
Class R6 | 523,648 | 399,037 | ||||||
|
|
|
| |||||
Total | $ | 3,385,365 | $ | 11,889,642 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) |
| |||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 24,043 | 361,484 | ||||||
Class C | 26,840 | 333,404 | ||||||
Class I | 113,947 | 505,142 | ||||||
Class R2 | 325 | — | ||||||
Class R3 | 3 | — | ||||||
Class R4 | 46 | — | ||||||
Class R5 | 1 | — | ||||||
Class R6 | 30,123 | 41,600 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 17.30 | $ | 9.58 | ||||
Class C — Offering price per share (b) | 17.05 | 9.55 | ||||||
Class I — Offering and redemption price per share | 17.39 | 9.59 | ||||||
Class R2 — Offering and redemption price per share | 17.22 | — | ||||||
Class R3 — Offering and redemption price per share | 17.37 | — | ||||||
Class R4 — Offering and redemption price per share | 17.30 | — | ||||||
Class R5 — Offering and redemption price per share | 17.39 | — | ||||||
Class R6 — Offering and redemption price per share | 17.38 | 9.59 | ||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | ||||
Class A maximum public offering price per share | $ | 18.12 | $ | 10.03 | ||||
|
|
|
| |||||
Cost of investments innon-affiliates | $ | 3,083,400 | $ | 11,583,150 | ||||
Cost of investments in affiliates | 202,629 | 619,324 | ||||||
Cost of options purchased | 4,567 | — | ||||||
Cost of foreign currency | 27,201 | 6,106 | ||||||
Investment securities on loan, at value (See Note 2.F.) | 101,292 | 176,029 | ||||||
Cost of investment of cash collateral (See Note 2.F.) | 109,976 | 183,139 | ||||||
Proceeds from securities sold short | 16,310 | — | ||||||
Premiums received from options written | 264 | — |
(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.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 133 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
(Amounts in thousands)
JPMorgan | JPMorgan Income Builder Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income fromnon-affiliates | $ | 26,476 | $ | 204,098 | ||||
Interest income from affiliates | — | 2 | ||||||
Interest income fromnon-affiliates on securities sold short | 56 | — | ||||||
Dividend income fromnon-affiliates | 18,007 | 82,011 | ||||||
Dividend income from affiliates | 1,957 | 3,653 | ||||||
Income from securities lending (net) (See Note 2.F.) | 139 | 677 | ||||||
Foreign taxes withheld (net) | (900 | ) | (3,473 | ) | ||||
|
|
|
| |||||
Total investment income | 45,735 | 286,968 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 10,038 | 27,773 | ||||||
Administration fees | 1,369 | 4,513 | ||||||
Distribution fees: | ||||||||
Class A | 559 | 4,656 | ||||||
Class C | 1,901 | 13,534 | ||||||
Class R2 | 14 | — | ||||||
Class R3 | — | (a) | — | |||||
Service fees: | ||||||||
Class A | 559 | 4,656 | ||||||
Class C | 634 | 4,512 | ||||||
Class I | 2,684 | 6,863 | ||||||
Class R2 | 7 | — | ||||||
Class R3 | — | (a) | — | |||||
Class R4 | 1 | — | ||||||
Class R5 | — | (a) | — | |||||
Custodian and accounting fees | 424 | 878 | ||||||
Interest expense to affiliates | 12 | 10 | ||||||
Professional fees | 92 | 157 | ||||||
Collateral management fees | 4 | — | ||||||
Trustees’ and Chief Compliance Officer’s fees | 19 | 38 | ||||||
Printing and mailing costs | 101 | 404 | ||||||
Registration and filing fees | 144 | 143 | ||||||
Transfer agency fees (See Note 2.L.) | 44 | 146 | ||||||
Dividend expense tonon-affiliates on securities sold short | 206 | — | ||||||
Other | 66 | 100 | ||||||
|
|
|
| |||||
Total expenses | 18,878 | 68,383 | ||||||
|
|
|
| |||||
Less fees waived | (2,516 | ) | (14,182 | ) | ||||
Less expense reimbursements | — | (a) | (623 | ) | ||||
|
|
|
| |||||
Net expenses | 16,362 | 53,578 | ||||||
|
|
|
| |||||
Net investment income (loss) | $ | 29,373 | $ | 233,390 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
134 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan | JPMorgan Income Builder Fund | |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments innon-affiliates | $ | (45,971 | )(a) | $ | (245,355 | ) | ||
Investments in affiliates | (96 | ) | (138 | ) | ||||
Options purchased | 3,034 | — | ||||||
Futures contracts | (54,642 | ) | 11,997 | |||||
Securities sold short | 1,285 | — | ||||||
Foreign currency transactions | (2,289 | ) | (2,297 | ) | ||||
Forward foreign currency exchange contracts | 13,670 | — | ||||||
Options written | 236 | — | ||||||
Swaps | (2,033 | ) | — | |||||
Unfunded commitments | — | — | (b) | |||||
|
|
|
| |||||
Net realized gain (loss) | (86,806 | ) | (235,793 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments innon-affiliates | (241,108 | )(c) | (1,331,807 | )(d) | ||||
Investments in affiliates | 80 | 418 | ||||||
Options purchased | (9,519 | ) | — | |||||
Futures contracts | 38,083 | 80,951 | ||||||
Securities sold short | (193 | ) | — | |||||
Foreign currency translations | 728 | (68 | ) | |||||
Forward foreign currency exchange contracts | 3,015 | — | ||||||
Options written | 135 | — | ||||||
Swaps | 272 | — | ||||||
Unfunded commitments | 18 | 27 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | (208,489 | ) | (1,250,479 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | (295,295 | ) | (1,486,272 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | (265,922 | ) | $ | (1,252,882 | ) | ||
|
|
|
|
(a) | Net of foreign capital gains tax of approximately $(12,000) for JPMorgan Global Allocation Fund. |
(b) | Amount rounds to less than one thousand. |
(c) | Net of change in foreign capital gains tax of approximately $6,000 for JPMorgan Global Allocation Fund. |
(d) | Net of change in foreign capital gains tax of approximately $632,000 for JPMorgan Income Builder Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 135 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 29,373 | $ | 74,010 | $ | 233,390 | $ | 483,657 | ||||||||
Net realized gain (loss) | (86,806 | ) | (13,419 | ) | (235,793 | ) | 5,385 | |||||||||
Change in net unrealized appreciation/depreciation | (208,489 | ) | 245,135 | (1,250,479 | ) | 721,644 | ||||||||||
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Change in net assets resulting from operations | (265,922 | ) | 305,726 | (1,252,882 | ) | 1,210,686 | ||||||||||
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DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (6,887 | ) | (9,986 | ) | (79,787 | ) | (130,780 | ) | ||||||||
Class C | (6,657 | ) | (11,406 | ) | (68,130 | ) | (136,430 | ) | ||||||||
Class I | (35,483 | ) | (56,951 | ) | (120,992 | ) | (208,281 | ) | ||||||||
Class R2 | (76 | ) | (103 | ) | — | — | ||||||||||
Class R3 | (1 | ) | (1 | ) | — | — | ||||||||||
Class R4 | (14 | ) | (6 | ) | — | — | ||||||||||
Class R5 | — | (a) | (1 | ) | — | — | ||||||||||
Class R6 | (9,261 | ) | (14,152 | ) | (9,145 | ) | (11,756 | ) | ||||||||
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Total distributions to shareholders | (58,379 | ) | (92,606 | ) | (278,054 | ) | (487,247 | ) | ||||||||
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CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 34,853 | (96,230 | ) | (99,567 | ) | 636,913 | ||||||||||
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NET ASSETS: | ||||||||||||||||
Change in net assets | (289,448 | ) | 116,890 | (1,630,503 | ) | 1,360,352 | ||||||||||
Beginning of period | 3,674,813 | 3,557,923 | 13,520,145 | 12,159,793 | ||||||||||||
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End of period | $ | 3,385,365 | $ | 3,674,813 | $ | 11,889,642 | $ | 13,520,145 | ||||||||
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(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
136 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 103,816 | $ | 217,930 | $ | 808,957 | $ | 1,647,527 | ||||||||
Distributions reinvested | 6,379 | 9,209 | 76,921 | 126,307 | ||||||||||||
Cost of shares redeemed | (98,273 | ) | (152,045 | ) | (664,641 | ) | (1,668,716 | ) | ||||||||
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Change in net assets resulting from Class A capital transactions | $ | 11,922 | $ | 75,094 | $ | 221,237 | $ | 105,118 | ||||||||
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Class C | ||||||||||||||||
Proceeds from shares issued | $ | 33,184 | $ | 97,211 | $ | 195,119 | $ | 433,833 | ||||||||
Distributions reinvested | 5,634 | 9,866 | 60,292 | 121,362 | ||||||||||||
Cost of shares redeemed | (64,442 | ) | (124,058 | ) | (478,275 | ) | (1,084,073 | ) | ||||||||
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Change in net assets resulting from Class C capital transactions | $ | (25,624 | ) | $ | (16,981 | ) | $ | (222,864 | ) | $ | (528,878 | ) | ||||
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Class I | ||||||||||||||||
Proceeds from shares issued | $ | 404,042 | $ | 892,758 | $ | 677,318 | $ | 2,066,543 | ||||||||
Distributions reinvested | 28,332 | 45,377 | 106,998 | 182,360 | ||||||||||||
Cost of shares redeemed | (426,590 | ) | (751,445 | ) | (976,498 | ) | (1,314,086 | ) | ||||||||
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Change in net assets resulting from Class I capital transactions | $ | 5,784 | $ | 186,690 | $ | (192,182 | ) | $ | 934,817 | |||||||
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Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 998 | $ | 2,438 | $ | — | $ | — | ||||||||
Distributions reinvested | 76 | 103 | — | — | ||||||||||||
Cost of shares redeemed | (352 | ) | (1,073 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R2 capital transactions | $ | 722 | $ | 1,468 | $ | — | $ | — | ||||||||
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Class R3 | ||||||||||||||||
Proceeds from shares issued | $ | 12 | $ | 29 | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | 1 | — | — | ||||||||||||
Cost of shares redeemed | — | (a) | — | — | — | |||||||||||
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Change in net assets resulting from Class R3 capital transactions | $ | 13 | $ | 30 | $ | — | $ | — | ||||||||
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Class R4 | ||||||||||||||||
Proceeds from shares issued | $ | 286 | $ | 653 | $ | — | $ | — | ||||||||
Distributions reinvested | 14 | 6 | — | — | ||||||||||||
Cost of shares redeemed | (70 | ) | (64 | ) | — | — | ||||||||||
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Change in net assets resulting from Class R4 capital transactions | $ | 230 | $ | 595 | $ | — | $ | — | ||||||||
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Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | (a) | $ | — | $ | — | $ | — | |||||||
Distributions reinvested | — | (a) | — | (a) | — | — | ||||||||||
Cost of shares redeemed | — | (a) | — | — | — | |||||||||||
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Change in net assets resulting from Class R5 capital transactions | $ | — | (a) | $ | — | (a) | $ | — | $ | — | ||||||
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Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 46,954 | $ | 102,415 | $ | 124,273 | $ | 161,099 | ||||||||
Distributions reinvested | 9,090 | 14,078 | 9,139 | 11,748 | ||||||||||||
Cost of shares redeemed | (14,238 | ) | (459,619 | ) | (39,170 | ) | (46,991 | ) | ||||||||
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Change in net assets resulting from Class R6 capital transactions | $ | 41,806 | $ | (343,126 | ) | $ | 94,242 | $ | 125,856 | |||||||
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Total change in net assets resulting from capital transactions | $ | 34,853 | $ | (96,230 | ) | $ | (99,567 | ) | $ | 636,913 | ||||||
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(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 137 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,636 | 12,001 | 76,779 | 157,460 | ||||||||||||
Reinvested | 338 | 517 | 7,504 | 12,156 | ||||||||||||
Redeemed | (5,511 | ) | (8,386 | ) | (65,697 | ) | (161,130 | ) | ||||||||
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Change in Class A Shares | 463 | 4,132 | 18,586 | 8,486 | ||||||||||||
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Class C | ||||||||||||||||
Issued | 1,828 | 5,479 | 18,570 | 41,729 | ||||||||||||
Reinvested | 298 | 566 | 5,889 | 11,724 | ||||||||||||
Redeemed | (3,672 | ) | (6,953 | ) | (47,568 | ) | (104,351 | ) | ||||||||
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Change in Class C Shares | (1,546 | ) | (908 | ) | (23,109 | ) | (50,898 | ) | ||||||||
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Class I | ||||||||||||||||
Issued | 21,840 | 49,612 | 65,078 | 199,051 | ||||||||||||
Reinvested | 1,502 | 2,537 | 10,406 | 17,480 | ||||||||||||
Redeemed | (24,142 | ) | (41,703 | ) | (98,274 | ) | (126,882 | ) | ||||||||
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Change in Class I Shares | (800 | ) | 10,446 | (22,790 | ) | 89,649 | ||||||||||
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Class R2 | ||||||||||||||||
Issued | 53 | 133 | — | — | ||||||||||||
Reinvested | 4 | 6 | — | — | ||||||||||||
Redeemed | (20 | ) | (59 | ) | — | — | ||||||||||
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Change in Class R2 Shares | 37 | 80 | — | — | ||||||||||||
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Class R3 | ||||||||||||||||
Issued | — | (a) | 2 | — | — | |||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
Redeemed | — | (a) | — | — | — | |||||||||||
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Change in Class R3 Shares | — | (a) | 2 | — | — | |||||||||||
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Class R4 | ||||||||||||||||
Issued | 16 | 35 | — | — | ||||||||||||
Reinvested | 1 | — | (a) | — | — | |||||||||||
Redeemed | (4 | ) | (3 | ) | — | — | ||||||||||
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Change in Class R4 Shares | 13 | 32 | — | — | ||||||||||||
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Class R5 | ||||||||||||||||
Issued | — | (a) | — | — | — | |||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
Redeemed | — | (a) | — | — | — | |||||||||||
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Change in Class R5 Shares | — | (a) | — | (a) | — | — | ||||||||||
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Class R6 | ||||||||||||||||
Issued | 2,488 | 5,601 | 11,635 | 15,445 | ||||||||||||
Reinvested | 483 | 787 | 893 | 1,125 | ||||||||||||
Redeemed | (784 | ) | (25,785 | ) | (3,951 | ) | (4,513 | ) | ||||||||
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Change in Class R6 Shares | 2,187 | (19,397 | ) | 8,577 | 12,057 | |||||||||||
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(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
138 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2020 | J.P. MORGAN FUNDS | 139 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Global Allocation Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 18.82 | $ | 0.14 | $ | (1.38 | ) | $ | (1.24 | ) | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | ||||||||||
Year Ended October 31, 2019 | 17.71 | 0.36 | 1.22 | 1.58 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.63 | 0.31 | (0.63 | ) | (0.32 | ) | (0.31 | ) | (0.29 | ) | (0.60 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 16.38 | 0.34 | 2.23 | 2.57 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.47 | 0.34 | (0.10 | ) | 0.24 | (0.31 | ) | (0.02 | ) | (0.33 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 17.15 | 0.23 | (0.01 | ) | 0.22 | (0.34 | ) | (0.56 | ) | (0.90 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.54 | 0.09 | (1.34 | ) | (1.25 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.47 | 0.27 | 1.19 | 1.46 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.39 | 0.22 | (0.63 | ) | (0.41 | ) | (0.22 | ) | (0.29 | ) | (0.51 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 16.20 | 0.25 | 2.20 | 2.45 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.30 | 0.26 | (0.10 | ) | 0.16 | (0.24 | ) | (0.02 | ) | (0.26 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 17.04 | 0.15 | (0.02 | ) | 0.13 | (0.31 | ) | (0.56 | ) | (0.87 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.91 | 0.16 | (1.37 | ) | (1.21 | ) | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.79 | 0.41 | 1.22 | 1.63 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.71 | 0.37 | (0.65 | ) | (0.28 | ) | (0.35 | ) | (0.29 | ) | (0.64 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 16.45 | 0.38 | 2.23 | 2.61 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.53 | 0.39 | (0.10 | ) | 0.29 | (0.35 | ) | (0.02 | ) | (0.37 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 17.19 | 0.27 | (0.01 | ) | 0.26 | (0.36 | ) | (0.56 | ) | (0.92 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.73 | 0.10 | (1.36 | ) | (1.26 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.64 | 0.30 | 1.20 | 1.50 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 18.57 | 0.25 | (0.62 | ) | (0.37 | ) | (0.27 | ) | (0.29 | ) | (0.56 | ) | ||||||||||||||||
Year Ended October 31, 2017 | 16.36 | 0.28 | 2.22 | 2.50 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 16.44 | 0.31 | (0.10 | ) | 0.21 | (0.27 | ) | (0.02 | ) | (0.29 | ) | |||||||||||||||||
Year Ended October 31, 2015 | 17.13 | 0.19 | (0.01 | ) | 0.18 | (0.31 | ) | (0.56 | ) | (0.87 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | 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. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(h) | Commencing on October 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 October 31, 2016, the Fund did not transact in securities sold short. |
(i) | The net expenses and expenses without waivers (excluding dividend expense for securities sold short) for Class A are 1.02% and 1.18% for the six months ended April 30, 2020, 1.02% and 1.23% for the year ended October 31, 2019, 1.02% and 1.24% for the year ended October 31, 2018, 1.02% and 1.27% for the year ended October 31, 2017, Class C are 1.52% and 1.68% for the six months ended April 30, 2020, 1.52% and 1.73% for the year ended October 31, 2019, 1.52% and 1.74% for the year ended October 31, 2018, 1.52% and 1.77% for the year ended October 31, 2017, Class I are 0.77% and 0.92% for the six months ended April 30, 2020, 0.77% and 0.97% for the year ended October 31, 2019, 0.78% and 0.99% for the year ended October 31, 2018, 0.77% and 1.00% for the year ended October 31, 2017, Class R2 are 1.39% and 1.46% for the six months ended April 30, 2020, 1.39% and 1.53% for the year ended October 31, 2019, 1.35% and 1.52% for the year ended October 31, 2018, 1.27% and 1.60% for the year ended October 31, 2017, Class R3 are 1.14% and 1.23% for the six months ended April 30, 2020, 1.14% and 1.41% for the year ended October 31, 2019, 1.19% and 1.34% for the period ended October 31, 2018, Class R4 are 0.89% and 0.94% for the six months ended April 30, 2020, 0.89% and 0.99% for the year ended October 31, 2019, 0.94% and 1.09% for the period ended October 31, 2018, Class R5 are 0.74% and 0.88% for the six months ended April 30, 2020, 0.75% and 0.97% for the year ended October 31, 2019, 0.69% and 0.84% for the period ended October 31, 2018 and Class R6 are 0.64% and 0.67% for the six months ended April 30, 2020, 0.64% and 0.72% for the year ended October 31, 2019, 0.64% and 0.74% for the period ended October 31, 2018, respectively. |
(j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
140 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes | Net assets, end of period | Net expenses dividend expense for | Net income (loss) (b) | Expenses without waivers and reimbursements (including dividend expense for securities sold short) (f) | Portfolio short) (d)(h) | Portfolio turnover rate (including securities sold short) (d)(h) | |||||||||||||||||||||||
$ | 17.30 | (6.69 | )% | $ | 416,024 | 1.03 | %(i) | 1.48 | % | 1.19 | %(i) | 54 | % | 59 | % | |||||||||||||||
18.82 | 9.08 | 443,776 | 1.05 | (i) | 2.00 | 1.26 | (i) | 111 | 139 | |||||||||||||||||||||
17.71 | (1.81 | ) | 344,414 | 1.06 | (i) | 1.67 | 1.28 | (i) | 108 | 131 | ||||||||||||||||||||
18.63 | 15.88 | 305,300 | 1.04 | (i) | 1.96 | 1.29 | (i) | 83 | 95 | |||||||||||||||||||||
16.38 | 1.50 | 289,961 | 1.02 | 2.12 | 1.32 | 64 | — | |||||||||||||||||||||||
16.47 | 1.38 | 211,120 | 1.02 | 1.40 | 1.43 | 44 | — | |||||||||||||||||||||||
17.05 | (6.88 | ) | 457,627 | 1.53 | (i) | 0.98 | 1.69 | (i) | 54 | 59 | ||||||||||||||||||||
18.54 | 8.54 | 526,390 | 1.55 | (i) | 1.49 | 1.76 | (i) | 111 | 139 | |||||||||||||||||||||
17.47 | (2.32 | ) | 511,863 | 1.56 | (i) | 1.18 | 1.78 | (i) | 108 | 131 | ||||||||||||||||||||
18.39 | 15.29 | 406,887 | 1.54 | (i) | 1.45 | 1.79 | (i) | 83 | 95 | |||||||||||||||||||||
16.20 | 1.03 | 357,682 | 1.52 | 1.63 | 1.82 | 64 | — | |||||||||||||||||||||||
16.30 | 0.84 | 198,888 | 1.51 | 0.90 | 1.92 | 44 | — | |||||||||||||||||||||||
17.39 | (6.53 | ) | 1,981,595 | 0.78 | (i) | 1.73 | 0.93 | (i) | 54 | 59 | ||||||||||||||||||||
18.91 | 9.36 | 2,170,359 | 0.80 | (i) | 2.25 | 1.00 | (i) | 111 | 139 | |||||||||||||||||||||
17.79 | (1.58 | ) | 1,855,964 | 0.82 | (i) | 1.95 | 1.03 | (i) | 108 | 131 | ||||||||||||||||||||
18.71 | 16.12 | 1,611,736 | 0.79 | (i) | 2.14 | 1.02 | (i) | 83 | 95 | |||||||||||||||||||||
16.45 | 1.79 | 782,381 | 0.77 | 2.39 | 1.04 | 64 | — | |||||||||||||||||||||||
16.53 | 1.62 | 364,206 | 0.77 | 1.61 | 1.19 | 44 | — | |||||||||||||||||||||||
17.22 | (6.84 | ) | 5,603 | 1.40 | (i) | 1.12 | 1.47 | (i) | 54 | 59 | ||||||||||||||||||||
18.73 | 8.69 | 5,394 | 1.42 | (i) | 1.64 | 1.56 | (i) | 111 | 139 | |||||||||||||||||||||
17.64 | (2.09 | ) | 3,658 | 1.39 | (i) | 1.35 | 1.56 | (i) | 108 | 131 | ||||||||||||||||||||
18.57 | 15.50 | 2,441 | 1.29 | (i) | 1.58 | 1.62 | (i) | 83 | 95 | |||||||||||||||||||||
16.36 | 1.30 | 758 | 1.27 | 1.93 | 1.75 | 64 | — | |||||||||||||||||||||||
16.44 | 1.14 | 203 | 1.27 | 1.17 | 1.77 | 44 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 141 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Global Allocation Fund(continued) | ||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.90 | 0.12 | (1.37 | ) | (1.25 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.79 | 0.34 | 1.22 | 1.56 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||||
October 1, 2018 (j) through October 31, 2018 | 18.65 | 0.02 | (0.88 | ) | (0.86 | ) | — | — | — | |||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.81 | 0.15 | (1.36 | ) | (1.21 | ) | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.71 | 0.42 | 1.17 | 1.59 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
October 1, 2018 (j) through October 31, 2018 | 18.56 | 0.02 | (0.87 | ) | (0.85 | ) | — | — | — | |||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.92 | 0.16 | (1.38 | ) | (1.22 | ) | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.80 | 0.42 | 1.22 | 1.64 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
October 1, 2018 (j) through October 31, 2018 | 18.65 | 0.02 | (0.87 | ) | (0.85 | ) | — | — | — | |||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 18.91 | 0.17 | (1.38 | ) | (1.21 | ) | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 17.79 | 0.43 | 1.22 | 1.65 | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||||
November 1, 2017 (j) through October 31, 2018 | 18.74 | 0.37 | (0.65 | ) | (0.28 | ) | (0.38 | ) | (0.29 | ) | (0.67 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
142 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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Ratios/Supplemental data | ||||||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes | Net assets, end of period | Net expenses dividend expense for | Net income (loss) (b) | Expenses without waivers and reimbursements (including dividend expense for securities sold short) (f) | Portfolio short) (d)(h) | Portfolio turnover rate (including securities sold short) (d)(h) | |||||||||||||||||||||||
17.37 | (6.76 | ) | 57 | 1.15 | (i) | 1.36 | 1.24 | (i) | 54 | 59 | ||||||||||||||||||||
18.90 | 8.97 | 50 | 1.17 | (i) | 1.83 | 1.44 | (i) | 111 | 139 | |||||||||||||||||||||
17.79 | (4.61 | ) | 19 | 1.23 | (i) | 1.08 | 1.38 | (i) | 108 | 131 | ||||||||||||||||||||
17.30 | (6.56 | ) | 791 | 0.90 | (i) | 1.60 | 0.95 | (i) | 54 | 59 | ||||||||||||||||||||
18.81 | 9.20 | 631 | 0.92 | (i) | 2.29 | 1.02 | (i) | 111 | 139 | |||||||||||||||||||||
17.71 | (4.58 | ) | 19 | 0.98 | (i) | 1.33 | 1.13 | (i) | 108 | 131 | ||||||||||||||||||||
17.39 | (6.57 | ) | 20 | 0.75 | (i) | 1.76 | 0.89 | (i) | 54 | 59 | ||||||||||||||||||||
18.92 | 9.39 | 21 | 0.78 | (i) | 2.27 | 1.00 | (i) | 111 | 139 | |||||||||||||||||||||
17.80 | (4.56 | ) | 19 | 0.73 | (i) | 1.58 | 0.88 | (i) | 108 | 131 | ||||||||||||||||||||
