UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21295
JPMorgan Trust I
(Exact name of registrant as specified in charter)
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, 2021 through April 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
Semi-Annual Report
J.P. Morgan Specialty Funds
April 30, 2022 (Unaudited)
| JPMorgan Macro Opportunities Fund |
| JPMorgan Opportunistic Equity Long/Short Fund |
| JPMorgan Research Market Neutral Fund |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
June 21, 2022, 2022(Unaudited)
Dear Shareholders,
 |
“The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification.”
— Andrea L. Lisher
|
Global economic growth has been hindered by accelerating inflation, the conflict in Ukraine and regional surges in pandemic infections. While equity markets largely rallied in the final months of 2021 and continued to outperform bond markets, a more hawkish U.S. Federal Reserve (the “Fed”) and Russia’s invasion of Ukraine in late February 2022 set off a cascade of weakening investor sentiment.
In the U.S., continued job growth, strong consumer spending and resilient corporate earnings in the first quarter of 2022 helped to offset a contraction in real economic growth. Meanwhile, in response to the highest levels of inflation in nearly 40 years, the Fed raised its benchmark interest rate in March 2022 for the first time since 2018 and then raised it again in both May and June.
Elsewhere, the Bank of England has raised interest rates multiple times since the start of 2022 and the European Central Bank has signaled it is poised to raise interest rates in July 2022, which would mark the first rate increase in the European Union in 11 years.
Meanwhile, emerging markets generally struggled during the six months ended April 30, 2022 as rising prices for energy and food weighed on economic growth. Additionally, a pandemic resurgence in China in early 2022 led to strict lockdowns in several large cities, which hurt manufacturing and other economic activity and had a spillover effect on other emerging market economies.
The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| April 30, 2022 | J.P. Morgan Specialty Funds | 1 |
J.P. Morgan Specialty Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2022 (Unaudited)
While developed market equities rallied in the final months of 2021, a resurgence in the pandemic, surging inflation and Russia’s invasion of Ukraine in late February 2022 dented the global economic outlook and erased equity market gains for the six month period. Overall, both global equity and fixed income markets largely generated negative returns for the period, with emerging markets largely underperforming developed markets.
U.S. equity prices largely maintained upward momentum in the final months of 2021 amid low interest rates, a boom in household wealth and record corporate earnings and revenues. However, investor concerns about the emergence of the Omicron variant of COVID-19 and surging inflationary pressure fueled market volatility in 2022 and Russia’s military build-up and invasion of Ukraine in February 2022 put further pressure on U.S. equity prices.
In mid-March 2022, the U.S. Federal Reserve followed through on its stated plan and raised interest rates for the first time since December 2018, and pledged to raise rates six more times in 2022. While U.S. equity prices rebounded somewhat for the month, both equity and bond markets slumped in April as negotiations to end the Ukraine conflict failed and global supply-chain disruptions increased. Notably, the U.S. dollar strengthened against other major currencies in early 2022, which provided a significant drag on both the domestic economy and corporate earnings. However, job growth in the U.S. continued throughout the six month period.
European and U.K. equities largely ended 2021 with gains but the reimposition of social restrictions in response to the spread of Omicron and the outbreak of fighting in Ukraine weighed on financial markets in early 2022. While initial multilateral trade and financial sanctions against Russia excluded its energy sector, prices for natural gas and petroleum rose sharply across Europe and the potential disruption of energy supplies hurt investor sentiment.
Unemployment in both the Euro area and the U.K. had fallen to near multi-decade lows by the end of April 2022 but consumer sentiment across both regions tumbled lower in 2022. During the six month period, the European Central Bank maintained its ultra-low interest rate policy, while the Bank of England raised rates three times during the period amid the highest annual inflation rate in 30 years.
Within emerging markets, both equities and bonds underperformed throughout the six month period. China proved be the largest drag on emerging markets during the period as investor concerns about tighter regulatory scrutiny of large technology companies in 2021 gave way to strict lockdowns in several large cities amid a resurgence in COVID-19 infections throughout the country. The expected slowdown in China’s economy, and in its manufacturing sector in particular, weighed down financial markets in its emerging market trading partners. Rising prices for energy and a range of other commodities also raised investor concerns about economic growth across emerging market nations, particularly net importers of petroleum and natural gas. Additionally, the prospect of rising U.S. interest rates weighed on emerging market bond prices.
The S&P 500 Index returned -9.65%, the MSCI EAFE Index returned -11.58% and the MSCI Emerging Markets Index returned 14.04% for the six months ended April 30, 2022.
| 2 | J.P. Morgan Specialty Funds | April 30, 2022 |
JPMorgan Macro Opportunities Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (9.22)% |
ICE BofAML 3-Month US Treasury Bill Index
| 0.07% |
Net Assets as of 4/30/2022 (In Thousands)
| $18,222 |
INVESTMENT OBJECTIVE**
The JPMorgan Macro Opportunities 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 posted a negative absolute performance and underperformed the ICE BofAML 3-Month U.S. Treasury Bill Index(the “Benchmark”) for the six months ended April 30, 2022.
Within equity, the Fund’s long exposures to the technology and consumer discretionary sectors were leading detractors from absolute performance during the period, largely due to investor expectations for rising U.S. interest rates. Within the technology sector, shares of companies involved in digital transformation and cloud computing were hurt by investor concerns about the rising costs of capital borrowing amid rising interest rates. The Fund’s global media streaming strategy also detracted from absolute performance amid weaker-than-expected earnings updates within the subsector.
The Fund’s defensive sector exposures, including in the health care and utilities sectors, which were held to reflect the cyclical economic slowdown, contributed to absolute performance. The Fund’s short positions in U.S. and European equities via options and futures also contributed to absolute performance. The Fund’s short position in the Nasdaq Composite Index via futures, which was held to hedge some of the Fund’s long technology sector exposure also contributed to absolute performance. The Fund’s long U.S. dollar positions against currencies that are generally sensitive to the strength of China’s
economy, including the Australian dollar, also contributed to absolute performance.
Within fixed income, the Fund’s long Australian government bond strategy was a leading detractor from absolute performance amid the Bank of Australia’s accelerated path toward interest rate policy normalization.
Relative to the Benchmark, the Fund’s allocation to equity was the leading detractor from performance relative to the Benchmark, which is a fixed income index that contains no equity.
HOW WAS THE FUND POSITIONED?
Against a cyclical economic slowdown backdrop and with increased risk of moving into economic contraction, the Fund’s portfolio managers sought a lower level of portfolio risk and reduced the Fund’s cyclical exposure by adding short positions in equity futures and options across U.S., European and emerging markets, as well as a greater weighting toward defensive areas of the equity market. Given near term geopolitical risk in the region, the portfolio managers removed the Fund’s long position in Chinese renminbi vs. a short position in the Taiwanese dollar strategy, which had been established through foreign exchange forward contracts.
In February 2022, prior to Russia’s invasion of Ukraine, the portfolio managers removed the Fund’s exposure to PJSC Sberbank, resulting in the Fund holding no assets in Russia, Ukraine or Belarus. Due to Europe’s greater reliance on Russian commodities, the portfolio managers reduced the Fund’s exposure to European financials during the period.
| April 30, 2022 | J.P. Morgan Specialty Funds | 3 |
JPMorgan Macro Opportunities Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | HDFC Bank Ltd.,ADR (India)
| | 3.0% |
| 2. | Thermo Fisher Scientific, Inc.
| | 2.8 |
| 3. | Microsoft Corp.
| | 2.7 |
| 4. | Alphabet, Inc., Class A
| | 2.3 |
| 5. | Amazon.com, Inc.
| | 2.2 |
| 6. | Mastercard, Inc., Class A
| | 2.0 |
| 7. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 1.7 |
| 8. | ServiceNow, Inc.
| | 1.7 |
| 9. | Lululemon Athletica, Inc.
| | 1.7 |
| 10. | NIKE, Inc., Class B
| | 1.7 |
PORTFOLIO COMPOSTION BY SECTOR
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Information Technology
| | 12.9% |
Financials
| | 11.0 |
Consumer Discretionary
| | 7.4 |
Health Care
| | 6.3 |
Communication Services
| | 2.3 |
Consumer Staples
| | 1.4 |
Industrials
| | 1.3 |
Utilities
| | 1.1 |
Others
| | 1.3 |
Short-Term Investments
| | 55.0 |
| * | 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. |
| 4 | J.P. Morgan Specialty Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | SINCE
INCEPTION |
| CLASS A SHARES | April 15, 2020 | | | | | | |
| With Sales Charge ** | | | (14.13)% | | (12.58)% | | (1.14)% |
| Without Sales Charge | | | (9.35) | | (7.73) | | 1.51 |
| CLASS C SHARES | April 15, 2020 | | | | | | |
| With CDSC *** | | | (10.56) | | (9.20) | | 1.01 |
| Without CDSC | | | (9.56) | | (8.20) | | 1.01 |
| Class I SHARES | April 15, 2020 | | (9.22) | | (7.49) | | 1.78 |
| Class R6 SHARES | September 30, 2020 | | (9.15) | | (7.26) | | 1.96 |
|
| * | 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 (4/15/20 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on April 15, 2020.
Returns for Class R6 Shares prior to its inception 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 Macro Opportunities Fund and the ICE BofAML 3-Month US Treasury Bill Index from April 15, 2020 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has
been adjusted to reflect reinvestment of all dividends and capital gains distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the 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.
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, 2022 | J.P. Morgan Specialty Funds | 5 |
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (12.51)% |
S&P 500 Index
| (9.65)% |
ICE BofAML 3-Month US Treasury Bill Index
| 0.07% |
Net Assets as of 4/30/2022 (In Thousands)
| $615,906 |
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 underperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s short positions in the communication services sector and its long positions in the industrials sector were leading detractors from performance relative to the Benchmark. The Fund’s long positions in the health care sector and its short positions in the consumer discretionary sector were leading contributors to relative performance.
Leading individual detractors from absolute performance included the Fund’s long positions in Tempur Sealy International Inc. and Zscaler Inc. and shares of Seagate Technology Inc. Shares of Tempur Sealy International, a beds and bedding products maker, fell after the company reported lower-than-expected earnings and revenue for the fourth quarter of 2021. Shares of Zscaler, a cloud internet security platform provider, fell after the company issued a lower-than-expected earnings forecast in late February 2022.
Shares of Seagate Technology, a data storage provider, fell after the company lowered its outlook for the third quarter of 2022.
Leading individual contributors to absolute performance included the Fund’s long positions in UnitedHealth Group Inc. and CF Industries Holdings Inc., and its short position in 3M Co. Shares of UnitedHealth Group, a health insurance provider, rose after the company reported better-than-expected results for the first quarter of 2022. Shares of CF Industries, a fertilizer manufacturer, rose amid improved pricing and after the company issued a positive outlook. Shares of 3M, an industrial, safety and consumer products manufacturer, fell amid inflationary pressure and weaker-than-expected profit margins.
HOW WAS THE FUND POSITIONED?
During the six months ended April 30, 2022, the Fund invested the majority 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 S& P 500 Index. The Fund’s portfolio managers 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 93% and its average net exposure was 41%.
| 6 | J.P. Morgan Specialty Funds | April 30, 2022 |
TOP TEN LONG POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Target Corp.
| | 6.7% |
| 2. | Zimmer Biomet Holdings, Inc.
| | 5.7 |
| 3. | Tesla, Inc.
| | 5.4 |
| 4. | NXP Semiconductors NV (China)
| | 4.7 |
| 5. | PACCAR, Inc.
| | 4.4 |
| 6. | Centene Corp.
| | 4.4 |
| 7. | Old Dominion Freight Line, Inc.
| | 4.1 |
| 8. | UnitedHealth Group, Inc.
| | 4.0 |
| 9. | Dollar General Corp.
| | 3.2 |
| 10. | Advanced Micro Devices, Inc.
| | 3.2 |
TOP TEN SHORT POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Kimberly-Clark Corp.
| | 26.8% |
| 2. | 3M Co.
| | 16.2 |
| 3. | SPDR S&P 500 ETF Trust
| | 13.5 |
| 4. | SoFi Technologies, Inc.
| | 7.8 |
| 5. | Apple, Inc.
| | 7.5 |
| 6. | Johnson Controls International plc
| | 7.2 |
| 7. | Altria Group, Inc.
| | 7.1 |
| 8. | Wynn Resorts Ltd.
| | 7.0 |
| 9. | Conagra Brands, Inc.
| | 2.9 |
| 10. | ManpowerGroup, Inc.
| | 2.1 |
LONG POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Consumer Discretionary
| | 19.0% |
Health Care
| | 14.0 |
Information Technology
| | 10.3 |
Industrials
| | 9.8 |
Financials
| | 1.9 |
Utilities
| | 1.6 |
Real Estate
| | 1.4 |
Exchange-Traded Fund
| | 1.0 |
Communication Services
| | 0.6 |
Short-Term Investments
| | 40.4 |
SHORT POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Consumer Staples
| | 38.2% |
Industrials
| | 25.5 |
Exchange-Traded Fund
| | 13.5 |
Financials
| | 8.2 |
Information Technology
| | 7.5 |
Consumer Discretionary
| | 7.1 |
| * | 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. |
| April 30, 2022 | J.P. Morgan Specialty Funds | 7 |
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | SINCE
INCEPTION |
| CLASS A SHARES | August 29, 2014 | | | | | | | | |
| With Sales Charge ** | | | (17.21)% | | (14.00)% | | 4.40% | | 5.65% |
| Without Sales Charge | | | (12.62) | | (9.24) | | 5.53 | | 6.40 |
| CLASS C SHARES | August 29, 2014 | | | | | | | | |
| With CDSC *** | | | (13.83) | | (10.69) | | 5.01 | | 5.87 |
| Without CDSC | | | (12.83) | | (9.69) | | 5.01 | | 5.87 |
| Class I SHARES | August 29, 2014 | | (12.51) | | (9.03) | | 5.80 | | 6.66 |
| Class R6 SHARES | August 29, 2014 | | (12.38) | | (8.80) | | 6.07 | | 6.93 |
|
| * | 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 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on August 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 US Treasury Bill Index from August 29, 2014 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and 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 US Treasury Bill Index is comprised of a single issue
purchased at the beginning of the month and held for a full month. Each month the 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 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, 2022 |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (2.64)% |
ICE BofAML 3-Month US Treasury Bill Index
| 0.07% |
Net Assets as of 4/30/2022 (In Thousands)
| $124,347 |
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 I Shares underperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s security selection and overweight position in the media sector and its security selection in the retail sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the pharmaceuticals & health care sector and industrial cyclical sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s short positions in Kroger Co. and Omnicom Group Inc. and its long position in Shopify Inc. Shares of Kroger, a supermarket and department store chain, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021. Shares of Omicron Group, an advertising and marketing company, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021 and the first quarter of 2022. Shares of Shopify, an online merchant sales platform provider, fell after
the company reported declining growth amid reduced online spending by consumers during the period.
Leading individual contributors to relative performance included the Fund’s short position in Moderna Inc., and its long positions in Mastercard Inc. and Vertex Pharmaceuticals Inc.
Shares of Moderna, a pharmaceutical maker, underperformed amid investor concerns about disappointing clinical data for the company’s flu vaccine and slowing demand for its COVID-19 vaccine. Shares of Mastercard, a payment processing provider, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021. Shares of Vertex Pharmaceuticals, a biotechnology company, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021.
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.
| April 30, 2022 | J.P. Morgan Specialty Funds | 9 |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
TOP TEN LONG POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Mastercard, Inc., Class A
| | 2.5% |
| 2. | NXP Semiconductors NV (China)
| | 2.0 |
| 3. | Amazon.com, Inc.
| | 1.4 |
| 4. | Diamondback Energy, Inc.
| | 1.4 |
| 5. | Deere & Co.
| | 1.2 |
| 6. | AbbVie, Inc.
| | 1.2 |
| 7. | Exelon Corp.
| | 1.1 |
| 8. | Wells Fargo & Co.
| | 1.0 |
| 9. | Advanced Micro Devices, Inc.
| | 1.0 |
| 10. | FleetCor Technologies, Inc.
| | 1.0 |
TOP TEN SHORT POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Kroger Co. (The)
| | 3.3% |
| 2. | Omnicom Group, Inc.
| | 3.1 |
| 3. | 3M Co.
| | 2.3 |
| 4. | Enbridge, Inc.
| | 2.2 |
| 5. | Paramount Global, Class B
| | 2.1 |
| 6. | Intel Corp.
| | 1.9 |
| 7. | Walmart, Inc.
| | 1.8 |
| 8. | Apple, Inc.
| | 1.8 |
| 9. | NetApp, Inc.
| | 1.6 |
| 10. | Cisco Systems, Inc.