17.38 | (6.52 | ) | 523,648 | 0.65 | (i) | 1.86 | 0.68 | (i) | 54 | 59 | ||||||||||||||||||||
18.91 | 9.50 | 528,192 | 0.67 | (i) | 2.35 | 0.75 | (i) | 111 | 139 | |||||||||||||||||||||
| 17.79 |
| (1.58 | ) | 841,967 | 0.68 | (i) | 2.02 | 0.78 | (i) | 108 | 131 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 143 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
JPMorgan Income Builder Fund | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 10.73 | $ | 0.19 | $ | (1.11 | ) | $ | (0.92 | ) | $ | (0.21 | ) | $ | (0.02 | ) | $ | — | $ | (0.23 | ) | |||||||||||
Year Ended October 31, 2019 | 10.13 | 0.41 | 0.60 | 1.01 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||
Year Ended October 31, 2018 | 10.62 | 0.42 | (0.48 | ) | (0.06 | ) | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||
Year Ended October 31, 2017 | 9.95 | 0.41 | 0.67 | 1.08 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||
Year Ended October 31, 2016 | 9.96 | 0.42 | (0.01 | ) | 0.41 | (0.42 | ) | — | — | (0.42 | ) | |||||||||||||||||||||
Year Ended October 31, 2015 | 10.41 | 0.41 | (0.41 | ) | — | (f) | (0.41 | ) | (0.02 | ) | (0.02 | ) | (0.45 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 10.70 | 0.16 | (1.11 | ) | (0.95 | ) | (0.18 | ) | (0.02 | ) | — | (0.20 | ) | |||||||||||||||||||
Year Ended October 31, 2019 | 10.10 | 0.36 | 0.60 | 0.96 | (0.36 | ) | — | — | (0.36 | ) | ||||||||||||||||||||||
Year Ended October 31, 2018 | 10.59 | 0.37 | (0.49 | ) | (0.12 | ) | (0.37 | ) | — | — | (0.37 | ) | ||||||||||||||||||||
Year Ended October 31, 2017 | 9.92 | 0.36 | 0.67 | 1.03 | (0.36 | ) | — | — | (0.36 | ) | ||||||||||||||||||||||
Year Ended October 31, 2016 | 9.93 | 0.37 | (0.01 | ) | 0.36 | (0.37 | ) | — | — | (0.37 | ) | |||||||||||||||||||||
Year Ended October 31, 2015 | 10.38 | 0.35 | (0.40 | ) | (0.05 | ) | (0.36 | ) | (0.02 | ) | (0.02 | ) | (0.40 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 10.74 | 0.19 | (1.11 | ) | (0.92 | ) | (0.21 | ) | (0.02 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended October 31, 2019 | 10.14 | 0.43 | 0.60 | 1.03 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||
Year Ended October 31, 2018 | 10.63 | 0.44 | (0.49 | ) | (0.05 | ) | (0.44 | ) | — | — | (0.44 | ) | ||||||||||||||||||||
Year Ended October 31, 2017 | 9.96 | 0.43 | 0.67 | 1.10 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||
Year Ended October 31, 2016 | 9.97 | 0.43 | (0.01 | ) | 0.42 | (0.43 | ) | — | — | (0.43 | ) | |||||||||||||||||||||
Year Ended October 31, 2015 | 10.42 | 0.42 | (0.40 | ) | 0.02 | (0.43 | ) | (0.02 | ) | (0.02 | ) | (0.47 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 10.74 | 0.20 | (1.11 | ) | (0.91 | ) | (0.22 | ) | (0.02 | ) | — | (0.24 | ) | |||||||||||||||||||
Year Ended October 31, 2019 | 10.14 | 0.43 | 0.61 | 1.04 | (0.44 | ) | — | — | (0.44 | ) | ||||||||||||||||||||||
November 1, 2017 (g) through October 31, 2018 | 10.64 | 0.46 | (0.51 | ) | (0.05 | ) | (0.45 | ) | — | — | (0.45 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 9.58 | (8.77 | )% | $ | 3,461,886 | 0.74 | % | 3.61 | % | 1.02 | % | 35 | % | |||||||||||||
10.73 | 10.20 | 3,678,891 | 0.74 | 3.90 | 1.05 | 48 | ||||||||||||||||||||
10.13 | (0.67 | ) | 3,386,949 | 0.75 | 4.02 | 1.07 | 59 | |||||||||||||||||||
10.62 | 11.11 | 3,731,312 | 0.75 | 4.02 | 1.08 | 52 | ||||||||||||||||||||
9.95 | 4.23 | 3,991,877 | 0.75 | 4.25 | 1.10 | 52 | ||||||||||||||||||||
9.96 | (0.03 | ) | 4,262,148 | 0.75 | 3.97 | 1.11 | 48 | |||||||||||||||||||
9.55 | (9.02 | ) | 3,183,872 | 1.25 | 3.10 | 1.52 | 35 | |||||||||||||||||||
10.70 | 9.67 | 3,814,158 | 1.24 | 3.43 | 1.55 | 48 | ||||||||||||||||||||
10.10 | (1.17 | ) | 4,114,927 | 1.25 | 3.52 | 1.57 | 59 | |||||||||||||||||||
10.59 | 10.58 | 4,609,784 | 1.25 | 3.53 | 1.59 | 52 | ||||||||||||||||||||
9.92 | 3.70 | 4,968,359 | 1.25 | 3.76 | 1.61 | 52 | ||||||||||||||||||||
9.93 | (0.53 | ) | 5,120,797 | 1.25 | 3.47 | 1.63 | 48 | |||||||||||||||||||
9.59 | (8.69 | ) | 4,844,847 | 0.59 | 3.75 | 0.77 | 35 | |||||||||||||||||||
10.74 | 10.35 | 5,672,266 | 0.59 | 4.08 | 0.80 | 48 | ||||||||||||||||||||
10.14 | (0.52 | ) | 4,445,260 | 0.60 | 4.17 | 0.81 | 59 | |||||||||||||||||||
10.63 | 11.26 | 4,448,619 | 0.60 | 4.15 | 0.83 | 52 | ||||||||||||||||||||
9.96 | 4.36 | 3,198,358 | 0.60 | 4.39 | 0.86 | 52 | ||||||||||||||||||||
9.97 | 0.12 | 3,138,405 | 0.60 | 4.12 | 0.87 | 48 | ||||||||||||||||||||
9.59 | (8.66 | ) | 399,037 | 0.51 | 3.87 | 0.52 | 35 | |||||||||||||||||||
10.74 | 10.44 | 354,830 | 0.51 | 4.15 | 0.55 | 48 | ||||||||||||||||||||
| 10.14 |
| (0.51 | ) | 212,657 | 0.50 | 4.37 | 0.57 | 59 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 145 |
Table of Contents
AS OF APRIL 30, 2020 (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 anopen-end management investment company.
The following are 2 separate funds of the Trust (each a “Fund” and collectively, the “Funds”) covered by this report:
Classes Offered | Diversification Classification | |||
JPMorgan Global Allocation Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5, Class R6 and Class T(1) | Diversified | ||
JPMorgan Income Builder Fund | Class A, Class C, Class I, Class R6 and Class T(1) | Diversified |
(1) | Class T Shares had no assets from the close of business on June 5, 2018 and are not offered to the public. |
The investment objective of JPMorgan Global Allocation Fund (“Global Allocation Fund”) is to seek to maximize long-term total return.
The investment objective of JPMorgan Income Builder Fund (“Income Builder Fund”) is to seek to maximize income while maintaining prospects for capital appreciation.
Class A and Class T Shares generally provide for afront-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to the Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. 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 Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
146 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations. Swaps and 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 Funds at April 30, 2020.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Global Allocation Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Cayman Islands | $ | — | $ | — | $ | 5,136 | $ | 5,136 | ||||||||
United States | — | 105,165 | 41,817 | 146,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset-Backed Securities | — | 105,165 | 46,953 | 152,118 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Bermuda | — | — | 2,409 | 2,409 | ||||||||||||
United States | — | 111,581 | 34,265 | 145,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 111,581 | 36,674 | 148,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
Cayman Islands | — | — | 1,764 | 1,764 | ||||||||||||
United States | — | 85,412 | 55,065 | 140,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Commercial Mortgage-Backed Securities | — | 85,412 | 56,829 | 142,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Australia | — | 31,552 | 19 | 31,571 | ||||||||||||
Austria | — | 4,589 | — | 4,589 | ||||||||||||
Belgium | — | 7,373 | — | 7,373 | ||||||||||||
Brazil | 10,127 | — | — | 10,127 | ||||||||||||
Canada | 17,588 | — | — | 17,588 | ||||||||||||
Chile | — | 97 | — | 97 | ||||||||||||
China | 29,917 | 53,610 | — | 83,527 | ||||||||||||
Colombia | — | 66 | — | 66 | ||||||||||||
Denmark | — | 18,086 | — | 18,086 | ||||||||||||
Finland | — | 7,610 | — | 7,610 | ||||||||||||
France | — | 72,468 | — | 72,468 | ||||||||||||
Germany | 561 | 63,670 | — | 64,231 |
APRIL 30, 2020 | J.P. MORGAN FUNDS | 147 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Global Allocation Fund(continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Hong Kong | $ | 83 | $ | 20,704 | $ | — | $ | 20,787 | ||||||||
Hungary | — | 936 | — | 936 | ||||||||||||
India | 12,305 | — | — | 12,305 | ||||||||||||
Indonesia | — | 6,194 | — | 6,194 | ||||||||||||
Ireland | 1,155 | 1,106 | — | 2,261 | ||||||||||||
Israel | 771 | 1,011 | — | 1,782 | ||||||||||||
Italy | — | 9,723 | — | 9,723 | ||||||||||||
Japan | — | 102,360 | — | 102,360 | ||||||||||||
Luxembourg | — | 479 | — | 479 | ||||||||||||
Macau | — | 1,724 | — | 1,724 | ||||||||||||
Mexico | 5,165 | — | — | 5,165 | ||||||||||||
Netherlands | 5,767 | 25,551 | — | 31,318 | ||||||||||||
New Zealand | — | 945 | — | 945 | ||||||||||||
Norway | — | 3,253 | — | 3,253 | ||||||||||||
Peru | 3,814 | — | — | 3,814 | ||||||||||||
Poland | — | 2,336 | — | 2,336 | ||||||||||||
Portugal | — | 517 | — | 517 | ||||||||||||
Russia | 2,790 | 6,289 | — | 9,079 | ||||||||||||
Singapore | — | 3,649 | — | 3,649 | ||||||||||||
South Africa | 1,541 | 5,452 | — | 6,993 | ||||||||||||
South Korea | — | 29,848 | — | 29,848 | ||||||||||||
Spain | — | 11,463 | — | 11,463 | ||||||||||||
Sweden | — | 16,788 | — | 16,788 | ||||||||||||
Switzerland | 700 | 86,265 | — | 86,965 | ||||||||||||
Taiwan | 22,982 | 9,941 | — | 32,923 | ||||||||||||
Thailand | — | 3,699 | — | 3,699 | ||||||||||||
Turkey | — | 979 | — | 979 | ||||||||||||
United Arab Emirates | — | — | — | (a) | — | (a) | ||||||||||
United Kingdom | 3,363 | 87,748 | — | 91,111 | ||||||||||||
United States | 746,478 | 3,826 | 205 | 750,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 865,107 | 701,907 | 224 | 1,567,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds | — | 118 | — | 118 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Australia | — | 1,257 | — | 1,257 | ||||||||||||
Belgium | — | 6,212 | — | 6,212 | ||||||||||||
Canada | — | 13,155 | — | 13,155 | ||||||||||||
Cayman Islands | — | 148 | — | 148 | ||||||||||||
China | — | 4,455 | — | 4,455 | ||||||||||||
Denmark | — | 2,097 | — | 2,097 | ||||||||||||
Ecuador | — | 119 | — | 119 | ||||||||||||
France | — | 19,284 | — | 19,284 | ||||||||||||
Germany | — | 8,695 | — | 8,695 | ||||||||||||
Ireland | — | 2,023 | — | 2,023 | ||||||||||||
Italy | — | 2,458 | — | 2,458 | ||||||||||||
Japan | — | 19,608 | — | 19,608 | ||||||||||||
Luxembourg | — | 3,902 | — | 3,902 | ||||||||||||
Netherlands | — | 12,100 | — | 12,100 | ||||||||||||
Norway | — | 786 | — | 786 | ||||||||||||
Singapore | — | 9,310 | — | 9,310 | ||||||||||||
South Korea | — | 6,079 | — | 6,079 | ||||||||||||
Spain | — | 4,054 | — | 4,054 | ||||||||||||
Switzerland | — | 11,685 | — | 11,685 | ||||||||||||
United Arab Emirates | — | 125 | — | 125 | ||||||||||||
United Kingdom | — | 30,966 | — | 30,966 |
148 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Global Allocation Fund(continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
United States | $ | — | $ | 440,363 | $ | 1 | $ | 440,364 | ||||||||
Venezuela, Bolivarian Republic of | — | 18 | — | 18 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 598,899 | 1 | 598,900 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange-Traded Funds | 8,660 | — | — | 8,660 | ||||||||||||
Foreign Government Securities | — | 437,852 | — | 437,852 | ||||||||||||
Loan Assignments | ||||||||||||||||
Canada | — | 464 | — | 464 | ||||||||||||
United States | — | 9,209 | 816 | 10,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Assignments | — | 9,673 | 816 | 10,489 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options Purchased | 97 | 33 | — | 130 | ||||||||||||
Put Options Purchased | — | 100 | — | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 97 | 133 | — | 230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
United States | 14 | 31 | 387 | 432 | ||||||||||||
Rights | ||||||||||||||||
Australia | — | 2 | — | 2 | ||||||||||||
United States | — | — | 16 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | — | 2 | 16 | 18 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Supranational | — | 7,178 | — | 7,178 | ||||||||||||
U.S. Treasury Obligations | — | 75,095 | — | 75,095 | ||||||||||||
Warrants | ||||||||||||||||
Canada | — | 1 | — | 1 | ||||||||||||
United States | — | — | 26 | 26 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 1 | 26 | 27 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | — | 3,004 | — | 3,004 | ||||||||||||
Foreign Government Treasury Bills | — | 16,320 | — | 16,320 | ||||||||||||
Investment Companies | 202,721 | — | — | 202,721 | ||||||||||||
Investment of cash collateral from securities loaned | 109,995 | — | — | 109,995 | ||||||||||||
U.S. Treasury Obligations | — | 1,654 | — | 1,654 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 312,716 | 20,978 | — | 333,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,186,594 | $ | 2,154,025 | $ | 141,926 | $ | 3,482,545 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Common Stocks | $ | (15,338 | ) | $ | — | $ | — | $ | (15,338 | ) | ||||||
Exchange-Traded Funds | (1,057 | ) | — | — | (1,057 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities in Securities Sold Short | $ | (16,395 | ) | $ | — | $ | — | $ | (16,395 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 4,191 | $ | — | $ | 4,191 | ||||||||
Futures Contracts | 59,597 | — | — | 59,597 | ||||||||||||
Swaps | — | 1,183 | — | 1,183 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 59,597 | $ | 5,374 | $ | — | $ | 64,971 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (7,064 | ) | $ | — | $ | (7,064 | ) | ||||||
Futures Contracts | (21,668 | ) | — | — | (21,668 | ) | ||||||||||
Options Written | ||||||||||||||||
Call Options Written | — | (33 | ) | — | (33 | ) | ||||||||||
Put Options Written | — | (100 | ) | — | (100 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (21,668 | ) | $ | (7,197 | ) | $ | — | $ | (28,865 | ) | |||||
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN FUNDS | 149 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Income Builder Fund
Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Asset-Backed Securities |
| |||||||||||||||
Cayman Islands | $ | — | $ | — | $ | 5,862 | $ | 5,862 | ||||||||
United States | — | 201,448 | 285,289 | 486,737 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset-Backed Securities | — | 201,448 | 291,151 | 492,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Mortgage Obligations |
| |||||||||||||||
Bermuda | — | — | 5,184 | 5,184 | ||||||||||||
United States | — | 673,222 | 149,367 | 822,589 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 673,222 | 154,551 | 827,773 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
Cayman Islands | — | — | 2,598 | 2,598 | ||||||||||||
United States | — | 162,625 | 98,457 | 261,082 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Commercial Mortgage-Backed Securities | — | 162,625 | 101,055 | 263,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks |
| |||||||||||||||
Australia | — | 99,781 | — | 99,781 | ||||||||||||
Austria | — | 3,078 | — | 3,078 | ||||||||||||
Belgium | — | 19,525 | — | 19,525 | ||||||||||||
Brazil | 17,454 | — | — | 17,454 | ||||||||||||
Canada | 98,021 | — | — | 98,021 | ||||||||||||
Cayman Islands | — | — | 22 | 22 | ||||||||||||
Chile | 2,366 | — | — | 2,366 | ||||||||||||
China | — | 179,220 | — | 179,220 | ||||||||||||
Colombia | — | 680 | — | 680 | ||||||||||||
Czech Republic | — | 3,585 | — | 3,585 | ||||||||||||
Denmark | — | 881 | — | 881 | ||||||||||||
Finland | — | 28,037 | — | 28,037 | ||||||||||||
France | — | 114,308 | — | 114,308 | ||||||||||||
Germany | — | 78,940 | — | 78,940 | ||||||||||||
Hong Kong | — | 79,282 | — | 79,282 | ||||||||||||
India | 9,121 | 46,475 | — | 55,596 | ||||||||||||
Indonesia | — | 21,596 | — | 21,596 | ||||||||||||
Ireland | — | 1,228 | — | 1,228 | ||||||||||||
Italy | — | 40,251 | — | 40,251 | ||||||||||||
Japan | — | 150,541 | — | 150,541 | ||||||||||||
Macau | — | 10,631 | — | 10,631 | ||||||||||||
Mexico | 25,886 | — | — | 25,886 | ||||||||||||
Netherlands | 747 | 18,502 | — | 19,249 | ||||||||||||
New Zealand | — | 3,414 | 1,521 | 4,935 | ||||||||||||
Norway | — | 6,251 | — | 6,251 | ||||||||||||
Peru | 1,869 | — | — | 1,869 | ||||||||||||
Portugal | — | 5,382 | — | 5,382 | ||||||||||||
Russia | 18,764 | 32,155 | — | 50,919 | ||||||||||||
Saudi Arabia | — | 11,521 | — | 11,521 | ||||||||||||
Singapore | — | 23,663 | — | 23,663 | ||||||||||||
South Africa | 7,802 | 13,704 | — | 21,506 | ||||||||||||
South Korea | 4,240 | 36,455 | — | 40,695 | ||||||||||||
Spain | 946 | 77,345 | — | 78,291 | ||||||||||||
Sweden | 1,320 | 16,943 | — | 18,263 | ||||||||||||
Switzerland | — | 157,703 | — | 157,703 | ||||||||||||
Taiwan | 86,824 | 74,960 | — | 161,784 | ||||||||||||
Thailand | — | 7,387 | — | 7,387 | ||||||||||||
United Kingdom | 19,418 | 181,925 | — | 201,343 | ||||||||||||
United States | 2,108,487 | 1,427 | 2,469 | 2,112,383 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 2,403,265 | 1,546,776 | 4,012 | 3,954,053 | ||||||||||||
|
|
|
|
|
|
|
|
150 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Income Builder Fund(continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Convertible Bonds | $ | — | $ | 173,590 | $ | — | $ | 173,590 | ||||||||
Convertible Preferred Stocks |
| |||||||||||||||
United States | 64,759 | 3,089 | — | 67,848 | ||||||||||||
Corporate Bonds |
| |||||||||||||||
Argentina | — | 1,193 | — | 1,193 | ||||||||||||
Australia | — | 21,409 | — | 21,409 | ||||||||||||
Azerbaijan | — | 3,960 | — | 3,960 | ||||||||||||
Bahrain | — | 1,107 | — | 1,107 | ||||||||||||
Belarus | — | 690 | — | 690 | ||||||||||||
Belgium | — | 16,448 | — | 16,448 | ||||||||||||
Brazil | — | 3,359 | — | 3,359 | ||||||||||||
Canada | — | 148,528 | — | 148,528 | ||||||||||||
Cayman Islands | — | 3,276 | — | 3,276 | ||||||||||||
Chile | — | 2,935 | — | 2,935 | ||||||||||||
China | — | 2,782 | — | 2,782 | ||||||||||||
Colombia | — | 2,716 | — | 2,716 | ||||||||||||
Costa Rica | — | 725 | — | 725 | ||||||||||||
Denmark | — | 1,000 | — | 1,000 | ||||||||||||
Finland | — | 5,096 | — | 5,096 | ||||||||||||
France | — | 62,749 | — | 62,749 | ||||||||||||
Germany | — | 8,884 | — | 8,884 | ||||||||||||
Guatemala | — | 1,060 | — | 1,060 | ||||||||||||
Hungary | — | 1,013 | — | 1,013 | ||||||||||||
India | — | 861 | — | 861 | ||||||||||||
Indonesia | — | 7,786 | — | 7,786 | ||||||||||||
Ireland | — | 13,912 | — | 13,912 | ||||||||||||
Italy | — | 21,049 | — | 21,049 | ||||||||||||
Japan | — | 7,713 | — | 7,713 | ||||||||||||
Kazakhstan | — | 6,963 | — | 6,963 | ||||||||||||
Luxembourg | — | 55,612 | — | 55,612 | ||||||||||||
Mexico | — | 18,986 | — | 18,986 | ||||||||||||
Mongolia | — | 1,881 | — | 1,881 | ||||||||||||
Morocco | — | 2,380 | — | 2,380 | ||||||||||||
Netherlands | — | 24,802 | — | 24,802 | ||||||||||||
Norway | — | 3,351 | — | 3,351 | ||||||||||||
Panama | — | 589 | — | 589 | ||||||||||||
Peru | — | 3,128 | — | 3,128 | ||||||||||||
Qatar | — | 2,476 | — | 2,476 | ||||||||||||
South Africa | — | 1,519 | — | 1,519 | ||||||||||||
South Korea | — | 3,407 | — | 3,407 | ||||||||||||
Spain | — | 4,930 | — | 4,930 | ||||||||||||
Sweden | — | 991 | — | 991 | ||||||||||||
Switzerland | — | 66,067 | — | 66,067 | ||||||||||||
Trinidad and Tobago | — | 1,404 | — | 1,404 | ||||||||||||
Turkey | — | 620 | — | 620 | ||||||||||||
United Arab Emirates | — | 5,060 | — | 5,060 | ||||||||||||
United Kingdom | — | 108,068 | — | 108,068 | ||||||||||||
United States | — | 3,778,893 | 8 | 3,778,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 4,431,378 | 8 | 4,431,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Linked Notes | — | 277,615 | — | 277,615 | ||||||||||||
Foreign Government Securities | — | 167,017 | — | 167,017 | ||||||||||||
Loan Assignments |
| |||||||||||||||
Canada | — | 6,795 | — | 6,795 | ||||||||||||
France | — | 2,514 | — | 2,514 | ||||||||||||
United States | — | 255,697 | 4,852 | 260,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Assignments | — | 265,006 | 4,852 | 269,858 | ||||||||||||
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN FUNDS | 151 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Income Builder Fund(continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Mortgage-Backed Securities | $ | — | $ | 103,286 | $ | — | $ | 103,286 | ||||||||
Preferred Stocks |
| |||||||||||||||
United States | 83,181 | 1,775 | 4,955 | 89,911 | ||||||||||||
Rights | — | — | 459 | 459 | ||||||||||||
Supranational | — | 587 | — | 587 | ||||||||||||
U.S. Government Agency Securities | — | 5,628 | — | 5,628 | ||||||||||||
U.S. Treasury Obligations | — | 78,848 | — | 78,848 | ||||||||||||
Warrants | — | — | 673 | 673 | ||||||||||||
Short-Term Investments |
| |||||||||||||||
Commercial Paper | — | 656 | — | 656 | ||||||||||||
Investment Companies | 619,781 | — | — | 619,781 | ||||||||||||
Investment of cash collateral from securities loaned | 183,170 | — | — | 183,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 802,951 | 656 | — | �� | 803,607 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,354,156 | $ | 8,092,546 | $ | 561,716 | $ | 12,008,418 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | 66,399 | $ | 64 | $ | — | $ | 66,463 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | (148 | ) | $ | (16,292 | ) | $ | — | $ | (16,440 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
152 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Global Allocation Fund | Balance as of October 31, 2019 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of April 30, 2020 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities — Cayman Islands | $ | 7,751 | $ | (11 | ) | $ | (855 | ) | $ | — | (a) | $ | — | $ | (1,749 | ) | $ | — | $ | — | $ | 5,136 | ||||||||||||||
Asset-Backed Securities — United States | 55,876 | 11 | (3,576 | ) | 31 | 2,640 | (15,890 | ) | 4,966 | (2,241 | ) | 41,817 | ||||||||||||||||||||||||
Collateralized Mortgage Obligations — Bermuda | 3,103 | — | (400 | ) | — | — | (294 | ) | — | — | 2,409 | |||||||||||||||||||||||||
Collateralized Mortgage Obligations — United States | 37,037 | — | (5,055 | ) | (1 | ) | 6,520 | (2,239 | ) | 4,051 | (6,048 | ) | 34,265 | |||||||||||||||||||||||
Commercial Mortgage-Backed Securities — Cayman Islands | 1,995 | — | (231 | ) | — | — | — | — | — | 1,764 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — United States | 78,449 | (705 | ) | (13,636 | ) | 26 | 2,115 | (13,747 | ) | 2,563 | — | 55,065 | ||||||||||||||||||||||||
Common Stocks — Australia | — | — | (24 | ) | — | 9 | (8 | ) | 42 | — | 19 | |||||||||||||||||||||||||
Common Stocks — United Arab Emirates | — | — | (80 | ) | — | 14 | — | 66 | — | — | ||||||||||||||||||||||||||
Common Stocks — United States | 215 | — | (21 | ) | — | 11 | — | — | — | 205 | ||||||||||||||||||||||||||
Corporate Bonds — United States | 4 | 23 | (3 | ) | — | — | (23 | ) | — | — | 1 | |||||||||||||||||||||||||
Loan Assignments — United States | 253 | 100 | 91 | 1 | 604 | (233 | ) | — | — | 816 | ||||||||||||||||||||||||||
Preferred Stocks — United States | 331 | — | 56 | — | — | — | — | — | 387 | |||||||||||||||||||||||||||
Rights — United States | 15 | — | 1 | — | — | — | — | — | 16 | |||||||||||||||||||||||||||
Warrants — United States | 57 | — | (31 | ) | — | — | — | — | — | 26 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 185,086 | $ | (582 | ) | $ | (23,764 | ) | $ | 57 | $ | 11,913 | $ | (34,183 | ) | $ | 11,688 | $ | (8,289 | ) | $ | 141,926 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
APRIL 30, 2020 | J.P. MORGAN FUNDS | 153 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Income Builder Fund | Balance as of October 31, 2019 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of April 30, 2020 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities — Cayman Islands | $ | 10,743 | $ | (38 | ) | $ (872 | ) | $ | 1 | $ | — | $ | (3,972 | ) | $ | — | $ | — | $ | 5,862 | ||||||||||||||||
Asset-Backed Securities — United States | 357,064 | 126 | (24,815 | ) | 476 | 24,962 | (85,915 | ) | 21,926 | (8,535 | ) | 285,289 | ||||||||||||||||||||||||
Collateralized Mortgage Obligations — Bermuda | 6,680 | — | (1,078 | ) | — | — | (418 | ) | — | — | 5,184 | |||||||||||||||||||||||||
Collateralized Mortgage Obligations — United States | 104,140 | — | (a) | (23,268 | ) | 4 | 76,829 | (7,257 | ) | 17,568 | (18,649 | ) | 149,367 | |||||||||||||||||||||||
Commercial Mortgage-Backed Securities — Cayman Islands | 2,992 | — | (394 | ) | — | — | — | — | — | 2,598 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — United States | 139,275 | (670 | ) | (26,370 | ) | 36 | 7,258 | (32,358 | ) | 11,798 | (512 | ) | 98,457 | |||||||||||||||||||||||
Common Stocks — Cayman Islands | 25 | — | (3 | ) | — | — | — | — | — | 22 | ||||||||||||||||||||||||||
Common Stocks — New Zealand | 1,488 | — | 33 | — | — | — | — | — | 1,521 | |||||||||||||||||||||||||||
Common Stocks — United States | 3,022 | — | (352 | ) | — | 76 | (277 | ) | — | — | 2,469 | |||||||||||||||||||||||||