| | 1.6 |
LONG POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Information Technology
| | 13.4% |
Industrials
| | 11.7 |
Health Care
| | 9.9 |
Consumer Discretionary
| | 8.0 |
Financials
| | 6.2 |
Energy
| | 4.7 |
Communication Services
| | 4.5 |
Utilities
| | 3.8 |
Real Estate
| | 2.3 |
Consumer Staples
| | 2.2 |
Materials
| | 1.9 |
Short-Term Investments
| | 31.4 |
SHORT POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Information Technology
| | 16.8% |
Industrials
| | 16.4 |
Health Care
| | 11.3 |
Financials
| | 10.9 |
Consumer Staples
| | 10.2 |
Communication Services
| | 9.9 |
Energy
| | 5.9 |
Utilities
| | 5.8 |
Consumer Discretionary
| | 5.7 |
Real Estate
| | 4.4 |
Materials
| | 2.7 |
| * | 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. |
| 10 | J.P. Morgan Specialty Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | February 28, 2002 | | | | | | | | |
| With Sales Charge ** | | | (7.86)% | | (6.94)% | | 1.97% | | 1.27% |
| Without Sales Charge | | | (2.74) | | (1.79) | | 3.08 | | 1.82 |
| CLASS C SHARES | November 2, 2009 | | | | | | | | |
| With CDSC *** | | | (3.98) | | (3.18) | | 2.58 | | 1.41 |
| Without CDSC | | | (2.98) | | (2.18) | | 2.58 | | 1.41 |
| Class I SHARES | November 2, 2009 | | (2.64) | | (1.52) | | 3.35 | | 2.08 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Research Market Neutral Fund and ICE BofAML 3-Month US Treasury Bill Index from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and 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 US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| April 30, 2022 | J.P. Morgan Specialty Funds | 11 |
JPMorgan Macro Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 34.3% |
| Banks — 6.4% |
| Bank Central Asia Tbk. PT (Indonesia) | 102 | 58 |
| Bank Mandiri Persero Tbk. PT (Indonesia) | 139 | 85 |
| Bank Negara Indonesia Persero Tbk. PT (Indonesia) | 68 | 43 |
| Bank Rakyat Indonesia Persero Tbk. PT (Indonesia) | 519 | 173 |
| East West Bancorp, Inc. | 1 | 88 |
| First Republic Bank | 1 | 104 |
| HDFC Bank Ltd., ADR (India) | 8 | 435 |
| Signature Bank | 1 | 172 |
| | | 1,158 |
| Building Products — 1.0% |
| Allegion plc | 2 | 191 |
| Electric Utilities — 0.9% |
| Orsted A/S (Denmark) (a) | 1 | 163 |
| Electronic Equipment, Instruments & Components — 1.1% |
| Keyence Corp. (Japan) | 1 | 201 |
| Insurance — 2.3% |
| AIA Group Ltd. (Hong Kong) | 24 | 236 |
| Arthur J Gallagher & Co. | 1 | 175 |
| | | 411 |
| Interactive Media & Services — 1.8% |
| Alphabet, Inc., Class A * | — | 335 |
| Internet & Direct Marketing Retail — 1.7% |
| Amazon.com, Inc. * | — | 316 |
| IT Services — 2.0% |
| Mastercard, Inc., Class A | 1 | 280 |
| PayPal Holdings, Inc. * | 1 | 86 |
| | | 366 |
| Life Sciences Tools & Services — 2.2% |
| Thermo Fisher Scientific, Inc. | 1 | 396 |
| Personal Products — 1.1% |
| Estee Lauder Cos., Inc. (The), Class A | 1 | 193 |
| Pharmaceuticals — 2.8% |
| AstraZeneca plc (United Kingdom) | 1 | 132 |
| Eli Lilly & Co. | 1 | 230 |
| Novo Nordisk A/S, Class B (Denmark) | 1 | 147 |
| | | 509 |
| Semiconductors & Semiconductor Equipment — 0.4% |
| NVIDIA Corp. | — | 74 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Software — 6.6% |
| Adobe, Inc. * | 1 | 219 |
| Atlassian Corp. plc, Class A* | — | 136 |
| Microsoft Corp. | 1 | 386 |
| Salesforce, Inc. * | 1 | 221 |
| ServiceNow, Inc. * | 1 | 244 |
| | | 1,206 |
| Textiles, Apparel & Luxury Goods — 4.0% |
| Lululemon Athletica, Inc. * | 1 | 244 |
| LVMH Moet Hennessy Louis Vuitton SE (France) | — | 248 |
| NIKE, Inc., Class B | 2 | 242 |
| | | 734 |
Total Common Stocks
(Cost $5,724) | | 6,253 |
| | PRINCIPAL
AMOUNT
($000) | |
| Foreign Government Securities — 0.6% |
| Romania Government Bond | | |
| 2.75%, 2/26/2026 (a) | EUR 60 | 63 |
| 3.62%, 5/26/2030 (a) | EUR 58 | 55 |
Total Foreign Government Securities
(Cost $149) | | 118 |
| | NO. OF CONTRACTS | |
| Options Purchased — 0.4% |
| Call Options Purchased — 0.1% |
| Banks — 0.1% |
| Standard Chartered plc (United Kingdom) | | |
| 5/20/2022 at GBP 520.00, American Style | | |
| Notional Amount: GBP 60 | | |
| Counterparty: Exchange-Traded * | GBP 11 | 5 |
| Wells Fargo & Co. | | |
| 6/17/2022 at USD 52.50, American Style | | |
| Notional Amount: USD 96 | | |
| Counterparty: Exchange-Traded * | 22 | 1 |
| | | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. Morgan Specialty Funds | April 30, 2022 |
| INVESTMENTS | NO. OF CONTRACTS | VALUE
($000) |
| Call Options Purchased — continued |
| Foreign Exchange Currency Options — 0.0% ^ |
| Foreign Exchange EUR / USD (European Union) | | |
| 5/5/2022 at EUR 1.15, Vanilla, European Style | | |
| Notional Amount: EUR 1,149 | | |
| Counterparty: Barclays Bank plc * | EUR 1,149,000 | — |
| 5/5/2022 at EUR 1.19, Vanilla, European Style | | |
| Notional Amount: EUR 575 | | |
| Counterparty: Barclays Bank plc * | EUR 575,000 | —(b) |
| 5/5/2022 at EUR 1.19, Vanilla, European Style | | |
| Notional Amount: EUR 574 | | |
| Counterparty: Barclays Bank plc * | EUR 574,000 | —(b) |
| 5/5/2022 at EUR 1.19, Vanilla, European Style | | |
| Notional Amount: EUR 575 | | |
| Counterparty: Barclays Bank plc * | EUR 575,000 | —(b) |
| | | — |
| Total Call Options Purchased | | 6 |
| Put Options Purchased — 0.3% |
| Foreign Exchange Currency Options — 0.1% |
| Foreign Exchange USD / JPY | | |
| 10/26/2022 at USD 123.00, Vanilla, European Style | | |
| Notional Amount: USD 1,841 | | |
| Counterparty: Goldman Sachs International * | 1,841,000 | 25 |
| Index Funds — 0.2% |
| S&P 500 Index | | |
| 5/6/2022 at USD 4,150.00, European Style | | |
| Notional Amount: USD 1,653 | | |
| Counterparty: Exchange-Traded * | 4 | 33 |
| Total Put Options Purchased | | 58 |
Total Options Purchased
(Cost $93) | | 64 |
| | PRINCIPAL
AMOUNT
($000) | |
| Short Term Investments — 43.1% |
| Foreign Government Treasury Bills — 23.1% |
| German Treasury Bills (Germany) | | |
| (0.74)%, 5/18/2022 (a) (c) | EUR 254 | 269 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Foreign Government Treasury Bills — continued |
| (0.67)%, 6/22/2022 (a) (c) | EUR 841 | 888 |
| (0.68)%, 7/20/2022 (a) (c) | EUR 831 | 878 |
| Japan Treasury Bills (Japan) | | |
| (0.08)%, 6/6/2022 (c) | JPY 107,700 | 830 |
| (0.14)%, 7/25/2022 (c) | JPY 115,400 | 889 |
| (0.25)%, 8/1/2022 (c) | JPY 59,050 | 455 |
Total Foreign Government Treasury Bills
(Cost $4,438) | | 4,209 |
| | SHARES
(000) | |
| Investment Companies — 20.0% |
JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (d) (e)
(Cost $3,640) | 3,639 | 3,639 |
Total Short Term Investments
(Cost $8,078) | | 7,848 |
Total Investments — 78.4%
(Cost $14,044) | | 14,283 |
| Other Assets Less Liabilities — 21.6% | | 3,939 |
| NET ASSETS — 100.0% | | 18,222 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| Abbreviations | |
| ADR | American Depositary Receipt |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| PT | Limited liability company |
| USD | United States Dollar |
| ^ | Amount rounds to less than 0.1% of net assets. |
| * | Non-income producing security. | |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (b) | Value is zero. | |
| (c) | The rate shown is the effective yield as of April 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 13 |
JPMorgan Macro Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of April 30, 2022. | |
Futures contracts outstanding as of April 30, 2022 (amounts in thousands, except number of contracts):
| DESCRIPTION | NUMBER OF
CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL
AMOUNT ($) | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| Long Contracts | | | | | |
| Euro-Bund | 6 | 06/08/2022 | EUR | 973 | (29) |
| NASDAQ 100 E-Mini Index | 2 | 06/17/2022 | USD | 514 | (54) |
| STOXX Europe 600 Health Care Index | 6 | 06/17/2022 | EUR | 339 | 13 |
| STOXX 600 Insurance Index | 11 | 06/17/2022 | EUR | 179 | (1) |
| STOXX Europe 600 Utilities Equity Index | 13 | 06/17/2022 | EUR | 271 | 11 |
| XAU Utilities Index | 2 | 06/17/2022 | USD | 143 | 3 |
| XAV Health Care Index | 2 | 06/17/2022 | USD | 263 | 2 |
| | | | | | (55) |
| Short Contracts | | | | | |
| Euro-Bobl | (14) | 06/08/2022 | EUR | (1,879) | 22 |
| EURO STOXX 50 Index | (23) | 06/17/2022 | EUR | (893) | 37 |
| MSCI Emerging Markets E-Mini Index | (3) | 06/17/2022 | USD | (158) | 9 |
| S&P 500 E-Mini Index | (6) | 06/17/2022 | USD | (1,239) | 92 |
| STOXX 600 Banks Index | (63) | 06/17/2022 | EUR | (428) | 5 |
| U.S. Treasury 10 Year Note | (1) | 06/21/2022 | USD | (119) | 8 |
| | | | | | 173 |
| | | | | | 118 |
| Abbreviations | |
| EUR | Euro |
| MSCI | Morgan Stanley Capital International |
| NASDAQ | National Assosiation of Securities Dealers Automate Quotation |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. Morgan Specialty Funds | April 30, 2022 |
Forward foreign currency exchange contracts outstanding as of April 30, 2022 (amounts in thousands):
CURRENCY
PURCHASED | CURRENCY
SOLD | COUNTERPARTY | SETTLEMENT
DATE | UNREALIZED
APPRECIATION
(DEPRECIATION ($) |
| USD | 727 | CNY | 4,799 | HSBC Bank, NA** | 5/24/2022 | 3 |
| USD | 177 | COP | 703,288 | BNP Paribas** | 5/24/2022 | —(a) |
| USD | 484 | DKK | 3,296 | BNP Paribas | 5/24/2022 | 16 |
| USD | 262 | HKD | 2,055 | Barclays Bank plc | 5/24/2022 | —(a) |
| USD | 45 | IDR | 650,899 | Bank of America NA** | 5/24/2022 | —(a) |
| USD | 1,099 | INR | 84,043 | BNP Paribas** | 5/24/2022 | 4 |
| USD | 729 | TWD | 21,082 | BNP Paribas** | 5/24/2022 | 12 |
| USD | 1,278 | ZAR | 18,843 | Goldman Sachs International | 5/24/2022 | 88 |
| GBP | 77 | USD | 96 | Goldman Sachs International | 7/25/2022 | 1 |
| USD | 1,452 | AUD | 1,965 | Goldman Sachs International | 7/25/2022 | 61 |
| USD | 3,460 | EUR | 3,160 | Goldman Sachs International | 7/25/2022 | 112 |
| USD | 251 | GBP | 191 | Goldman Sachs International | 7/25/2022 | 11 |
| USD | 2,434 | JPY | 307,559 | Goldman Sachs International | 7/25/2022 | 56 |
| Total unrealized appreciation | 364 |
| CNY | 4,732 | USD | 739 | Citibank, NA** | 5/24/2022 | (26) |
| DKK | 300 | USD | 44 | BNP Paribas | 5/24/2022 | (1) |
| DKK | 430 | USD | 64 | Merrill Lynch International | 5/24/2022 | (2) |
| DKK | 250 | USD | 36 | State Street Corp. | 5/24/2022 | (1) |
| IDR | 3,383,574 | USD | 235 | Standard Chartered Bank** | 5/24/2022 | (3) |
| INR | 5,509 | USD | 72 | Bank of America NA** | 5/24/2022 | —(a) |
| INR | 4,059 | USD | 53 | Citibank, NA** | 5/24/2022 | —(a) |
| KRW | 32,676 | USD | 27 | Barclays Bank plc** | 5/24/2022 | (1) |
| MXN | 3,739 | USD | 183 | Goldman Sachs International | 5/24/2022 | (1) |
| TWD | 21,522 | USD | 736 | HSBC Bank, NA** | 5/24/2022 | (4) |
| ZAR | 1,433 | USD | 93 | Goldman Sachs International | 5/24/2022 | (3) |
| ZAR | 2,688 | USD | 185 | HSBC Bank, NA | 5/24/2022 | (15) |
| ZAR | 3,392 | USD | 229 | Merrill Lynch International | 5/24/2022 | (16) |
| EUR | 756 | USD | 823 | Goldman Sachs International | 7/25/2022 | (21) |
| JPY | 175,822 | USD | 1,379 | Goldman Sachs International | 7/25/2022 | (19) |
| USD | 1,379 | JPY | 179,429 | Goldman Sachs International | 7/25/2022 | (8) |
| Total unrealized depreciation | (121) |
| Net unrealized appreciation | 243 |
| Abbreviations | |
| AUD | Australian Dollar |
| CNY | China Yuan |
| COP | Columbian Peso |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| IDR | Indonesian Rupiah |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | Korean Republic Won |
| MXN | Mexican Peso |
| TWD | Taiwan Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 15 |
JPMorgan Macro Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| USD | United States Dollar |
| ZAR | South African Rand |
| (a) | Amount rounds to less than one thousand. |
| ** | Non-deliverable forward. |
Written Call Options Contracts as of April 30, 2022 (amounts in thousands, except number of contracts):
|
| DESCRIPTION | COUNTERPARTY | NUMBER OF
CONTRACTS | NOTIONAL
AMOUNT | EXERCISE
PRICE | EXPIRATION
DATE | VALUE ($) |
| Foreign Exchange EUR / USD | Barclays Bank plc | 1,724,000 | EUR 1,724 | EUR 1.19 | 5/05/2022 | —(a) |
| Foreign Exchange EUR / USD | Barclays Bank plc | 1,149,000 | EUR 1,149 | EUR 1.15 | 5/05/2022 | —(a) |
| Total Written Options Contracts | —(a) |
Written Put Options Contracts as of April 30, 2022 (amounts in thousands, except number of contracts):
|
| DESCRIPTION | COUNTERPARTY | NUMBER OF
CONTRACTS | NOTIONAL
AMOUNT | EXERCISE
PRICE | EXPIRATION
DATE | VALUE ($) |
| Foreign Exchange USD / JPY | Goldman Sachs International | 1,841,000 | USD 1,841 | USD 120.00 | 10/26/2022 | (16) |
| Total Written Options Contracts (Premiums Received $32) | (16) |
|
| (a) | Amount rounds to less than one thousand. |
| Abbreviations | |
| EUR | Euro |
| JPY | Japanese Yen |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. Morgan Specialty Funds | April 30, 2022 |
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Long Positions — 102.1% |
| Common Stocks — 59.9% |
| Automobiles — 6.0% |
| Ferrari NV (Italy) | 15 | 3,150 |
| Tesla, Inc. * (a) | 39 | 33,988 |
| | | 37,138 |
| Diversified Financial Services — 2.0% |
| Berkshire Hathaway, Inc., Class B * (a) | 37 | 12,091 |
| Electric Utilities — 1.6% |
| Exelon Corp. | 215 | 10,079 |
| Equity Real Estate Investment Trusts (REITs) — 1.4% |
| Welltower, Inc. | 95 | 8,584 |
| Health Care Equipment & Supplies — 5.8% |
| Zimmer Biomet Holdings, Inc. (a) | 297 | 35,836 |
| Health Care Providers & Services — 8.5% |
| Centene Corp. * (a) | 342 | 27,530 |
| UnitedHealth Group, Inc. (a) | 49 | 24,942 |
| | | 52,472 |
| Interactive Media & Services — 0.7% |
| Alphabet, Inc., Class A * | 2 | 4,062 |
| Machinery — 4.5% |
| PACCAR, Inc. (a) | 335 | 27,790 |
| Multiline Retail — 10.1% |
| Dollar General Corp. | 85 | 20,129 |
| Target Corp. | 185 | 42,279 |
| | | 62,408 |
| Road & Rail — 5.5% |
| Old Dominion Freight Line, Inc. (a) | 93 | 25,862 |
| Union Pacific Corp. (a) | 33 | 7,793 |
| | | 33,655 |
| Semiconductors & Semiconductor Equipment — 8.1% |
| Advanced Micro Devices, Inc. * | 233 | 19,899 |
| NXP Semiconductors NV (China) | 173 | 29,654 |
| | | 49,553 |
| Software — 2.4% |
| Microsoft Corp. (a) | 53 | 14,829 |
| Specialty Retail — 3.2% |
| O'Reilly Automotive, Inc. * (a) | 33 | 19,809 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Technology Hardware, Storage & Peripherals — 0.1% |
| Seagate Technology Holdings plc | 7 | 617 |
Total Common Stocks
(Cost $368,112) | | 368,923 |
| Exchange-Traded Funds — 1.0% |
| U.S. Equity — 1.0% |
| Invesco Trust (Cost $6,126) | 19 | 5,981 |
| Short-Term Investments — 41.2% |
| Investment Companies — 41.2% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (b) (c)(Cost $253,878) | 253,821 | 253,872 |
Total Long Positions
(Cost $628,116) | | 628,776 |
| Short Positions — (21.8)% |
| Common Stocks — (18.8)% |
| Automobiles — (0.0)% ^ |
| Rivian Automotive, Inc., Class A * | (2) | (62) |
| Building Products — (1.6)% |
| Johnson Controls International plc | (161) | (9,649) |
| Consumer Finance — (1.8)% |
| SoFi Technologies, Inc. * | (1,702) | (10,416) |
| Upstart Holdings, Inc. * | (7) | (543) |
| | | (10,959) |
| Food Products — (0.9)% |
| Conagra Brands, Inc. | (110) | (3,856) |
| Kellogg Co. | (27) | (1,826) |
| | | (5,682) |
| Hotels, Restaurants & Leisure — (1.5)% |
| Wynn Resorts Ltd. * | (134) | (9,437) |
| Household Products — (5.8)% |
| Kimberly-Clark Corp. | (259) | (35,957) |
| Industrial Conglomerates — (3.5)% |
| 3M Co. | (150) | (21,643) |
| Internet & Direct Marketing Retail — (0.0)% ^ |
| Wayfair, Inc., Class A * | (1) | (58) |
| Professional Services — (0.5)% |
| ManpowerGroup, Inc. | (32) | (2,849) |
| Technology Hardware, Storage & Peripherals — (1.6)% |
| Apple, Inc. | (64) | (10,071) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 17 |
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short Positions — continued |
| Common Stocks — continued |
| Tobacco — (1.6)% |
| Altria Group, Inc. | (172) | (9,568) |
Total Common Stocks
(Proceeds $(118,017)) | | (115,935) |
| Exchange-Traded Funds — (3.0)% |
| U.S. Equity — (3.0)% |
SPDR S&P 500 ETF Trust
(Proceeds $(18,095)) | (44) | (18,124) |
Total Short Positions
(Proceeds $(136,112)) | | (134,059) |
Total Investments — 80.3%
(Cost $492,004) | | 494,717 |
| Other Assets Less Liabilities — 19.7% | | 121,189 |
| Net Assets — 100.0% | | 615,906 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| ETF | Exchange Traded Fund |
| SPDR | Standard & Poor's Depositary Receipt |
| ^ | Amount rounds to less than 0.1% of net assets. |
| * | Non-income producing security. | |
| (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 $70,910 and $154,144, respectively. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of April 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. Morgan Specialty Funds | April 30, 2022 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Long Positions — 98.4% |
| Common Stocks — 67.5% |
| Aerospace & Defense — 1.6% |
| Howmet Aerospace, Inc. | 12 | 417 |
| Northrop Grumman Corp. | 2 | 719 |
| Raytheon Technologies Corp. | 6 | 562 |
| Textron, Inc. | 3 | 243 |
| TransDigm Group, Inc. * | — | 97 |
| | | 2,038 |
| Air Freight & Logistics — 0.5% |
| FedEx Corp. | — | 70 |
| United Parcel Service, Inc., Class B | 3 | 500 |
| | | 570 |
| Auto Components — 0.7% |
| Aptiv plc * | 2 | 237 |
| Lear Corp. | 1 | 137 |
| Magna International, Inc. (Canada) | 9 | 498 |
| | | 872 |
| Automobiles — 0.1% |
| Rivian Automotive, Inc., Class A * | 4 | 133 |
| Banks — 2.4% |
| Fifth Third Bancorp | 18 | 657 |
| M&T Bank Corp. | 2 | 345 |
| SVB Financial Group * | 1 | 359 |
| Truist Financial Corp. | 6 | 293 |
| Wells Fargo & Co. (a) | 29 | 1,278 |
| | | 2,932 |
| Beverages — 1.2% |
| Coca-Cola Co. (The) | 6 | 362 |
| Constellation Brands, Inc., Class A | 1 | 280 |
| Monster Beverage Corp. * | 4 | 341 |
| PepsiCo, Inc. | 3 | 529 |
| | | 1,512 |
| Biotechnology — 3.9% |
| AbbVie, Inc. (a) | 10 | 1,423 |
| Biogen, Inc. * | 3 | 610 |
| BioMarin Pharmaceutical, Inc. * | 4 | 373 |
| Neurocrine Biosciences, Inc. * | 3 | 272 |
| Regeneron Pharmaceuticals, Inc. * | 1 | 674 |
| Sarepta Therapeutics, Inc. * | 5 | 335 |
| Vertex Pharmaceuticals, Inc. * | 4 | 1,217 |
| | | 4,904 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Building Products — 0.8% |
| Fortune Brands Home & Security, Inc. | — | 23 |
| Trane Technologies plc | 7 | 952 |
| | | 975 |
| Capital Markets — 1.4% |
| Charles Schwab Corp. (The) | 9 | 590 |
| CME Group, Inc. | 1 | 188 |
| Morgan Stanley | 1 | 68 |
| S&P Global, Inc. | 2 | 744 |
| State Street Corp. | 1 | 120 |
| | | 1,710 |
| Chemicals — 1.0% |
| Air Products and Chemicals, Inc. (a) | 1 | 157 |
| DuPont de Nemours, Inc. (a) | 5 | 368 |
| Eastman Chemical Co. (a) | 2 | 182 |
| Linde plc (United Kingdom) | 1 | 389 |
| PPG Industries, Inc. | 1 | 102 |
| | | 1,198 |
| Commercial Services & Supplies — 0.8% |
| Republic Services, Inc. | 4 | 561 |
| Waste Connections, Inc. | 4 | 483 |
| | | 1,044 |
| Communications Equipment — 0.1% |
| Juniper Networks, Inc. | 5 | 154 |
| Construction Materials — 0.5% |
| Martin Marietta Materials, Inc. | 1 | 445 |
| Vulcan Materials Co. | 1 | 190 |
| | | 635 |
| Consumer Finance — 0.8% |
| American Express Co. | 5 | 962 |
| Electric Utilities — 1.9% |
| Alliant Energy Corp. | 1 | 72 |
| Exelon Corp. | 29 | 1,376 |
| FirstEnergy Corp. | 14 | 593 |
| Xcel Energy, Inc. | 5 | 366 |
| | | 2,407 |
| Electrical Equipment — 0.6% |
| Eaton Corp. plc | 5 | 706 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 19 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Long Positions — continued |
| Common Stocks — continued |
| Electronic Equipment, Instruments & Components — 0.6% |
| Corning, Inc. | 10 | 371 |
| Keysight Technologies, Inc. * | 3 | 410 |
| | | 781 |
| Energy Equipment & Services — 0.5% |
| Baker Hughes Co. | 18 | 565 |
| Entertainment — 0.7% |
| Endeavor Group Holdings, Inc., Class A * | 40 | 914 |
| Equity Real Estate Investment Trusts (REITs) — 2.3% |
| American Homes 4 Rent, Class A | 6 | 250 |
| Camden Property Trust | 2 | 373 |
| Equinix, Inc. | — | 136 |
| Host Hotels & Resorts, Inc. | 3 | 63 |
| Invitation Homes, Inc. | 9 | 334 |