Corporate Bonds — United States | 11 | 411 | (2 | ) | — | — | (412 | ) | — | — | 8 | |||||||||||||||||||||||||
Loan Assignments — United States | 1,842 | 708 | 468 | 5 | 3,960 | (2,131 | ) | — | — | 4,852 | ||||||||||||||||||||||||||
Preferred Stocks — United States | 4,230 | — | 725 | — | — | — | — | — | 4,955 | |||||||||||||||||||||||||||
Rights — United States | 432 | — | 27 | — | — | — | — | — | 459 | |||||||||||||||||||||||||||
Warrants — United States | 1,482 | — | (809 | ) | — | — | — | — | — | 673 | ||||||||||||||||||||||||||
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Total | $ | 633,426 | $ | 537 | $ | (76,710 | ) | $ | 522 | $ | 113,085 | $ | (132,740 | ) | $ | 51,292 | $ | (27,696 | ) | $ | 561,716 | |||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2020, which were valued using significant unobservable inputs (level 3) were as follows (amounts in thousands):
Value | ||||
Global Allocation Fund | $ | (23,008 | ) | |
Income Builder Fund | (74,705 | ) |
154 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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These amounts are included in Change in net unrealized appreciation/ depreciation of investments innon-affiliates on the Statements of Operations.
There were no significant transfers into or out of level 3 for the six months ended April 30, 2020.
Global Allocation Fund
Quantitative Information about Level 3 Fair Value Measurements#
(Amounts in thousands)
Fair Value at April 30, 2020 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
$ | 41,312 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 35.00% (11.18%) | ||||||||
Constant Default Rate | 0.00% - 5.00% (1.54%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.52% - 130.69% (7.62%) | |||||||||||
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Asset-Backed Securities | 41,312 | |||||||||||
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55,065 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (7.26%) | |||||||||
Constant Default Rate | 0.00% - 5.00% (0.07%) | |||||||||||
Yield (Discount Rate of Cash Flows) | (19.44)% - 199.00% (10.41%) | |||||||||||
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Commercial Mortgage Backed Securities | 55,065 | |||||||||||
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34,893 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 25.00% (17.98%) | |||||||||
Constant Default Rate | 0.00% - 2.95% (0.12%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.26% - 16.90% (6.35%) | |||||||||||
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Collateralized Mortgage Obligations | 34,893 | |||||||||||
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— | (b) | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | ||||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||||
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Common Stocks | — | (b) | ||||||||||
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— | (b) | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | ||||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||||
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Preferred Stocks | — | (b) | ||||||||||
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21 | Pending Distribution | Expected Recovery | 100.00% (100.00%) | |||||||||
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Loan Assignments | 21 | |||||||||||
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— | (d) | Pending Distribution | Discount for Potential Outcome (e) | 100.00% (100.00%) | ||||||||
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Rights | — | (d) | ||||||||||
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Total | $ | 131,291 | ||||||||||
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# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At April 30, 2020, the value of these investments was approximately $10,635,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Senior-ranking securities in the issuing entity capital structure result in this security being valued at zero. |
(c) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(d) | Amount rounds to less than one thousand. |
(e) | 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 yield and default rate may decrease (increase) the fair value measurement. A significant change in the constant prepayment rate may decrease or increase the fair value measurement.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 155 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Income Builder Fund
Quantitative Information about Level 3 Fair Value Measurements#
(Amounts in thousands)
Fair Value at April 30, 2020 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
$ | — | (b) | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | |||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||||
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Common Stocks | — | (b) | ||||||||||
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1 | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | |||||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||||
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Preferred Stocks | 1 | |||||||||||
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— | (d) | Pending Distribution | Discount for Potential Outcome (e) | 100.00% (100.00%) | ||||||||
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Corporate Bonds | — | (d) | ||||||||||
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285,287 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 35.00% (8.96%) | |||||||||
Constant Default Rate | 0.00% - 9.40% (2.11%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 1.53% - 130.69% (6.41%) | |||||||||||
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Asset-Backed Securities | 285,287 | |||||||||||
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150,991 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 25.00% (18.58%) | |||||||||
Constant Default Rate | 0.00% - 4.00% (0.12%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.16% - 16.90% (6.25%) | |||||||||||
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Collateralized Mortgage Obligations | 150,991 | |||||||||||
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91,922 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (5.86%) | |||||||||
Constant Default Rate | 0.00% - 5.00% (0.04%) | |||||||||||
Yield (Discount Rate of Cash Flows) | -19.44% - 199.00% (12.73%) | |||||||||||
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Commercial Mortgage-Backed Securities | 91,922 | |||||||||||
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194 | Pending Distribution | Expected Recovery | 100.00% (100.00%) | |||||||||
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Loan Assignments | 194 | |||||||||||
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Total | $ | 528,395 | ||||||||||
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# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At April 30, 2020, the value of these investments was approximately $33,321,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Senior-ranking securities in the issuing entity capital structure result in this security being valued at zero. |
(c) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(d) | Value is zero. |
(e) | 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 enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, yield and default rate may decrease (increase) the fair value measurement. A significant change in the constant prepayment rate may decrease or increase the fair value measurement.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
156 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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As of April 30, 2020, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Loan Assignments — The Funds invested 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 Funds invest 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 materialnon-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 their 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 Funds have 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.D). The value of the unfunded portion of the investment is determined using apro-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 Funds 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 fromnon-affiliates on the Statements of Operations.
At April 30, 2020, Income Builder 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 | ||||||||||||||||||||||||||||||
Income Builder Fund | Moran Foods LLC | 1st Lien Term Loan B | 3/27/2023 | 11.500 | % | 11.500 | % | $ | 483 | $ | 483 | $ | — | $ | — | $ | 483 | $ | 483 | |||||||||||||||||||||
CVS Holdings I LP | Delayed Draw Term Loan | 8/31/2026 | 4.250 | 4.250 | 25 | 20 | 57 | 48 | 82 | 68 |
E. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds 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 Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until settlement date.
The Funds had delayed delivery securities outstanding as of April 30, 2020, which are shown as a Payable for Investment securities purchased — delayed delivery securities on the Statements of Assets and Liabilities. The values of these securities held at April 30, 2020 are detailed on the SOIs.
F. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Funds retains loan fees
APRIL 30, 2020 | J.P. MORGAN FUNDS | 157 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimisamounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed in the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of April 30, 2020 (amounts in thousands):
Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to counterparty (not less than zero) | ||||||||||
Global Allocation Fund | $ | 101,292 | $ | (101,292 | ) | $ | — | |||||
Income Builder Fund | 176,029 | (176,029 | ) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. JPMIM waived fees associated with the Fund’s investments in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
Global Allocation Fund | $ | 3 | ||
Income Builder Fund | 9 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
G. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. Amounts in the tables below are in thousands.
158 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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Global Allocation Fund
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63%(a)(b) | $ | 158,629 | $ | 1,281,776 | $ | 1,237,651 | $ | (96 | ) | $ | 63 | $ | 202,721 | 202,558 | $ | 1,957 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77%(a)(b) | 20,002 | 219,000 | 145,001 | 11 | * | 17 | 94,029 | 94,011 | 195 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23%(a)(b) | 12,304 | 122,101 | 118,439 | — | — | 15,966 | 15,966 | 49 | * | — | ||||||||||||||||||||||||||
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Total | $ | 190,935 | $ | 1,622,877 | $ | 1,501,091 | $ | (85 | ) | $ | 80 | $ | 312,716 | $ | 2,201 | $ | — | |||||||||||||||||||
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Income Builder Fund
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.69%(a)(b) | $ | 83,862 | $ | 439,171 | $ | 445,037 | $ | (18 | ) | $ | 29 | $ | 78,007 | 77,944 | $ | 544 | $ | — | ||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63%(a)(b) | 607,894 | 2,431,626 | 2,497,984 | (120 | ) | 358 | 541,774 | 541,341 | 3,109 | — | ||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.77%(a)(b) | — | 413,000 | 277,000 | (6 | )* | 31 | 136,025 | 135,998 | 1,363 | * | — | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.23%(a)(b) | — | 374,628 | 327,483 | — | — | 47,145 | 47,145 | 176 | * | — | ||||||||||||||||||||||||||
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Total | $ | 691,756 | $ | 3,658,425 | $ | 3,547,504 | $ | (144 | ) | $ | 418 | $ | 802,951 | $ | 5,192 | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of April 30, 2020. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
H. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 159 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
I. Derivatives — The Funds used derivative instruments including futures, forward foreign currency exchange contracts, options and swaps in connection with their investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds 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 potential lack of a liquid market for these contracts allowing the Funds to close out their 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 Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ 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 Funds in the event the Funds’ net assets decline over time by apre-determined percentage or fall below apre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds 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 Funds 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 Funds. The ISDA agreements give the Funds 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 against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Funds.
Notes I(1) — I(4) below describe the various derivatives used by the Funds.
(1). Options — Global Allocation Fund purchased and/or sold (“wrote”) put and call options on various instruments including futures, securities, currencies and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio 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. Swaptions and Eurodollar options are settled for cash.
Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or 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 Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the 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’sover-the-counter (“OTC”) options are subject to master netting agreements.
The Fund may be required to post or receive collateral forover-the-counter options. Cash collateral posted by the Fund is considered restricted.
(2). Futures Contracts — The Funds used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to particular countries or regions. The Funds also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.
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Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to interest rate risk, foreign exchange risk and equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3). Forward Foreign Currency Exchange Contracts — Global Allocation Fund is exposed to foreign currency risks associated with some or all of their 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. dollars without the delivery of the 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 record 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 record a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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).
The Fund may be required to post or receive collateral fornon-deliverable forward foreign currency exchange contracts.
(4). Swaps — Global Allocation Fund engaged in various swap transactions, including interest rate swaps, credit default swaps and total return basket swaps, to manage interest rate (e.g., duration, yield curve), credit risks and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiatedover-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral for OTC swaps.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 161 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Credit Default Swaps
Global Allocation Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit
market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
Global Allocation Fund entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate, while the other is typically based on a fixed interest rate.
Total Return Basket Swaps
Global Allocation Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity.
Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and/or short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within each swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs” and net dividends. Positions within each swap, accrued financing costs and net dividends, are part of the periodic reset. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty are recorded as Due from/to counterparty on swap contracts on the Statements of Assets and Liabilities and as Net realized gain (loss) on transactions from swap on the Statements of Operations.
Each swap involve additional risks than if the Fund had invested in the underlying positions directly including: the risk that changes in the value of each swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for each swap contract, which may limit the ability of the Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swaps consists of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Fund’s activities in the total return basket swap are concentrated with one counterparty. Investing in swaps results in a form of leverage (i.e., the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the Statements of Assets and Liabilities).
The value of each swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap and/or other receivables (payables) from gains/ (losses) realized when the swap resets; and (v) other factors, as applicable. The value of each swap is reflected on the Statements of Assets and Liabilities as Outstanding swap contracts, at value. Changes in the value of each swap are recognized as Change in net unrealized appreciation/depreciation of swaps on the Statements of Operations.
The total return basket swap contracts are subject to a master netting arrangements. The Fund may be required to post or receive collateral for the total return basket swaps.
162 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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(5). Summary of Derivatives Information — The following tables present the value of derivatives held as of April 30, 2020 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Global Allocation Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||||||||||||||||||
Gross Assets: | OTC Swaps | Options | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Total | |||||||||||||||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 1,377 | $ | 97 | $ | 49,245 | $ | — | $ | 50,719 | |||||||||||
Foreign exchange contracts | Receivables | — | 133 | — | 4,191 | 4,324 | ||||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | — | — | 10,352 | — | 10,352 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,377 | $ | 230 | $ | 59,597 | $ | 4,191 | $ | 65,395 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Gross Liabilities: | ||||||||||||||||||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | $ | — | $ | — | $ | (14,106 | ) | $ | — | $ | (14,106 | ) | |||||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | — | (133 | ) | (5,971 | ) | (7,064 | ) | (13,168 | ) | ||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | — | — | (1,591 | ) | — | (1,591 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | — | $ | (133 | ) | $ | (21,668 | ) | $ | (7,064 | ) | $ | (28,865 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Income Builder Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||
Gross Assets: | Futures Contracts (a) | |||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 64 | |||
Foreign exchange contracts | Receivables, Net Assets — Unrealized Appreciation | 6,659 | ||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | 59,740 | ||||
|
| |||||
Total | $ | 66,463 | ||||
|
| |||||
Gross Liabilities: | ||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | $ | (16,292 | ) | ||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | (148 | ) | |||
|
| |||||
Total | $ | (16,440 | ) | |||
|
|
(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
APRIL 30, 2020 | J.P. MORGAN FUNDS | 163 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The following tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2020 by primary underlying risk exposure (amounts in thousands):
Global Allocation Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 413 | $ | 413 | ||||||||||
Equity contracts | 3,408 | (67,013 | ) | — | (2,311 | ) | (65,916 | ) | ||||||||||||
Foreign exchange contracts | (138 | ) | (2,162 | ) | 13,670 | — | 11,370 | |||||||||||||
Interest rate contracts | — | 14,533 | — | (135 | ) | 14,398 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,270 | $ | (54,642 | ) | $ | 13,670 | $ | (2,033 | ) | $ | (39,735 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||
Equity contracts | (9,551 | ) | 34,303 | — | 225 | 24,977 | ||||||||||||||
Foreign exchange contracts | 167 | (6,360 | ) | 3,015 | — | (3,178 | ) | |||||||||||||
Interest rate contracts | — | 10,140 | — | (28 | ) | 10,112 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (9,384 | ) | $ | 38,083 | $ | 3,015 | $ | 272 | $ | 31,986 | |||||||||
|
|
|
|
|
|
|
|
|
|
Income Builder Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of the Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | 6,388 | ||
Foreign exchange contracts | (10,121 | ) | ||
Interest rate contracts | 15,730 | |||
|
| |||
Total | $ | 11,997 | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of the Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | (4,160 | ) | |
Foreign exchange contracts | 19,129 | |||
Interest rate contracts | 65,982 | |||
|
| |||
Total | $ | 80,951 | ||
|
|
164 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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Derivatives Volume
The table below discloses the volume of the Funds’ futures contracts, forward foreign currency exchange contracts, options and swaps activity during the six months ended April 30, 2020. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity (amounts in thousands, except number of contracts):
Global Allocation Fund | Income Builder Fund | |||||||
Futures Contracts — Equity: | ||||||||
Average Notional Balance Long | $ | 448,381 | $ | 202,247 | ||||
Average Notional Balance Short | 167,620 | 372,592 | ||||||
Ending Notional Balance Long | 520,575 | 5,888 | ||||||
Ending Notional Balance Short | 119,073 | 111,170 | ||||||
Futures Contracts — Foreign Exchange: | ||||||||
Average Notional Balance Long | 313,811 | — | ||||||
Average Notional Balance Short | — | 268,873 | ||||||
Ending Notional Balance Long | 386,748 | — | ||||||
Ending Notional Balance Short | — | 262,606 | ||||||
Futures Contracts — Interest Rate: | ||||||||
Average Notional Balance Long | 590,993 | 1,406,701 | ||||||
Average Notional Balance Short | 208,605 | — | ||||||
Ending Notional Balance Long | 462,310 | 1,732,100 | ||||||
Ending Notional Balance Short | 358,622 | — | ||||||
Forward Foreign Currency Exchange Contracts: | ||||||||
Average Settlement Value Purchased | 217,574 | — | ||||||
Average Settlement Value Sold | 842,646 | — | ||||||
Ending Settlement Value Purchased | 195,833 | — | ||||||
Ending Settlement Value Sold | 1,073,942 | — | ||||||
Exchange-Traded Options: | ||||||||
Average Number of Contracts Purchased | 43,013 | — | ||||||
Ending Number of Contracts Purchased | 467 | — | ||||||
Swaptions & OTC Options: | ||||||||
Average Notional Balance Purchased | 19,563 | — | ||||||
Average Notional Balance Written | 11,298 | — | ||||||
Ending Notional Balance Purchased | 9,659 | — | ||||||
Ending Notional Balance Written | 9,659 | — | ||||||
Interest Rate-Related Swaps: | ||||||||
Average Notional Balance — Pays Fixed rate | 17,178 | (a) | — | |||||
Average Notional Balance — Receives Fixed rate | 4,719 | — | ||||||
Credit Default Swaps: | ||||||||
Average Notional Balance — Buy Protection | 4,444 | — | ||||||
Total Return Basket Swaps: | ||||||||
Average Notional Balance Long | 13,465 | — | ||||||
Ending Notional Balance Long | 14,061 | — |
(a) | For the period November 1, 2019 through February 29, 2020. |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC swap contracts,non-deliverable forward foreign currency exchange contracts and/or OTC options with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties, cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.G.). Otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in escrow in accounts
maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 165 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Global Allocation Fund’s derivative contracts collateral requirements and collateral posted or received by counterparty as of April 30, 2020 are as follows (amounts in thousands):
Fund Counterparty | Value of derivative contracts | Collateral amount | ||||||||
Bank of America, NA | Collateral Received | $ | 1,377 | $ | 1,430 |
The Funds’ derivatives contracts held at April 30, 2020 are not accounted for as hedging instruments under GAAP.
J. Short Sales — Global Allocation Fund engaged in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported onex-dividend date on the Statements of Operations as Dividend expense on securities sold short.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates. As of April 30, 2020, the Fund had outstanding short sales as listed on the SOI.
K. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Security 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 theex-dividend date or when a Fund first learns of the dividend. The 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 Funds. These amounts are included in Interest income fromnon-affiliates on the Statements of Operations.
L. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2020 are as follows (amounts in thousands):
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | ||||||||||||||||||||||||||||
Global Allocation Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 13 | $ | 13 | $ | 14 | $ | 1 | $ | — | (a) | $ | — | (a) | $ | — | (a) | $ | 3 | $ | 44 | |||||||||||||||
Income Builder Fund | ||||||||||||||||||||||||||||||||||||
Transfer agency fees | 55 | 58 | 31 | n/a | n/a | n/a | n/a | 2 | 146 |
(a) | Amount rounds to less than one thousand. |
M. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to
166 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
N. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gain tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
O. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly for Income Builder Fund and quarterly for Global Allocation Fund 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 each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
P. Recent Accounting Pronouncement — In March 2017, the Financial Accounting Standards Board (“FASB”) issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Funds have adopted and applied ASU2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU2017-08, as of May 1, 2020, the amortized cost basis of investments and unrealized appreciation (depreciation) of investments of the Funds were increased (decreased) by the amounts presented in the following table (amounts in thousands). The adoption of ASU2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
Amortized Cost Basis of Investments | Unrealized Appreciation (Depreciation) of Investments | |||||||
Global Allocation Fund | $ | (354 | ) | $ | 354 | |||
Income Builder Fund | (5,880 | ) | 5,880 |
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Global Allocation Fund | 0.55 | % | ||
Income Builder Fund | 0.42 |
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 each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2020, the effective annualized rate for Global Allocation Fund and Income Builder Fund was 0.08% and 0.07%, respectively, of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.G.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2, Class R3 and Class T Shares of the Funds, pursuant to Rule12b-1 under the 1940 Act. The Class I, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | Class R2 | Class R3 | |||||||||||||
Global Allocation Fund | 0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % | ||||||||
Income Builder Fund | 0.25 | 0.75 | n/a | n/a |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended April 30, 2020, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||||||
Global Allocation Fund | $ | 27 | $ | — | (a) | |||
Income Builder Fund | 215 | 7 |
(a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | ||||||||||||||||||||||
Global Allocation Fund | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | ||||||||||||||
Income Builder Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.G.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Collateral Management Fees — JPMCB provides derivatives collateral management services for Global Allocation Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral management fees on the Statements of Operations.
G. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses of the Funds and Underlying Funds and ETFs (excluding dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses incurred by the Funds and any Underlying Fund and ETFs and acquired fund fees incurred by an Underlying Fund and ETFs) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||||||||||||||||||
Global Allocation Fund | 1.03 | % | 1.53 | % | 0.78 | % | 1.40 | % | 1.15 | % | 0.90 | % | 0.75 | % | 0.65 | % | ||||||||||||||||
Income Builder Fund | 0.75 | 1.25 | 0.60 | n/a | n/a | n/a | n/a | 0.52 |
The expense limitation agreements were in effect for the six months ended April 30, 2020 and are in place until at least February 28, 2021.
For the six months ended April 30, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | ||||||||||||||||
Global Allocation Fund | $ | 226 | $ | 150 | $ | 1,888 | $ | 2,264 | $ | — | (a) | |||||||||
Income Builder Fund | — | — | 13,699 | 13,699 | 623 |
(a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
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The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2020 were as follows (amounts in thousands):
Global Allocation Fund | $ | 252 | ||
Income Builder Fund | 483 |
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 Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended April 30, 2020, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended April 30, 2020, 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) | Purchases of U.S. Government | Sales of U.S. Government | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||||||||
Global Allocation Fund | $ | 1,774,029 | $ | 1,629,612 | $ | 43,731 | $ | 51,091 | $ | 160,939 | $ | 155,572 | ||||||||||||
Income Builder Fund | 4,533,444 | 4,313,588 | 64,398 | 113,978 | — | — |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2020 were as follows (amounts in thousands):
Aggregate Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Global Allocation Fund* | $ | 3,383,998 | $ | 339,410 | $ | 220,958 | $ | 118,452 | ||||||||
Income Builder Fund | 12,385,613 | 743,922 | 1,071,094 | (327,172 | ) |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
As of October 31, 2019, the following Fund had net capital loss carryforwards (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Global Allocation Fund | $ | 37,893 | $ | — |
During the year ended October 31, 2019, the following Fund utilized capital loss carryforwards as follows (amounts in thousands):
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
Income Builder Fund | $ | 14,741 | $ | — |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The Funds had no borrowings outstanding from another fund during the six months ended April 30, 2020.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2020.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the year ended April 30, 2020.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2020, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
Number of individual shareholder and/or Affiliated Omnibus Accounts | % of the Fund | Number of individual shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Global Allocation Fund | — | — | % | 2 | 25.3 | % | ||||||||||
Income Builder Fund | 1 | 16.0 | 2 | 22.2 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
The Funds 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 each 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.
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 it would be 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 possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Funds’ yield (and total return) also may be low or the Funds may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. The Funds invest 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.
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The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes, exchange-traded notes, forward foreign currency exchange contracts andTo-Be-Announced securities.
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed bysub-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 Funds invest 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 Funds are intended for investors who are able and willing to assume a high degree of risk.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of the Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak ofCOVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of thisCOVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate otherpre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of thisCOVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, November 1, 2019, and continued to hold your shares at the end of the reporting period, April 30, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees, and expenses of the Underlying Funds. 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Global Allocation Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 933.10 | $ | 4.95 | 1.03 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.74 | 5.17 | 1.03 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 931.20 | 7.35 | 1.53 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.26 | 7.67 | 1.53 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 934.70 | 3.75 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 931.60 | 6.72 | 1.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 932.40 | 5.53 | 1.15 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.77 | 1.15 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 934.40 | 4.33 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 934.30 | 3.61 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 934.80 | 3.13 | 0.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.27 | 0.65 |
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Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Income Builder Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 912.30 | $ | 3.52 | 0.74 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 909.80 | 5.94 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 913.10 | 2.81 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 2.97 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 913.40 | 2.43 | 0.51 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.33 | 2.56 | 0.51 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM:
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
174 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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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. at1-800-480-4111 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.
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Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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 Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2020. All rights reserved. April 2020 | SAN-IB-GAL-420 |
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Semi-Annual Report
J.P. Morgan Funds
April 30, 2020 (Unaudited)
JPMorgan Emerging Markets Strategic Debt Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s websitewww.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Fund, email us atfunds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
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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 at1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
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June 11, 2020 (Unaudited)
Dear Shareholders,
Many have faced significant challenges since my last letter, whether related to the COVID-19 pandemic or the recent acts of racism and discrimination around the world. While many have endured uncertainty and abrupt changes in their personal and professional lives related to these challenges, you can be confident that J.P. Morgan Asset Management is well-prepared for adverse events and is taking action to ensure that our clients and mutual fund shareholders continue to receive the service that is the foundation of our enterprise.
![]() |
“Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions.” — Andrea L. Lisher |
Our extensive planning and testing of resiliency protocols enabled us to provide uninterrupted and expanded assistance to our clients and fund shareholders even as the COVID-19 crisis dramatically increased the volume of client questions and the demand for investment solutions. While our own employees transitioned to working from home, they worked tirelessly to
guide our clients and shareholders through this unprecedented time. We are here for you — our clients and fund shareholders — regardless of the economic, market or social and civic environment. That’s how we have always operated and we will not waiver in that commitment.
JPMorgan Chase & Co. has also recommitted its firm stance against any form of racism, discrimination, or social injustice. As Brian Lamb, Global Head of Diversity & Inclusion, recently said, “We are working across the entire firm — being intentional to strengthen our inclusive environment where our employees, customers and partners feel welcomed and valued in the communities where we do business.” To learn more, please visit JPMorgan Chase & Co.’s Diversity & Inclusion website.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
APRIL 30, 2020 | J.P. MORGAN FUNDS | 1 |
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JPMorgan Emerging Markets Strategic Debt Fund
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | (12.78)% | |||
J.P. Morgan Emerging Markets Bond Index Global Diversified | (10.08)% | |||
Emerging Markets Strategic Debt Composite Benchmark*** | (8.39)% | |||
Net Assets as of 4/30/2020 (In Thousands) | $479,588 | |||
Duration as of 4/30/2020 | 6.9 years |
INVESTMENT OBJECTIVE***
The JPMorgan Emerging Markets Strategic Debt Fund (the “Fund”) seeks to provide total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares had a negative absolute performance and underperformed both the J.P. Morgan Emerging Markets Bond Index Global Diversified (the “Index”) and the Emerging Markets Strategic Debt Composite Benchmark (the “Composite Benchmark”) for the six months ended April 30, 2020.
Relative to the Index, the Fund’s underweight allocation to emerging markets sovereign bonds and its overweight allocation to emerging market corporate bonds were the leading detractors from performance over the period. The Fund’s overweight allocation to local currency-denominated bonds was a leading contributor to performance relative to the Index.
The Fund’s overweight allocation to Lebanon was the largest detractor from relative performance as the nation defaulted on loans during the reporting period. The Fund’s overweight allocation to Angola and its underweight allocation to China also detracted from performance. Angola’s economy is heavily reliant on petroleum exports and a sharp decline in global oil prices in 2020 hurt Angolan bond prices. In China, both sovereign and corporate bonds rebounded faster than expected from a sell-off sparked by the outbreak of the COVID-19 virus.
The Fund’s allocation to U.S. Treasury bond futures was the largest contributor to performance relative to the Index. By purchasing long futures positions, the Fund’s managers increased the duration of the Fund, which helped performance as interest rates fell during the reporting period. Generally, bonds with longer duration will experience greater price appreciation as interest rates decline, compared with shorter duration bonds. The Fund’s overweight allocation to the Japanese yen also contributed to relative performance as investors sought currencies believed to be safer in response to the global spread of COVID-19.
Relative to the Composite Benchmark, the Fund’s security selection in emerging markets sovereign bonds and its out-of-benchmark allocations to emerging markets corporate bonds detracted from performance. The Fund’s out-of-benchmark allocations to emerging market local currency bonds contributed to performance relative to the Composite Benchmark.
HOW WAS THE FUND POSITIONED?
The Fund invested primarily in debt securities from emerging market countries that the Fund’s portfolio managers believed had the potential to provide total return. At the end of the reporting period, the Fund’s largest overweight positions were in the currencies of Japan, Serbia and Ukraine, while the Fund’s largest underweight positions were in the currencies of Australia, Turkey and the U.S. In terms of sovereign debt, the Fund was overweight in Mexico, Ukraine and Peru and underweight in Indonesia, Russia and Panama.
2 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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PORTFOLIO COMPOSITION BY SECURITY TYPE**** | ||||
Foreign Government Securities | 67.7 | % | ||
Corporate Bonds | 23.5 | |||
Others (each less than 1.0%) | 0.6 | |||
Short-Term Investments | 8.2 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||
Mexico | 5.7 | % | ||
Indonesia | 4.5 | |||
Ukraine | 4.1 | |||
Peru | 4.0 | |||
Russia | 3.3 | |||
Panama | 2.8 | |||
Turkey | 2.7 | |||
Brazil | 2.7 | |||
Qatar | 2.6 | |||
Morocco | 2.5 | |||
Dominican Republic | 2.4 | |||
Colombia | 2.4 | |||
Philippines | 2.3 | |||
South Africa | 2.3 | |||
Serbia | 2.2 | |||
United Arab Emirates | 2.2 | |||
Ivory Coast | 2.1 | |||
Chile | 2.0 | |||
Egypt | 2.0 | |||
Sri Lanka | 1.8 | |||
Oman | 1.8 | |||
Kazakhstan | 1.8 | |||
Saudi Arabia | 1.7 | |||
Uruguay | 1.6 | |||
Bahrain | 1.6 | |||
China | 1.5 | |||
Czech Republic | 1.5 | |||
Nigeria | 1.4 | |||
Malaysia | 1.2 | |||
Romania | 1.2 | |||
Thailand | 1.1 | |||
Paraguay | 1.0 | |||
Jamaica | 1.0 | |||
Argentina | 1.0 | |||
Others (each less than 1.0%) | 15.8 | |||
Short-Term Investments | 8.2 |
* | 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 Emerging Markets Strategic Debt Composite Benchmark is made up of an equally weighted average of the J.P. Morgan Emerging Markets Bond Index Global Diversified, the J.P. Morgan Government Bond Index-Emerging Markets Global Diversified and the J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified. |
*** | 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 April 30, 2020. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2020 | J.P. MORGAN FUNDS | 3 |
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JPMorgan Emerging Markets Strategic Debt Fund
FUND COMMENTARY
SIX MONTHS ENDED APRIL 30, 2020 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF APRIL 30, 2020 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||||
CLASS A SHARES | June 29, 2012 | |||||||||||||||||||
With Sales Charge** | (16.19 | )% | (11.54 | )% | (2.20 | )% | (3.17 | )% | ||||||||||||
Without Sales Charge | (12.88 | ) | (8.14 | ) | (1.45 | ) | (2.70 | ) | ||||||||||||
CLASS C SHARES | June 29, 2012 | |||||||||||||||||||
With CDSC*** | (13.98 | ) | (9.41 | ) | (1.90 | ) | (3.16 | ) | ||||||||||||
Without CDSC | (12.98 | ) | (8.41 | ) | (1.90 | ) | (3.16 | ) | ||||||||||||
CLASS I SHARES | June 29, 2012 | (12.78 | ) | (7.90 | ) | (1.20 | ) | (2.46 | ) | |||||||||||
CLASS R2 SHARES | June 29, 2012 | (13.00 | ) | (8.33 | ) | (1.69 | ) | (2.93 | ) | |||||||||||
CLASS R5 SHARES | June 29, 2012 | (12.74 | ) | (7.78 | ) | (1.01 | ) | (2.26 | ) | |||||||||||
CLASS R6 SHARES | June 29, 2012 | (12.69 | ) | (7.68 | ) | (0.95 | ) | (2.20 | ) |
* | 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(6/29/12 TO 4/30/20)
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. Forup-to-date,month-end performance information please call1-800-480-4111. Effective September 30, 2016, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund were managed using the current strategies.
The Fund commenced operations on June 29, 2012.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Emerging Markets Strategic Debt Fund, the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified and Emerging Markets Strategic Debt Composite Benchmark from June 29, 2012 to April 30, 2020. 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 J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified and the Emerging Markets Strategic Debt Composite Benchmark do not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of fund expenses, including sales charges if applicable. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds and
Eurobonds. The diversified index limits the exposure of some of the larger countries. The Emerging Markets Strategic Debt Composite Benchmark is comprised of unmanaged indices that include an equally weighted average of the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified, J.P. Morgan Government Bond Index-Emerging Markets(GBI-EM) Global Diversified and the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified. 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 applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
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 U.S. 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 FUNDS | APRIL 30, 2020 |
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JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — 65.4% |