| Kimco Realty Corp. | 12 | 288 |
| Prologis, Inc. | 2 | 355 |
| Sun Communities, Inc. | 2 | 341 |
| UDR, Inc. | 5 | 271 |
| Ventas, Inc. | 1 | 69 |
| WP Carey, Inc. | 1 | 88 |
| Cousins Properties, Inc. | 9 | 306 |
| | | 2,874 |
| Food Products — 0.7% |
| Hershey Co. (The) | 3 | 679 |
| Mondelez International, Inc., Class A | 3 | 196 |
| | | 875 |
| Health Care Equipment & Supplies — 1.3% |
| Becton Dickinson and Co. | 1 | 215 |
| Boston Scientific Corp. * | 16 | 685 |
| Intuitive Surgical, Inc. * | 2 | 433 |
| Zimmer Biomet Holdings, Inc. | 2 | 238 |
| | | 1,571 |
| Health Care Providers & Services — 2.4% |
| Centene Corp. * | 8 | 643 |
| CVS Health Corp. (a) | 9 | 927 |
| Humana, Inc. | 1 | 365 |
| UnitedHealth Group, Inc. (a) | 2 | 1,005 |
| | | 2,940 |
| Hotels, Restaurants & Leisure — 2.7% |
| Booking Holdings, Inc. * | — | 170 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Hotels, Restaurants & Leisure — continued |
| Chipotle Mexican Grill, Inc. * | 1 | 672 |
| Domino's Pizza, Inc. | 1 | 315 |
| Expedia Group, Inc. * | 2 | 361 |
| Hilton Worldwide Holdings, Inc. * | — | 47 |
| Marriott International, Inc., Class A * | 2 | 397 |
| McDonald's Corp. | 4 | 901 |
| Yum! Brands, Inc. (a) | 4 | 501 |
| | | 3,364 |
| Household Durables — 0.3% |
| Toll Brothers, Inc. | 7 | 333 |
| Household Products — 0.2% |
| Procter & Gamble Co. (The) | 1 | 207 |
| Industrial Conglomerates — 0.0% ^ |
| Roper Technologies, Inc. | — | 47 |
| Insurance — 1.5% |
| Arthur J Gallagher & Co. | 3 | 487 |
| Hartford Financial Services Group, Inc. (The) | 5 | 318 |
| Progressive Corp. (The) (a) | 10 | 1,118 |
| | | 1,923 |
| Interactive Media & Services — 1.9% |
| Alphabet, Inc., Class C * | — | 561 |
| Alphabet, Inc., Class A * | — | 301 |
| Meta Platforms, Inc., Class A * | 3 | 624 |
| Snap, Inc., Class A * | 31 | 861 |
| | | 2,347 |
| Internet & Direct Marketing Retail — 1.4% |
| Amazon.com, Inc. * (a) | — | 1,748 |
| DoorDash, Inc., Class A * | 1 | 57 |
| | | 1,805 |
| IT Services — 4.9% |
| Affirm Holdings, Inc. * | 9 | 273 |
| Automatic Data Processing, Inc. | 1 | 185 |
| Fidelity National Information Services, Inc. | 1 | 129 |
| FleetCor Technologies, Inc. * | 5 | 1,233 |
| Mastercard, Inc., Class A (a) | 9 | 3,097 |
| Shopify, Inc., Class A (Canada) * (a) | 1 | 542 |
| Visa, Inc., Class A | 1 | 171 |
| WEX, Inc. * | 3 | 446 |
| | | 6,076 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. Morgan Specialty Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Long Positions — continued |
| Common Stocks — continued |
| Life Sciences Tools & Services — 1.2% |
| Danaher Corp. | 2 | 413 |
| PerkinElmer, Inc. | 3 | 383 |
| Thermo Fisher Scientific, Inc. (a) | 1 | 709 |
| | | 1,505 |
| Machinery — 3.2% |
| Deere & Co. (a) | 4 | 1,464 |
| Dover Corp. | 8 | 1,067 |
| Ingersoll Rand, Inc. | 5 | 225 |
| Otis Worldwide Corp. | 11 | 819 |
| Parker-Hannifin Corp. | 2 | 363 |
| | | 3,938 |
| Media — 1.1% |
| Charter Communications, Inc., Class A * | 1 | 401 |
| Comcast Corp., Class A | 7 | 262 |
| Liberty Media Corp.-Liberty SiriusXM, Class A * | 17 | 723 |
| | | 1,386 |
| Metals & Mining — 0.4% |
| Freeport-McMoRan, Inc. | 11 | 448 |
| Multiline Retail — 0.4% |
| Dollar General Corp. | 2 | 446 |
| Multi-Utilities — 1.8% |
| Ameren Corp. (a) | 13 | 1,218 |
| CenterPoint Energy, Inc. | 16 | 478 |
| NiSource, Inc. | 9 | 274 |
| Sempra Energy | 2 | 232 |
| | | 2,202 |
| Oil, Gas & Consumable Fuels — 4.2% |
| Cheniere Energy, Inc. | 3 | 466 |
| ConocoPhillips (a) | 11 | 1,014 |
| Coterra Energy, Inc. | 5 | 146 |
| Diamondback Energy, Inc. (a) | 13 | 1,686 |
| EOG Resources, Inc. | 5 | 565 |
| ONEOK, Inc. | 5 | 290 |
| Phillips 66 | 8 | 703 |
| Pioneer Natural Resources Co. (a) | 1 | 318 |
| | | 5,188 |
| Personal Products — 0.1% |
| Estee Lauder Cos., Inc. (The), Class A | — | 123 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Pharmaceuticals — 1.0% |
| Bristol-Myers Squibb Co. | 12 | 892 |
| Eli Lilly & Co. | 1 | 316 |
| | | 1,208 |
| Professional Services — 0.9% |
| Booz Allen Hamilton Holding Corp. | 5 | 406 |
| Leidos Holdings, Inc. (a) | 7 | 697 |
| | | 1,103 |
| Road & Rail — 3.1% |
| Canadian National Railway Co. (Canada) | 2 | 235 |
| CSX Corp. | 9 | 303 |
| Knight-Swift Transportation Holdings, Inc. | 5 | 243 |
| Lyft, Inc., Class A * (a) | 35 | 1,146 |
| Norfolk Southern Corp. (a) | 3 | 825 |
| Old Dominion Freight Line, Inc. | 2 | 620 |
| Uber Technologies, Inc. * (a) | 12 | 379 |
| Union Pacific Corp. | 1 | 55 |
| XPO Logistics, Inc. * | 2 | 100 |
| | | 3,906 |
| Semiconductors & Semiconductor Equipment — 5.5% |
| Advanced Micro Devices, Inc. * (a) | 15 | 1,261 |
| Analog Devices, Inc. | 3 | 519 |
| Lam Research Corp. (a) | 1 | 525 |
| Marvell Technology, Inc. | 3 | 150 |
| Microchip Technology, Inc. | 5 | 293 |
| NXP Semiconductors NV (China) | 14 | 2,418 |
| ON Semiconductor Corp. * | 7 | 346 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 3 | 270 |
| Teradyne, Inc. | 4 | 449 |
| Texas Instruments, Inc. | 3 | 554 |
| | | 6,785 |
| Software — 1.1% |
| Autodesk, Inc. * | 1 | 250 |
| Coupa Software, Inc. * | 4 | 299 |
| DocuSign, Inc. * | 3 | 213 |
| Intuit, Inc. | — | 140 |
| Microsoft Corp. | 1 | 326 |
| Workday, Inc., Class A * | 1 | 183 |
| | | 1,411 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 21 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Long Positions — continued |
| Common Stocks — continued |
| Specialty Retail — 2.3% |
| AutoZone, Inc. * | — | 430 |
| Best Buy Co., Inc. | 4 | 325 |
| Burlington Stores, Inc. * | 3 | 597 |
| Lowe's Cos., Inc. (a) | 4 | 797 |
| O'Reilly Automotive, Inc. * (a) | 1 | 745 |
| | | 2,894 |
| Technology Hardware, Storage & Peripherals — 0.9% |
| Hewlett Packard Enterprise Co. | 22 | 339 |
| Seagate Technology Holdings plc | 10 | 836 |
| | | 1,175 |
| Wireless Telecommunication Services — 0.6% |
| T-Mobile US, Inc. * | 7 | 812 |
Total Common Stocks
(Cost $73,623) | | 83,904 |
| Short-Term Investments — 30.9% |
| Investment Companies — 30.9% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (b) (c)(Cost $38,464) | 38,460 | 38,468 |
Total Long Positions
(Cost $112,087) | | 122,372 |
| Short Positions — (63.5)% |
| Common Stocks — (63.5)% |
| Aerospace & Defense — (0.9)% |
| Hexcel Corp. | (3) | (152) |
| Huntington Ingalls Industries, Inc. | (4) | (795) |
| L3Harris Technologies, Inc. | — | (142) |
| | | (1,089) |
| Air Freight & Logistics — (1.0)% |
| CH Robinson Worldwide, Inc. | (7) | (737) |
| Expeditors International of Washington, Inc. | (5) | (542) |
| | | (1,279) |
| Auto Components — (0.8)% |
| Autoliv, Inc. (Sweden) | (6) | (438) |
| BorgWarner, Inc. | (16) | (575) |
| | | (1,013) |
| Automobiles — (0.1)% |
| Harley-Davidson, Inc. | (2) | (81) |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Banks — (2.1)% |
| First Republic Bank | (4) | (623) |
| Huntington Bancshares, Inc. | (56) | (734) |
| KeyCorp | (38) | (727) |
| PNC Financial Services Group, Inc. (The) | (3) | (493) |
| | | (2,577) |
| Beverages — (0.1)% |
| Brown-Forman Corp., Class B | (2) | (125) |
| Biotechnology — (2.0)% |
| Amgen, Inc. | (2) | (448) |
| Gilead Sciences, Inc. | (15) | (888) |
| Moderna, Inc. * | (9) | (1,197) |
| | | (2,533) |
| Building Products — (1.3)% |
| Allegion plc | (3) | (359) |
| Carrier Global Corp. | (15) | (557) |
| Johnson Controls International plc | (10) | (614) |
| Masco Corp. | (2) | (130) |
| | | (1,660) |
| Capital Markets — (2.3)% |
| BlackRock, Inc. | (1) | (443) |
| Franklin Resources, Inc. | (24) | (602) |
| Goldman Sachs Group, Inc. (The) | (1) | (351) |
| Moody's Corp. | (2) | (672) |
| MSCI, Inc. | (1) | (311) |
| Northern Trust Corp. | (5) | (527) |
| | | (2,906) |
| Chemicals — (0.5)% |
| Dow, Inc. | (7) | (432) |
| Ecolab, Inc. | (1) | (150) |
| Sherwin-Williams Co. (The) | — | (65) |
| | | (647) |
| Commercial Services & Supplies — (0.2)% |
| Waste Management, Inc. | (1) | (224) |
| Communications Equipment — (1.0)% |
| Cisco Systems, Inc. | (26) | (1,266) |
| Consumer Finance — (1.0)% |
| Capital One Financial Corp. | (9) | (1,073) |
| Discover Financial Services | (1) | (172) |
| | | (1,245) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. Morgan Specialty Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short Positions — continued |
| Common Stocks — continued |
| Containers & Packaging — (1.2)% |
| AptarGroup, Inc. | (3) | (386) |
| Ball Corp. | (4) | (311) |
| International Paper Co. | (7) | (307) |
| Packaging Corp. of America | (1) | (112) |
| Silgan Holdings, Inc. | (8) | (376) |
| | | (1,492) |
| Diversified Telecommunication Services — (1.6)% |
| AT&T, Inc. | (36) | (684) |
| Lumen Technologies, Inc. | (60) | (599) |
| Verizon Communications, Inc. | (16) | (741) |
| | | (2,024) |
| Electric Utilities — (3.1)% |
| American Electric Power Co., Inc. | (12) | (1,140) |
| Duke Energy Corp. | (7) | (739) |
| Eversource Energy | (5) | (416) |
| Pinnacle West Capital Corp. | (6) | (461) |
| PPL Corp. | (13) | (361) |
| Southern Co. (The) | (10) | (758) |
| | | (3,875) |
| Electrical Equipment �� (1.4)% |
| Acuity Brands, Inc. | (3) | (478) |
| Emerson Electric Co. | (5) | (464) |
| Hubbell, Inc. | (3) | (677) |
| Sensata Technologies Holding plc * | (2) | (93) |
| | | (1,712) |
| Electronic Equipment, Instruments & Components — (0.1)% |
| Cognex Corp. | (3) | (176) |
| Energy Equipment & Services — (0.5)% |
| Schlumberger NV | (17) | (651) |
| Entertainment — (0.3)% |
| AMC Entertainment Holdings, Inc., Class A * | (22) | (339) |
| Warner Bros Discovery, Inc. * | — | — |
| | | (339) |
| Equity Real Estate Investment Trusts (REITs) — (2.8)% |
| AvalonBay Communities, Inc. | — | (101) |
| Duke Realty Corp. | (6) | (331) |
| Equity Residential | (1) | (98) |
| Iron Mountain, Inc. | (19) | (996) |
| National Retail Properties, Inc. | (14) | (592) |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Equity Real Estate Investment Trusts (REITs) — continued |
| Orion Office REIT, Inc. | — | — |
| Realty Income Corp. | (3) | (221) |
| Simon Property Group, Inc. | (6) | (735) |
| SL Green Realty Corp. | (4) | (239) |
| Vornado Realty Trust | (5) | (200) |
| | | (3,513) |
| Food & Staples Retailing — (4.1)% |
| Costco Wholesale Corp. | — | (100) |
| Kroger Co. (The) | (48) | (2,574) |
| Walgreens Boots Alliance, Inc. | (23) | (987) |
| Walmart, Inc. | (10) | (1,448) |
| | | (5,109) |
| Food Products — (1.3)% |
| Campbell Soup Co. | (9) | (429) |
| Conagra Brands, Inc. | (6) | (226) |
| General Mills, Inc. | (6) | (401) |
| Kellogg Co. | (9) | (585) |
| | | (1,641) |
| Gas Utilities — (0.4)% |
| National Fuel Gas Co. | (6) | (438) |
| Health Care Equipment & Supplies — (1.2)% |
| Baxter International, Inc. | (9) | (652) |
| Stryker Corp. | (3) | (774) |
| | | (1,426) |
| Health Care Providers & Services — (1.0)% |
| Henry Schein, Inc. * | (5) | (390) |
| Quest Diagnostics, Inc. | (5) | (630) |
| Universal Health Services, Inc., Class B | (1) | (198) |
| | | (1,218) |
| Hotels, Restaurants & Leisure — (0.9)% |
| Starbucks Corp. | (15) | (1,132) |
| Household Durables — (0.3)% |
| Mohawk Industries, Inc. * | (1) | (106) |
| NVR, Inc. * | — | (171) |
| PulteGroup, Inc. | (3) | (137) |
| | | (414) |
| Household Products — (1.0)% |
| Church & Dwight Co., Inc. | (2) | (233) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 23 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short Positions — continued |
| Common Stocks — continued |
| Household Products — continued |
| Clorox Co. (The) | (4) | (587) |
| Kimberly-Clark Corp. | (3) | (377) |
| | | (1,197) |
| Industrial Conglomerates — (2.1)% |
| 3M Co. | (13) | (1,829) |
| General Electric Co. | (11) | (830) |
| | | (2,659) |
| Insurance — (1.5)% |
| Allstate Corp. (The) | (4) | (500) |
| Aon plc, Class A | — | (119) |
| Chubb Ltd. | (3) | (639) |
| Ryan Specialty Group Holdings, Inc., Class A * | (7) | (273) |
| W R Berkley Corp. | (3) | (188) |
| Willis Towers Watson plc | (1) | (138) |
| | | (1,857) |
| Internet & Direct Marketing Retail — (0.6)% |
| eBay, Inc. | (15) | (796) |
| IT Services — (2.5)% |
| Cognizant Technology Solutions Corp., Class A | (7) | (531) |
| DXC Technology Co. * | (4) | (107) |
| Global Payments, Inc. | (3) | (385) |
| Jack Henry & Associates, Inc. | (1) | (207) |
| Paychex, Inc. | (5) | (607) |
| PayPal Holdings, Inc. * | (1) | (100) |
| Western Union Co. (The) | (70) | (1,179) |
| | | (3,116) |
| Life Sciences Tools & Services — (0.8)% |
| Agilent Technologies, Inc. | (3) | (438) |
| Waters Corp. * | (2) | (533) |
| | | (971) |
| Machinery — (1.6)% |
| Caterpillar, Inc. | (2) | (451) |
| Donaldson Co., Inc. | (4) | (206) |
| IDEX Corp. | (1) | (210) |
| Illinois Tool Works, Inc. | (4) | (674) |
| PACCAR, Inc. | (5) | (406) |
| | | (1,947) |
| Media — (4.4)% |
| Interpublic Group of Cos., Inc. (The) | (27) | (888) |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| |
| Media — continued |
| Omnicom Group, Inc. | (32) | (2,426) |
| Paramount Global, Class B | (57) | (1,650) |
| Sirius XM Holdings, Inc. | (83) | (499) |
| | | (5,463) |
| Multiline Retail — (0.3)% |
| Macy's, Inc. | (6) | (151) |
| Target Corp. | (1) | (215) |
| | | (366) |
| Multi-Utilities — (0.2)% |
| Dominion Energy, Inc. | (3) | (231) |
| Oil, Gas & Consumable Fuels — (3.2)% |
| Enbridge, Inc. (Canada) | (40) | (1,733) |
| Exxon Mobil Corp. | (11) | (948) |
| Hess Corp. | (10) | (1,037) |
| Marathon Oil Corp. | (11) | (269) |
| | | (3,987) |
| Pharmaceuticals — (2.2)% |
| Johnson & Johnson | (3) | (571) |
| Merck & Co., Inc. | (10) | (845) |
| Pfizer, Inc. | (16) | (806) |
| Zoetis, Inc. | (3) | (526) |
| | | (2,748) |
| Professional Services — (0.5)% |
| Equifax, Inc. | — | (48) |
| TransUnion | (4) | (349) |
| Verisk Analytics, Inc. | (1) | (211) |
| | | (608) |
| Road & Rail — (1.0)% |
| Canadian Pacific Railway Ltd. (Canada) | (2) | (162) |
| Heartland Express, Inc. | (19) | (257) |
| JB Hunt Transport Services, Inc. | (2) | (289) |
| Werner Enterprises, Inc. | (13) | (515) |
| | | (1,223) |
| Semiconductors & Semiconductor Equipment — (3.0)% |
| Broadcom, Inc. | (3) | (1,244) |
| Intel Corp. | (34) | (1,491) |
| QUALCOMM, Inc. | (6) | (847) |
| Universal Display Corp. | (1) | (135) |
| | | (3,717) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. Morgan Specialty Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short Positions — continued |
| Common Stocks — continued |
| Software — (1.4)% |
| Ceridian HCM Holding, Inc. * | (10) | (558) |
| Oracle Corp. | (1) | (46) |
| Palantir Technologies, Inc., Class A * | (13) | (135) |
| Paycom Software, Inc. * | (2) | (504) |
| Salesforce, Inc. * | (1) | (270) |
| VMware, Inc., Class A | (2) | (231) |
| | | (1,744) |
| Specialty Retail — (0.4)% |
| CarMax, Inc. * | (3) | (268) |
| Williams-Sonoma, Inc. | (1) | (162) |
| | | (430) |
| Technology Hardware, Storage & Peripherals — (2.6)% |
| Apple, Inc. | (9) | (1,410) |
| HP, Inc. | (13) | (488) |
| NetApp, Inc. | (17) | (1,275) |
| Xerox Holdings Corp. | (5) | (79) |
| | | (3,252) |
| Textiles, Apparel & Luxury Goods — (0.2)% |
| VF Corp. | (5) | (280) |
| Trading Companies & Distributors — (0.5)% |
| Fastenal Co. | (10) | (566) |
Total Common Stocks
(Proceeds $(84,734)) | | (78,963) |
Total Short Positions
(Proceeds $(84,734)) | | (78,963) |
Total Investments — 34.9%
(Cost $27,353) | | 43,409 |
| Other Assets Less Liabilities — 65.1% | | 80,938 |
| Net Assets — 100.0% | | 124,347 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| Abbreviations | |
| ADR | American Depositary Receipt |
| ^ | Amount rounds to less than 0.1% of net assets. |
| * | Non-income producing security. | |
| (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 $14,707 and $80,921, respectively. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of April 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 25 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited)
(Amounts in thousands, except per share amounts)
| | JPMorgan
Macro
Opportunities
Fund | | JPMorgan
Opportunistic
Equity
Long/Short Fund | | JPMorgan
Research
Market
Neutral Fund |
| ASSETS: | | | | | |
| Investments in non-affiliates, at value | $10,580 | | $374,904 | | $ 83,904 |
| Investments in affiliates, at value | 3,639 | | 253,872 | | 38,468 |
| Options purchased, at value | 64 | | — | | — |
| Restricted cash for exchange-traded options | 813 | | — | | — |
| Cash | 2,503 | | — | | — |
| Foreign currency, at value | 88 | | — | | — |
| Deposits at broker for futures contracts | — | | — | | 72 |
| Deposits at broker for securities sold short | — | | 154,144 | | 80,921 |
| Receivables: | | | | | |
| Due from custodian | — | | 9,881 | | — |
| Investment securities sold | — | | 67,190 | | 3,524 |
| Fund shares sold | — | | 597 | | 271 |
| Interest from non-affiliates | 2 | | — | | 5 |
| Dividends from non-affiliates | 2 | | 68 | | 54 |
| Dividends from affiliates | —(a) | | 78 | | 10 |
| Tax reclaims | 4 | | — | | — |
| Variation margin on futures contracts | 425 | | — | | — |
| Unrealized appreciation on forward foreign currency exchange contracts | 364 | | — | | — |
| Due from adviser | 15 | | — | | — |
| Total Assets | 18,499 | | 860,734 | | 207,229 |
| LIABILITIES: | | | | | |
| Payables: | | | | | |
| Due to custodian | — | | — | | 9 |
| Securities sold short, at value | — | | 134,059 | | 78,963 |
| Dividend expense to non-affiliates on securities sold short | — | | 34 | | 72 |
| Investment securities purchased | — | | 108,906 | | 3,634 |
| Interest expense to non-affiliates on securities sold short | — | | 2 | | — |
| Fund shares redeemed | — | | 1,062 | | 54 |
| Variation margin on futures contracts | — | | — | | 2 |
| Unrealized depreciation on forward foreign currency exchange contracts | 121 | | — | | — |
| Outstanding options written, at fair value | 16 | | — | | — |
| Accrued liabilities: | | | | | |
| Investment advisory fees | — | | 612 | | 26 |
| Administration fees | — | | 40 | | 3 |
| Distribution fees | —(a) | | 9 | | 5 |
| Service fees | 4 | | 77 | | 25 |
| Custodian and accounting fees | 7 | | 3 | | 8 |
| Trustees’ and Chief Compliance Officer’s fees | — | | — | | 1 |
| Other | 129 | | 24 | | 80 |
| Total Liabilities | 277 | | 244,828 | | 82,882 |
| Net Assets | $18,222 | | $615,906 | | $124,347
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | JPMorgan
Macro
Opportunities
Fund | | JPMorgan
Opportunistic
Equity
Long/Short Fund | | JPMorgan
Research
Market
Neutral Fund |
| NET ASSETS: | | | | | |
| Paid-in-Capital | $17,857 | | $626,090 | | $144,805 |
| Total distributable earnings (loss) | 365 | | (10,184) | | (20,458) |
| Total Net Assets: | $18,222 | | $615,906 | | $124,347 |
| Net Assets: | | | | | |
| Class A | $ 338 | | $ 25,474 | | $ 19,566 |
| Class C | 293 | | 5,566 | | 1,128 |
| Class I | 17,571 | | 327,760 | | 103,653 |
| Class R6 | 20 | | 257,106 | | — |
| Total | $18,222 | | $615,906 | | $124,347 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | | |
| Class A | 22 | | 1,369 | | 1,621 |
| Class C | 19 | | 313 | | 105 |
| Class I | 1,146 | | 17,239 | | 8,015 |
| Class R6 | 1 | | 13,257 | | — |
| Net Asset Value (a): | | | | | |
| Class A — Redemption price per share | $ 15.25 | | $ 18.61 | | $ 12.07 |
| Class C — Offering price per share (b) | 15.16 | | 17.78 | | 10.76 |
| Class I — Offering and redemption price per share | 15.34 | | 19.01 | | 12.93 |
| Class R6 — Offering and redemption price per share | 15.37 | | 19.39 | | — |
| Class A maximum sales charge | 5.25% | | 5.25% | | 5.25% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 16.09 | | $ 19.64 | | $ 12.74 |
| Cost of investments in non-affiliates | $10,311 | | $374,238 | | $ 73,623 |
| Cost of investments in affiliates | 3,640 | | 253,878 | | 38,464 |
| Cost of options purchased | 93 | | — | | — |
| Cost of foreign currency | 88 | | — | | — |
| Premiums received from options written | 32 | | — | | — |
| Proceeds from securities sold short | — | | 136,112 | | 84,734 |
| (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, 2022 | J.P. Morgan Specialty Funds | 27 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited)
(Amounts in thousands)
| | JPMorgan
Macro