| |||||||
Angola — 0.5% |
| |||||||
Republic of Angola | ||||||||
8.00%, 11/26/2029 (a) | 3,660 | 1,574 | ||||||
9.38%, 5/8/2048 (b) | 1,606 | 686 | ||||||
|
| |||||||
2,260 | ||||||||
|
| |||||||
Argentina — 0.9% |
| |||||||
Argentine Republic | ||||||||
6.88%, 4/22/2021 | 2,512 | 720 | ||||||
5.63%, 1/26/2022 | 2,350 | 646 | ||||||
6.63%, 7/6/2028 | 2,000 | 501 | ||||||
8.28%, 12/31/2033 | 2,821 | 991 | ||||||
7.13%, 7/6/2036 | 603 | 144 | ||||||
7.63%, 4/22/2046 | 2,798 | 685 | ||||||
6.88%, 1/11/2048 | 2,232 | 518 | ||||||
7.13%, 6/28/2117 | 182 | 42 | ||||||
|
| |||||||
4,247 | ||||||||
|
| |||||||
Armenia — 0.4% |
| |||||||
Republic of Armenia 3.95%, 9/26/2029 (a) | 1,890 | 1,758 | ||||||
|
| |||||||
Azerbaijan — 0.4% |
| |||||||
Republic of Azerbaijan | ||||||||
4.75%, 3/18/2024 (b) | 1,449 | 1,460 | ||||||
3.50%, 9/1/2032 (b) | 500 | 444 | ||||||
|
| |||||||
1,904 | ||||||||
|
| |||||||
Bahrain — 1.1% |
| |||||||
Kingdom of Bahrain | ||||||||
6.13%, 8/1/2023 (b) | 500 | 501 | ||||||
7.00%, 10/12/2028 (b) | 1,160 | 1,152 | ||||||
6.75%, 9/20/2029 (b) | 994 | 962 | ||||||
6.00%, 9/19/2044 (b) | 3,024 | 2,559 | ||||||
|
| |||||||
5,174 | ||||||||
|
| |||||||
Benin — 0.3% |
| |||||||
Benin Government Bond 5.75%, 3/26/2026 (a) | EUR 1,520 | 1,374 | ||||||
|
| |||||||
Bermuda — 0.1% |
| |||||||
Bermuda Government Bond 4.85%, 2/6/2024 (b) | 643 | 669 | ||||||
|
| |||||||
Bolivia, Plurinational State of — 0.3% |
| |||||||
Plurinational State of Bolivia 4.50%, 3/20/2028 (b) | 1,500 | 1,218 | ||||||
|
| |||||||
Brazil — 1.8% |
| |||||||
Federative Republic of Brazil | ||||||||
4.63%, 1/13/2028 | 389 | 403 | ||||||
4.50%, 5/30/2029 | 2,600 | 2,593 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Brazil — continued |
| |||||||
8.25%, 1/20/2034 | 1,043 | 1,274 | ||||||
5.63%, 1/7/2041 | 2,300 | 2,291 | ||||||
4.75%, 1/14/2050 | 2,150 | 1,922 | ||||||
|
| |||||||
8,483 | ||||||||
|
| |||||||
Chile — 1.0% |
| |||||||
Republic of Chile 3.50%, 1/25/2050 | 4,700 | 4,794 | ||||||
|
| |||||||
Colombia — 1.6% |
| |||||||
Republic of Colombia | ||||||||
7.38%, 9/18/2037 | 1,000 | 1,235 | ||||||
5.00%, 6/15/2045 | 3,741 | 3,760 | ||||||
5.20%, 5/15/2049 | 2,430 | 2,509 | ||||||
|
| |||||||
7,504 | ||||||||
|
| |||||||
Costa Rica — 0.1% |
| |||||||
Republic of Costa Rica 4.25%, 1/26/2023 (b) | 800 | 713 | ||||||
|
| |||||||
Czech Republic — 1.5% |
| |||||||
Czech Republic | ||||||||
1.25%, 2/14/2025 | CZK58,000 | 2,367 | ||||||
0.25%, 2/10/2027 | CZK66,890 | 2,550 | ||||||
1.20%, 3/13/2031 | CZK29,130 | 1,170 | ||||||
4.85%, 11/26/2057 (b) | CZK15,500 | 1,006 | ||||||
|
| |||||||
7,093 | ||||||||
|
| |||||||
Dominican Republic — 2.3% |
| |||||||
Dominican Republic Government Bond | ||||||||
8.90%, 2/15/2023 (b) | DOP19,350 | 306 | ||||||
5.88%, 4/18/2024 (b) | 1,200 | 1,156 | ||||||
9.75%, 6/5/2026 (a) | DOP 195,000 | 2,955 | ||||||
6.00%, 7/19/2028 (b) | 555 | 498 | ||||||
6.40%, 6/5/2049 (a) | 3,740 | 3,037 | ||||||
6.40%, 6/5/2049 (b) | 2,200 | 1,786 | ||||||
5.88%, 1/30/2060 (a) | 1,930 | 1,515 | ||||||
|
| |||||||
11,253 | ||||||||
|
| |||||||
Ecuador — 0.7% |
| |||||||
Republic of Ecuador | ||||||||
10.75%, 3/28/2022 (b) (c) | 1,536 | 480 | ||||||
8.75%, 6/2/2023 (b) (c) | 1,050 | 321 | ||||||
7.95%, 6/20/2024 (b) (c) | 200 | 62 | ||||||
9.63%, 6/2/2027 (b) (c) | 705 | 198 | ||||||
8.88%, 10/23/2027 (b) (c) | 2,400 | 670 | ||||||
10.75%, 1/31/2029 (a) (c) | 2,270 | 647 | ||||||
9.50%, 3/27/2030 (a) (c) | 2,569 | 745 | ||||||
|
| |||||||
3,123 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 5 |
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JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Egypt — 1.9% |
| |||||||
Arab Republic of Egypt | ||||||||
5.88%, 6/11/2025 (b) | 900 | 849 | ||||||
4.75%, 4/16/2026 (b) | EUR 677 | 627 | ||||||
7.50%, 1/31/2027 (b) | 3,400 | 3,290 | ||||||
7.05%, 1/15/2032 (a) | 2,990 | 2,642 | ||||||
8.50%, 1/31/2047 (b) | 1,033 | 920 | ||||||
8.15%, 11/20/2059 (a) | 1,000 | 866 | ||||||
|
| |||||||
9,194 | ||||||||
|
| |||||||
El Salvador — 0.8% |
| |||||||
Republic of El Salvador | ||||||||
7.75%, 1/24/2023 (b) | 970 | 834 | ||||||
5.88%, 1/30/2025 (b) | 720 | 576 | ||||||
8.63%, 2/28/2029 (b) | 1,020 | 865 | ||||||
8.25%, 4/10/2032 (b) | 558 | 456 | ||||||
7.65%, 6/15/2035 (b) | 917 | 726 | ||||||
7.12%, 1/20/2050 (b) | 428 | 323 | ||||||
|
| |||||||
3,780 | ||||||||
|
| |||||||
Ethiopia — 0.2% |
| |||||||
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (b) | 1,217 | 1,047 | ||||||
|
| |||||||
Gabon — 0.3% |
| |||||||
Gabonese Republic | ||||||||
6.38%, 12/12/2024 (b) | 359 | 257 | ||||||
6.95%, 6/16/2025 (b) | 802 | 569 | ||||||
6.63%, 2/6/2031 (a) | 700 | 492 | ||||||
|
| |||||||
1,318 | ||||||||
|
| |||||||
Ghana — 0.3% |
| |||||||
Republic of Ghana | ||||||||
7.88%, 3/26/2027 (a) | 750 | 589 | ||||||
10.75%, 10/14/2030 (b) | 570 | 593 | ||||||
8.63%, 6/16/2049 (b) | 600 | 453 | ||||||
|
| |||||||
1,635 | ||||||||
|
| |||||||
Guatemala — 0.7% |
| |||||||
Republic of Guatemala | ||||||||
4.50%, 5/3/2026 (b) | 884 | 879 | ||||||
4.90%, 6/1/2030 (a) | 430 | 429 | ||||||
5.38%, 4/24/2032 (a) | 650 | 661 | ||||||
6.13%, 6/1/2050 (a) | 1,300 | 1,350 | ||||||
|
| |||||||
3,319 | ||||||||
|
| |||||||
Honduras — 0.2% |
| |||||||
Republic of Honduras 6.25%, 1/19/2027 (b) | 1,095 | 1,030 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Hungary — 0.5% |
| |||||||
Hungary Government Bond | ||||||||
5.38%, 3/25/2024 | 980 | 1,094 | ||||||
7.63%, 3/29/2041 | 724 | 1,163 | ||||||
|
| |||||||
2,257 | ||||||||
|
| |||||||
Indonesia — 1.9% |
| |||||||
Republic of Indonesia | ||||||||
6.50%, 6/15/2025 | IDR 63,000,000 | 4,102 | ||||||
8.25%, 5/15/2029 | IDR 24,000,000 | 1,640 | ||||||
6.75%, 1/15/2044 (b) | 1,022 | 1,370 | ||||||
4.35%, 1/11/2048 | 700 | 721 | ||||||
3.70%, 10/30/2049 | 1,500 | 1,474 | ||||||
|
| |||||||
9,307 | ||||||||
|
| |||||||
Iraq — 0.3% |
| |||||||
Republic of Iraq 5.80%, 1/15/2028 (b) | 1,900 | 1,377 | ||||||
|
| |||||||
Israel — 0.3% |
| |||||||
State of Israel Government Bond | ||||||||
3.88%, 7/3/2050 | 970 | 1,073 | ||||||
4.50%, 4/3/2120 | 340 | 397 | ||||||
|
| |||||||
1,470 | ||||||||
|
| |||||||
Ivory Coast — 2.0% |
| |||||||
Republic of Cote d’Ivoire | ||||||||
6.13%, 6/15/2033 (b) | 6,539 | 5,627 | ||||||
6.88%, 10/17/2040 (a) | EUR4,570 | 4,157 | ||||||
|
| |||||||
9,784 | ||||||||
|
| |||||||
Jamaica — 1.0% |
| |||||||
Jamaica Government Bond | ||||||||
6.75%, 4/28/2028 | 1,800 | 1,799 | ||||||
8.00%, 3/15/2039 | 911 | 959 | ||||||
7.88%, 7/28/2045 | 1,805 | 1,892 | ||||||
|
| |||||||
4,650 | ||||||||
|
| |||||||
Kazakhstan — 0.3% |
| |||||||
Republic of Kazakhstan 4.88%, 10/14/2044 (b) | 1,350 | 1,531 | ||||||
|
| |||||||
Kenya — 0.6% |
| |||||||
Republic of Kenya | ||||||||
6.88%, 6/24/2024 (b) | 2,150 | 1,951 | ||||||
8.25%, 2/28/2048 (b) | 1,000 | 891 | ||||||
|
| |||||||
2,842 | ||||||||
|
| |||||||
Lebanon — 0.4% |
| |||||||
Lebanese Republic | ||||||||
6.38%, 3/9/2020 (c) | 3,165 | 475 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Lebanon — continued |
| |||||||
6.15%, 6/19/2020 (c) | 1,450 | 228 | ||||||
6.85%, 3/23/2027 (b) (c) | 2,977 | 473 | ||||||
6.65%, 11/3/2028 (b) (c) | 3,378 | 532 | ||||||
6.65%, 2/26/2030 (b) (c) | 708 | 111 | ||||||
|
| |||||||
1,819 | ||||||||
|
| |||||||
Macedonia, the Former Yugoslav Republic of — 0.5% |
| |||||||
Republic of North Macedonia | ||||||||
2.75%, 1/18/2025 (b) | EUR2,000 | 2,128 | ||||||
2.75%, 1/18/2025 (a) | EUR432 | 460 | ||||||
|
| |||||||
2,588 | ||||||||
|
| |||||||
Malaysia — 0.4% |
| |||||||
1MDB Global Investments Ltd. 4.40%, 3/9/2023 (b) | 2,400 | 2,122 | ||||||
|
| |||||||
Mexico — 3.1% |
| |||||||
Mex Bonos Desarr Fix Rt 10.00%, 12/5/2024 | MXN 150,000 | 7,339 | ||||||
United Mexican States | ||||||||
4.15%, 3/28/2027 | 1,000 | 1,004 | ||||||
4.50%, 4/22/2029 | 2,850 | 2,864 | ||||||
4.75%, 3/8/2044 | 600 | 558 | ||||||
5.55%, 1/21/2045 | 790 | 822 | ||||||
4.60%, 1/23/2046 | 1,000 | 908 | ||||||
4.60%, 2/10/2048 | 1,000 | 912 | ||||||
5.75%, 10/12/2110 | 400 | 381 | ||||||
|
| |||||||
14,788 | ||||||||
|
| |||||||
Montenegro — 0.3% |
| |||||||
Republic of Montenegro 3.38%, 4/21/2025 (a) | EUR1,440 | 1,544 | ||||||
|
| |||||||
Morocco — 1.0% |
| |||||||
Kingdom of Morocco | ||||||||
1.50%, 11/27/2031 (a) | EUR4,190 | 4,132 | ||||||
5.50%, 12/11/2042 (b) | 800 | 906 | ||||||
|
| |||||||
5,038 | ||||||||
|
| |||||||
Mozambique — 0.1% |
| |||||||
Republic of Mozambique 5.00%, 9/15/2031 (a) (d) | 700 | 472 | ||||||
|
| |||||||
Namibia — 0.2% |
| |||||||
Republic of Namibia | ||||||||
5.50%, 11/3/2021 (b) | 299 | 289 | ||||||
5.25%, 10/29/2025 (b) | 701 | 635 | ||||||
|
| |||||||
924 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Nigeria — 1.3% |
| |||||||
Federal Republic of Nigeria | ||||||||
6.50%, 11/28/2027 (b) | 1,000 | 753 | ||||||
7.14%, 2/23/2030 (b) | 300 | 226 | ||||||
7.88%, 2/16/2032 (b) | 1,964 | 1,489 | ||||||
7.63%, 11/28/2047 (b) | 5,450 | 3,984 | ||||||
|
| |||||||
6,452 | ||||||||
|
| |||||||
Oman — 1.7% |
| |||||||
Sultanate of Oman Government Bond | ||||||||
4.75%, 6/15/2026 (b) | 3,650 | 2,772 | ||||||
5.38%, 3/8/2027 (b) | 4,494 | 3,411 | ||||||
6.00%, 8/1/2029 (b) | 209 | 159 | ||||||
6.75%, 1/17/2048 (b) | 2,722 | 1,909 | ||||||
|
| |||||||
8,251 | ||||||||
|
| |||||||
Panama — 2.4% |
| |||||||
Notas del Tesoro 3.75%, 4/17/2026 (a) | 2,590 | 2,567 | ||||||
Republic of Panama | ||||||||
3.88%, 3/17/2028 | 1,300 | 1,402 | ||||||
9.38%, 4/1/2029 | 400 | 561 | ||||||
4.30%, 4/29/2053 | 650 | 714 | ||||||
4.50%, 4/1/2056 | 2,230 | 2,509 | ||||||
3.87%, 7/23/2060 | 3,500 | 3,640 | ||||||
|
| |||||||
11,393 | ||||||||
|
| |||||||
Paraguay — 0.9% |
| |||||||
Republic of Paraguay | ||||||||
4.70%, 3/27/2027 (b) | 750 | 771 | ||||||
4.95%, 4/28/2031 (a) | 1,050 | 1,076 | ||||||
6.10%, 8/11/2044 (b) | 1,368 | 1,493 | ||||||
5.60%, 3/13/2048 (b) | 985 | 1,039 | ||||||
|
| |||||||
4,379 | ||||||||
|
| |||||||
Peru — 2.6% |
| |||||||
Republic of Peru | ||||||||
2.39%, 1/23/2026 | 780 | 792 | ||||||
5.94%, 2/12/2029 (a) | PEN670 | 223 | ||||||
2.78%, 1/23/2031 | 2,020 | 2,080 | ||||||
8.75%, 11/21/2033 | 500 | 788 | ||||||
5.63%, 11/18/2050 | 5,900 | 8,771 | ||||||
|
| |||||||
12,654 | ||||||||
|
| |||||||
Philippines — 2.1% |
| |||||||
Republic of Philippines | ||||||||
0.88%, 5/17/2027 | EUR 1,180 | 1,210 | ||||||
2.46%, 5/5/2030 | 2,610 | 2,656 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 7 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Philippines — continued |
| |||||||
7.75%, 1/14/2031 | 2,000 | 2,928 | ||||||
3.70%, 2/2/2042 | 550 | 634 | ||||||
2.95%, 5/5/2045 | 2,450 | 2,517 | ||||||
|
| |||||||
9,945 | ||||||||
|
| |||||||
Poland — 0.8% |
| |||||||
Republic of Poland 2.75%, 4/25/2028 | PLN14,500 | 3,859 | ||||||
|
| |||||||
Qatar — 2.5% |
| |||||||
State of Qatar | ||||||||
3.75%, 4/16/2030 (a) | 1,240 | 1,356 | ||||||
4.63%, 6/2/2046 (b) | 3,250 | 3,829 | ||||||
4.82%, 3/14/2049 (b) | 2,550 | 3,068 | ||||||
4.82%, 3/14/2049 (a) | 1,545 | 1,859 | ||||||
4.40%, 4/16/2050 (a) | 1,620 | 1,841 | ||||||
|
| |||||||
11,953 | ||||||||
|
| |||||||
Romania — 1.2% |
| |||||||
Romania Government Bond | ||||||||
2.00%, 1/28/2032 (a) | EUR1,890 | 1,761 | ||||||
4.63%, 4/3/2049 (b) | EUR1,889 | 2,080 | ||||||
4.63%, 4/3/2049 (a) | EUR1,550 | 1,707 | ||||||
|
| |||||||
5,548 | ||||||||
|
| |||||||
Russia — 3.1% |
| |||||||
Russian Federation | ||||||||
5.10%, 3/28/2035 (b) | 1,800 | 2,111 | ||||||
5.88%, 9/16/2043 (b) | 5,000 | 6,569 | ||||||
5.25%, 6/23/2047 (b) | 5,000 | 6,208 | ||||||
|
| |||||||
14,888 | ||||||||
|
| |||||||
Saudi Arabia — 1.2% |
| |||||||
Kingdom of Saudi Arabia | ||||||||
0.75%, 7/9/2027 (a) | EUR1,990 | 2,063 | ||||||
3.63%, 3/4/2028 (b) | 800 | 839 | ||||||
2.00%, 7/9/2039 (a) | EUR1,040 | 1,040 | ||||||
4.50%, 10/26/2046 (b) | 1,460 | 1,515 | ||||||
5.00%, 4/17/2049 (b) | 400 | 442 | ||||||
|
| |||||||
5,899 | ||||||||
|
| |||||||
Senegal — 0.1% |
| |||||||
Republic of Senegal 6.25%, 7/30/2024 (b) | 600 | 559 | ||||||
|
| |||||||
Serbia — 2.2% |
| |||||||
Republic of Serbia | ||||||||
4.50%, 1/11/2026 | RSD 439,890 | 4,416 | ||||||
5.88%, 2/8/2028 | RSD 270,000 | 2,964 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Serbia — continued |
| |||||||
1.50%, 6/26/2029 (a) | EUR3,230 | 3,044 | ||||||
|
| |||||||
10,424 | ||||||||
|
| |||||||
South Africa — 1.2% |
| |||||||
Republic of South Africa | ||||||||
4.67%, 1/17/2024 | 950 | 939 | ||||||
4.30%, 10/12/2028 | 2,199 | 1,842 | ||||||
4.85%, 9/30/2029 | 1,630 | 1,398 | ||||||
6.25%, 3/8/2041 | 1,200 | 1,052 | ||||||
5.00%, 10/12/2046 | 400 | 299 | ||||||
5.75%, 9/30/2049 | 500 | 389 | ||||||
|
| |||||||
5,919 | ||||||||
|
| |||||||
Sri Lanka — 1.7% |
| |||||||
Democratic Socialist Republic of Sri Lanka | ||||||||
6.25%, 10/4/2020 (b) | 650 | 570 | ||||||
6.25%, 7/27/2021 (b) | 1,468 | 1,018 | ||||||
5.75%, 4/18/2023 (b) | 1,500 | 876 | ||||||
6.35%, 6/28/2024 (a) | 720 | 425 | ||||||
6.85%, 11/3/2025 (b) | 2,200 | 1,256 | ||||||
6.20%, 5/11/2027 (b) | 600 | 341 | ||||||
6.75%, 4/18/2028 (b) | 5,558 | 3,078 | ||||||
7.85%, 3/14/2029 (b) | 1,460 | 821 | ||||||
|
| |||||||
8,385 | ||||||||
|
| |||||||
Thailand — 0.9% |
| |||||||
Kingdom of Thailand 1.60%, 6/17/2035 | THB 131,000 | 4,161 | ||||||
|
| |||||||
Turkey — 2.5% |
| |||||||
Republic of Turkey | ||||||||
5.75%, 3/22/2024 | 1,600 | 1,544 | ||||||
5.20%, 2/16/2026 | EUR1,130 | 1,180 | ||||||
4.88%, 10/9/2026 | 2,000 | 1,759 | ||||||
5.13%, 2/17/2028 | 1,550 | 1,349 | ||||||
7.63%, 4/26/2029 | 2,000 | 1,970 | ||||||
4.88%, 4/16/2043 | 5,237 | 3,803 | ||||||
Turkiye Ihracat Kredi Bankasi A/S 8.25%, 1/24/2024 (a) | 340 | 348 | ||||||
|
| |||||||
11,953 | ||||||||
|
| |||||||
Ukraine — 3.8% |
| |||||||
Ukraine Government Bond |
| |||||||
Zero Coupon, 5/6/2020 (b) | UAH48,500 | 1,663 | ||||||
14.64%, 6/10/2020 (b) | UAH6,867 | 247 | ||||||
7.75%, 9/1/2020 (b) | 1,400 | 1,363 | ||||||
17.25%, 9/30/2020 (b) | UAH28,687 | 1,068 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Foreign Government Securities — continued |
| |||||||
Ukraine — continued |
| |||||||
7.75%, 9/1/2021 (b) | 900 | 864 | ||||||
7.75%, 9/1/2022 (b) | 1,289 | 1,225 | ||||||
7.75%, 9/1/2023 (b) | 2,350 | 2,227 | ||||||
7.75%, 9/1/2024 (b) | 1,150 | 1,087 | ||||||
15.84%, 2/26/2025 (b) | UAH 88,180 | 3,423 | ||||||
7.75%, 9/1/2025 (b) | 2,800 | 2,615 | ||||||
7.75%, 9/1/2026 (b) | 1,300 | 1,206 | ||||||
0.00%, 5/31/2040 (b) (e) | 1,756 | 1,287 | ||||||
|
| |||||||
18,275 | ||||||||
|
| |||||||
United Arab Emirates — 0.6% |
| |||||||
United Arab Emirates Government Bond 4.13%, 10/11/2047 (b) | 2,550 | 2,870 | ||||||
|
| |||||||
Uruguay — 1.5% |
| |||||||
Oriental Republic of Uruguay | ||||||||
7.88%, 1/15/2033 | 2,400 | 3,345 | ||||||
5.10%, 6/18/2050 | 1,488 | 1,688 | ||||||
4.98%, 4/20/2055 | 1,960 | 2,221 | ||||||
|
| |||||||
7,254 | ||||||||
|
| |||||||
Uzbekistan — 0.2% |
| |||||||
Republic of Uzbekistan 4.75%, 2/20/2024 (b) | 1,000 | 1,004 | ||||||
|
| |||||||
Venezuela, Bolivarian Republic of — 0.1% |
| |||||||
Bolivarian Republic of Venezuela | ||||||||
7.75%, 10/13/2019 (b) (c) | 91 | 8 | ||||||
12.75%, 8/23/2022 (b) (c) | 1,470 | 125 | ||||||
9.25%, 5/7/2028 (b) (c) | 2,130 | 181 | ||||||
|
| |||||||
314 | ||||||||
|
| |||||||
Vietnam — 0.3% |
| |||||||
Socialist Republic of Vietnam 4.80%, 11/19/2024 (b) | 1,200 | 1,238 | ||||||
|
| |||||||
Zambia — 0.2% |
| |||||||
Republic of Zambia 8.97%, 7/30/2027 (b) | 2,745 | 884 | ||||||
|
| |||||||
Total Foreign Government Securities | 313,864 | |||||||
|
| |||||||
Corporate Bonds — 22.7% |
| |||||||
Argentina — 0.0% (f) |
| |||||||
YPF SA | ||||||||
8.75%, 4/4/2024 (b) | 101 | 53 | ||||||
8.50%, 6/27/2029 (a) | 380 | 174 | ||||||
|
| |||||||
227 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Azerbaijan — 0.3% |
| |||||||
State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030 (b) | 1,400 | 1,465 | ||||||
|
| |||||||
Bahrain — 0.4% |
| |||||||
Batelco International Finance No. 1 Ltd. 4.25%, 5/1/2020 (b) | 520 | 521 | ||||||
Oil and Gas Holding Co. BSCC (The) | ||||||||
7.63%, 11/7/2024 (a) | 500 | 482 | ||||||
8.38%, 11/7/2028 (a) | 1,100 | 1,067 | ||||||
|
| |||||||
2,070 | ||||||||
|
| |||||||
Belarus — 0.4% |
| |||||||
Development Bank of the Republic of Belarus JSC 6.75%, 5/2/2024 (a) | 1,870 | 1,720 | ||||||
|
| |||||||
Brazil — 0.9% |
| |||||||
Banco do Brasil SA 4.63%, 1/15/2025 (b) | 200 | 194 | ||||||
Cemig Geracao e Transmissao SA 9.25%, 12/5/2024 (a) | 1,100 | 1,146 | ||||||
GUSAP III LP 4.25%, 1/21/2030 (a) | 230 | 209 | ||||||
Klabin Austria GmbH 7.00%, 4/3/2049 (b) | 200 | 197 | ||||||
MV24 Capital BV 6.75%, 6/1/2034 (a) | 355 | 300 | ||||||
Petrobras Global Finance BV 6.90%, 3/19/2049 | 1,702 | 1,634 | ||||||
Prumo Participacoes e Investimentos S/A 7.50%, 12/31/2031 (a) | 461 | 393 | ||||||
|
| |||||||
4,073 | ||||||||
|
| |||||||
Cayman Islands — 0.6% |
| |||||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (a) | 4,310 | 2,657 | ||||||
|
| |||||||
Chile — 0.9% |
| |||||||
Corp. Nacional del Cobre de Chile | ||||||||
3.63%, 8/1/2027 (b) | 266 | 267 | ||||||
3.70%, 1/30/2050 (a) | 500 | 453 | ||||||
Empresa de Transporte de Pasajeros Metro SA 5.00%, 1/25/2047 (b) | 400 | 419 | ||||||
Empresa Electrica Cochrane SpA 5.50%, 5/14/2027 (a) | 220 | 212 | ||||||
Empresa Nacional del Petroleo | ||||||||
3.75%, 8/5/2026 (b) | 700 | 674 | ||||||
5.25%, 11/6/2029 (a) | 1,750 | 1,830 | ||||||
4.50%, 9/14/2047 (b) | 400 | 360 | ||||||
Kenbourne Invest SA 6.88%, 11/26/2024 (a) | 260 | 242 | ||||||
|
| |||||||
4,457 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 9 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued | ||||||||
China — 1.5% |
| |||||||
Agile Group Holdings Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 11.25%), 8.38%, 12/4/2023 (b) (g) (h) (i) | 210 | 195 | ||||||
Avi Funding Co. Ltd. 3.80%, 9/16/2025 (b) | 900 | 987 | ||||||
CDBL Funding 1 4.25%, 12/2/2024 (b) | 452 | 492 | ||||||
Chinalco Capital Holdings Ltd. 4.00%, 8/25/2021 (b) | 1,100 | 1,086 | ||||||
CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027 (b) | 400 | 412 | ||||||
GCL New Energy Holdings Ltd. 7.10%, 1/30/2021 (b) | 200 | 130 | ||||||
Hong Kong Red Star Macalline Universal Home Furnishings Ltd. 3.38%, 9/21/2022 (b) | 200 | 177 | ||||||
Hongkong International Qingdao Co. Ltd. 4.25%, 12/4/2022 (b) | 220 | 222 | ||||||
Minmetals Bounteous Finance BVI Ltd. 4.20%, 7/27/2026 (b) | 1,000 | 1,077 | ||||||
Redsun Properties Group Ltd. 9.95%, 4/11/2022 (b) | 200 | 184 | ||||||
Sinopec Group Overseas Development 2013 Ltd. 5.38%, 10/17/2043 (b) | 672 | 900 | ||||||
Three Gorges Finance I Cayman Islands Ltd. 3.70%, 6/10/2025 (b) | 800 | 864 | ||||||
Yango Justice International Ltd. 10.25%, 3/18/2022 (b) | 380 | 372 | ||||||
|
| |||||||
7,098 | ||||||||
|
| |||||||
Colombia — 0.7% |
| |||||||
Bancolombia SA | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.93%), 4.88%, 10/18/2027 (h) | 290 | 257 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.94%), 4.62%, 12/18/2029 (h) | 400 | 345 | ||||||
Ecopetrol SA 5.88%, 5/28/2045 | 1,220 | 1,074 | ||||||
Empresas Publicas de Medellin ESP 4.25%, 7/18/2029 (a) | 1,520 | 1,427 | ||||||
Geopark Ltd. 6.50%, 9/21/2024 (a) | 250 | 178 | ||||||
Termocandelaria Power Ltd. 7.88%, 1/30/2029 (b) | 230 | 222 | ||||||
|
| |||||||
3,503 | ||||||||
|
| |||||||
Congo, Democratic Republic of the — 0.1% |
| |||||||
HTA Group Ltd. 9.13%, 3/8/2022 (b) | 350 | 338 | ||||||
|
| |||||||
Costa Rica — 0.2% |
| |||||||
Instituto Costarricense de Electricidad | ||||||||
6.95%, 11/10/2021 (b) | 600 | 550 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Costa Rica — continued |
| |||||||
6.38%, 5/15/2043 (b) | 500 | 315 | ||||||
|
| |||||||
865 | ||||||||
|
| |||||||
Ecuador — 0.1% |
| |||||||
Petroamazonas EP 4.63%, 11/6/2020 (a) (c) | 1,155 | 525 | ||||||
|
| |||||||
El Salvador — 0.1% |
| |||||||
AES El Salvador Trust II 6.75%, 3/28/2023 (b) | 400 | 336 | ||||||
|
| |||||||
Georgia — 0.3% |
| |||||||
Georgian Railway JSC 7.75%, 7/11/2022 (b) | 1,100 | 1,045 | ||||||
TBC Bank JSC 5.75%, 6/19/2024 (a) | 350 | 315 | ||||||
|
| |||||||
1,360 | ||||||||
|
| |||||||
Guatemala — 0.1% |
| |||||||
Energuate Trust 5.88%, 5/3/2027 (b) | 400 | 370 | ||||||
|
| |||||||
Hong Kong — 0.3% |
| |||||||
King Power Capital Ltd. 5.63%, 11/3/2024 (b) | 900 | 1,013 | ||||||
Metropolitan Light Co. Ltd. 5.50%, 11/21/2022 (a) | 286 | 285 | ||||||
Sun Hung Kai Properties Capital Market Ltd. 3.75%, 2/25/2029 (b) | 200 | 218 | ||||||
|
| |||||||
1,516 | ||||||||
|
| |||||||
Hungary — 0.2% |
| |||||||
MFB Magyar Fejlesztesi Bank Zrt. 6.25%, 10/21/2020 (b) | 1,000 | 1,023 | ||||||
|
| |||||||
India — 0.2% |
| |||||||
Azure Power Solar Energy Pvt Ltd. 5.65%, 12/24/2024 (b) | 200 | 184 | ||||||
Bharat Petroleum Corp. Ltd. 4.63%, 10/25/2022 (b) | 350 | 346 | ||||||
Greenko Dutch BV 5.25%, 7/24/2024 (a) | 300 | 264 | ||||||
Vedanta Resources Ltd. 6.38%, 7/30/2022 (b) | 360 | 132 | ||||||
|
| |||||||
926 | ||||||||
|
| |||||||
Indonesia — 2.4% |
| |||||||
Bank Mandiri Persero Tbk. PT 3.75%, 4/11/2024 (b) | 200 | 193 | ||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