Opportunities
Fund | | JPMorgan
Opportunistic
Equity
Long/Short Fund | | JPMorgan
Research
Market
Neutral Fund |
| INVESTMENT INCOME: | | | | | |
| Interest income from non-affiliates | $ 3 | | $ — | | $ — |
| Interest income from affiliates | 5 | | — | | — |
| Dividend income from non-affiliates | 30 | | 1,978 | | 606 |
| Dividend income from affiliates | 3 | | 145 | | 17 |
| Foreign taxes withheld (net) | (3) | | — | | — |
| Total investment income | 38 | | 2,123 | | 623 |
| EXPENSES: | | | | | |
| Investment advisory fees | 56 | | 4,215 | | 195 |
| Administration fees | 7 | | 264 | | 42 |
| Distribution fees: | | | | | |
| Class A | —(a) | | 36 | | 23 |
| Class C | 1 | | 24 | | 5 |
| Service fees: | | | | | |
| Class A | —(a) | | 36 | | 23 |
| Class C | —(a) | | 8 | | 2 |
| Class I | 23 | | 474 | | 115 |
| Custodian and accounting fees | 21 | | 18 | | 21 |
| Interest expense to affiliates | 5 | | — | | — |
| Professional fees | 82 | | 45 | | 35 |
| Trustees’ and Chief Compliance Officer’s fees | 12 | | 13 | | 13 |
| Printing and mailing costs | 9 | | 23 | | 3 |
| Registration and filing fees | 31 | | 45 | | 34 |
| Transfer agency fees (See Note 2.I) | —(a) | | 10 | | 3 |
| Dividend expense to non-affiliates on securities sold short | — | | 2,194 | | 1,110 |
| Interest expense to non-affiliates on securities sold short | — | | 374 | | 49 |
| Other | 5 | | 16 | | 6 |
| Total expenses | 252 | | 7,795 | | 1,679 |
| Less fees waived | (64) | | (120) | | (115) |
| Less expense reimbursements | (95) | | — | | — |
| Net expenses | 93 | | 7,675 | | 1,564 |
| Net investment income (loss) | $ (55) | | $ (5,552) | | $ (941)
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | JPMorgan
Macro
Opportunities
Fund | | JPMorgan
Opportunistic
Equity
Long/Short Fund | | JPMorgan
Research
Market
Neutral Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | | | |
| Net realized gain (loss) on transactions from: | | | | | |
| Investments in non-affiliates | $ (493) | | $ 34,101 | | $ 5,115 |
| Investments in affiliates | —(a) | | (75) | | (7) |
| Options purchased | (127) | | (72) | | — |
| Futures contracts | 189 | | — | | (485) |
| Securities sold short | — | | (18,960) | | (3,669) |
| Foreign currency transactions | (6) | | —(a) | | — |
| Forward foreign currency exchange contracts | 353 | | — | | — |
| Options written | 31 | | — | | — |
| Net realized gain (loss) | (53) | | 14,994 | | 954 |
| Change in net unrealized appreciation/depreciation on: | | | | | |
| Investments in non-affiliates | (2,093) | | (105,657) | | (12,965) |
| Investments in affiliates | (1) | | (6) | | 1 |
| Options purchased | 4 | | (21) | | — |
| Futures contracts | 207 | | — | | 7 |
| Securities sold short | — | | 1,934 | | 9,626 |
| Foreign currency translations | (2) | | — | | — |
| Forward foreign currency exchange contracts | 170 | | — | | — |
| Options written | 16 | | — | | — |
| Change in net unrealized appreciation/depreciation | (1,699) | | (103,750) | | (3,331) |
| Net realized/unrealized gains (losses) | (1,752) | | (88,756) | | (2,377) |
| Change in net assets resulting from operations | $(1,807) | | $ (94,308) | | $ (3,318) |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 29 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED
(Amounts in thousands)
| | JPMorgan Macro
Opportunities Fund | | JPMorgan Opportunistic
Equity Long/Short Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ (55) | | $ (5) | | $ (5,552) | | $ (11,007) |
| Net realized gain (loss) | (53) | | 762 | | 14,994 | | 78,034 |
| Change in net unrealized appreciation/depreciation | (1,699) | | 1,024 | | (103,750) | | 42,356 |
| Change in net assets resulting from operations | (1,807) | | 1,781 | | (94,308) | | 109,383 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (5) | | — | | (3,030) | | (918) |
| Class C | (1) | | — | | (702) | | (222) |
| Class I | (243) | | — | | (38,675) | | (10,347) |
| Class R6 | (1) | | — | | (29,311) | | (9,883) |
| Total distributions to shareholders | (250) | | — | | (71,718) | | (21,370) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | 1,092 | | 1,974 | | 36,278 | | 172,125 |
| NET ASSETS: | | | | | | | |
| Change in net assets | (965) | | 3,755 | | (129,748) | | 260,138 |
| Beginning of period | 19,187 | | 15,432 | | 745,654 | | 485,516 |
| End of period | $18,222 | | $19,187 | | $ 615,906 | | $745,654 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | JPMorgan
Research Market
Neutral Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | |
| Net investment income (loss) | $ (941) | | $ (1,566) |
| Net realized gain (loss) | 954 | | 5,737 |
| Change in net unrealized appreciation/depreciation | (3,331) | | (2,033) |
| Change in net assets resulting from operations | (3,318) | | 2,138 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | |
| Class A | — | | (1,124) |
| Class C | — | | (159) |
| Class I | — | | (6,901) |
| Total distributions to shareholders | — | | (8,184) |
| CAPITAL TRANSACTIONS: | | | |
| Change in net assets resulting from capital transactions | 35,475 | | (43,203) |
| NET ASSETS: | | | |
| Change in net assets | 32,157 | | (49,249) |
| Beginning of period | 92,190 | | 141,439 |
| End of period | $124,347 | | $ 92,190 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 31 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Macro
Opportunities Fund | | JPMorgan Opportunistic
Equity Long/Short Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 98 | | $ 337 | | $ 3,227 | | $ 16,519 |
| Distributions reinvested | 5 | | — | | 2,956 | | 913 |
| Cost of shares redeemed | (16) | | (80) | | (4,264) | | (11,337) |
| Change in net assets resulting from Class A capital transactions | 87 | | 257 | | 1,919 | | 6,095 |
| Class C | | | | | | | |
| Proceeds from shares issued | 225 | | 54 | | 493 | | 2,019 |
| Distributions reinvested | 1 | | — | | 692 | | 218 |
| Cost of shares redeemed | — | | — | | (1,135) | | (537) |
| Change in net assets resulting from Class C capital transactions | 226 | | 54 | | 50 | | 1,700 |
| Class I | | | | | | | |
| Proceeds from shares issued | 1,501 | | 1,682 | | 109,246 | | 242,796 |
| Distributions reinvested | 243 | | — | | 38,027 | | 10,199 |
| Cost of shares redeemed | (965) | | (19) | | (127,958) | | (124,700) |
| Change in net assets resulting from Class I capital transactions | 779 | | 1,663 | | 19,315 | | 128,295 |
| Class R6 | | | | | | | |
| Proceeds from shares issued | — | | — | | 53,852 | | 76,310 |
| Distributions reinvested | — | | — | | 6,999 | | 2,265 |
| Cost of shares redeemed | — | | — | | (45,857) | | (42,540) |
| Change in net assets resulting from Class R6 capital transactions | — | | — | | 14,994 | | 36,035 |
| Total change in net assets resulting from capital transactions | $1,092 | | $1,974 | | $ 36,278 | | $ 172,125 |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 6 | | 20 | | 151 | | 742 |
| Reinvested | — | | — | | 139 | | 43 |
| Redeemed | (1) | | (5) | | (212) | | (512) |
| Change in Class A Shares | 5 | | 15 | | 78 | | 273 |
| Class C | | | | | | | |
| Issued | 14 | | 4 | | 25 | | 94 |
| Reinvested | — | | — | | 34 | | 11 |
| Redeemed | — | | — | | (57) | | (25) |
| Change in Class C Shares | 14 | | 4 | | 2 | | 80 |
| Class I | | | | | | | |
| Issued | 94 | | 101 | | 5,156 | | 10,786 |
| Reinvested | 15 | | — | | 1,747 | | 471 |
| Redeemed | (61) | | (1) | | (6,228) | | (5,539) |
| Change in Class I Shares | 48 | | 100 | | 675 | | 5,718 |
| Class R6 | | | | | | | |
| Issued | — | | — | | 2,517 | | 3,324 |
| Reinvested | — | | — | | 315 | | 103 |
| Redeemed | (—) | | (—) | | (2,208) | | (1,866) |
| Change in Class R6 Shares | — | | — | | 624 | | 1,561 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | JPMorgan
Research Market
Neutral Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | |
| Class A | | | |
| Proceeds from shares issued | $ 5,623 | | $ 6,793 |
| Distributions reinvested | — | | 1,075 |
| Cost of shares redeemed | (2,357) | | (8,506) |
| Change in net assets resulting from Class A capital transactions | 3,266 | | (638) |
| Class C | | | |
| Proceeds from shares issued | 132 | | 417 |
| Distributions reinvested | — | | 159 |
| Cost of shares redeemed | (180) | | (1,175) |
| Change in net assets resulting from Class C capital transactions | (48) | | (599) |
| Class I | | | |
| Proceeds from shares issued | 62,710 | | 41,158 |
| Distributions reinvested | — | | 6,758 |
| Cost of shares redeemed | (30,453) | | (89,882) |
| Change in net assets resulting from Class I capital transactions | 32,257 | | (41,966) |
| Total change in net assets resulting from capital transactions | $ 35,475 | | $(43,203) |
| SHARE TRANSACTIONS: | | | |
| Class A | | | |
| Issued | 453 | | 559 |
| Reinvested | — | | 90 |
| Redeemed | (191) | | (689) |
| Change in Class A Shares | 262 | | (40) |
| Class C | | | |
| Issued | 12 | | 37 |
| Reinvested | — | | 15 |
| Redeemed | (16) | | (109) |
| Change in Class C Shares | (4) | | (57) |
| Class I | | | |
| Issued | 4,740 | | 3,149 |
| Reinvested | — | | 532 |
| Redeemed | (2,306) | | (6,877) |
| Change in Class I Shares | 2,434 | | (3,196) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 33 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | Per share operating performance |
| | | Investment operations |
| | Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations |
| JPMorgan Macro Opportunities Fund | | | | |
| Class A | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $17.05 | $(0.07) | $(1.50) | $(1.57) |
| Year Ended October 31, 2021 | 15.38 | (0.08) | 1.75 | 1.67 |
| April 15, 2020(g) through October 31, 2020 | 15.00 | (0.01) | 0.39 | 0.38 |
| Class C | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 16.93 | (0.10) | (1.51) | (1.61) |
| Year Ended October 31, 2021 | 15.34 | (0.15) | 1.74 | 1.59 |
| April 15, 2020(g) through October 31, 2020 | 15.00 | (0.06) | 0.40 | 0.34 |
| Class I | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 17.12 | (0.05) | (1.51) | (1.56) |
| Year Ended October 31, 2021 | 15.40 | (0.01) | 1.73 | 1.72 |
| April 15, 2020(g) through October 31, 2020 | 15.00 | —(h) | 0.40 | 0.40 |
| Class R6 | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 17.17 | (0.03) | (1.51) | (1.54) |
| Year Ended October 31, 2021 | 15.41 | 0.04 | 1.72 | 1.76 |
| September 30, 2020(i) through October 31, 2020 | 15.35 | 0.01 | 0.05 | 0.06 |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Commencement of operations. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. Morgan Specialty Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | Ratios/Supplemental data |
| Distributions | | | | Ratios to average net assets(a) | |
Net
investment
income | 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(e) | Portfolio
turnover
rate(d) |
| | | | | | | | |
| | | | | | | | |
| $(0.23) | $15.25 | (9.30)% | $ 338 | 1.23(f)% | (0.84)(f)% | 2.96(f)% | 48% |
| — | 17.05 | 10.86 | 290 | 1.21 | (0.48) | 3.28 | 99 |
| — | 15.38 | 2.53 | 27 | 1.20(f) | (0.18)(f) | 5.12(f) | 49 |
| | | | | | | | |
| (0.16) | 15.16 | (9.56) | 293 | 1.73(f) | (1.30)(f) | 3.45(f) | 48 |
| — | 16.93 | 10.37 | 77 | 1.71 | (0.89) | 3.83 | 99 |
| — | 15.34 | 2.27 | 20 | 1.70(f) | (0.70)(f) | 5.76(f) | 49 |
| | | | | | | | |
| (0.22) | 15.34 | (9.16) | 17,571 | 0.98(f) | (0.59)(f) | 2.70(f) | 48 |
| — | 17.12 | 11.17 | 18,798 | 0.96 | (0.04) | 3.11 | 99 |
| — | 15.40 | 2.67 | 15,365 | 0.95(f) | 0.05(f) | 4.24(f) | 49 |
| | | | | | | | |
| (0.26) | 15.37 | (9.10) | 20 | 0.73(f) | (0.35)(f) | 2.52(f) | 48 |
| — | 17.17 | 11.42 | 22 | 0.71 | 0.22 | 2.93 | 99 |
| — | 15.41 | 0.39 | 20 | 0.77(f) | 0.84(f) | 7.24(f) | 49 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 35 |
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 Opportunistic Equity Long/Short Fund | | | | | | | | |
| Class A | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $23.65 | $(0.20) | $(2.52) | $(2.72) | | $ — | $(2.32) | $(2.32) |
| Year Ended October 31, 2021 | 20.54 | (0.46) | 4.46 | 4.00 | | — | (0.89) | (0.89) |
| Year Ended October 31, 2020 | 17.34 | (0.29) | 3.49 | 3.20 | | — | — | — |
| Year Ended October 31, 2019 | 18.22 | —(j) | (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) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 22.75 | (0.24) | (2.41) | (2.65) | | — | (2.32) | (2.32) |
| Year Ended October 31, 2021 | 19.88 | (0.56) | 4.32 | 3.76 | | — | (0.89) | (0.89) |
| Year Ended October 31, 2020 | 16.87 | (0.39) | 3.40 | 3.01 | | — | — | — |
| 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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 24.08 | (0.18) | (2.57) | (2.75) | | — | (2.32) | (2.32) |
| Year Ended October 31, 2021 | 20.84 | (0.42) | 4.55 | 4.13 | | — | (0.89) | (0.89) |
| Year Ended October 31, 2020 | 17.58 | (0.27) | 3.56 | 3.29 | | (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) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | 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
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(d) | Portfolio
turnover rate
(including securities
sold short)(d) | |
| | | | | | | | | |
| | | | | | | | | |
| $18.61 | (12.76)% | $ 25,474 | 2.51(g)(h)% | (1.91)(h)% | 2.55(h)% | 457% | 914% | |
| 23.65 | 19.94 | 30,516 | 2.66(i) | (2.08) | 2.67 | 548 | 1,013 | |
| 20.54 | 18.45 | 20,914 | 2.28 | (1.54) | 2.33 | 511 | 1,058 | |
| 17.34 | (3.10) | 19,352 | 2.25 | —(k) | 2.36 | 636 | 1,232 | |
| 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 | |
| | | | | | | | | |
| 17.78 | (12.97) | 5,566 | 3.02(g)(h) | (2.41)(h) | 3.05(h) | 457 | 914 | |
| 22.75 | 19.37 | 7,079 | 3.15(i) | (2.57) | 3.16 | 548 | 1,013 | |
| 19.88 | 17.84 | 4,596 | 2.79 | (2.12) | 2.85 | 511 | 1,058 | |
| 16.87 | (3.62) | 2,599 | 2.74 | (0.45) | 2.85 | 636 | 1,232 | |
| 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 | |
| | | | | | | | | |
| 19.01 | (12.65) | 327,760 | 2.27(g)(h) | (1.67)(h) | 2.31(h) | 457 | 914 | |
| 24.08 | 20.28 | 398,771 | 2.41(i) | (1.84) | 2.42 | 548 | 1,013 | |
| 20.84 | 18.71 | 226,048 | 2.04 | (1.38) | 2.08 | 511 | 1,058 | |
| 17.58 | (2.89) | 132,665 | 1.99 | 0.40 | 2.10 | 636 | 1,232 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 37 |
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 |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $24.48 | $(0.15) | $(2.62) | $(2.77) | | $ — | $(2.32) | $(2.32) |
| Year Ended October 31, 2021 | 21.13 | (0.37) | 4.61 | 4.24 | | — | (0.89) | (0.89) |
| Year Ended October 31, 2020 | 17.83 | (0.21) | 3.59 | 3.38 | | (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) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | |
| April 30, 2022 | October 31, 2021 | October 31, 2020 | October 31, 2019 | October 31, 2018 | October 31, 2017 |
| Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 1.78% | 1.82% | 1.81% | 1.79% | 1.82% | 1.83% |
| Class C | 2.29% | 2.31% | 2.32% | 2.28% | 2.32% | 2.31% |
| Class I | 1.53% | 1.57% | 1.57% | 1.53% | 1.57% | 1.56% |
| Class R6 | 1.29% | 1.31% | 1.31% | 1.29% | 1.32% | 1.31% |
| Expenses without waivers (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 1.82% | 1.83% | 1.86% | 1.90% | 1.90% | 2.02% |
| Class C | 2.32% | 2.32% | 2.38% | 2.39% | 2.40% | 2.52% |
| Class I | 1.57% | 1.58% | 1.61% | 1.64% | 1.65% | 1.73% |
| Class R6 | 1.32% | 1.32% | 1.35% | 1.39% | 1.38% | 1.47% |
|
| (g) | Interest expense on securities sold short is 0.11%. |
| (h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (i) | Interest expense on securities sold short is 0.21%. |
| (j) | Amount rounds to less than $0.005. |
| (k) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. Morgan Specialty Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(d) | Portfolio
turnover rate
(including securities
sold short)(d) | |
| | | | | | | | | |
| $19.39 | (12.52)% | $257,106 | 2.02(g)(h)% | (1.41)(h)% | 2.05(h)% | 457% | 914% | |
| 24.48 | 20.54 | 309,288 | 2.15(i) | (1.57) | 2.16 | 548 | 1,013 | |
| 21.13 | 19.01 | 233,958 | 1.78 | (1.09) | 1.82 | 511 | 1,058 | |
| 17.83 | (2.59) | 164,419 | 1.75 | 0.91 | 1.85 | 636 | 1,232 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 39 |
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, 2022(Unaudited) | $12.41 | $(0.12) | $(0.22) | $(0.34) | | $ — |
| Year Ended October 31, 2021 | 13.01 | (0.21) | 0.52 | 0.31 | | (0.91) |
| Year Ended October 31, 2020 | 13.11 | (0.20) | 1.59 | 1.39 | | (1.49) |
| 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 | | — |
| Class C | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 11.09 | (0.13) | (0.20) | (0.33) | | — |
| Year Ended October 31, 2021 | 11.77 | (0.25) | 0.48 | 0.23 | | (0.91) |
| Year Ended October 31, 2020 | 12.06 | (0.23) | 1.43 | 1.20 | | (1.49) |
| 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 | | — |
| Class I | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.28 | (0.11) | (0.24) | (0.35) | | — |
| Year Ended October 31, 2021 | 13.82 | (0.20) | 0.57 | 0.37 | | (0.91) |
| Year Ended October 31, 2020 | 13.80 | (0.19) | 1.70 | 1.51 | | (1.49) |
| Year Ended October 31, 2019 | 14.93 | —(j) | 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 | | — |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | |
| April 30, 2022 | October 31, 2021 | October 31, 2020 | October 31, 2019 | October 31, 2018 | October 31, 2017 |
| Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 0.93% | 0.93% | 1.08% | 1.22% | 1.22% | 1.24% |
| Class C | 1.44% | 1.43% | 1.60% | 1.73% | 1.73% | 1.72% |
| Class I | 0.67% | 0.68% | 0.76% | 0.96% | 0.96% | 0.96% |
| Expenses without waivers (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 1.14% | 1.16% | 1.46% | 1.62% | 1.55% | 1.53% |
| Class C | 1.65% | 1.67% | 1.95% | 2.09% | 2.02% | 2.07% |
| Class I | 0.87% | 0.89% | 1.13% | 1.32% | 1.25% | 1.25% |
|
| (g) | Interest expense on securities sold short is 0.09%. |
| (h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (i) | Interest expense on securities sold short is 0.16%. |
| (j) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | 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
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(d) | Portfolio
turnover rate
(including securities
sold short)(d) | |
| | | | | | | | | |
| | | | | | | | | |
| $12.07 | (2.74)% | $ 19,566 | 3.01(g)(h)% | (1.89)(h)% | 3.22(h)% | 58% | 130% | |
| 12.41 | 2.72 | 16,867 | 2.99(i) | (1.77) | 3.22 | 119 | 307 | |
| 13.01 | 11.97 | 18,205 | 3.23 | (1.57) | 3.61 | 224 | 531 | |
| 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 | |
| | | | | | | | | |
| 10.76 | (2.98) | 1,128 | 3.55(g)(h) | (2.42)(h) | 3.76(h) | 58 | 130 | |
| 11.09 | 2.29 | 1,211 | 3.49(i) | (2.25) | 3.73 | 119 | 307 | |
| 11.77 | 11.36 | 1,949 | 3.75 | (2.00) | 4.10 | 224 | 531 | |
| 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 | |
| | | | | | | | | |
| 12.93 | (2.64) | 103,653 | 2.75(g)(h) | (1.63)(h) | 2.95(h) | 58 | 130 | |
| 13.28 | 3.01 | 74,112 | 2.74(i) | (1.50) | 2.95 | 119 | 307 | |
| 13.82 | 12.26 | 121,285 | 2.91 | (1.42) | 3.28 | 224 | 531 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Specialty Funds | 41 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited)
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (“JPM I") and JPMorgan Trust IV (“JPM IV") (collectively, the “Trusts”) were formed on November 12, 2004 and November 11, 2015, respectively, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 3 separate funds of the Trusts (each, a "Fund" and collectively, the "Funds") covered by this report:
| | Classes Offered | Trust | Diversification Classification |
| JPMorgan Macro Opportunities Fund | Class A, Class C, Class I and Class R6 | JPM IV | Diversified |
| JPMorgan Opportunistic Equity Long/Short Fund | Class A, Class C, Class I and Class R6 | JPM I | Non-Diversified |
| JPMorgan Research Market Neutral Fund | Class A, Class C and Class I | JPM I | Diversified |
The investment objective of JPMorgan Macro Opportunities Fund (“Macro Opportunities Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan Opportunistic Equity Long/Short Fund (“Opportunistic Equity Long/Short Fund”) is to seek capital appreciation.