5.71%, 11/15/2023 (b) | 850 | 872 | ||||||
6.53%, 11/15/2028 (a) | 1,352 | 1,453 | ||||||
6.76%, 11/15/2048 (b) | 2,350 | 2,538 | ||||||
6.76%, 11/15/2048 (a) | 1,538 | 1,661 | ||||||
Medco Platinum Road Pte. Ltd. 6.75%, 1/30/2025 (b) | 200 | 124 | ||||||
Pertamina Persero PT | ||||||||
5.63%, 5/20/2043 (b) | 820 | 834 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued | ||||||||
Indonesia — continued |
| |||||||
6.50%, 11/7/2048 (b) | 300 | 336 | ||||||
4.70%, 7/30/2049 (b) | 388 | 358 | ||||||
Perusahaan Listrik Negara PT | ||||||||
4.13%, 5/15/2027 (b) | 600 | 596 | ||||||
3.88%, 7/17/2029 (a) | 880 | 855 | ||||||
5.25%, 5/15/2047 (b) | 700 | 704 | ||||||
4.88%, 7/17/2049 (a) | 678 | 652 | ||||||
SSMS Plantation Holdings Pte. Ltd. 7.75%, 1/23/2023 (b) | 300 | 175 | ||||||
|
| |||||||
11,351 | ||||||||
|
| |||||||
Israel — 0.1% |
| |||||||
Bank Leumi Le-Israel BM (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.63%), 3.27%, 1/29/2031 (b) (h) | 400 | 369 | ||||||
|
| |||||||
Kazakhstan — 1.4% |
| |||||||
Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042 (b) | 586 | 675 | ||||||
KazMunayGas National Co. JSC | ||||||||
4.75%, 4/19/2027 (b) | 2,200 | 2,129 | ||||||
5.75%, 4/19/2047 (b) | 2,498 | 2,485 | ||||||
KazTransGas JSC 4.38%, 9/26/2027 (b) | 1,450 | 1,373 | ||||||
|
| |||||||
6,662 | ||||||||
|
| |||||||
Kuwait — 0.0% (f) |
| |||||||
NBK Tier 1 Financing 2 Ltd. (USD Swap Semi 6 Year + 2.83%), 4.50%, 11/27/2025 (b) (g) (h) (i) | 200 | 183 | ||||||
|
| |||||||
Malaysia — 0.7% |
| |||||||
Gohl Capital Ltd. 4.25%, 1/24/2027 (b) | 350 | 326 | ||||||
Petronas Capital Ltd. | ||||||||
3.50%, 4/21/2030 (a) | 980 | 1,026 | ||||||
4.50%, 3/18/2045 (b) | 1,150 | 1,250 | ||||||
4.55%, 4/21/2050 (a) | 890 | 969 | ||||||
|
| |||||||
3,571 | ||||||||
|
| |||||||
Mexico — 2.5% |
| |||||||
Alfa SAB de CV | ||||||||
5.25%, 3/25/2024 (b) | 200 | 199 | ||||||
6.88%, 3/25/2044 (b) | 200 | 199 | ||||||
Banco Nacional de Comercio Exterior SNC | ||||||||
4.38%, 10/14/2025 (b) | 500 | 494 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.80%, 8/11/2026 (b) (h) | 500 | 478 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Mexico — continued |
| |||||||
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (b) (h) | 220 | 188 | ||||||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 200 | 192 | ||||||
Mexico Generadora de Energia S de rl 5.50%, 12/6/2032 (b) | 328 | 323 | ||||||
Orbia Advance Corp. SAB de CV 5.88%, 9/17/2044 (b) | 200 | 192 | ||||||
Petroleos Mexicanos | ||||||||
(ICE LIBOR USD 3 Month + 3.65%), 4.42%, 3/11/2022 (h) | 1,349 | 1,207 | ||||||
5.38%, 3/13/2022 | 1,300 | 1,229 | ||||||
3.50%, 1/30/2023 | 500 | 440 | ||||||
6.49%, 1/23/2027 (a) | 903 | 730 | ||||||
6.75%, 9/21/2047 | 831 | 574 | ||||||
7.69%, 1/23/2050 (b) | 3,820 | 2,808 | ||||||
7.69%, 1/23/2050 (a) | 1,032 | 758 | ||||||
6.95%, 1/28/2060 (a) | 2,509 | 1,756 | ||||||
|
| |||||||
11,767 | ||||||||
|
| |||||||
Mongolia — 0.7% |
| |||||||
Trade & Development Bank of Mongolia LLC 9.38%, 5/19/2020 (b) | 3,500 | 3,465 | ||||||
|
| |||||||
Morocco — 1.3% |
| |||||||
OCP SA 6.88%, 4/25/2044 (b) | 5,440 | 6,467 | ||||||
|
| |||||||
Norway — 0.1% |
| |||||||
DNO ASA 8.75%, 5/31/2023 (b) | 400 | 256 | ||||||
|
| |||||||
Panama — 0.4% |
| |||||||
Aeropuerto Internacional de Tocumen SA 6.00%, 11/18/2048 (b) | 700 | 712 | ||||||
Cable Onda SA 4.50%, 1/30/2030 (a) | 200 | 190 | ||||||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (a) | 850 | 864 | ||||||
|
| |||||||
1,766 | ||||||||
|
| |||||||
Paraguay — 0.1% |
| |||||||
Telefonica Celular del Paraguay SA 5.88%, 4/15/2027 (a) | 310 | 298 | ||||||
|
| |||||||
Peru — 1.3% |
| |||||||
Corp. Financiera de Desarrollo SA 4.75%, 7/15/2025 (b) | 1,300 | 1,358 | ||||||
Fondo MIVIVIENDA SA 3.50%, 1/31/2023 (b) | 1,300 | 1,303 | ||||||
Lima Metro Line 2 Finance Ltd. 4.35%, 4/5/2036 (a) | 1,410 | 1,435 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 11 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued | ||||||||
Peru — continued |
| |||||||
Peru LNG Srl 5.38%, 3/22/2030 (b) | 200 | 111 | ||||||
Petroleos del Peru SA 4.75%, 6/19/2032 (b) | 1,850 | 1,804 | ||||||
Southern Copper Corp. 5.88%, 4/23/2045 | 70 | 79 | ||||||
|
| |||||||
6,090 | ||||||||
|
| |||||||
Philippines — 0.1% |
| |||||||
Philippine National Bank 3.28%, 9/27/2024 (b) | 210 | 205 | ||||||
Rizal Commercial Banking Corp. | ||||||||
4.13%, 3/16/2023 (b) | 280 | 281 | ||||||
3.00%, 9/11/2024 (b) | 220 | 210 | ||||||
|
| |||||||
696 | ||||||||
|
| |||||||
Qatar — 0.0% (f) |
| |||||||
AKCB Finance Ltd. 4.75%, 10/9/2023 (b) | 200 | 210 | ||||||
|
| |||||||
Russia — 0.1% |
| |||||||
Sovcombank (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.43%), 8.00%, 4/7/2030 (a) (h) | 300 | 291 | ||||||
|
| |||||||
Saudi Arabia — 0.4% |
| |||||||
Saudi Arabian Oil Co. 3.50%, 4/16/2029 (b) | 2,050 | 2,063 | ||||||
|
| |||||||
Singapore — 0.0% (f) |
| |||||||
Olam International Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.29%), 5.35%, 7/20/2021 (b) (g) (h) (i) | 200 | 176 | ||||||
|
| |||||||
South Africa — 1.0% |
| |||||||
Eskom Holdings SOC Ltd. | ||||||||
5.75%, 1/26/2021 (b) | 800 | 714 | ||||||
6.75%, 8/6/2023 (b) | 2,350 | 1,739 | ||||||
7.13%, 2/11/2025 (b) | 210 | 152 | ||||||
8.45%, 8/10/2028 (b) | 1,085 | 765 | ||||||
Liquid Telecommunications Financing plc 8.50%, 7/13/2022 (a) | 200 | 169 | ||||||
Sasol Financing USA LLC 6.50%, 9/27/2028 | 360 | 236 | ||||||
Standard Bank Group Ltd. (USD ICE Swap Rate 5 Year + 3.75%), 5.95%, 5/31/2029 (b) (h) | 270 | 253 | ||||||
Transnet SOC Ltd. 4.00%, 7/26/2022 (b) | 600 | 548 | ||||||
|
| |||||||
4,576 | ||||||||
|
| |||||||
South Korea — 0.3% |
| |||||||
Heungkuk Life Insurance Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/9/2022 (b) (g) (h) (i) | 1,330 | 1,197 | ||||||
Woori Bank (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.25%, 10/4/2024 (a) (g) (h) (i) | 320 | 301 | ||||||
|
| |||||||
1,498 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Spain — 0.1% |
| |||||||
Ajecorp BV 6.50%, 5/14/2022 (b) | 190 | 161 | ||||||
International Airport Finance SA 12.00%, 3/15/2033 (a) | 250 | 155 | ||||||
|
| |||||||
316 | ||||||||
|
| |||||||
Thailand — 0.2% |
| |||||||
Kasikornbank PCL (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.34%, 10/2/2031 (b) (h) | 400 | 354 | ||||||
Thaioil Treasury Center Co. Ltd. 4.63%, 11/20/2028 (b) | 590 | 591 | ||||||
|
| |||||||
945 | ||||||||
|
| |||||||
Trinidad and Tobago — 0.4% |
| |||||||
Trinidad Petroleum Holdings Ltd. 9.75%, 6/15/2026 (a) | 2,200 | 1,973 | ||||||
|
| |||||||
Turkey — 0.1% |
| |||||||
Mersin Uluslararasi Liman Isletmeciligi A/S 5.38%, 11/15/2024 (a) | 241 | 238 | ||||||
Ronesans Gayrimenkul Yatirim A/S 7.25%, 4/26/2023 (a) | 281 | 237 | ||||||
Turkiye Sinai Kalkinma Bankasi A/S 6.00%, 1/23/2025 (a) | 200 | 184 | ||||||
|
| |||||||
659 | ||||||||
|
| |||||||
Ukraine — 0.1% |
| |||||||
Metinvest BV 8.50%, 4/23/2026 (b) | 350 | 234 | ||||||
State Savings Bank of Ukraine 9.63%, 3/20/2025 (b) (d) | 300 | 283 | ||||||
|
| |||||||
517 | ||||||||
|
| |||||||
United Arab Emirates — 1.5% |
| |||||||
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (b) | 1,050 | 1,124 | ||||||
DP World plc 5.63%, 9/25/2048 (b) | 200 | 191 | ||||||
EA Partners I BV 6.88%, 9/28/2020 (b) (c) | 2,751 | 880 | ||||||
EA Partners II BV 6.75%, 6/1/2021 (b) (c) | 1,076 | 355 | ||||||
MAF Global Securities Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.54%), 6.37%, 3/20/2026 (b) (g) (h) (i) | 340 | 256 | ||||||
MDGH — GMTN BV | ||||||||
3.75%, 4/19/2029 (b) | 861 | 920 | ||||||
2.88%, 11/7/2029 (a) | 1,450 | 1,453 | ||||||
3.70%, 11/7/2049 (a) | 2,200 | 2,134 | ||||||
|
| |||||||
7,313 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
Corporate Bonds — continued | ||||||||
United Kingdom — 0.1% |
| |||||||
CK Hutchison Capital Securities 17 Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.07%), 4.00%, 5/12/2022 (b) (g) (h) (i) | 400 | 378 | ||||||
|
| |||||||
United States — 0.0% (f) |
| |||||||
Rutas 2 and 7 Finance Ltd. Zero Coupon, 9/30/2036 (a) | 300 | 184 | ||||||
|
| |||||||
Venezuela, Bolivarian Republic of — 0.0% (f) |
| |||||||
Petroleos de Venezuela SA | ||||||||
8.50%, 10/27/2020 (b) (c) | 624 | 94 | ||||||
9.00%, 11/17/2021 (b) (c) | 1,240 | 46 | ||||||
12.75%, 2/17/2022 (b) (c) | 770 | 29 | ||||||
5.38%, 4/12/2027 (b) (c) | 730 | 27 | ||||||
|
| |||||||
196 | ||||||||
|
| |||||||
Total Corporate Bonds | 108,765 | |||||||
|
| |||||||
U.S. Government Agency Securities — 0.5% |
| |||||||
Israel — 0.5% |
| |||||||
Israel Government AID Bond 4.50%, 1/30/2043 (Cost $2,137) | 1,900 | 2,289 | ||||||
|
| |||||||
Options Purchased — 0.3% |
| |||||||
Call Options Purchased — 0.1% |
| |||||||
European Union — 0.0% (f) | ||||||||
Foreign Exchange EUR/ILS 9/9/2020 at EUR 3.90, Vanilla, European Style Notional Amount: EUR 10,451 Counterparty: Goldman Sachs International* | EUR 10,451,000 | 162 | ||||||
|
| |||||||
United States — 0.1% |
| |||||||
Foreign Exchange USD/ILS 9/9/2020 at USD 3.50, Vanilla, European Style Notional Amount: USD 11,499 Counterparty: Goldman Sachs International* | 11,498,500 | 181 | ||||||
|
| |||||||
Total Call Options Purchased | 343 | |||||||
|
| |||||||
Put Options Purchased — 0.2% |
| |||||||
United States — 0.2% |
| |||||||
Foreign Exchange USD/JPY 8/14/2020 at USD 108.00, Vanilla, European Style Notional Amount: USD 38,409 Counterparty: Citibank, NA* | 38,409,375 | 814 |
INVESTMENTS | PRINCIPAL AMOUNT (000) | VALUE (000) | ||||||
United States — continued |
| |||||||
Foreign Exchange USD/JPY 8/14/2020 at USD 102.00, Vanilla, European Style Notional Amount: USD 38,390 Counterparty: Citibank, NA* | 38,390,000 | 217 | ||||||
|
| |||||||
Total Put Options Purchased | 1,031 | |||||||
|
| |||||||
Total Options Purchased | 1,374 | |||||||
|
| |||||||
Supranational — 0.1% |
| |||||||
Supranational — 0.1% |
| |||||||
Africa Finance Corp. 4.38%, 4/17/2026 (a) | 270 | 270 | ||||||
African Export-Import Bank (The) 4.13%, 6/20/2024 (b) | 200 | 196 | ||||||
|
| |||||||
Total Supranational | 466 | |||||||
|
| |||||||
Shares (000) | ||||||||
Short-Term Investments — 7.9% |
| |||||||
Investment Companies — 7.9% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (j) (k) | 37,983 | 38,013 | ||||||
|
| |||||||
Total Investments — 96.9% | 464,771 | |||||||
Other Assets Less Liabilities — 3.1% | 14,817 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 479,588 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 13 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
Abbreviations
CZK | Czech Republic Koruna | |
DOP | Dominican Republic Peso | |
EUR | Euro | |
GMTN | Global medium term note | |
ICE | Intercontinental Exchange | |
IDR | Indonesian Rupiah | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
JSC | Joint Stock Company | |
LIBOR | London Interbank Offered Rate | |
MXN | Mexican Peso | |
PEN | Peruvian Nuevo Sol | |
PLN | Polish Zloty | |
PT | Limited liability company | |
RSD | Serbian dinar | |
THB | Thai Baht | |
UAH | Ukrainian Hryvnia | |
USD | United States Dollar | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Defaulted security. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of April 30, 2020. | |
(e) | 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 April 30, 2020. | |
(f) | Amount rounds to less than 0.1% of net assets. | |
(g) | 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 April 30, 2020. | |
(h) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2020. | |
(i) | Security is an interest bearing note with preferred security characteristics. | |
(j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(k) | The rate shown is the current yield as of April 30, 2020. | |
* | Non-income producing security. |
Futures contracts outstanding as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
U.S. Treasury 2 Year Note | 269 | 06/2020 | USD | 59,287 | 1,006 | |||||||||||||
|
|
Abbreviations | ||
USD | United States Dollar |
Forward foreign currency exchange contracts outstanding as of April 30, 2020 (amounts in thousands): | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
EUR | 496 | USD | 542 | Goldman Sachs International | 5/15/2020 | 1 | ||||||||||||||
EUR | 2,554 | USD | 2,760 | State Street Corp. | 5/15/2020 | 40 | ||||||||||||||
USD | 1,917 | TRY | 12,007 | BNP Paribas | 5/22/2020 | 204 | ||||||||||||||
USD | 964 | TRY | 6,047 | Citibank, NA | 5/22/2020 | 101 | ||||||||||||||
AUD | 2,426 | USD | 1,551 | State Street Corp. | 5/27/2020 | 30 | ||||||||||||||
CLP | 2,402,505 | USD | 2,830 | Barclays Bank plc** | 5/27/2020 | 50 | ||||||||||||||
COP | 5,586,877 | USD | 1,381 | Barclays Bank plc** | 5/27/2020 | 27 | ||||||||||||||
COP | 2,766,783 | USD | 690 | Goldman Sachs International** | 5/27/2020 | 7 | ||||||||||||||
CZK | 34,784 | EUR | 1,281 | BNP Paribas | 5/27/2020 | 3 | ||||||||||||||
KRW | 851,463 | USD | 693 | Barclays Bank plc** | 5/27/2020 | 8 | ||||||||||||||
PLN | 12,064 | USD | 2,902 | BNP Paribas | 5/27/2020 | 5 | ||||||||||||||
USD | 125 | AUD | 192 | HSBC Bank, NA | 5/27/2020 | — | (a) |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
USD | 3,964 | COP | 15,372,470 | Barclays Bank plc** | 5/27/2020 | 90 | ||||||||||||||
USD | 698 | COP | 2,762,591 | Goldman Sachs International** | 5/27/2020 | 2 | ||||||||||||||
USD | 1,337 | EUR | 1,219 | Goldman Sachs International | 5/27/2020 | — | (a) | |||||||||||||
USD | 2,624 | TRY | 18,103 | Merrill Lynch International | 5/27/2020 | 45 | ||||||||||||||
AUD | 1,324 | USD | 862 | Goldman Sachs International | 6/23/2020 | 1 | ||||||||||||||
AUD | 32,316 | USD | 19,821 | HSBC Bank, NA | 6/23/2020 | 1,241 | ||||||||||||||
CAD | 1,627 | JPY | 122,478 | Merrill Lynch International | 6/23/2020 | 27 | ||||||||||||||
CAD | 12,275 | USD | 8,695 | BNP Paribas | 6/23/2020 | 125 | ||||||||||||||
CAD | 3,105 | USD | 2,193 | Goldman Sachs International | 6/23/2020 | 38 | ||||||||||||||
CAD | 12,276 | USD | 8,735 | TD Bank Financial Group | 6/23/2020 | 85 | ||||||||||||||
COP | 3,790,355 | USD | 928 | Barclays Bank plc** | 6/23/2020 | 25 | ||||||||||||||
EUR | 7,893 | USD | 8,615 | Goldman Sachs International | 6/23/2020 | 44 | ||||||||||||||
HUF | 393,692 | USD | 1,204 | Goldman Sachs International | 6/23/2020 | 19 | ||||||||||||||
HUF | 66,518 | USD | 206 | HSBC Bank, NA | 6/23/2020 | 1 | ||||||||||||||
JPY | 1,200,077 | USD | 11,161 | Credit Suisse International | 6/23/2020 | 31 | ||||||||||||||
MXN | 106,716 | USD | 4,358 | Barclays Bank plc | 6/23/2020 | 34 | ||||||||||||||
MXN | 73,945 | USD | 3,008 | Citibank, NA | 6/23/2020 | 35 | ||||||||||||||
MXN | 143,205 | USD | 5,877 | Goldman Sachs International | 6/23/2020 | 17 | ||||||||||||||
MXN | 90,587 | USD | 3,712 | State Street Corp. | 6/23/2020 | 16 | ||||||||||||||
MYR | 19,173 | USD | 4,407 | Standard Chartered Bank** | 6/23/2020 | 42 | ||||||||||||||
PLN | 1,185 | USD | 284 | Citibank, NA | 6/23/2020 | 1 | ||||||||||||||
RUB | 808,280 | USD | 10,060 | Barclays Bank plc** | 6/23/2020 | 710 | ||||||||||||||
SGD | 16,325 | USD | 11,306 | Goldman Sachs International | 6/23/2020 | 273 | ||||||||||||||
USD | 14,795 | CAD | 20,500 | Barclays Bank plc | 6/23/2020 | 66 | ||||||||||||||
USD | 21,806 | CAD | 30,047 | Goldman Sachs International | 6/23/2020 | 218 | ||||||||||||||
USD | 1,109 | CZK | 25,955 | Citibank, NA | 6/23/2020 | 59 | ||||||||||||||
USD | 7,380 | EUR | 6,611 | Barclays Bank plc | 6/23/2020 | 128 | ||||||||||||||
USD | 30,927 | EUR | 27,304 | State Street Corp. | 6/23/2020 | 974 | ||||||||||||||
USD | 2,679 | HUF | 818,908 | Citibank, NA | 6/23/2020 | 135 | ||||||||||||||
USD | 4,390 | IDR | 65,442,590 | BNP Paribas** | 6/23/2020 | 116 | ||||||||||||||
USD | 1,216 | JPY | 123,999 | Merrill Lynch International | 6/23/2020 | 59 | ||||||||||||||
USD | 6,085 | JPY | 651,491 | Royal Bank of Canada | 6/23/2020 | 9 | ||||||||||||||
USD | 6,089 | JPY | 651,491 | Standard Chartered Bank | 6/23/2020 | 13 | ||||||||||||||
USD | 30,987 | JPY | 3,234,778 | State Street Corp. | 6/23/2020 | 821 | ||||||||||||||
USD | 185 | MXN | 4,205 | Goldman Sachs International | 6/23/2020 | 13 | ||||||||||||||
USD | 10,016 | MXN | 239,228 | HSBC Bank, NA | 6/23/2020 | 171 | ||||||||||||||
USD | 6,850 | MYR | 28,646 | Standard Chartered Bank** | 6/23/2020 | 203 | ||||||||||||||
USD | 9,171 | PLN | 35,958 | BNP Paribas | 6/23/2020 | 506 | ||||||||||||||
USD | 108 | PLN | 412 | Goldman Sachs International | 6/23/2020 | 9 | ||||||||||||||
USD | 4,768 | RUB | 350,315 | Barclays Bank plc** | 6/23/2020 | 100 | ||||||||||||||
USD | 5,938 | TRY | 40,587 | Barclays Bank plc | 6/23/2020 | 207 | ||||||||||||||
USD | 11,035 | TRY | 71,544 | BNP Paribas | 6/23/2020 | 933 | ||||||||||||||
USD | 3,083 | TRY | 20,579 | Goldman Sachs International | 6/23/2020 | 177 | ||||||||||||||
USD | 5,782 | ZAR | 101,942 | HSBC Bank, NA | 6/23/2020 | 310 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 8,605 | |||||||||||||||||||
|
| |||||||||||||||||||
EUR | 602 | USD | 661 | Goldman Sachs International | 5/15/2020 | (2 | ) | |||||||||||||
USD | 36,136 | EUR | 33,200 | Citibank, NA | 5/15/2020 | (254 | ) | |||||||||||||
TRY | 6,002 | USD | 960 | Goldman Sachs International | 5/22/2020 | (104 | ) | |||||||||||||
COP | 1,641,178 | USD | 419 | Citibank, NA** | 5/27/2020 | (5 | ) | |||||||||||||
CZK | 34,381 | EUR | 1,278 | BNP Paribas | 5/27/2020 | (10 | ) | |||||||||||||
MXN | 52,017 | USD | 2,178 | Goldman Sachs International | 5/27/2020 | (28 | ) | |||||||||||||
RUB | 50,559 | USD | 682 | Barclays Bank plc** | 5/27/2020 | (5 | ) | |||||||||||||
RUB | 170,555 | USD | 2,306 | Goldman Sachs International** | 5/27/2020 | (22 | ) | |||||||||||||
TRY | 6,955 | USD | 1,009 | BNP Paribas | 5/27/2020 | (18 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 15 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
TRY | 4,786 | USD | 689 | Goldman Sachs International | 5/27/2020 | (7 | ) | |||||||||||||
USD | 1,404 | AUD | 2,235 | Citibank, NA | 5/27/2020 | (52 | ) | |||||||||||||
USD | 697 | BRL | 3,920 | Barclays Bank plc** | 5/27/2020 | (23 | ) | |||||||||||||
USD | 698 | CAD | 990 | BNP Paribas | 5/27/2020 | (14 | ) | |||||||||||||
USD | 695 | CLP | 595,900 | Goldman Sachs International** | 5/27/2020 | (19 | ) | |||||||||||||
USD | 710 | COP | 2,820,200 | Barclays Bank plc** | 5/27/2020 | (1 | ) | |||||||||||||
USD | 689 | GBP | 559 | Barclays Bank plc | 5/27/2020 | (15 | ) | |||||||||||||
USD | 1,532 | PHP | 77,854 | Goldman Sachs International** | 5/27/2020 | (8 | ) | |||||||||||||
USD | 697 | PHP | 35,598 | Standard Chartered Bank** | 5/27/2020 | (8 | ) | |||||||||||||
USD | 699 | RUB | 52,368 | Barclays Bank plc** | 5/27/2020 | (3 | ) | |||||||||||||
USD | 1,529 | SEK | 15,199 | HSBC Bank, NA | 5/27/2020 | (30 | ) | |||||||||||||
CAD | 9,825 | USD | 7,133 | Citibank, NA | 6/23/2020 | (73 | ) | |||||||||||||
CAD | 1,544 | USD | 1,117 | Merrill Lynch International | 6/23/2020 | (7 | ) | |||||||||||||
CAD | 9,894 | USD | 7,133 | Royal Bank of Canada | 6/23/2020 | (25 | ) | |||||||||||||
COP | 19,902,973 | USD | 5,048 | Standard Chartered Bank** | 6/23/2020 | (44 | ) | |||||||||||||
EUR | 5,128 | AUD | 8,887 | HSBC Bank, NA | 6/23/2020 | (166 | ) | |||||||||||||
EUR | 10,288 | AUD | 17,808 | TD Bank Financial Group | 6/23/2020 | (321 | ) | |||||||||||||
EUR | 7,267 | USD | 8,327 | Goldman Sachs International | 6/23/2020 | (355 | ) | |||||||||||||
EUR | 1,310 | USD | 1,451 | Merrill Lynch International | 6/23/2020 | (14 | ) | |||||||||||||
EUR | 19,802 | USD | 22,546 | State Street Corp. | 6/23/2020 | (823 | ) | |||||||||||||
HUF | 358,698 | USD | 1,173 | Citibank, NA | 6/23/2020 | (58 | ) | |||||||||||||
JPY | 1,425,980 | USD | 13,584 | Goldman Sachs International | 6/23/2020 | (286 | ) | |||||||||||||
JPY | 3,358,777 | USD | 31,690 | Royal Bank of Canada | 6/23/2020 | (367 | ) | |||||||||||||
MYR | 935 | USD | 220 | BNP Paribas** | 6/23/2020 | (3 | ) | |||||||||||||
MYR | 10,041 | USD | 2,340 | Standard Chartered Bank** | 6/23/2020 | (10 | ) | |||||||||||||
PLN | 34,491 | USD | 8,736 | HSBC Bank, NA | 6/23/2020 | (425 | ) | |||||||||||||
PLN | 693 | USD | 174 | TD Bank Financial Group | 6/23/2020 | (7 | ) | |||||||||||||
TRY | 35,772 | USD | 5,708 | Barclays Bank plc | 6/23/2020 | (657 | ) | |||||||||||||
TRY | 35,772 | USD | 5,711 | Goldman Sachs International | 6/23/2020 | (660 | ) | |||||||||||||
TRY | 20,579 | USD | 3,147 | HSBC Bank, NA | 6/23/2020 | (241 | ) | |||||||||||||
USD | 20,270 | AUD | 32,316 | State Street Corp. | 6/23/2020 | (792 | ) | |||||||||||||
USD | 5,823 | COP | 23,693,328 | Barclays Bank plc** | 6/23/2020 | (134 | ) | |||||||||||||
USD | 3,618 | CZK | 90,134 | Citibank, NA | 6/23/2020 | (29 | ) | |||||||||||||
USD | 2,291 | CZK | 58,440 | Goldman Sachs International | 6/23/2020 | (74 | ) | |||||||||||||
USD | 5,480 | EUR | 5,090 | BNP Paribas | 6/23/2020 | (104 | ) | |||||||||||||
USD | 8,542 | EUR | 7,796 | State Street Corp. | 6/23/2020 | (10 | ) | |||||||||||||
USD | 5,640 | IDR | 89,741,473 | Barclays Bank plc** | 6/23/2020 | (221 | ) | |||||||||||||
USD | 8,263 | MXN | 203,172 | Barclays Bank plc | 6/23/2020 | (98 | ) | |||||||||||||
USD | 126 | MXN | 3,125 | Goldman Sachs International | 6/23/2020 | (4 | ) | |||||||||||||
USD | 5,864 | MXN | 144,919 | HSBC Bank, NA | 6/23/2020 | (100 | ) | |||||||||||||
USD | 343 | MYR | 1,503 | Standard Chartered Bank** | 6/23/2020 | (6 | ) | |||||||||||||
USD | 3,920 | PLN | 16,365 | HSBC Bank, NA | 6/23/2020 | (23 | ) | |||||||||||||
USD | 5,565 | RUB | 457,966 | Barclays Bank plc** | 6/23/2020 | (538 | ) | |||||||||||||
USD | 11,500 | SGD | 16,467 | HSBC Bank, NA | 6/23/2020 | (179 | ) | |||||||||||||
USD | 3,050 | THB | 99,148 | BNP Paribas | 6/23/2020 | (14 | ) | |||||||||||||
USD | 1,122 | THB | 36,437 | HSBC Bank, NA | 6/23/2020 | (4 | ) | |||||||||||||
ZAR | 732 | USD | 45 | Citibank, NA | 6/23/2020 | (5 | ) | |||||||||||||
ZAR | 101,210 | USD | 5,623 | State Street Corp. | 6/23/2020 | (191 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (7,696 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | 909 | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Abbreviations
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CLP | Chile Peso | |
COP | Colombian Peso | |
CZK | Czech Republic Koruna | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
JPY | Japanese Yen | |
KRW | Korean Republic Won | |
MXN | Mexican Peso |
MYR | Malaysian Ringgit | |
PHP | Philippines Peso | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thai Baht | |
TRY | Turkish Lira | |
USD | United States Dollar | |
ZAR | South African Rand | |
(a) | Amount rounds to less than one thousand. | |
** | Non-deliverable forward. |
Over-the-Counter (“OTC”) Credit default swap contracts outstanding — buy protection(a) as of April 30, 2020 (amounts in thousands): | ||||||||||||||||||||||||||||||||||||
REFERENCE OBLIGATION/ INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (b) | NOTIONAL AMOUNT (c) | UPFRONT PAYMENTS (RECEIPTS) ($) (d) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||||||||||||
Republic of Colombia, 10.38%, 1/28/2033 | 1.00 | Quarterly | | Goldman Sachs International | | 6/20/2025 | 2.41 | USD 6,000 | 315 | 86 | 401 | |||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit default swap contracts outstanding — buy protection(a) as of April 30, 2020 (amounts in thousands): | ||||||||||||||||||||||||||||||||
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (b) | NOTIONAL AMOUNT (c) | UPFRONT PAYMENTS (RECEIPTS) ($) (d) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||||
CDX.NA.EM.33-V1 | 1.00 | Quarterly | 6/20/2025 | 3.35 | USD 18,563 | 2,550 | (566 | ) | 1,984 | |||||||||||||||||||||||
CDX.NA.EM.33-V1 | 1.00 | Quarterly | 6/20/2025 | 3.35 | USD 55,030 | 5,210 | 672 | 5,882 | ||||||||||||||||||||||||
CDX.NA.EM.33-V1 | 1.00 | Quarterly | 6/20/2025 | 3.35 | USD 7,000 | 774 | (26 | ) | 748 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
8,534 | 80 | 8,614 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
(b) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
(c) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
(d) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Centrally Cleared Interest rate swap contracts outstanding as of April 30, 2020 (amounts in thousands): | ||||||||||||||||||||||||||
FLOATING RATE INDEX(a) | FIXED RATE | PAY/RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||||
4 week TIIE monthly | 5.52 monthly | Pay | 4/17/2025 | MXN | 150,000 | — | 5 | |||||||||||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 17 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
Abbreviations
CDX | Credit Default Swap Index | |
MXN | Mexican Peso | |
TIIE | Interbank Equilibrium Interest Rate | |
USD | United States Dollar |
(a) | Value of floating rate index at April 30, 2020 was 6.26%. |
Summary of total OTC swap contracts outstanding as of April 30, 2020 (amounts in thousands): | ||||||||
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |||||||
Assets | ||||||||
OTC Credit default swap contracts outstanding — buy protection | 315 | 401 | ||||||
|
|
|
|
Written Call Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||||
Foreign Exchange EUR/ILS | Goldman Sachs International | 10,451,000 | EUR 10,451 | EUR 3.90 | 9/9/2020 | (162 | ) | |||||||||||||||||
Foreign Exchange USD/ILS | Goldman Sachs International | 11,498,500 | USD 11,499 | USD 3.50 | 9/9/2020 | (181 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
(343 | ) | |||||||||||||||||||||||
|
|
Written Put Options Contracts as of April 30, 2020 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||||
Foreign Exchange USD/JPY | Citibank, NA | 38,409,375 | USD 38,409 | USD 102.00 | 8/14/2020 | (217 | ) | |||||||||||||||||
Foreign Exchange USD/JPY | Citibank, NA | 38,390,000 | USD 38,390 | USD 108.00 | 8/14/2020 | (814 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
(1,031 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Written Options Contracts (Premiums Received $2,728) | (1,374 | ) | ||||||||||||||||||||||
|
|
Abbreviations
EUR | Euro | |
JPY | Japanese Yen | |
ILS | Israeli Shekel | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2020 | J.P. MORGAN FUNDS | 19 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2020 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Emerging Markets Strategic Debt Fund | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 425,384 | ||
Investments in affiliates, at value | 38,013 | |||
Options purchased, at value | 1,374 | |||
Cash | 1,284 | |||
Foreign currency, at value | 915 | |||
Deposits at broker for futures contracts | 215 | |||
Deposits at broker for centrally cleared swaps | 6,392 | |||
Receivables: | ||||
Due from custodian | 1,050 | |||
Investment securities sold | 83,916 | |||
Fund shares sold | 908 | |||
Interest fromnon-affiliates | 6,623 | |||
Dividends from affiliates | 27 | |||
Tax reclaims | 86 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 8,605 | |||
Outstanding OTC swap contracts, at value (net upfront payments of $315) | 401 | |||
|
| |||
Total Assets | 575,193 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 7,348 | |||
Fund shares redeemed | 78,289 | |||
Variation margin on futures contracts | 2 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 7,696 | |||
Outstanding options written, at fair value | 1,374 | |||
Variation margin on centrally cleared swaps (net upfront payments of $8,534) | 97 | |||
Accrued liabilities: | ||||
Investment advisory fees | 266 | |||
Administration fees | 19 | |||
Distribution fees | — | (a) | ||
Service fees | — | (a) | ||
Custodian and accounting fees | 93 | |||
Deferred foreign capital gains tax | 237 | |||
Other | 184 | |||
|
| |||
Total Liabilities | 95,605 | |||
|
| |||
Net Assets | $ | 479,588 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund | ||||
NET ASSETS: | ||||
Paid-in-Capital | $ | 629,066 | ||
Total distributable earnings (loss) | (149,478 | ) | ||
|
| |||
Total Net Assets | $ | 479,588 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 460 | ||
Class C | 90 | |||
Class I | 2,868 | |||
Class R2 | 24 | |||
Class R5 | 20 | |||
Class R6 | 476,126 | |||
|
| |||
Total | $ | 479,588 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
($0.0001 par value; unlimited number of shares authorized): | ||||
Class A | 67 | |||
Class C | 13 | |||
Class I | 415 | |||
Class R2 | 4 | |||
Class R5 | 3 | |||
Class R6 | 68,206 | |||
Net Asset Value (a): | ||||
Class A — Redemption price per share | $ | 6.87 | ||
Class C — Offering price per share (b) | 6.71 | |||
Class I — Offering and redemption price per share | 6.91 | |||
Class R2 — Offering and redemption price per share | 6.78 | |||
Class R5 — Offering and redemption price per share | 6.97 | |||
Class R6 — Offering and redemption price per share | 6.98 | |||
Class A maximum sales charge | 3.75 | % | ||
Class A maximum public offering price per share | ||||
[net asset value per share/(100% — maximum sales charge)] | $ | 7.14 | ||
|
| |||
Cost of investments innon-affiliates | $ | 490,855 | ||
Cost of investments in affiliates | 37,967 | |||
Cost of options purchased | 1,328 | |||
Cost of foreign currency | 1,054 | |||
Premiums received from options written | 2,728 |
(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.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 21 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2020 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund | ||||
INVESTMENT INCOME: | ||||
Interest income fromnon-affiliates | $ | 19,305 | ||
Interest income from affiliates | 2 | |||
Dividend income from affiliates | 101 | |||
Income from securities lending (net) (See Note 2.C.) | 1 | |||
Foreign taxes withheld (net) | (97 | ) | ||
|
| |||
Total investment income | 19,312 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 2,267 | |||
Administration fees | 262 | |||
Distribution fees: | ||||
Class A | 1 | |||
Class C | — | (a) | ||
Class R2 | — | (a) | ||
Service fees: | ||||
Class A | 1 | |||
Class C | — | (a) | ||
Class I | 1 | |||
Class R2 | — | (a) | ||
Class R5 | — | (a) | ||
Custodian and accounting fees | 109 | |||
Interest expense to affiliates | 3 | |||
Professional fees | 55 | |||
Collateral management fees | 5 | |||
Trustees’ and Chief Compliance Officer’s fees | 13 | |||
Printing and mailing costs | 6 | |||
Registration and filing fees | 50 | |||
Transfer agency fees (See Note 2.H.) | 7 | |||
Other | 12 | |||
|
| |||
Total expenses | 2,792 | |||
|
| |||
Less fees waived | (348 | ) | ||
Less expense reimbursements | (5 | ) | ||
|
| |||
Net expenses | 2,439 | |||
|
| |||
Net investment income (loss) | 16,873 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments innon-affiliates | (43,443 | )(b) | ||
Investments in affiliates | — | (a) | ||
Options purchased | (3,829 | ) | ||
Futures contracts | 6,082 | |||
Foreign currency transactions | 864 | |||
Forward foreign currency exchange contracts | 76 | |||
Options written | 2,428 | |||
Swaps | 2,619 | |||
|
| |||
Net realized gain (loss) | (35,203 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments innon-affiliates | (78,870 | )(c) | ||
Investments in affiliates | 45 | |||
Options purchased | 336 | |||
Futures contracts | 889 | |||
Foreign currency translations | (364 | ) | ||
Forward foreign currency exchange contracts | 1,283 | |||
Options written | 1,390 | |||
Swaps | 749 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (74,542 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (109,745 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (92,872 | ) | |
|
|
(a) | Amount rounds to less than one thousand. |
(b) | Net of foreign capital gains tax of approximately $(71,000). |
(c) | Net of change in foreign capital gains tax of approximately $54,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 16,873 | $ | 38,979 | ||||
Net realized gain (loss) | (35,203 | ) | (3,595 | ) | ||||
Change in net unrealized appreciation/depreciation | (74,542 | ) | 47,630 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (92,872 | ) | 83,014 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (15 | ) | (402 | ) | ||||
Class C | (3 | ) | (11 | ) | ||||
Class I | (31 | ) | (330 | ) | ||||
Class R2 | (1 | ) | (1 | ) | ||||
Class R5 | — | (a) | (1 | ) | ||||
Class R6 | (21,113 | ) | (34,359 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (21,163 | ) | (35,104 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (133,502 | ) | (5,990 | ) | ||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | (247,537 | ) | 41,920 | |||||
Beginning of period | 727,125 | 685,205 | ||||||
|
|
|
| |||||
End of period | $ | 479,588 | $ | 727,125 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 23 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
CAPITAL TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Proceeds from shares issued | $ | 1,395 | $ | 2,349 | ||||
Distributions reinvested | 15 | 402 | ||||||
Cost of shares redeemed | (1,427 | ) | (43,448 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | (17 | ) | $ | (40,697 | ) | ||
|
|
|
| |||||
Class C |
| |||||||
Proceeds from shares issued | $ | 30 | $ | 485 | ||||
Distributions reinvested | 3 | 11 | ||||||
Cost of shares redeemed | (18 | ) | (506 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 15 | $ | (10 | ) | |||
|
|
|
| |||||
Class I |
| |||||||
Proceeds from shares issued | $ | 3,259 | $ | 10,081 | ||||
Distributions reinvested | 31 | 330 | ||||||
Cost of shares redeemed | (624 | ) | (23,973 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | $ | 2,666 | $ | (13,562 | ) | |||
|
|
|
| |||||
Class R2 |
| |||||||
Proceeds from shares issued | $ | — | (a) | $ | 1 | |||
Distributions reinvested | 1 | 1 | ||||||
Cost of shares redeemed | — | (a) | — | (a) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 1 | $ | 2 | ||||
|
|
|
| |||||
Class R5 |
| |||||||
Distributions reinvested | — | (a) | 1 | |||||
Cost of shares redeemed | — | (a) | — | (a) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | — | (a) | $ | 1 | |||
|
|
|
| |||||
Class R6 |
| |||||||
Proceeds from shares issued | $ | 36,833 | $ | 230,565 | ||||
Distributions reinvested | 21,113 | 34,359 | ||||||
Cost of shares redeemed | (194,113 | ) | (216,648 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | (136,167 | ) | $ | 48,276 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (133,502 | ) | $ | (5,990 | ) | ||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
JPMorgan Emerging Markets Strategic Debt Fund | ||||||||
Six Months Ended April 30, 2020 (Unaudited) | Year Ended October 31, 2019 | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 201 | 310 | ||||||
Reinvested | 2 | 54 | ||||||
Redeemed | (205 | ) | (5,749 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (2 | ) | (5,385 | ) | ||||
|
|
|
| |||||
Class C |
| |||||||
Issued | 4 | 64 | ||||||
Reinvested | — | (a) | 2 | |||||
Redeemed | (2 | ) | (68 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 2 | (2 | ) | |||||
|
|
|
| |||||
Class I |
| |||||||
Issued | 404 | 1,299 | ||||||
Reinvested | 4 | 43 | ||||||
Redeemed | (82 | ) | (3,085 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | 326 | (1,743 | ) | |||||
|
|
|
| |||||
Class R2 |
| |||||||
Issued | — | (a) | — | (a) | ||||
Reinvested | — | (a) | 1 | |||||
Redeemed | — | (a) | — | (a) | ||||
|
|
|
| |||||
Change in Class R2 Shares | — | (a) | 1 | |||||
|
|
|
| |||||
Class R5 |
| |||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | — | — | (a) | |||||
|
|
|
| |||||
Change in Class R5 Shares | — | (a) | — | (a) | ||||
|
|
|
| |||||
Class R6 |
| |||||||
Issued | 4,687 | 29,498 | ||||||
Reinvested | 2,683 | 4,336 | ||||||
Redeemed | (27,240 | ) | (27,012 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | (19,870 | ) | 6,822 | |||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 25 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | $ | 8.10 | $ | 0.17 | $ | (1.18 | ) | $ | (1.01 | ) | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | ||||||||||
Year Ended October 31, 2019 | 7.61 | 0.39 | 0.43 | 0.82 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.31 | 0.35 | (0.75 | ) | (0.40 | ) | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.18 | 0.37 | 0.05 | 0.42 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.56 | 0.28 | 0.34 | 0.62 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.30 | 0.31 | (f) | (2.05 | ) | (1.74 | ) | — | — | (g) | — | (g) | ||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 7.93 | 0.14 | (1.16 | ) | (1.02 | ) | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 7.47 | 0.32 | 0.45 | 0.77 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.15 | 0.31 | (0.74 | ) | (0.43 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.05 | 0.33 | 0.03 | 0.36 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.47 | 0.24 | 0.34 | 0.58 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.23 | 0.28 | (f) | (2.04 | ) | (1.76 | ) | — | — | — | ||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 8.16 | 0.14 | (1.16 | ) | (1.02 | ) | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 7.67 | 0.40 | 0.45 | 0.85 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.37 | 0.36 | (0.74 | ) | (0.38 | ) | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.25 | 0.39 | 0.05 | 0.44 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.61 | 0.31 | 0.33 | 0.64 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.33 | 0.34 | (f) | (2.05 | ) | (1.71 | ) | — | (g) | (0.01 | ) | (0.01 | ) | |||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 8.01 | 0.15 | (1.17 | ) | (1.02 | ) | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 7.54 | 0.34 | 0.45 | 0.79 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.23 | 0.32 | (0.73 | ) | (0.41 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.12 | 0.33 | 0.05 | 0.38 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.52 | 0.26 | 0.34 | 0.60 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.27 | 0.30 | (f) | (2.05 | ) | (1.75 | ) | — | — | — | ||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 8.23 | 0.18 | (1.21 | ) | (1.03 | ) | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 7.73 | 0.41 | 0.47 | 0.88 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.43 | 0.38 | (0.75 | ) | (0.37 | ) | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.31 | 0.40 | 0.05 | 0.45 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.64 | 0.32 | 0.35 | 0.67 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.36 | 0.37 | (f) | (2.08 | ) | (1.71 | ) | — | (g) | (0.01 | ) | (0.01 | ) | |||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Six Months Ended April 30, 2020 (Unaudited) | 8.24 | 0.19 | (1.21 | ) | (1.02 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year Ended October 31, 2019 | 7.75 | 0.41 | 0.46 | 0.87 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||
Year Ended October 31, 2018 | 8.45 | 0.39 | (0.76 | ) | (0.37 | ) | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 8.32 | 0.42 | 0.05 | 0.47 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 7.65 | 0.32 | 0.35 | 0.67 | — | — | — | |||||||||||||||||||||
Year Ended October 31, 2015 | 9.37 | 0.36 | (f) | (2.07 | ) | (1.71 | ) | — | (g) | (0.01 | ) | (0.01 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | 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. |
(g) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c) (d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 6.87 | (12.75 | )% | $ | 460 | 1.20 | % | 4.33 | % | 1.36 | % | 65 | % | |||||||||||||
8.10 | 10.97 | 560 | 1.20 | 5.18 | 1.49 | 164 | ||||||||||||||||||||
7.61 | (4.95 | ) | 41,505 | 1.19 | 4.32 | 1.33 | 172 | |||||||||||||||||||
8.31 | 5.21 | 75,732 | 1.19 | 4.50 | 1.48 | 148 | ||||||||||||||||||||
8.18 | 8.20 | 1,036 | 1.13 | 3.70 | 2.43 | 189 | ||||||||||||||||||||
7.56 | (18.67 | ) | 27,511 | 1.16 | 3.75 | (f) | 1.91 | 134 | ||||||||||||||||||
6.71 | (13.11 | ) | 90 | 1.70 | 3.81 | 2.12 | 65 | |||||||||||||||||||
7.93 | 10.50 | 90 | 1.69 | 4.17 | 1.85 | 164 | ||||||||||||||||||||
7.47 | (5.38 | ) | 94 | 1.69 | 3.84 | 1.84 | 172 | |||||||||||||||||||
8.15 | 4.56 | 301 | 1.69 | 4.03 | 2.66 | 148 | ||||||||||||||||||||
8.05 | 7.76 | 52 | 1.63 | 3.14 | 3.65 | 189 | ||||||||||||||||||||
7.47 | (19.07 | ) | 18 | 1.67 | 3.37 | (f) | 2.24 | 134 | ||||||||||||||||||
6.91 | (12.78 | ) | 2,868 | 0.95 | 4.02 | 1.73 | 65 | |||||||||||||||||||
8.16 | 11.36 | 727 | 0.95 | 5.12 | 1.08 | 164 | ||||||||||||||||||||
7.67 | (4.71 | ) | 14,057 | 0.94 | 4.53 | 1.07 | 172 | |||||||||||||||||||
8.37 | 5.40 | 12,211 | 0.94 | 4.67 | 1.43 | 148 | ||||||||||||||||||||
8.25 | 8.41 | 3,723 | 0.89 | 3.99 | 1.51 | 189 | ||||||||||||||||||||
7.61 | (18.38 | ) | 29,405 | 0.92 | 4.04 | (f) | 1.21 | 134 | ||||||||||||||||||
6.78 | (13.00 | ) | 24 | 1.45 | 4.07 | 2.70 | 65 | |||||||||||||||||||
8.01 | 10.81 | 27 | 1.45 | 4.42 | 6.24 | 164 | ||||||||||||||||||||
7.54 | (5.11 | ) | 24 | 1.44 | 4.06 | 2.20 | 172 | |||||||||||||||||||
8.23 | 4.83 | 21 | 1.44 | 4.12 | 3.49 | 148 | ||||||||||||||||||||
8.12 | 7.98 | 20 | 1.38 | 3.37 | 4.61 | 189 | ||||||||||||||||||||
7.52 | (18.88 | ) | 18 | 1.41 | 3.61 | (f) | 2.00 | 134 | ||||||||||||||||||
6.97 | (12.74 | ) | 20 | 0.80 | 4.72 | 1.22 | 65 | |||||||||||||||||||
8.23 | 11.63 | 23 | 0.80 | 5.08 | 0.94 | 164 | ||||||||||||||||||||
7.73 | (4.53 | ) | 20 | 0.76 | 4.72 | 1.07 | 172 | |||||||||||||||||||
8.43 | 5.56 | 21 | 0.74 | 4.82 | 2.82 | 148 | ||||||||||||||||||||
8.31 | 8.77 | 20 | 0.68 | 4.07 | 3.86 | 189 | ||||||||||||||||||||
7.64 | (18.29 | ) | 19 | 0.71 | 4.31 | (f) | 1.29 | 134 | ||||||||||||||||||
6.98 | (12.69 | ) | 476,126 | 0.70 | 4.85 | 0.80 | 65 | |||||||||||||||||||
8.24 | 11.58 | 725,698 | 0.70 | 5.17 | 0.82 | 164 | ||||||||||||||||||||
7.75 | (4.45 | ) | 629,505 | 0.69 | 4.81 | 0.82 | 172 | |||||||||||||||||||
8.45 | 5.73 | 572,727 | 0.69 | 4.94 | 1.08 | 148 | ||||||||||||||||||||
8.32 | 8.76 | 76,275 | 0.63 | 4.12 | 1.25 | 189 | ||||||||||||||||||||
7.65 | (18.26 | ) | 135,050 | 0.66 | 4.29 | (f) | 0.97 | 134 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 27 |
Table of Contents
AS OF APRIL 30, 2020 (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 anopen-end management investment company.