The investment objective of 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.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the "Boards"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds' investments. The Administrator implements the valuation policies of the Funds' investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values ("NAV") of the Funds are calculated on a valuation date.
| 42 | J.P. Morgan Specialty Funds | April 30, 2022 |
Certain foreign equity instruments 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 in open-end investment companies, excluding exchange-traded funds ("ETFs") (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations. 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 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"):
| Macro Opportunities Fund | | | | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Investments in Securities | | | | | | | |
| Common Stocks | | | | | | | |
| Banks | $ 799 | | $ 359 | | $— | | $ 1,158 |
| Building Products | 191 | | — | | — | | 191 |
| Electric Utilities | — | | 163 | | — | | 163 |
| Electronic Equipment, Instruments & Components | — | | 201 | | — | | 201 |
| Insurance | 175 | | 236 | | — | | 411 |
| Interactive Media & Services | 335 | | — | | — | | 335 |
| Internet & Direct Marketing Retail | 316 | | — | | — | | 316 |
| IT Services | 366 | | — | | — | | 366 |
| Life Sciences Tools & Services | 396 | | — | | — | | 396 |
| Personal Products | 193 | | — | | — | | 193 |
| Pharmaceuticals | 230 | | 279 | | — | | 509 |
| Semiconductors & Semiconductor Equipment | 74 | | — | | — | | 74 |
| Software | 1,206 | | — | | — | | 1,206 |
| Textiles, Apparel & Luxury Goods | 486 | | 248 | | — | | 734 |
| Total Common Stocks | 4,767 | | 1,486 | | — | | 6,253 |
| Foreign Government Securities | — | | 118 | | — | | 118 |
| Options Purchased | | | | | | | |
| Call Options Purchased | 1 | | 5 | | — | | 6 |
| Put Options Purchased | 33 | | 25 | | — | | 58 |
| Total Options Purchased | 34 | | 30 | | — | | 64 |
| Short-Term Investments | | | | | | | |
| Foreign Government Treasury Bills | — | | 4,209 | | — | | 4,209 |
| Investment Companies | 3,639 | | — | | — | | 3,639 |
| Total Short-Term Investments | 3,639 | | 4,209 | | — | | 7,848 |
| Total Investments in Securities | $8,440 | | $5,843 | | $— | | $14,283 |
| April 30, 2022 | J.P. Morgan Specialty Funds | 43 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Macro Opportunities Fund (continued) | | | | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Appreciation in Other Financial Instruments | | | | | | | |
| Forward Foreign Currency Exchange Contracts | $ — | | $ 364 | | $— | | $ 364 |
| Futures Contracts | 202 | | — | | — | | 202 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Forward Foreign Currency Exchange Contracts | — | | (121) | | — | | (121) |
| Futures Contracts | (84) | | — | | — | | (84) |
| Options Written | | | | | | | |
| Call Options Written | — | | — | | — | | — |
| Put Options Written | — | | (16) | | — | | (16) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ 118 | | $ 227 | | $— | | $ 345 |
| 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) | $ 628,776 | | $— | | $— | | $ 628,776 |
| Total Liabilities for Securities Sold Short (a) | $(134,059) | | $— | | $— | | $(134,059) |
|
| (a) | Please refer to the SOI for specific of portfolio holdings. |
| 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) | $122,372 | | $— | | $— | | $122,372 |
| Total Liabilities for Securities Sold Short (a) | $ (78,963) | | $— | | $— | | $ (78,963) |
|
| (a) | Please refer to the SOI for specific of portfolio holdings. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of April 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. 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 the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
| 44 | J.P. Morgan Specialty Funds | April 30, 2022 |
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
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, 2022.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds and ETFs which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ and ETFs’ distributions may be reinvested into the Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Macro Opportunities Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (a) (b) | $2,529 | | $1,768 | | $657 | | $—(c) | | $(1) | | $3,639 | 3,639 | $3 | | $— |
|
| (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, 2022. |
| (c) | Amount rounds to less than one thousand. |
| Opportunistic Equity Long/Short Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $119,946 | | $1,475,991 | | $1,341,984 | | $(75) | | $(6) | | $253,872 | 253,821 | $145 | | $— |
|
| (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, 2022. |
| April 30, 2022 | J.P. Morgan Specialty Funds | 45 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Research Market Neutral Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $9,752 | | $98,675 | | $69,953 | | $(7) | | $1 | | $38,468 | 38,460 | $17 | | $— |
|
| (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, 2022. |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Derivatives — The Funds used derivative instruments including options, futures contracts and forward foreign currency exchange contracts, in connection with their respective 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 effectively manage the long and short equity exposures in the portfolio, 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 a 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 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 a pre-determined percentage or fall below a pre-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 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.
| 46 | J.P. Morgan Specialty Funds | April 30, 2022 |
Notes F(1) - F(3) below describe the various derivatives used by the Funds.
(1) Options — Macro Opportunities Fund and Opportunistic Equity Long/Short Fund purchased and/or sold ("wrote") put and call options on various instruments including currencies, futures, securities, options on indices and interest rate swaps ("swaptions") to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Funds' exchange-traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions). The Funds' over-the-counter ("OTC") options are subject to master netting agreements.
The Funds may be required to post or receive collateral for OTC options. Cash collateral posted by the Funds is considered restricted.
(2) Futures Contracts — Macro Opportunities Fund and Research Market Neutral Fund used index, interest rate and treasury futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also used index futures contracts to more effectively manage the long and short equity exposures in the portfolio. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price and interest rate risks. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
| April 30, 2022 | J.P. Morgan Specialty Funds | 47 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts — Macro Opportunities 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 the 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 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 for non-deliverable forward foreign currency exchange contracts.
(4) Summary of Derivatives Information —The following tables present the value of derivatives held as of April 30, 2022, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| | Macro
Opportunities
Fund |
| Equity Risk Exposure: | |
| Unrealized Appreciation on Futures Contracts * | $ 172 |
| Purchased Options at Market Value | 39 |
| Unrealized Depreciation on Futures Contracts * | (55) |
| Foreign Exchange Rate Risk Exposure: | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 364 |
| Purchased Options at Market Value | 25 |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (121) |
| Written Options at Market Value | (16) |
| Interest Rate Risk Exposure: | |
| Unrealized Appreciation on Futures Contracts * | 30 |
| Unrealized Depreciation on Futures Contracts * | (29) |
| | |
| Net Fair Value of Derivative Contracts: | |
| Unrealized Appreciation (Depreciation) on Futures Contracts * | 118 |
| Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | 243 |
| Purchased Options at Market Value | 64 |
| Written Options at Market Value | (16) |
|
| * | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table presents Macro Opportunities 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, 2022:
| 48 | J.P. Morgan Specialty Funds | April 30, 2022 |
| 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) |
| BNP Paribas | $ 32 | | $ (1) | | $— | | $ 31 |
| Goldman Sachs International | 354 | | (68) | | — | | 286 |
| HSBC Bank, NA | 3 | | (3) | | — | | — |
| | $389 | | $(72) | | $— | | $317 |
| Counterparty | Gross Amount of Derivative Liabilities
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities (a) | | Derivative Available
for Offset | | Collateral Posted | | Net Amount Due to
Counterparty
(Not less than zero) |
| Barclays Bank plc | $ 1 | | $ — | | $— | | $ 1 |
| BNP Paribas | 1 | | (1) | | — | | — |
| Citibank, NA | 26 | | — | | — | | 26 |
| Goldman Sachs International | 68 | | (68) | | — | | — |
| HSBC Bank, NA | 19 | | (3) | | — | | 16 |
| Merrill Lynch International | 18 | | — | | — | | 18 |
| Standard Chartered Bank | 3 | | — | | — | | 3 |
| State Street Corp. | 1 | | — | | — | | 1 |
| | $137 | | $(72) | | $— | | $65 |
|
| (a) | For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the year ended April 30, 2022, by primary underlying risk exposure:
| | Macro
Opportunities
Fund | Opportunistic
Equity Long/
Short Fund | Research
Market Neutral
Fund |
| Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | | | |
| Equity Risk Exposure: | | | |
| Futures Contracts | $ 289 | $ — | $(485) |
| Purchased Options | (100) | (72) | — |
| Written Options | 16 | — | — |
| Foreign Exchange Rate Risk Exposure: | | | |
| Forward Foreign Currency Exchange Contracts | 353 | — | — |
| Purchased Options | (27) | — | — |
| Written Options | 15 | — | — |
| Interest Rate Risk Exposure: | | | |
| Futures Contracts | (100) | — | — |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | |
| Equity Risk Exposure: | | | |
| Futures Contracts | 198 | — | 7 |
| Purchased Options | 32 | (21) | — |
| April 30, 2022 | J.P. Morgan Specialty Funds | 49 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| | Macro
Opportunities
Fund | Opportunistic
Equity Long/
Short Fund | Research
Market Neutral
Fund |
| Foreign Exchange Rate Risk Exposure: | | | |
| Forward Foreign Currency Exchange Contracts | $ 170 | $ — | $ — |
| Purchased Options | (28) | — | — |
| Written Options | 16 | — | — |
| Interest Rate Risk Exposure: | | | |
| Futures Contracts | 9 | — | — |
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts and forward foreign currency exchange contracts activity during the six months ended April 30, 2022. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | Macro
Opportunities
Fund | Opportunistic
Equity Long/
Short Fund | Research
Market Neutral
Fund |
| Futures Contracts: | | | |
| Average Notional Balance Long | $ 3,711 | $ — | $4,574 |
| Average Notional Balance Short | (4,819) | — | (131) |
| Ending Notional Balance Long | 2,682 | — | — |
| Ending Notional Balance Short | (4,716) | — | — |
| Forward Foreign Currency Exchange Contracts: | | | |
| Average Settlement Value Purchased | (4,952) | — | — |
| Average Settlement Value Sold | 12,435 | — | — |
| Ending Settlement Value Purchased | (4,994) | — | — |
| Ending Settlement Value Sold | 13,777 | — | — |
| Exchange-Traded Options: | | | |
| Average Number of Contracts Purchased | 128 | 82 | — |
| Average Number of Contracts Written | (2) | — | — |
| Ending Number of Contracts Purchased | 37 | — | — |
| OTC Options: | | | |
| Average Number of Contracts Purchased | 2,111,429 | — | — |
| Average Number of Contracts Written | (1,469,429) | — | — |
| Ending Number of Contracts Purchased | 4,714,000 | — | — |
| Ending Number of Contracts Written | (4,714,000) | — | — |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC options and non-deliverable forward foreign currency exchange contracts 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.F.), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds.
The Funds' derivatives contracts held at April 30, 2022 are not accounted for as hedging instruments under GAAP.
G. Short Sales — Opportunistic Equity Long/Short Fund and Research Market Neutral Fund 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 Deposits at broker for securities sold short, while cash collateral deposited at the Funds' custodian for the benefit of the broker is recorded as Restricted cash for securities sold short on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The 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
| 50 | J.P. Morgan Specialty Funds | April 30, 2022 |
(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 on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. The Funds are obligated to pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statements of Operations. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The 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, 2022, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund had outstanding short sales as listed on their SOIs.
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and dividend expense on securities sold short are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
I. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2022 are as follows:
| | Class A | Class C | Class I | Class R6 | Total |
| Macro Opportunities Fund | | | | | |
| Transfer agency fees | $—(a) | $—(a) | $—(a) | $ —(a) | $ —(a) |
| Opportunistic Equity Long/Short Fund | | | | | |
| Transfer agency fees | 1 | —(a) | 9 | —(a) | 10 |
| Research Market Neutral Fund | | | | | |
| Transfer agency fees | 1 | —(a) | 2 | n/a | 3 |
|
| (a) | Amount rounds to less than one thousand. |
| April 30, 2022 | J.P. Morgan Specialty Funds | 51 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of April 30, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Opportunistic Equity Long/Short Fund's and Research Market Neutral Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. When filed, Macro Opportunities Fund's Federal tax return since inception will be subject to examination by the Internal Revenue Service.
K. 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 gains 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.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. 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 based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
| Macro Opportunities Fund | 0.60% |
| Opportunistic Equity Long/Short Fund | 1.20 |
| Research Market Neutral Fund | 0.35 |
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, 2022, the effective annualized rate for the Funds was 0.075% of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. 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 |
| Macro Opportunities Fund | 0.25% | 0.75% |
| Opportunistic Equity Long/Short Fund | 0.25 | 0.75 |
| Research Market Neutral Fund | 0.25 | 0.75 |
| 52 | J.P. Morgan Specialty Funds | April 30, 2022 |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2022, JPMDS retained the following:
| | Front-End Sales Charge | CDSC |
| Macro Opportunities Fund | $—(a) | $— |
| Opportunistic Equity Long/Short Fund | 2 | — |
| Research Market Neutral Fund | —(a) | — |
|
| (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 |
| Macro Opportunities Fund | 0.25% | 0.25% | 0.25% |
| Opportunistic Equity Long/Short Fund | 0.25 | 0.25 | 0.25 |
| Research Market Neutral 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.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements— The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding 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 |
| Macro Opportunities Fund | 1.20% | 1.70% | 0.95% | 0.70% |
| Opportunistic Equity Long/Short Fund | 1.85 | 2.35 | 1.60 | 1.35 |
| Research Market Neutral Fund | 0.95 | 1.45 | 0.69 | n/a |
The expense limitation agreements were in effect for the six months ended April 30, 2022 and the contractual expense limitation percentages in the table above are in place until at least February 28, 2023.
| April 30, 2022 | J.P. Morgan Specialty Funds | 53 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
For the six months ended April 30, 2022, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | Contractual Waivers | |
| | Investment
Advisory Fees | Administration
Fees | Service
Fees | Total | Contractual
Reimbursements |
| Macro Opportunities Fund | $56 | $ 7 | $—(a) | $ 63 | $95 |
| Research Market Neutral Fund | 63 | 37 | 3 | 103 | — |
|
| (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. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2022 were as follows:
| Macro Opportunities Fund | $ 1 |
| Opportunistic Equity Long/Short Fund | 119 |
| Research Market Neutral Fund | 11 |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through April 30, 2022 the amount of these waivers were as follows:
| Opportunistic Equity Long/Short Fund | 1 |
| Research Market Neutral Fund | 1 |
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 Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended April 30, 2022, Research Market Neutral Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended April 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| | Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Securities
Sold Short | Covers on
Securities
Sold Short |
| Macro Opportunities Fund | $ 4,290 | $ 5,642 | $ — | $ — |
| Opportunistic Equity Long/Short Fund | 2,298,155 | 2,459,635 | 2,323,122 | 2,300,548 |
| Research Market Neutral Fund | 60,833 | 50,642 | 66,945 | 53,812 |
During the six months ended April 30, 2022, there were no purchases or sales of U.S. Government securities.
| 54 | J.P. Morgan Specialty Funds | April 30, 2022 |
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, 2022 were as follows:
| | Aggregate
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Macro Opportunities Fund | $ 14,012 | $ 1,431 | $ 815 | $ 616 |
| Opportunistic Equity Long/Short Fund * | 492,004 | 18,252 | 15,539 | 2,713 |
| Research Market Neutral Fund * | 27,353 | 23,556 | 7,500 | 16,056 |
|
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
At October 31, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| | Capital Loss Carryforward Character |
| | Short-Term | Long-Term |
| Macro Opportunities Fund | $ — | $132 |
| Research Market Neutral Fund | 29,216* | — |
|
| * | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Late year ordinary losses incurred after December 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended October 31, 2021, the following Fund deferred to November 1, 2021 the following late year ordinary loss of:
| | |
| | Late Year Ordinary Loss Deferral |
| Research Market Neutral Fund | $1,186 |
During the year ended October 31, 2021, the following Funds utilized capital loss carryforwards as follows:
| | Capital Loss Utilized |
| | Short-Term | Long-Term |
| Macro Opportunities Fund | $ — | $274 |
| Research Market Neutral Fund | 2,164 | — |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended April 30, 2022.
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 October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2022.
| April 30, 2022 | J.P. Morgan Specialty Funds | 55 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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%, which was decreased from 1.25% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2022, the Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| | Number of
Individual
Shareholder and/or
Affiliated
Omnibus Accounts | % of
the Fund | Number of
Individual
Shareholder and/or
Non-Affiliated
Omnibus Accounts | % of the Fund |
| Macro Opportunities Fund | 1 | 85.4% | — | —% |
| Opportunistic Equity Long/Short Fund | — | — | 4 | 70.9 |
| Research Market Neutral Fund | — | — | 3 | 47.1 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
Macro Opportunities 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 foreign 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, 2022, a significant portion of the investments of Macro Opportunities Fund 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.
As of April 30, 2022, the Fund had non-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
| | Macro
Opportunities
Fund |
| Germany | 14.2% |
| Japan | 16.6 |
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
| 56 | J.P. Morgan Specialty Funds | April 30, 2022 |
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.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Since Opportunistic Equity Long/Short Fund is non-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.
As of April 30, 2022, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund 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. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| April 30, 2022 | J.P. Morgan Specialty Funds | 57 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2021, and continued to hold your shares at the end of the reporting period, April 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Macro Opportunities Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 907.00 | $ 5.82 | 1.23% |
| Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 |
| Class C | | | | |
| Actual | 1,000.00 | 904.40 | 8.17 | 1.73 |
| Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 |
| Class I | | | | |
| Actual | 1,000.00 | 908.40 | 4.64 | 0.98 |
| Hypothetical | 1,000.00 | 1,019.94 | 4.91 | 0.98 |
| Class R6 | | | | |
| Actual | 1,000.00 | 909.00 | 3.46 | 0.73 |
| Hypothetical | 1,000.00 | 1,021.18 | 3.66 | 0.73 |
| JPMorgan Opportunistic Equity Long/Short Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 872.40 | 11.65 | 2.51 |
| Hypothetical | 1,000.00 | 1,012.35 | 12.52 | 2.51 |
| Class C | | | | |
| Actual | 1,000.00 | 870.30 | 14.00 | 3.02 |
| Hypothetical | 1,000.00 | 1,009.82 | 15.05 | 3.02 |
| Class I | | | | |
| Actual | 1,000.00 | 873.50 | 10.54 | 2.27 |
| Hypothetical | 1,000.00 | 1,013.54 | 11.33 | 2.27 |
| Class R6 | | | | |
| Actual | 1,000.00 | 874.80 | 9.39 | 2.02 |
| Hypothetical | 1,000.00 | 1,014.78 | 10.09 | 2.02 |
| 58 | J.P. Morgan Specialty Funds | April 30, 2022 |
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Research Market Neutral Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 972.60 | $14.72 | 3.01% |
| Hypothetical | 1,000.00 | 1,009.87 | 15.00 | 3.01 |
| Class C | | | | |
| Actual | 1,000.00 | 970.20 | 17.34 | 3.55 |
| Hypothetical | 1,000.00 | 1,007.19 | 17.67 | 3.55 |
| Class I | | | | |
| Actual | 1,000.00 | 973.60 | 13.46 | 2.75 |
| Hypothetical | 1,000.00 | 1,011.16 | 13.71 | 2.75 |
|
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| April 30, 2022 | J.P. Morgan Specialty Funds | 59 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| 60 | J.P. Morgan Specialty Funds | April 30, 2022 |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each 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 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 calling 1-800-480-4111 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2022. All rights reserved. April 2022. | SAN-SPEC-422 |
Semi-Annual Report
J.P. Morgan International Equity Funds
April 30, 2022 (Unaudited)
| JPMorgan Emerging Markets Equity Fund |
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
| JPMorgan Europe Dynamic Fund |
| JPMorgan International Equity Fund |
| JPMorgan International Focus Fund |
| JPMorgan International Hedged Equity Fund |
| JPMorgan International Research Enhanced Equity Fund |
| JPMorgan International Value Fund |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
June 21, 2022, 2022(Unaudited)
Dear Shareholders,
 |
“The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification.”