The following is a separate fund of the Trust (the “Fund”) covered by this report:
Classes Offered | Diversification Classification | |||
JPMorgan Emerging Markets Strategic Debt Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | Non-Diversified |
The investment objective of the Fund is to seek to provide total return.
Class A Shares generally provide for afront-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2, Class R5 and Class R6 Shares. Certain Class A Shares, for whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus. 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 (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
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). |
28 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
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 | ||||||||||||||||
Corporate Bonds | $ | — | $ | 108,765 | $ | — | $ | 108,765 | ||||||||
Foreign Government Securities | — | 313,864 | — | 313,864 | ||||||||||||
Supranational | — | 466 | — | 466 | ||||||||||||
U.S. Government Agency Securities | — | 2,289 | — | 2,289 | ||||||||||||
Options Purchased | ||||||||||||||||
Call Options Purchased | — | 343 | — | 343 | ||||||||||||
Put Options Purchased | — | 1,031 | — | 1,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | — | 1,374 | — | 1,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 38,013 | — | — | 38,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 38,013 | $ | 426,758 | $ | — | $ | 464,771 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 8,605 | $ | — | $ | 8,605 | ||||||||
Futures Contracts | 1,006 | — | — | 1,006 | ||||||||||||
Swaps | — | 763 | — | 763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 1,006 | $ | 9,368 | $ | — | $ | 10,374 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (7,696 | ) | $ | — | $ | (7,696 | ) | ||||||
Options Written | ||||||||||||||||
Call Options Written | — | (343 | ) | — | (343 | ) | ||||||||||
Put Options Written | — | (1,031 | ) | — | 1,031 | ) | ||||||||||
Swaps | — | (592 | ) | — | (592 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | — | $ | (9,662 | ) | $ | — | $ | (9,662 | ) | ||||||
|
|
|
|
|
|
|
|
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 April 30, 2020, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Fund is authorized to engage in securities lending in order to generate additional income. The Fund is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Fund, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Fund retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Fund). Upon termination of a loan, the Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certain de minimisamounts.
APRIL 30, 2020 | J.P. MORGAN FUNDS | 29 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Fund to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. For the six months ended April 30, 2020, JPMIM waived fees associated with the Fund’s investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):
$ | — | (a) |
(a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
The Fund did not have any securities out on loan at April 30, 2020.
D. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.
For the six months ended April 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at October 31, 2019 | Purchases at Cost | Proceeds from Sales | Net (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at April 30, 2020 | Shares at April 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.63% (a) (b) | $ | 6,875 | $ | 275,973 | $ | 244,880 | $ | — | (c) | $ | 45 | $ | 38,013 | 37,983 | $ | 101 | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | 987 | 7,376 | 8,363 | — | — | — | — | 4 | * | — | ||||||||||||||||||||||||||
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Total | $ | 7,862 | $ | 283,349 | $ | 253,243 | $ | — | (c) | $ | 45 | $ | 38,013 | $ | 105 | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of April 30, 2020. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statements of Operation as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. 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.
30 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
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F. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts, options and swaps 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 potential 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 apre-determined percentage or fall below apre-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 offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes F(1) — F(4) 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, securities, currencies and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio 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. Swaptions and Eurodollar options are settled for cash.
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 on 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 in market value 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’sover-the-counter (“OTC”) options are subject to master netting agreements.
The Fund may be required to post or receive collateral forover-the-counter options. Cash collateral posted by the Fund is considered restricted.
(2). Futures Contracts — The Fund used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.
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
APRIL 30, 2020 | J.P. MORGAN FUNDS | 31 |
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
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, while cash deposited, which is considered restricted, 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 is 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 the 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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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).
The Fund may be required to post or receive collateral fornon-deliverable forward foreign currency exchange contracts.
(4). Swaps — The Fund engaged in various swap transactions, including credit default and interest rate swaps to manage credit and interest rate (e.g., duration, yield curve) risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiatedover-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statement of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statement of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statement of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/ depreciation on the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral for OTC swaps.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearinghouse.
The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit
32 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statement of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Fund entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate, while the other is typically based on a fixed interest rate.
(5). Summary of Derivatives Information — The following table presents the value of derivatives held as of April 30, 2020 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: | Options | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Centrally Cleared Swaps (b) | OTC Swaps | Total | ||||||||||||||||||||||
Credit contracts | Receivables | $ | — | $ | — | $ | — | $ | 8,614 | $ | 401 | $ | 9,015 | |||||||||||||||
Foreign exchange contracts | Receivables | 1,374 | — | 8,605 | — | — | 9,979 | |||||||||||||||||||||
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | — | 1,006 | — | 5 | — | 1,011 | |||||||||||||||||||
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Total | $ | 1,374 | $ | 1,006 | $ | 8,605 | $ | 8,619 | $ | 401 | $ | 20,005 | ||||||||||||||||
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Gross Liabilities: | ||||||||||||||||||||||||||||
Foreign exchange contracts | Payables | $ | (1,374 | ) | $ | — | $ | (7,696 | ) | $ | — | $ | — | $ | (9,070 | ) | ||||||||||||
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(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. |
(b) | This amount represents the value of centrally cleared swaps as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers. |
APRIL 30, 2020 | J.P. MORGAN FUNDS | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
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 April 30, 2020 (amounts in thousands):
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements 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 | $ | 1,445 | $ | (1,445 | ) | $ | — | $ | — | |||||||
BNP Paribas | 1,892 | (163 | ) | (54 | )(b) | 1,675 | ||||||||||
Citibank, NA | 1,362 | (1,362 | ) | — | — | |||||||||||
Credit Suisse International | 31 | — | — | 31 | ||||||||||||
Goldman Sachs International | 1,563 | (1,563 | ) | — | — | |||||||||||
HSBC Bank, NA | 1,723 | (1,168 | ) | — | 555 | |||||||||||
Merrill Lynch International | 131 | (21 | ) | — | 110 | |||||||||||
Royal Bank of Canada | 9 | (9 | ) | — | — | |||||||||||
Standard Chartered Bank | 258 | (68 | ) | — | 190 | |||||||||||
State Street Corp. | 1,881 | (1,816 | ) | — | 65 | |||||||||||
TD Bank Financial Group | 85 | (85 | ) | — | — | |||||||||||
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$ | 10,380 | $ | (7,700 | ) | $ | (54 | ) | $ | 2,626 | |||||||
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Counterparty | Gross Amount of Derivative Liabilities Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due To Counterparty (Not less than zero) | ||||||||||||
Barclays Bank plc | $ | 1,695 | $ | (1,445 | ) | $ | — | $ | 250 | |||||||
BNP Paribas | 163 | (163 | ) | — | — | |||||||||||
Citibank, NA | 1,507 | (1,362 | ) | — | 145 | |||||||||||
Goldman Sachs International | 1,912 | (1,563 | ) | — | 349 | |||||||||||
HSBC Bank, NA | 1,168 | (1,168 | ) | — | — | |||||||||||
Merrill Lynch International | 21 | (21 | ) | — | — | |||||||||||
Royal Bank of Canada | 392 | (9 | ) | — | 383 | |||||||||||
Standard Chartered Bank | 68 | (68 | ) | — | — | |||||||||||
State Street Corp. | 1,816 | (1,816 | ) | — | — | |||||||||||
TD Bank Financial Group | 328 | (85 | ) | — | 243 | |||||||||||
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$ | 9,070 | $ | (7,700) | $ | — | $ | 1,370 | |||||||||
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(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements in the Statement of Assets and Liabilities. |
(b) | Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. |
The following tables present the effect of derivatives on the Statement of Operations for the six months ended April 30, 2020 by primary underlying risk exposure (amounts in thousands):
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 4,014 | $ | 4,014 | ||||||||||
Foreign exchange contracts | (1,401 | ) | — | 76 | — | (1,325 | ) | |||||||||||||
Interest rate contracts | — | 6,082 | — | (1,395 | ) | 4,687 | ||||||||||||||
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Total | $ | (1,401 | ) | $ | 6,082 | $ | 76 | $ | 2,619 | $ | 7,376 | |||||||||
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34 | J.P. MORGAN FUNDS | APRIL 30, 2020 |
Table of Contents
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 1,030 | $ | 1,030 | ||||||||||
Foreign exchange contracts | 1,726 | — | 1,283 | — | 3,009 | |||||||||||||||
Interest rate contracts | — | 889 | — | (281 | ) | 608 | ||||||||||||||
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Total | $ | 1,726 | $ | 889 | $ | 1,283 | $ | 749 | $ | 4,647 | ||||||||||
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The Fund’s derivatives contracts held at April 30, 2020 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, options and swaps activity during the six months ended April 30, 2020 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Futures Contracts — Interest Rate: | ||||
Average Notional Balance Long | $ | 178,675 | ||
Ending Notional Balance Long | 59,287 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | $ | 265,881 | ||
Average Settlement Value Sold | 306,897 | |||
Ending Settlement Value Purchased | 279,938 | |||
Ending Settlement Value Sold | 332,931 | |||
OTC Options: | ||||
Average Notional Balance Purchased | $ | 200,574 | ||
Average Notional Balance Written | 115,745 | |||
Ending Notional Balance Purchased | 99,751 | |||
Ending Notional Balance Written | 99,751 | |||
Credit Default Swaps: | ||||
Average Notional Balance — Buy Protection | $ | 58,012 | ||
Ending Notional Balance — Buy Protection | 86,593 | |||
Interest Rate-Related Swaps: | ||||
Average Notional Balance — Pays Fixed Rate | $ | 173,486 | (a) | |
Average Notional Balance — Receives Fixed Rate | 48,277 | |||
Ending Notional Balance — Receives Fixed Rate | 6,224 |
(a) | For the period November 1, 2019 through February 29, 2020. |
The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts,non-deliverable forward foreign currency contracts and/or OTC options with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund (See Note 3.G.). Otherwise the cash collateral is included on the Statement of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.F.). These amounts are not reflected on the Fund’s Statement of Assets and Liabilities and are disclosed in the table below.
The Fund’s derivative contracts collateral requirements and collateral posted or received by counterparty as of April 30, 2020 are as follows (amounts in thousands):
Fund Counterparty | Value of derivative contracts | Collateral amount | ||||||||
Goldman Sachs International | Collateral Received | $ | 401 | $ | (280 | ) |
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 theex-dividend date or when the Fund first learns of the dividend.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
H. Allocation of Income and Expenses — Expenses directly attributable to the Fund are charged directly to the Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Fund for the six months ended April 30, 2020 are as follows (amounts in thousands):
Class A | Class C | Class I | Class R2 | Class R5 | Class R6 | Total | ||||||||||||||||||||||
Transfer agency fees | $ | — | (a) | $ | — | (a) | $ | 4 | $ | — | (a) | $ | — | (a) | $ | 3 | $ | 7 |
(a) | Amount rounds to less than one thousand. |
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 (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 April 30, 2020, no liability for Federal 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.
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. When a capital gain tax is determined to apply, the Fund records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
K. Distributions to Shareholders — Distributions from net investment income, if any, 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.
L. Recent Accounting Pronouncement — In March 2017, the FASB issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Fund has adopted and applied ASU2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU2017-08, as of May 1, 2020, the amortized cost basis of investments was reduced by approximately $9,000 and unrealized appreciation of investments was increased by approximately $9,000. The adoption of ASU2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate equal to 0.65% 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 0.075% of the first $10 billion of the Fund’s average daily net assets, plus 0.050% of the Fund’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Fund’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Fund’s average daily net assets in excess of $25 billion. For the six months ended April 30, 2020, 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.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Fund’ssub-administrator (the“Sub-administrator”). For its services asSub-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 Fund’s principal underwriter and promotes and arranges for the sale of the Fund’s shares.
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The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Fund, as applicable, pursuant to Rule12b-1 under the 1940 Act. Class I, Class R5 and Class R6 Shares of the Fund do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | Class R2 | ||||||||
0.25% | 0.75 | % | 0.50 | % |
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the six months ended April 30, 2020, JPMDS retained the following (amounts in thousands):
Front-End Sales Charge | CDSC | |||
$—(a) | $— |
(a) | Amount rounds to less than one thousand. |
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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R5 | ||||||||||||||||
0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % |
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. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.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, plusout-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. The Fund earns interest on uninvested cash balances held by the custodian. Such interest amounts 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 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 and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Fund’s respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R5 | Class R6 | |||||||||||||||||||
1.20 | % | 1.70 | % | 0.95 | % | 1.45 | % | 0.80 | % | 0.70 | % |
The expense limitation agreements were in effect for the six months ended April 30, 2020 and are in place until at least February 28, 2021.
For the six months ended April 30, 2020, 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 | Reimbursements | ||||||||||||||||
$ | 201 | $ | 134 | $ | 1 | $ | 336 | $ | 5 |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
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, except for investments of securities lending cash collateral.
The amount of these waivers/reimbursements resulting from investments in these money market funds for the six months ended April 30, 2020 was approximately $12,000.
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 designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule38a-1 under the 1940 Act. The Fund, along with affiliated funds, makes reimbursement payments, on apro-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 April 30, 2020, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the 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 April 30, 2020, 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) | |||||
$409,698 | $ | 557,478 |
During the six months ended April 30, 2020, 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 April 30, 2020 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 536,271 | $ | 19,841 | $ | 81,780 | $ | (61,939 | ) |
At October 31, 2019, the Fund had net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
$ | 28,598 | $ | 18,176 |
During the year ended October 31, 2019, the Fund utilized capital loss carryforwards as follows (amounts in thousands):
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
$ | 7,892 | $ | — |
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).
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The Fund had no borrowings outstanding from another fund during the six months ended April 30, 2020. 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 2, 2020.
The Fund had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2020.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, 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 April 30, 2020.
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 brought against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
As of April 30, 2020, the Fund had three individual shareholder and/or affiliated omnibus accounts, which owned 46.9% of the Fund’s outstanding shares.
As of April 30, 2020, the JPMorgan SmartRetirement Funds and JPMorgan SmartRetirment Blend 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:
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |||||||
78.1 | % | 15.4 | % |
Significant shareholder transactions by these shareholders may impact the Fund’s performance.
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 April 30, 2020, a significant portion of the Fund’s investments consisted of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
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 it 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 possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses.
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 swap and option contracts and credit linked notes.
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. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Fund may face a heightened level of
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2020 (Unaudited) (continued)
interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Fund’s yield (and total return) also may be low or the Fund may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
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.
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.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of the Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Fund is subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak ofCOVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of thisCOVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Fund’s investments, increase the Fund’s volatility, exacerbate otherpre-existing political, social and economic risks to the Fund and negatively impact broad segments of businesses and populations. The Fund’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Fund’s investment performance. The full impact of thisCOVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Subsequent Event
Subsequent to April 30, 2020, the Fund had net redemptions of approximately $237,601,000, which represented 49% of the Fund’s net assets as of April 30, 2020.
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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, November 1, 2019, and continued to hold your shares at the end of the reporting period, April 30, 2020.
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 titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 872.50 | $ | 5.59 | 1.20 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 868.90 | 7.90 | 1.70 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.41 | 8.52 | 1.70 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 872.20 | 4.42 | 0.95 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 870.00 | 6.74 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 872.60 | 3.72 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.89 | 4.02 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 873.10 | 3.26 | 0.70 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.38 | 3.52 | 0.70 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Fund has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether the Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for the Fund (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether the Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Fund during the Program Reporting Period.
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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. at1-800-480-4111 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 at202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, the Fund filed 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 Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. The Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund’s policies and procedures with respect to the disclosure of the Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 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 recent12-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.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2020. All rights reserved. April 2020. | SAN-EMSD-420 |
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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.
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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’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-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 Rule2-01 of RegulationS-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 aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-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 ofnon-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-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 Rule10A-3 under the Exchange Act (17CFR240.10A-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 Rule10A-3(d) under the Exchange Act (17CFR240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth inSection 210.12-12 of RegulationS-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 FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BYCLOSED-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 CFR240.14a-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 Rule30a-3(c) under the Act (17 CFR270.30a-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 Rule30a-3(b) under the Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Exchange Act (17 CFR240.13a-15(b) or240.15d-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 FormN-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 FormN-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 Rule30a-3(d) under the Act (17 CFR270.30a-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.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-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 Rule30a-2(a) under the Act (17 CFR270.30a-2).
(3) Any written solicitation to purchase securities under Rule23c-1 under the Act (17 CFR270.23c-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 Rule30a-2(b) under the Act of 1940.
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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 | ||
July 1, 2020 |
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 | ||
July 1, 2020 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
July 1, 2020 |