— Andrea L. Lisher
|
Global economic growth has been hindered by accelerating inflation, the conflict in Ukraine and regional surges in pandemic infections. While equity markets largely rallied in the final months of 2021 and continued to outperform bond markets, a more hawkish U.S. Federal Reserve (the “Fed”) and Russia’s invasion of Ukraine in late February 2022 set off a cascade of weakening investor sentiment.
In the U.S., continued job growth, strong consumer spending and resilient corporate earnings in the first quarter of 2022 helped to offset a contraction in real economic growth. Meanwhile, in response to the highest levels of inflation in nearly 40 years, the Fed raised its benchmark interest rate in March 2022 for the first time since 2018 and then raised it again in both May and June.
Elsewhere, the Bank of England has raised interest rates multiple times since the start of 2022 and the European Central Bank has signaled it is poised to raise interest rates in July 2022, which would mark the first rate increase in the European Union in 11 years.
Meanwhile, emerging markets generally struggled during the six months ended April 30, 2022 as rising prices for energy and food weighed on economic growth. Additionally, a pandemic resurgence in China in early 2022 led to strict lockdowns in several large cities, which hurt manufacturing and other economic activity and had a spillover effect on other emerging market economies.
The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| April 30, 2022 | J.P. Morgan International Equity Funds | 1 |
J.P. Morgan International Equity Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2022 (Unaudited)
While developed market equities rallied in the final months of 2021, a resurgence in the pandemic, surging inflation and Russia’s invasion of Ukraine in late February 2022 dented the global economic outlook and erased equity market gains for the six month period. Overall, both global equity and fixed income markets largely generated negative returns for the period, with emerging markets largely underperforming developed markets.
U.S. equity prices largely maintained upward momentum in the final months of 2021 amid low interest rates, a boom in household wealth and record corporate earnings and revenues. However, investor concerns about the emergence of the Omicron variant of COVID-19 and surging inflationary pressure fueled market volatility in 2022 and Russia’s military build-up and invasion of Ukraine in February 2022 put further pressure on U.S. equity prices.
In mid-March 2022, the U.S. Federal Reserve followed through on its stated plan and raised interest rates for the first time since December 2018, and pledged to raise rates six more times in 2022. While U.S. equity prices rebounded somewhat for the month, both equity and bond markets slumped in April as negotiations to end the Ukraine conflict failed and global supply-chain disruptions increased. Notably, the U.S. dollar strengthened against other major currencies in early 2022, which provided a significant drag on both the domestic economy and corporate earnings. However, job growth in the U.S. continued throughout the six month period.
European and U.K. equities largely ended 2021 with gains but the reimposition of social restrictions in response to the spread of Omicron and the outbreak of fighting in Ukraine weighed on financial markets in early 2022. While initial multilateral trade and financial sanctions against Russia excluded its energy sector, prices for natural gas and petroleum rose sharply across Europe and the potential disruption of energy supplies hurt investor sentiment.
Unemployment in both the Euro area and the U.K. had fallen to near multi-decade lows by the end of April 2022 but consumer sentiment across both regions tumbled lower in 2022. During the six month period, the European Central Bank maintained its ultra-low interest rate policy, while the Bank of England raised rates three times during the period amid the highest annual inflation rate in 30 years.
Within emerging markets, both equities and bonds underperformed throughout the six month period. China proved be the largest drag on emerging markets during the period as investor concerns about tighter regulatory scrutiny of large technology companies in 2021 gave way to strict lockdowns in several large cities amid a resurgence in COVID-19 infections throughout the country. The expected slowdown in China’s economy, and in its manufacturing sector in particular, weighed down financial markets in its emerging market trading partners. Rising prices for energy and a range of other commodities also raised investor concerns about economic growth across emerging market nations, particularly net importers of petroleum and natural gas. Additionally, the prospect of rising U.S. interest rates weighed on emerging market bond prices.
The S&P 500 Index returned -9.65%, the MSCI EAFE Index returned -11.58% and the MSCI Emerging Markets Index returned -14.04% for the six months ended April 30, 2022.
| 2 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class L Shares) *
| (26.17)% |
MSCI Emerging Markets Index (net total return)
| (14.15)% |
Net Assets as of 4/30/2022 (In Thousands)
| $9,678,228 |
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 underperformed the MSCI Emerging Markets Index (net total return) (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s security selection in the financials and information technology sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the energy sector was the sole sector contributor to relative performance.
By country, the Fund’s security selections in China and Taiwan were leading detractors from relative performance, while the Fund’s underweight position in Russia and overweight position in Indonesia were leading contributors to relative performance. By the end of the period, the Fund had no holdings in Russia.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Sea Ltd., EPAM Systems Inc. and Delivery Hero SE. Shares of Sea, a Singapore internet and mobile platform provider, fell after Tencent Holdings Ltd. reduced its stake in the company to about 19% from 21%. Shares of EPAM Systems, a global provider of software development and digital platform services that largely operates from Belarus, fell after the company withdrew its earnings forecasts due to uncertainty and business disruptions stemming from the military conflict in Ukraine.
Shares of Delivery Hero, a German food ordering and delivery service, fell after the company forecast breakeven results for its food delivery business in the first half of 2022.
Leading individual contributors to relative performance included the Fund’s underweight positions in Gazprom PJSC and PJSC Lukoil and its overweight position Bank Rakyat Indonesia PT. Shares of both Gazprom and Lukoil, Russian natural gas and petroleum producers, fell after the imposition of multilateral economic sanctions in response to Russia’s invasion of Ukraine. Shares of Bank Rakyat, an Indonesian financial services provider, rose amid strong commodity exports and consumer demand in Indonesia.
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 during the period were in the information technology and consumer staples sectors and its largest relative underweight allocations were in the materials and energy sectors. The Fund’s largest country overweight allocations relative to the Benchmark during the period were in Hong Kong and India and its largest relative underweight allocations were in South Korea and Taiwan.
| April 30, 2022 | J.P. Morgan International Equity Funds | 3 |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)
| | 8.0% |
| 2. | Samsung Electronics Co. Ltd. (South Korea)
| | 6.4 |
| 3. | Tencent Holdings Ltd. (China)
| | 4.8 |
| 4. | Tata Consultancy Services Ltd. (India)
| | 3.3 |
| 5. | MercadoLibre, Inc. (Brazil)
| | 3.0 |
| 6. | Housing Development Finance Corp. Ltd. (India)
| | 3.0 |
| 7. | Reliance Industries Ltd. (India)
| | 2.8 |
| 8. | JD.com, Inc., Class A (China)
| | 2.6 |
| 9. | AIA Group Ltd. (Hong Kong)
| | 2.6 |
| 10. | NetEase, Inc. (China)
| | 2.5 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
China
| | 30.5% |
India
| | 21.9 |
Taiwan
| | 11.5 |
South Korea
| | 8.1 |
Brazil
| | 5.7 |
Hong Kong
| | 4.9 |
Indonesia
| | 4.4 |
Mexico
| | 3.1 |
United States
| | 2.0 |
South Africa
| | 1.5 |
United Kingdom
| | 1.1 |
Others (each less than 1.0%)
| | 2.5 |
Short-Term Investments
| | 2.8 |
| * | 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. |
| 4 | J.P. Morgan International Equity Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | September 28, 2001 | | | | | | | | |
| With Sales Charge ** | | | (30.18)% | | (33.58)% | | 3.75% | | 2.85% |
| Without Sales Charge | | | (26.30) | | (29.90) | | 4.87 | | 3.40 |
| CLASS C SHARES | February 28, 2006 | | | | | | | | |
| With CDSC *** | | | (27.47) | | (31.25) | | 4.36 | | 2.99 |
| Without CDSC | | | (26.47) | | (30.25) | | 4.36 | | 2.99 |
| Class I SHARES | September 10, 2001 | | (26.18) | | (29.71) | | 5.15 | | 3.66 |
| Class L SHARES | November 15, 1993 | | (26.17) | | (29.65) | | 5.26 | | 3.79 |
| Class R2 SHARES | July 31, 2017 | | (26.41) | | (30.12) | | 4.57 | | 3.22 |
| Class R3 SHARES | July 31, 2017 | | (26.29) | | (29.91) | | 4.84 | | 3.38 |
| Class R4 SHARES | July 31, 2017 | | (26.22) | | (29.76) | | 5.09 | | 3.63 |
| Class R5 SHARES | September 9, 2016 | | (26.15) | | (29.63) | | 5.26 | | 3.80 |
| Class R6 SHARES | December 23, 2013 | | (26.14) | | (29.58) | | 5.36 | | 3.88 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class 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 total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index (net total return) 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 MSCI Emerging Markets Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in emerging markets. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. 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, 2022 | J.P. Morgan International Equity Funds | 5 |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (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 U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class R6 Shares) *
| (15.89)% |
MSCI Emerging Markets Index (net total return)
| (14.15)% |
Net Assets as of 4/30/2022 (In Thousands)
| $2,946,092 |
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 total return) (the “Benchmark”) for the six months ended April 30, 2022.
By sector, the Fund’s security selection in the financials and materials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the information technology and communication services sectors was a leading contributor to relative performance.
By country, the Fund’s security selections in India and Taiwan were leading detractors from relative performance, while the Fund’s overweight position in Russia early in the period and its overweight position in Mexico were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in PJSC Sberbank, PJSC Lukoil and X5 Retail Group. Shares of Sberbank, a Russian bank and financial services provider, Lukoil, a Russian natural gas and petroleum producer and X5 Retail Group, a Russian food retailer, all fell after the imposition of multilateral economic sanctions in response to Russia’s invasion of Ukraine.
Leading individual contributors to relative performance included the Fund’s underweight positions in Yandex NV and PAO Novatek and its overweight position in Alinma Bank.
Shares of Yandex, a Dutch e-commerce and taxi service provider not held in the Fund, fell amid investor concerns about its larger exposure to Russia and the potential impact of multilateral sanctions on its business. Shares of Novatek, a Russian natural gas and petroleum producer, fell after the imposition of multilateral economic sanctions in response to Russia’s invasion of Ukraine. Shares of Alinma, a Saudi Arabian bank, rose amid investor expectations that rising global energy prices would benefit the broader Saudi Arabian economy.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a combination of a disciplined portfolio construction process with in-depth fundamental research into individual securities conducted by a global network of research analysts to identify what they believed to be their relative value.
As a result of this process, by sector, the Fund’s largest overweight allocations relative to the Benchmark during the period were in the energy and consumer staples sectors and its largest underweight allocations were in the communication services and utilities sectors. By country, the Fund’s largest overweight allocations relative to the Benchmark during the period were in Mexico and Hong Kong and its largest relative underweight allocations were in China and India.
| April 30, 2022 | J.P. Morgan International Equity Funds | 7 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan)
| | 5.8 % |
| 2. | Samsung Electronics Co. Ltd. (South Korea)
| | 4.5 |
| 3. | Tencent Holdings Ltd. (China)
| | 4.2 |
| 4. | Alibaba Group Holding Ltd. (China)
| | 2.9 |
| 5. | Reliance Industries Ltd. (India)
| | 1.8 |
| 6. | Meituan (China)(a)
| | 1.4 |
| 7. | China Construction Bank Corp., Class H (China)
| | 1.2 |
| 8. | Infosys Ltd., ADR (India)
| | 1.2 |
| 9. | JD.com, Inc., Class A (China)
| | 1.2 |
| 10. | Vale SA, ADR (Brazil)
| | 1.2 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
China
| | 30.2% |
Taiwan
| | 14.6 |
South Korea
| | 13.2 |
India
| | 12.7 |
Brazil
| | 6.1 |
Saudi Arabia
| | 4.2 |
South Africa
| | 4.2 |
Mexico
| | 2.9 |
Thailand
| | 2.1 |
Indonesia
| | 1.8 |
Malaysia
| | 1.2 |
Others (each less than 1.0%)
| | 4.8 |
Short-Term Investments
| | 2.0 |
| * | 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. |
| 8 | J.P. Morgan International Equity Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | SINCE
INCEPTION |
| Class I SHARES | January 30, 2019 | | (15.95)% | | (20.37)% | | 5.42% |
| Class R6 SHARES | December 11, 2018 | | (15.89) | | (20.26) | | 5.54 |
LIFE OF FUND PERFORMANCE (12/11/18 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on December 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 total return) from December 11, 2018 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index (net total return) 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 MSCI Emerging Markets Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in emerging markets. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties.
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.
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, noninfringement, 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)
| April 30, 2022 | J.P. Morgan International Equity Funds | 9 |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class A Shares, without a sales charge) *
| (14.34)% |
MSCI Europe Index (net total return)
| (11.73)% |
Net Assets as of 4/30/2022 (In Thousands)
| $606,542 |
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 total return) (the “Benchmark”) for the six months ended April 30, 2022.
Relative to the Benchmark, the Fund’s security selection in the industrials sector and its underweight position in the health care sector were leading detractors from performance, while the Fund’s security selection in the information technology and utilities sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Shell PLC and AstraZeneca PLC and its out-of-Benchmark position in Eckert & Ziegler Strahlen -und Medizintechnik AG. Shares of Shell, a U.K. integrated petroleum and natural gas company not held in the Fund, rose amid rising global energy prices. Shares of AstraZeneca, a U.K. pharmaceuticals company, rose amid investor expectations for regulator approval of the company’s treatment for Covid-19 and its variants. Shares of Eckert & Ziegler, a German, medical radiation therapies developer, fell as investors sold the stock following runup in the share price in 2021.
Leading individual contributors to relative performance included the Fund’s overweight positions in BP PLC and Equinor ASA, and its underweight position in ASML Holding NV. Shares of BP, a U.K. integrated petroleum and natural gas company, rose amid rising global energy prices. Shares of Equinor, a Norwegian petroleum and natural gas producer, rose amid rising global energy prices. Shares of ASML Holding, a Dutch semiconductor manufacturer, fell after the company reported lower-than-expected revenue for the fourth quarter of 2021.
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 on bottom-up security selection rather than top-down asset allocation decisions.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Nestle SA (Registered) (Switzerland)
| | 4.7 % |
| 2. | Novo Nordisk A/S, Class B (Denmark)
| | 3.7 |
| 3. | Roche Holding AG (Switzerland)
| | 3.7 |
| 4. | TotalEnergies SE (France)
| | 2.9 |
| 5. | BP plc (United Kingdom)
| | 2.8 |
| 6. | Novartis AG (Registered) (Switzerland)
| | 2.8 |
| 7. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 2.4 |
| 8. | Koninklijke Ahold Delhaize NV (Netherlands)
| | 2.2 |
| 9. | Allianz SE (Registered) (Germany)
| | 2.1 |
| 10. | Diageo plc (United Kingdom)
| | 2.0 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
United Kingdom
| | 18.2% |
Switzerland
| | 16.1 |
France
| | 15.0 |
Germany
| | 14.2 |
Denmark
| | 7.2 |
Netherlands
| | 5.8 |
Finland
| | 3.2 |
United States
| | 2.2 |
Australia
| | 2.0 |
Ireland
| | 1.4 |
Norway
| | 1.3 |
Spain
| | 1.2 |
Italy
| | 1.1 |
Austria
| | 1.0 |
Luxembourg
| | 0.9 |
Short-Term Investments
| | 9.2 |
| * | 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. |
| 10 | J.P. Morgan International Equity Funds | April 30, 2022 |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| April 30, 2022 | J.P. Morgan International Equity Funds | 11 |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | November 2, 1995 | | | | | | | | |
| With Sales Charge ** | | | (18.83)% | | (15.94)% | | 1.75% | | 5.31% |
| Without Sales Charge | | | (14.34) | | (11.29) | | 2.85 | | 5.88 |
| CLASS C SHARES | November 1, 1998 | | | | | | | | |
| With CDSC *** | | | (15.58) | | (12.73) | | 2.34 | | 5.45 |
| Without CDSC | | | (14.58) | | (11.73) | | 2.34 | | 5.45 |
| Class I SHARES | September 10, 2001 | | (14.22) | | (11.03) | | 3.12 | | 6.16 |
| Class L SHARES | September 10, 2001 | | (14.19) | | (10.93) | | 3.24 | | 6.34 |
| Class R6 SHARES | October 1, 2018 | | (14.13) | | (10.83) | | 3.32 | | 6.38 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class 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 total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI Europe Index (net total return) 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 MSCI Europe Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in the developed markets countries in Europe. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors
who do not benefit from double taxation treaties. 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (16.85)% |
MSCI EAFE Index (net total return)
| (11.80)% |
Net Assets as of 4/30/2022 (In Thousands)
| $4,483,386 |
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 underperformed the MSCI EAFE Index (net of total return) (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s security selections in the health care and communication services sectors were leading detractors from relative performance, while the Fund’s security selections in the materials and utilities sectors were leading contributors to relative performance.
By region, the Fund’s security selection in Japan and the Pacific, excluding Japan, were leading detractors from relative performance, while the Fund’s underweight position in the U.K. and its out-of-Benchmark position in emerging markets were the smallest detractors from relative performance and no sectors made a positive contribution to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sea Ltd., Delivery Hero SE and Keyence Corp. Shares of Sea, a Singapore internet
and mobile platform provider, fell after Tencent Holdings Ltd. reduced its stake in the company to about 19% from 21%. Shares of Delivery Hero, a German food ordering service, fell after the company forecast breakeven results for its food delivery business in the first half of 2022. Shares of Keyence, a Japanese automation technology provider, fell amid investor concerns about the impact of a slowing global economy and China’s pandemic lockdowns during the period.
Leading individual contributors to relative performance included the Fund’s overweight positions in BHP Group Ltd., Anglo American PLC and DBS Group Holdings Ltd. Shares of both BHP Group, an Australian mining and metals company, and Anglo American PLC, a U.K. mining and metals company, rose amid surging global prices for commodities. Shares of DBS Group Holdings, a Singapore financial services provider, rose amid consecutive quarters of better-than-expected earnings during the period.
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.
| April 30, 2022 | J.P. Morgan International Equity Funds | 13 |
JPMorgan International Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Nestle SA (Registered) (Switzerland)
| | 4.0 % |
| 2. | Roche Holding AG (Switzerland)
| | 3.3 |
| 3. | TotalEnergies SE (France)
| | 3.3 |
| 4. | Novo Nordisk A/S, Class B (Denmark)
| | 2.7 |
| 5. | BHP Group Ltd. (Australia)
| | 2.5 |
| 6. | Diageo plc (United Kingdom)
| | 2.4 |
| 7. | ASML Holding NV (Netherlands)
| | 2.3 |
| 8. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 2.2 |
| 9. | DBS Group Holdings Ltd. (Singapore)
| | 2.0 |
| 10. | Shell plc (Netherlands)
| | 1.9 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
France
| | 14.9% |
Japan
| | 11.8 |
Switzerland
| | 10.1 |
United Kingdom
| | 9.9 |
Germany
| | 8.3 |
Denmark
| | 5.7 |
Netherlands
| | 5.6 |
United States
| | 4.1 |
Sweden
| | 3.6 |
Hong Kong
| | 3.4 |
Australia
| | 2.5 |
Spain
| | 2.0 |
Singapore
| | 2.0 |
South Korea
| | 1.7 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
South Africa
| | 1.5% |
Taiwan
| | 1.3 |
Belgium
| | 1.3 |
Others (each less than 1.0%)
| | 3.1 |
Short-Term Investments
| | 7.2 |
| * | 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. |
| 14 | J.P. Morgan International Equity Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | February 28, 2002 | | | | | | | | |
| With Sales Charge ** | | | (21.34)% | | (17.40)% | | 3.32% | | 4.21% |
| Without Sales Charge | | | (16.98) | | (12.83) | | 4.43 | | 4.78 |
| CLASS C SHARES | January 31, 2003 | | | | | | | | |
| With CDSC *** | | | (18.16) | | (14.25) | | 3.92 | | 4.35 |
| Without CDSC | | | (17.16) | | (13.25) | | 3.92 | | 4.35 |
| Class I SHARES | January 1, 1997 | | (16.85) | | (12.60) | | 4.72 | | 5.04 |
| Class R2 SHARES | November 3, 2008 | | (17.06) | | (13.06) | | 4.14 | | 4.49 |
| Class R5 SHARES | May 15, 2006 | | (16.83) | | (12.52) | | 4.82 | | 5.20 |
| Class R6 SHARES | November 30, 2010 | | (16.77) | | (12.41) | | 4.93 | | 5.28 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Equity Fund and the MSCI EAFE Index (net total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net total return) 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 MSCI EAFE Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in developed markets, excluding the U.S. and Canada. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| April 30, 2022 | J.P. Morgan International Equity Funds | 15 |
JPMorgan International Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (16.59)% |
MSCI ACWI ex USA Index (net total return)
| (11.87)% |
Net Assets as of 4/30/2022 (In Thousands)
| $1,406,947 |
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 underperformed the MSCI ACWI ex USA Index (net total return) (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s security selection in the communication services and financials sectors was a leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the materials and consumer staples sectors was a leading contributor to relative performance.
By region, the Fund’s security selections in the Pacific, excluding Japan, and in emerging markets were leading detractors from relative performance, while the Fund’s overweight position in the U.K. was the sole regional contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Sea Ltd., PJSC Sberbank and Delivery Hero SE. Shares of Sea, a Singapore-based internet and mobile platform provider, fell after Tencent Holdings Ltd. reduced its stake in the company to about 19% from 21%. Shares of Sberbank, a Russian bank and financial services provider, fell after multilateral financial sanctions were imposed on Russia in response to its February 2022 invasion of Ukraine. Shares of Delivery Hero, a German food ordering service, fell after the company forecast breakeven results for its food delivery business in the first half of 2022.
Leading individual contributors to relative performance included the Fund’s overweight positions in BHP Group Ltd., Anglo American PLC and Shell PLC. Shares of both BHP Group, an Australian mining and metals company, and Anglo American PLC, a U.K. mining and metals company, rose amid surging global prices for commodities. Shares of Shell, a U.K. integrated petroleum and natural gas company, rose amid rising global energy prices.
| 16 | J.P. Morgan International Equity Funds | April 30, 2022 |
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 portfolio 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 their share prices.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Nestle SA (Registered) (Switzerland)
| | 4.8 % |
| 2. | Shell plc (Netherlands)
| | 4.0 |
| 3. | Novo Nordisk A/S, Class B (Denmark)
| | 3.9 |
| 4. | Samsung Electronics Co. Ltd. (South Korea)
| | 3.8 |
| 5. | Diageo plc (United Kingdom)
| | 3.6 |
| 6. | BHP Group Ltd. (Australia)
| | 3.5 |
| 7. | Roche Holding AG (Switzerland)
| | 3.2 |
| 8. | Anglo American plc (South Africa)
| | 3.2 |
| 9. | Toronto-Dominion Bank (The) (Canada)
| | 3.1 |
| 10. | AIA Group Ltd. (Hong Kong)
| | 2.9 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Switzerland
| | 11.2% |
United Kingdom
| | 9.9 |
France
| | 9.8 |
Netherlands
| | 7.4 |
Canada
| | 5.7 |
Germany
| | 5.4 |
Denmark
| | 5.3 |
Hong Kong
| | 4.9 |
Japan
| | 4.7 |
South Korea
| | 4.5 |
Australia
| | 3.5 |
United States
| | 3.3 |
Taiwan
| | 3.3 |
South Africa
| | 3.2 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Singapore
| | 2.7% |
China
| | 2.4 |
India
| | 2.4 |
Spain
| | 2.2 |
Belgium
| | 2.1 |
Indonesia
| | 1.9 |
Sweden
| | 1.4 |
Short-Term Investments
| | 2.8 |
| * | 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. |
| April 30, 2022 | J.P. Morgan International Equity Funds | 17 |
JPMorgan International Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | November 30, 2011 | | | | | | | | |
| With Sales Charge ** | | | (21.10)% | | (19.86)% | | 3.62% | | 5.06% |
| Without Sales Charge | | | (16.72) | | (15.43) | | 4.74 | | 5.63 |
| CLASS C SHARES | November 30, 2011 | | | | | | | | |
| With CDSC *** | | | (17.91) | | (16.82) | | 4.22 | | 5.20 |
| Without CDSC | | | (16.91) | | (15.82) | | 4.22 | | 5.20 |
| Class I SHARES | November 30, 2011 | | (16.59) | | (15.20) | | 5.02 | | 5.92 |
| Class R2 SHARES | November 30, 2011 | | (16.83) | | (15.68) | | 4.43 | | 5.34 |
| Class R5 SHARES | November 30, 2011 | | (16.57) | | (15.11) | | 5.12 | | 6.06 |
| Class R6 SHARES | November 30, 2011 | | (16.50) | | (15.01) | | 5.22 | | 6.14 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 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 ACWI ex USA Index (net total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI ACWI ex USA Index (net total return) 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 MSCI ACWI ex USA Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in developed and emerging markets, excluding the U.S.. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. 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 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 18 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (10.08)% |
MSCI EAFE Index (net total return)
| (11.80)% |
ICE BofAML 3-Month US Treasury Bill Index
| 0.07% |
Net Assets as of 4/30/2022 (In Thousands)
| $171,223 |
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 total return) (the “Benchmark”) and underperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the six months ended April 30, 2022. The Fund’s options hedge allowed the Fund to generally perform as designed during the reporting period with about 58% of the Benchmark’s volatility.
The Fund’s security selection in the communication services and health care sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight positions in the materials and energy sectors were leading detractors from relative performance.
By country, the Fund’s security selection in Switzerland and Singapore was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection and underweight position in the U.K. and its security selection in Italy were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in Sea Ltd. and its overweight positions in Rio Tinto PLC and RWE AG. Shares of
Sea, a Singapore-based internet and mobile platform provider, fell after Tencent Holdings Ltd. reduced its stake in the company to about 19% from 21%. Shares of Rio Tinto, a U.K. mining and metals company, rose after the company forecast growth in iron ore shipments in the second half of 2022. Shares of RWE, a German electric utility, rose amid rising energy prices across Europe.
Leading individual detractors from relative performance included the Fund’s overweight positions in Ryochin Keikaku Co. and Infineon Technologies AG and its underweight position in Glencore PLC. Shares of Ryochin Keikaku, an apparel and household goods retailer operating under the Muji brand, fell after the company reported lower-than-expected earnings amid increased pandemic-related expenses and lower sales in Japan and China. Shares of Infineon Technologies, a semiconductor manufacturer, fell amid slowing demand from the automotive subsector. Shares of Glencore, a U.K. mining and minerals company not held in the Fund, rose amid surging global commodities prices.
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
| April 30, 2022 | J.P. Morgan International Equity Funds | 19 |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
their earnings faster than their industry peers.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | MSCI EAFE E-Mini Index 6/17/2022 at USD 2,015.00, European Style
| | 3.6 % |
| 2. | Nestle SA (Registered) (Switzerland)
| | 2.8 |
| 3. | Roche Holding AG (Switzerland)
| | 2.4 |
| 4. | ASML Holding NV (Netherlands)
| | 2.0 |
| 5. | Novo Nordisk A/S, Class B (Denmark)
| | 1.9 |
| 6. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 1.7 |
| 7. | Novartis AG (Registered) (Switzerland)
| | 1.7 |
| 8. | AstraZeneca plc (United Kingdom)
| | 1.6 |
| 9. | Diageo plc (United Kingdom)
| | 1.4 |
| 10. | Allianz SE (Registered) (Germany)
| | 1.3 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Japan
| | 20.9% |
United Kingdom
| | 12.8 |
Switzerland
| | 10.9 |
France
| | 10.7 |
Germany
| | 8.7 |
Australia
| | 6.1 |
Netherlands
| | 5.9 |
United States
| | 5.4 |
Denmark
| | 3.2 |
Spain
| | 2.7 |
Hong Kong
| | 2.4 |
Sweden
| | 1.9 |
Others (each less than 1.0%)
| | 3.9 |
Short-Term Investments
| | 4.5 |
| * | 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. |
| 20 | J.P. Morgan International Equity Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | SINCE
INCEPTION |
| CLASS A SHARES | March 15, 2019 | | | | | | |
| With Sales Charge ** | | | (14.88)% | | (10.37)% | | (0.61)% |
| Without Sales Charge | | | (10.15) | | (5.40) | | 1.11 |
| CLASS C SHARES | March 15, 2019 | | | | | | |
| With CDSC *** | | | (11.38) | | (6.87) | | 0.60 |
| Without CDSC | | | (10.38) | | (5.87) | | 0.60 |
| Class I SHARES | March 15, 2019 | | (10.08) | | (5.18) | | 1.36 |
| Class R5 SHARES | March 15, 2019 | | (9.97) | | (5.01) | | 1.52 |
| Class R6 SHARES | March 15, 2019 | | (9.99) | | (4.98) | | 1.61 |
|
| * | 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 (2/22/19 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 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 total return) and the ICE BofAML 3-Month US Treasury Bill Index from March 15, 2019 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net total return) 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 performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and 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 total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in developed markets, excluding the U.S. and Canada. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. The ICE
BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the 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.
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
| April 30, 2022 | J.P. Morgan International Equity Funds | 21 |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
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, noninfringement, 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, 2022 |
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (12.16)% |
MSCI EAFE Index (net total return)
| (11.80)% |
Net Assets as of 4/30/2022 (In Thousands)
| $5,523,040 |
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 total return) (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s underweight positions in the materials and energy sectors were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the communication services and health care sectors were leading contributors to relative performance.
By region, the Fund’s security selection in the U.K. was the sole regional detractor from performance relative to the Benchmark, while the Fund’s security selection in Europe, excluding the U.K., and in the Pacific, excluding Japan, was a leading 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?
Using the fundamental equity insights generated by analysts, the Fund’s portfolio managers took overweight positions in securities included within the universe of the Benchmark that they considered undervalued, while underweighting or not holding securities in the Benchmark that they considered overvalued.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Nestle SA (Registered) (Switzerland)
| | 2.9 % |
| 2. | Roche Holding AG (Switzerland)
| | 2.5 |
| 3. | ASML Holding NV (Netherlands)
| | 2.0 |
| 4. | Novo Nordisk A/S, Class B (Denmark)
| | 2.0 |
| 5. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 1.8 |
| 6. | Novartis AG (Registered) (Switzerland)
| | 1.7 |
| 7. | AstraZeneca plc (United Kingdom)
| | 1.6 |
| 8. | Diageo plc (United Kingdom)
| | 1.4 |
| 9. | BP plc (United Kingdom)
| | 1.3 |
| 10. | Allianz SE (Registered) (Germany)
| | 1.3 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Japan
| | 19.0% |
United Kingdom
| | 13.6 |
Switzerland
| | 11.4 |
France
| | 11.4 |
Germany
| | 9.1 |
Netherlands
| | 6.3 |
Australia
| | 5.8 |
Denmark
| | 3.4 |
Spain
| | 2.7 |
Hong Kong
| | 2.2 |
Sweden
| | 1.9 |
United States
| | 1.9 |
Others (each less than 1.0%)
| | 4.0 |
Short-Term Investments
| | 7.3 |
| * | 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. |
| April 30, 2022 | J.P. Morgan International Equity Funds | 23 |
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | April 23, 1993 | | | | | | | | |
| With Sales Charge ** | | | (16.83)% | | (12.46)% | | 2.48% | | 4.74% |
| Without Sales Charge | | | (12.21) | | (7.61) | | 3.60 | | 5.31 |
| Class I SHARES | October 28, 1992 | | (12.16) | | (7.45) | | 3.83 | | 5.57 |
| Class R6 SHARES | November 1, 2017 | | (12.14) | | (7.36) | | 3.93 | | 5.62 |
|
| * | Not annualized. |
| ** | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR FUND PERFORMANCE (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class 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 total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net total return) 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 MSCI EAFE Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of large- and mid- cap stocks in developed markets, excluding the U.S. and Canada. Net total return figures assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. 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.
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, noninfringement, 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)
| 24 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class L Shares) *
| (7.92)% |
MSCI EAFE Value Index (net total return)
| (5.14)% |
Net Assets as of 4/30/2022 (In Thousands)
| $387,700 |
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 total return) (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s security selection in the consumer discretionary and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s underweight positions in the information technology and real estate sectors were leading detractors from relative performance.
By region, the Fund’s security selection in the U.K. and Europe was a leading detractor from relative performance, while the Fund’s security selection in Japan was the sole regional contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Shell PLC, British American Tobacco PLC and AstraZeneca PLC. Shares of Shell, a U.K. integrated petroleum and natural gas company, rose amid rising global energy prices. Shares of British American Tobacco, a U.K. tobacco products maker not held in the Fund, rose amid
the company’s efforts to enter the retail market for cannabis products. Shares of AstraZeneca, a U.K. pharmaceuticals company not held in the Fund, rose amid investor expectations of regulatory approvals of the company’s treatment for Covid-19 and its variants.
Leading individual contributors to relative performance included the Fund’s underweight positions in SAP SE, BASF AG and SoftBank Group Corp. Shares of SAP, a German software and services company not held in the Fund, fell amid a sell-off in the broader European information technology sector. Shares of BASF, a German chemicals and materials manufacturer not held in the Fund, fell after the company forecast lower-than-expected sales and revenue in 2022. Shares of SoftBank Group, a Japanese technology sector holding company not held in the Fund, fell amid investor concerns about the company’s exposure to technology businesses in China.
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 positions relative to the Benchmark during the period were in the financials and consumer discretionary sectors, while the largest underweight positions were in the
| April 30, 2022 | J.P. Morgan International Equity Funds | 25 |
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
consumer staples and utilities sectors.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Shell plc (Netherlands)
| | 2.8 % |
| 2. | Novartis AG (Registered) (Switzerland)
| | 2.4 |
| 3. | Toyota Motor Corp. (Japan)
| | 2.3 |
| 4. | BHP Group Ltd. (Australia)
| | 2.2 |
| 5. | TotalEnergies SE (France)
| | 1.7 |
| 6. | HSBC Holdings plc (United Kingdom)
| | 1.6 |
| 7. | GlaxoSmithKline plc
| | 1.5 |
| 8. | BP plc (United Kingdom)
| | 1.4 |
| 9. | Siemens AG (Registered) (Germany)
| | 1.2 |
| 10. | Allianz SE (Registered) (Germany)
| | 1.2 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Japan
| | 20.1% |
United Kingdom
| | 13.6 |
Germany
| | 9.4 |
Australia
| | 8.1 |
France
| | 7.7 |
Switzerland
| | 5.9 |
Netherlands
| | 5.8 |
Italy
| | 3.2 |
Spain
| | 3.1 |
Sweden
| | 2.6 |
Norway
| | 2.4 |
United States
| | 2.3 |
Denmark
| | 1.6 |
Finland
| | 1.5 |
PORTFOLIO COMPOSTION BY COUNTRY
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Singapore
| | 1.4% |
Austria
| | 1.3 |
Hong Kong
| | 1.0 |
Others (each less than 1.0%)
| | 2.7 |
Short-Term Investments
| | 6.3 |
| * | 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. |
| 26 | J.P. Morgan International Equity Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | September 28, 2001 | | | | | | | | |
| With Sales Charge ** | | | (12.90)% | | (9.86)% | | 0.46% | | 2.46% |
| Without Sales Charge | | | (8.05) | | (4.87) | | 1.55 | | 3.02 |
| CLASS C SHARES | July 11, 2006 | | | | | | | | |
| With CDSC *** | | | (9.34) | | (6.36) | | 1.03 | | 2.61 |
| Without CDSC | | | (8.34) | | (5.36) | | 1.03 | | 2.61 |
| Class I SHARES | September 10, 2001 | | (7.97) | | (4.66) | | 1.81 | | 3.29 |
| Class L SHARES | November 4, 1993 | | (7.92) | | (4.53) | | 1.92 | | 3.42 |
| Class R2 SHARES | November 3, 2008 | | (8.22) | | (5.13) | | 1.25 | | 2.74 |
| Class R5 SHARES | September 9, 2016 | | (7.85) | | (4.50) | | 1.92 | | 3.42 |
| Class R6 SHARES | November 30, 2010 | | (7.93) | | (4.44) | | 2.02 | | 3.53 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. 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 prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 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 total return) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Value Index (net total return) 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 MSCI EAFE Value Index (net total return) is a free float-adjusted market capitalization weighted index that is designed to measure the performance of value-oriented large- and mid- cap stocks in developed markets, excluding the U.S. and Canada. Net total return figures
assume the reinvestment of dividends after deduction of withholding tax, applying the maximum rate to nonresident individual investors who do not benefit from double taxation treaties. 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 U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| April 30, 2022 | J.P. Morgan International Equity Funds | 27 |
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 97.3% |
| Brazil — 5.7% |
| B3 SA - Brasil Bolsa Balcao | 36,160 | 97,275 |
| Magazine Luiza SA * | 35,416 | 35,388 |
| MercadoLibre, Inc. * | 290 | 282,412 |
| Raia Drogasil SA | 12,592 | 53,284 |
| XP, Inc., Class A * | 3,372 | 82,972 |
| | | 551,331 |
| China — 30.5% |
| Alibaba Group Holding Ltd. * | 2,185 | 26,658 |
| Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A | 14,621 | 99,270 |
| Budweiser Brewing Co. APAC Ltd. (a) | 36,765 | 91,478 |
| Dada Nexus Ltd., ADR * | 3,482 | 26,570 |
| Foshan Haitian Flavouring & Food Co. Ltd., Class A | 10,770 | 131,311 |
| JD.com, Inc., ADR * | 1,020 | 62,922 |
| JD.com, Inc., Class A * | 7,921 | 246,959 |
| Jiangsu Hengli Hydraulic Co. Ltd., Class A | 14,368 | 98,604 |
| KE Holdings, Inc., ADR * | 3,440 | 48,775 |
| Kingdee International Software Group Co. Ltd. * | 33,349 | 68,052 |
| Meituan * (a) | 7,797 | 167,056 |
| Midea Group Co. Ltd., Class A | 3,256 | 27,705 |
| NetEase, Inc. | 12,341 | 236,401 |
| Pharmaron Beijing Co. Ltd., Class A | 5,886 | 110,397 |
| Ping An Bank Co. Ltd., Class A | 24,427 | 55,982 |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 1,917 | 89,874 |
| Shenzhou International Group Holdings Ltd. | 8,462 | 114,817 |
| Sichuan Swellfun Co. Ltd., Class A | 1,990 | 20,973 |
| Silergy Corp. | 1,455 | 129,542 |
| Sunny Optical Technology Group Co. Ltd. | 6,003 | 87,494 |
| Tencent Holdings Ltd. | 9,578 | 451,358 |
| Wanhua Chemical Group Co. Ltd., Class A | 8,751 | 101,801 |
| Wuliangye Yibin Co. Ltd., Class A | 2,814 | 68,187 |
| Wuxi Biologics Cayman, Inc. * (a) | 19,748 | 145,760 |
| Xinyi Solar Holdings Ltd. | 90,630 | 134,715 |
| Yum China Holdings, Inc. | 2,605 | 108,882 |
| | | 2,951,543 |
| Hong Kong — 4.9% |
| AIA Group Ltd. | 24,585 | 241,514 |
| Hong Kong Exchanges & Clearing Ltd. | 1,598 | 67,802 |
| Techtronic Industries Co. Ltd. | 1,220 | 16,254 |
| Techtronic Industries Co. Ltd. | 11,206 | 149,579 |
| | | 475,149 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| India — 21.9% |
| Apollo Hospitals Enterprise Ltd. | 1,562 | 90,468 |
| Asian Paints Ltd. | 2,104 | 88,691 |
| Britannia Industries Ltd. | 1,516 | 64,701 |
| HDFC Bank Ltd. | 13,065 | 234,234 |
| HDFC Bank Ltd., ADR | 2,799 | 154,522 |
| HDFC Life Insurance Co. Ltd. (a) | 16,679 | 126,468 |
| Hindustan Unilever Ltd. | 5,256 | 152,715 |
| Housing Development Finance Corp. Ltd. | 9,711 | 280,190 |
| Infosys Ltd. | 3,073 | 62,281 |
| Infosys Ltd., ADR | 6,857 | 136,239 |
| Kotak Mahindra Bank Ltd. | 6,895 | 159,883 |
| Reliance Industries Ltd. | 7,350 | 266,303 |
| Tata Consultancy Services Ltd. | 6,652 | 306,584 |
| | | 2,123,279 |
| Indonesia — 4.4% |
| Bank Central Asia Tbk. PT | 366,933 | 205,802 |
| Bank Rakyat Indonesia Persero Tbk. PT | 655,689 | 218,467 |
| | | 424,269 |
| Macau — 0.5% |
| Sands China Ltd. * | 22,195 | 48,921 |
| Mexico — 3.1% |
| Grupo Financiero Banorte SAB de CV, Class O | 17,815 | 117,418 |
| Wal-Mart de Mexico SAB de CV | 52,447 | 185,898 |
| | | 303,316 |
| Panama — 0.7% |
| Copa Holdings SA, Class A * | 879 | 66,264 |
| Poland — 0.4% |
| Allegro.eu SA * (a) | 6,701 | 34,466 |
| Portugal — 0.9% |
| Jeronimo Martins SGPS SA | 4,290 | 89,295 |
| South Africa — 1.5% |
| Bid Corp. Ltd. | 3,452 | 72,233 |
| Capitec Bank Holdings Ltd. | 525 | 73,285 |
| | | 145,518 |
| South Korea — 8.2% |
| Delivery Hero SE * (a) (b) | 1,063 | 37,355 |
| LG Chem Ltd. | 225 | 92,259 |
| NCSoft Corp. | 162 | 53,683 |
| Samsung Electronics Co. Ltd. | 11,386 | 606,785 |
| | | 790,082 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Taiwan — 11.5% |
| Chailease Holding Co. Ltd. | 16,230 | 128,975 |
| Delta Electronics, Inc. | 9,230 | 77,048 |
| Realtek Semiconductor Corp. | 3,104 | 42,120 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 6,120 | 110,666 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 8,142 | 756,695 |
| | | 1,115,504 |
| United Kingdom — 1.1% |
| Prudential plc | 8,808 | 109,652 |
| United States — 2.0% |
| EPAM Systems, Inc. * | 544 | 144,031 |
| JS Global Lifestyle Co. Ltd. (a) | 41,166 | 48,836 |
| | | 192,867 |
Total Common Stocks
(Cost $8,504,575) | | 9,421,456 |
| Short-Term Investments — 2.8% |
| Investment Companies — 2.8% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $267,802) | 267,753 | 267,806 |
| Investment of Cash Collateral from Securities Loaned — 0.0% ^ |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 8 | 8 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 99 | 99 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $107) | | 107 |
Total Short-Term Investments
(Cost $267,909) | | 267,913 |
Total Investments — 100.1%
(Cost $8,772,484) | | 9,689,369 |
| Liabilities in Excess of Other Assets — (0.1)% | | (11,141) |
| NET ASSETS — 100.0% | | 9,678,228 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| ADR | American Depositary Receipt |
| APAC | Asia Pacific |
| PT | Limited liability company |
| SGPS | Holding company |
| ^ | Amount rounds to less than 0.1% of net assets. |
| * | Non-income producing security. | |
| (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, 2022. The total value of securities on loan at April 30, 2022 is $106. | |
| (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, 2022. | |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Banks | 12.7% |
| Semiconductors & Semiconductor Equipment | 12.1 |
| Internet & Direct Marketing Retail | 9.3 |
| IT Services | 6.7 |
| Technology Hardware, Storage & Peripherals | 6.3 |
| Insurance | 4.9 |
| Interactive Media & Services | 4.7 |
| Food & Staples Retailing | 4.0 |
| Entertainment | 2.9 |
| Chemicals | 2.9 |
| Thrifts & Mortgage Finance | 2.9 |
| Oil, Gas & Consumable Fuels | 2.7 |
| Machinery | 2.7 |
| Life Sciences Tools & Services | 2.6 |
| Capital Markets | 2.6 |
| Food Products | 2.1 |
| Beverages | 1.8 |
| Electronic Equipment, Instruments & Components | 1.7 |
| Hotels, Restaurants & Leisure | 1.6 |
| Personal Products | 1.6 |
| Diversified Financial Services | 1.3 |
| Textiles, Apparel & Luxury Goods | 1.2 |
| Construction Materials | 1.0 |
| Others (each less than 1.0%) | 4.9 |
| Short-Term Investments | 2.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 29 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 98.7% |
| Brazil — 6.2% |
| Atacadao SA | 1,245 | 5,192 |
| B3 SA - Brasil Bolsa Balcao | 1,593 | 4,285 |
| Cia Energetica de Minas Gerais (Preference) | 959 | 2,918 |
| EDP - Energias do Brasil SA | 936 | 4,026 |
| Gerdau SA (Preference) | 2,097 | 11,972 |
| Itau Unibanco Holding SA (Preference) * | 3,198 | 15,485 |
| Itausa SA (Preference) | 6,219 | 11,610 |
| Localiza Rent a Car SA | 436 | 4,701 |
| Lojas Renner SA * | 1,656 | 7,992 |
| Magazine Luiza SA * | 3,785 | 3,782 |
| MercadoLibre, Inc. * | 4 | 4,281 |
| Petroleo Brasileiro SA (Preference) | 4,981 | 30,721 |
| Porto Seguro SA | 470 | 1,950 |
| Raia Drogasil SA | 2,012 | 8,511 |
| Suzano SA | 975 | 9,858 |
| TIM SA, ADR * | 466 | 6,360 |
| Vale SA, ADR | 2,078 | 35,104 |
| WEG SA | 1,854 | 11,365 |
| XP, Inc., Receipts * | 85 | 2,096 |
| | | 182,209 |
| Chile — 0.4% |
| Banco Santander Chile, ADR | 383 | 7,452 |
| Cencosud SA | 1,448 | 2,317 |
| Cia Cervecerias Unidas SA, ADR | 118 | 1,578 |
| | | 11,347 |
| China — 30.4% |
| Alibaba Group Holding Ltd. * | 7,028 | 85,726 |
| Amoy Diagnostics Co. Ltd., Class A | 204 | 1,393 |
| Anhui Conch Cement Co. Ltd., Class H | 903 | 4,910 |
| Anjoy Foods Group Co. Ltd., Class A | 136 | 2,635 |
| ANTA Sports Products Ltd. | 718 | 8,247 |
| Baidu, Inc., ADR * | 92 | 11,375 |
| Baoshan Iron & Steel Co. Ltd., Class A | 6,679 | 6,444 |
| BeiGene Ltd., ADR * (a) | 17 | 2,677 |
| Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A | 589 | 3,999 |
| BOE Technology Group Co. Ltd., Class A | 10,123 | 5,750 |
| BYD Co. Ltd., Class H | 159 | 4,642 |
| Chacha Food Co. Ltd., Class A | 651 | 5,179 |
| China Conch Environment Protection Holdings Ltd. * | 1,321 | 1,131 |
| China Conch Venture Holdings Ltd. | 1,321 | 3,430 |
| China Construction Bank Corp., Class H | 51,389 | 36,609 |
| China International Capital Corp. Ltd., Class H (b) | 3,397 | 6,809 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| China — continued |
| China Lesso Group Holdings Ltd. | 3,062 | 3,829 |
| China Life Insurance Co. Ltd., Class H | 6,444 | 9,364 |
| China Merchants Bank Co. Ltd., Class H | 3,374 | 20,336 |
| China Molybdenum Co. Ltd., Class H | 12,579 | 6,256 |
| China Oilfield Services Ltd., Class H | 8,198 | 8,393 |
| China Pacific Insurance Group Co. Ltd., Class H | 3,075 | 6,818 |
| China Petroleum & Chemical Corp., Class H | 12,884 | 6,306 |
| China Resources Land Ltd. | 2,594 | 11,585 |
| China Resources Mixc Lifestyle Services Ltd. (b) | 644 | 3,096 |
| China Vanke Co. Ltd., Class H | 4,356 | 10,272 |
| China Yangtze Power Co. Ltd., Class A | 2,446 | 8,336 |
| Chongqing Brewery Co. Ltd., Class A * | 192 | 3,590 |
| Chongqing Fuling Zhacai Group Co. Ltd., Class A | 602 | 3,142 |
| Contemporary Amperex Technology Co. Ltd., Class A | 117 | 7,085 |
| COSCO SHIPPING Holdings Co. Ltd., Class H * | 1,890 | 2,941 |
| Country Garden Services Holdings Co. Ltd. | 1,560 | 6,575 |
| CSPC Pharmaceutical Group Ltd. | 5,804 | 5,934 |
| ENN Energy Holdings Ltd. | 681 | 9,118 |
| Foshan Haitian Flavouring & Food Co. Ltd., Class A | 712 | 8,681 |
| Fuyao Glass Industry Group Co. Ltd., Class H (b) | 965 | 3,942 |
| Ganfeng Lithium Co. Ltd., Class H (b) | 221 | 2,648 |
| Guangzhou Automobile Group Co. Ltd., Class H | 11,024 | 9,347 |
| Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A | 282 | 3,452 |
| Haier Smart Home Co. Ltd., Class H | 3,563 | 12,586 |
| Hangzhou Tigermed Consulting Co. Ltd., Class H (b) | 271 | 2,625 |
| Han's Laser Technology Industry Group Co. Ltd., Class A | 605 | 2,497 |
| Hefei Meiya Optoelectronic Technology, Inc., Class A | 535 | 1,814 |
| Huatai Securities Co. Ltd., Class H (b) | 2,480 | 3,408 |
| Huayu Automotive Systems Co. Ltd., Class A | 978 | 2,861 |
| Huazhu Group Ltd. | 1,647 | 5,183 |
| Hundsun Technologies, Inc., Class A | 327 | 1,862 |
| Hutchmed China Ltd., ADR * (a) | 64 | 972 |
| Industrial & Commercial Bank of China Ltd., Class H | 27,366 | 16,496 |
| Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 1,589 | 9,157 |
| JD.com, Inc., Class A * | 1,127 | 35,144 |
| Jiangsu Hengli Hydraulic Co. Ltd., Class A | 273 | 1,873 |
| Jiangsu Hengrui Medicine Co. Ltd., Class A | 949 | 4,191 |
| Kuaishou Technology * (b) | 315 | 2,576 |
| Kunlun Energy Co. Ltd. | 7,742 | 6,425 |
| Kweichow Moutai Co. Ltd., Class A | 31 | 8,375 |
| Laobaixing Pharmacy Chain JSC, Class A | 670 | 3,232 |
| Lenovo Group Ltd. | 3,448 | 3,348 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| China — continued |
| Longfor Group Holdings Ltd. (b) | 2,086 | 10,331 |
| Maxscend Microelectronics Co. Ltd., Class A * | 66 | 1,805 |
| Meituan * (b) | 1,866 | 39,984 |
| Minth Group Ltd. | 1,506 | 3,548 |
| NetEase, Inc. | 1,352 | 25,906 |
| NIO, Inc., ADR * (a) | 437 | 7,302 |
| Nongfu Spring Co. Ltd., Class H (b) | 740 | 3,917 |
| Oppein Home Group, Inc., Class A | 348 | 6,074 |
| Pharmaron Beijing Co. Ltd., Class H (b) | 572 | 7,190 |
| PICC Property & Casualty Co. Ltd., Class H | 10,226 | 10,459 |
| Pinduoduo, Inc., ADR * | 222 | 9,573 |
| Ping An Bank Co. Ltd., Class A | 3,403 | 7,798 |
| Ping An Insurance Group Co. of China Ltd., Class H | 3,821 | 24,155 |
| Poly Developments and Holdings Group Co. Ltd., Class A | 1,188 | 3,243 |
| Postal Savings Bank of China Co. Ltd., Class H (b) | 8,595 | 6,517 |
| Qingdao Haier Biomedical Co. Ltd., Class A | 387 | 3,744 |
| Shanghai Baosight Software Co. Ltd., Class A | 513 | 3,641 |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 128 | 6,009 |
| Silergy Corp. | 77 | 6,856 |
| Skshu Paint Co. Ltd., Class A | 323 | 3,589 |
| Sunny Optical Technology Group Co. Ltd. | 533 | 7,771 |
| Tencent Holdings Ltd. | 2,663 | 125,503 |
| Tongwei Co. Ltd., Class A | 792 | 4,842 |
| Trip.com Group Ltd., ADR * | 152 | 3,606 |
| Wanhua Chemical Group Co. Ltd., Class A | 562 | 6,534 |
| Wuliangye Yibin Co. Ltd., Class A | 101 | 2,437 |
| WuXi AppTec Co. Ltd., Class H (b) | 534 | 7,259 |
| Wuxi Biologics Cayman, Inc. * (b) | 1,988 | 14,677 |
| Xiaomi Corp., Class B * (b) | 3,225 | 4,910 |
| Xinyi Solar Holdings Ltd. | 6,168 | 9,168 |
| XPeng, Inc., Class A * (a) | 485 | 6,024 |
| Yum China Holdings, Inc. | 71 | 2,925 |
| Yum China Holdings, Inc. | 167 | 6,962 |
| Yunnan Energy New Material Co. Ltd. * | 94 | 2,837 |
| Zai Lab Ltd., ADR * | 24 | 966 |
| Zhejiang Dingli Machinery Co. Ltd., Class A | 355 | 1,975 |
| Zhejiang Weixing New Building Materials Co. Ltd., Class A | 1,651 | 4,693 |
| Zhongji Innolight Co. Ltd., Class A | 507 | 2,323 |
| Zijin Mining Group Co. Ltd., Class H | 8,426 | 12,269 |
| | | 895,949 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Colombia — 0.2% |
| Ecopetrol SA, ADR (a) | 330 | 5,352 |
| Greece — 0.5% |
| Hellenic Telecommunications Organization SA | 384 | 7,388 |
| OPAP SA | 465 | 6,886 |
| | | 14,274 |
| Hong Kong — 0.2% |
| Techtronic Industries Co. Ltd. | 418 | 5,579 |
| Hungary — 0.4% |
| OTP Bank Nyrt. * | 252 | 7,514 |
| Richter Gedeon Nyrt. | 185 | 3,684 |
| | | 11,198 |
| India — 12.8% |
| ACC Ltd. | 153 | 4,626 |
| Apollo Hospitals Enterprise Ltd. | 187 | 10,818 |
| Axis Bank Ltd. * | 994 | 9,375 |
| Bharat Petroleum Corp. Ltd. | 1,760 | 8,285 |
| Biocon Ltd. * | 913 | 4,381 |
| Britannia Industries Ltd. | 233 | 9,936 |
| Dabur India Ltd. | 643 | 4,652 |
| Dr. Reddy's Laboratories Ltd. | 53 | 2,880 |
| Eicher Motors Ltd. | 124 | 4,220 |
| GAIL India Ltd. | 1,461 | 3,020 |
| HDFC Bank Ltd., ADR | 128 | 7,076 |
| HDFC Life Insurance Co. Ltd. (b) | 1,385 | 10,501 |
| Hindalco Industries Ltd. | 1,589 | 9,891 |
| Hindustan Unilever Ltd. | 657 | 19,080 |
| Housing Development Finance Corp. Ltd. | 987 | 28,464 |
| ICICI Bank Ltd. | 3,010 | 28,932 |
| Infosys Ltd., ADR | 1,773 | 35,227 |
| Kotak Mahindra Bank Ltd. | 577 | 13,383 |
| Larsen & Toubro Ltd. | 552 | 12,122 |
| Maruti Suzuki India Ltd. | 135 | 13,556 |
| NTPC Ltd. | 4,763 | 9,668 |
| Oil & Natural Gas Corp. Ltd. | 3,278 | 6,793 |
| Petronet LNG Ltd. | 2,227 | 5,903 |
| Power Grid Corp. of India Ltd. | 2,429 | 7,198 |
| Reliance Industries Ltd. | 1,486 | 53,838 |
| Shriram Transport Finance Co. Ltd. | 446 | 6,927 |
| Tata Consultancy Services Ltd. | 573 | 26,392 |
| Tata Consumer Products Ltd. | 325 | 3,487 |
| Tata Steel Ltd. | 375 | 6,162 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 31 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| India — continued |
| UltraTech Cement Ltd. | 89 | 7,709 |
| Wipro Ltd. | 474 | 3,113 |
| | | 377,615 |
| Indonesia — 1.8% |
| Bank Central Asia Tbk. PT | 36,002 | 20,192 |
| Bank Rakyat Indonesia Persero Tbk. PT | 53,968 | 17,982 |
| Telkom Indonesia Persero Tbk. PT | 50,760 | 16,177 |
| | | 54,351 |
| Malaysia — 1.2% |
| CIMB Group Holdings Bhd. | 3,823 | 4,557 |
| Malayan Banking Bhd. | 1,818 | 3,781 |
| Petronas Chemicals Group Bhd. | 3,999 | 9,388 |
| Public Bank Bhd. | 11,430 | 12,286 |
| Tenaga Nasional Bhd. | 2,208 | 4,584 |
| | | 34,596 |
| Mexico — 2.9% |
| America Movil SAB de CV | 18,099 | 17,650 |
| Fomento Economico Mexicano SAB de CV, ADR | 91 | 6,823 |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B * | 628 | 9,670 |
| Grupo Aeroportuario del Sureste SAB de CV, Class B | 426 | 9,284 |
| Grupo Financiero Banorte SAB de CV, Class O | 1,963 | 12,942 |
| Grupo Mexico SAB de CV | 2,202 | 10,313 |
| Kimberly-Clark de Mexico SAB de CV, Class A | 2,133 | 2,969 |
| Wal-Mart de Mexico SAB de CV | 4,209 | 14,919 |
| | | 84,570 |
| Peru — 0.4% |
| Credicorp Ltd. | 80 | 11,094 |
| Philippines — 0.5% |
| Ayala Corp. | 253 | 3,554 |
| Ayala Land, Inc. | 5,924 | 3,616 |
| International Container Terminal Services, Inc. | 1,500 | 6,160 |
| | | 13,330 |
| Poland — 0.4% |
| Dino Polska SA * (b) | 119 | 7,666 |
| Powszechny Zaklad Ubezpieczen SA | 809 | 5,596 |
| | | 13,262 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Qatar — 0.6% |
| Industries Qatar QSC | 1,191 | 6,142 |
| Qatar National Bank QPSC | 1,977 | 12,624 |
| | | 18,766 |
| Russia — 0.0% ^ |
| Gazprom PJSC, ADR ‡ | 2,290 | 256 |
| Magnitogorsk Iron & Steel Works PJSC ‡ | 3,146 | 36 |
| MMC Norilsk Nickel PJSC, ADR ‡ | 410 | 197 |
| Novatek PJSC ‡ | 165 | 50 |
| Rosneft Oil Co. PJSC, GDR ‡ (b) | 833 | 78 |
| Sberbank of Russia PJSC, ADR ‡ | 793 | 70 |
| Severstal PAO, GDR ‡ (b) | 329 | 105 |
| TCS Group Holding plc, GDR ‡ * (b) | 69 | 50 |
| X5 Retail Group NV, GDR ‡ (b) | 207 | 50 |
| | | 892 |
| Saudi Arabia — 4.2% |
| Al Rajhi Bank | 703 | 32,930 |
| Alinma Bank | 1,338 | 14,673 |
| Almarai Co. JSC | 380 | 5,234 |
| BinDawood Holding Co. | 132 | 3,596 |
| Etihad Etisalat Co. | 368 | 4,249 |
| SABIC Agri-Nutrients Co. | 148 | 6,359 |
| Saudi Arabian Oil Co. (b) | 478 | 5,716 |
| Saudi Basic Industries Corp. | 431 | 14,944 |
| Saudi National Bank (The) | 1,380 | 28,935 |
| Saudi Telecom Co. | 271 | 8,327 |
| | | 124,963 |
| Singapore — 0.1% |
| BOC Aviation Ltd. (b) | 347 | 2,718 |
| South Africa — 4.2% |
| Bid Corp. Ltd. | 537 | 11,244 |
| Bidvest Group Ltd. (The) | 233 | 3,196 |
| Capitec Bank Holdings Ltd. | 76 | 10,660 |
| Clicks Group Ltd. | 385 | 7,572 |
| FirstRand Ltd. | 4,291 | 18,479 |
| Foschini Group Ltd. (The) | 366 | 3,218 |
| Gold Fields Ltd. | 206 | 2,783 |
| Impala Platinum Holdings Ltd. | 375 | 4,856 |
| MTN Group Ltd. | 359 | 3,809 |
| Naspers Ltd., Class N | 112 | 11,315 |
| Nedbank Group Ltd. | 599 | 8,360 |
| Sanlam Ltd. | 2,676 | 11,085 |
| Sasol Ltd. * | 226 | 5,522 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| South Africa — continued |
| SPAR Group Ltd. (The) | 620 | 6,500 |
| Standard Bank Group Ltd. | 791 | 8,380 |
| Vodacom Group Ltd. | 644 | 6,201 |
| | | 123,180 |
| South Korea — 13.3% |
| BGF retail Co. Ltd. | 18 | 2,506 |
| Hana Financial Group, Inc. | 218 | 8,087 |
| Hankook Tire & Technology Co. Ltd. | 127 | 3,476 |
| Hyundai Glovis Co. Ltd. | 56 | 9,235 |
| Hyundai Mobis Co. Ltd. | 30 | 4,870 |
| Hyundai Motor Co. | 40 | 5,736 |
| JYP Entertainment Corp. | 101 | 4,695 |
| Kakao Corp. | 168 | 11,763 |
| KB Financial Group, Inc. | 370 | 17,204 |
| Kia Corp. | 244 | 16,007 |
| KIWOOM Securities Co. Ltd. | 41 | 3,057 |
| LG Chem Ltd. | 37 | 15,001 |
| LG Household & Health Care Ltd. | 10 | 7,057 |
| Mando Corp. | 73 | 3,119 |
| NAVER Corp. | 81 | 18,023 |
| NCSoft Corp. | 22 | 7,358 |
| POSCO Holdings, Inc. | 63 | 14,461 |
| Samsung Biologics Co. Ltd. * (b) | 11 | 7,480 |
| Samsung Electro-Mechanics Co. Ltd. | 51 | 6,605 |
| Samsung Electronics Co. Ltd. | 2,482 | 132,276 |
| Samsung Fire & Marine Insurance Co. Ltd. | 46 | 7,548 |
| Samsung SDI Co. Ltd. | 12 | 5,813 |
| Shinhan Financial Group Co. Ltd. | 461 | 15,312 |
| SK Hynix, Inc. | 326 | 28,580 |
| SK Innovation Co. Ltd. * | 58 | 9,290 |
| SK Telecom Co. Ltd. | 137 | 6,169 |
| SK, Inc. | 22 | 4,716 |
| SKC Co. Ltd. | 60 | 6,956 |
| S-Oil Corp. | 125 | 10,200 |
| | | 392,600 |
| Taiwan — 14.7% |
| Accton Technology Corp. | 686 | 5,351 |
| Advantech Co. Ltd. | 860 | 10,698 |
| ASE Technology Holding Co. Ltd. | 3,092 | 9,865 |
| AU Optronics Corp. | 9,025 | 5,155 |
| Cathay Financial Holding Co. Ltd. | 2,757 | 5,797 |
| Chailease Holding Co. Ltd. | 1,731 | 13,754 |
| CTBC Financial Holding Co. Ltd. | 9,129 | 8,979 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Taiwan — continued |
| Delta Electronics, Inc. | 1,908 | 15,927 |
| Eclat Textile Co. Ltd. | 404 | 6,629 |
| Evergreen Marine Corp. Taiwan Ltd. | 786 | 3,778 |
| Fubon Financial Holding Co. Ltd. | 5,983 | 15,022 |
| Giant Manufacturing Co. Ltd. | 457 | 3,821 |
| Hon Hai Precision Industry Co. Ltd. | 3,760 | 12,882 |
| MediaTek, Inc. | 352 | 9,704 |
| Nan Ya Plastics Corp. | 3,282 | 9,589 |
| Nanya Technology Corp. | 3,229 | 7,066 |
| Nien Made Enterprise Co. Ltd. | 368 | 3,876 |
| Novatek Microelectronics Corp. | 744 | 9,842 |
| Powertech Technology, Inc. | 914 | 2,872 |
| Quanta Computer, Inc. | 2,491 | 7,016 |
| Realtek Semiconductor Corp. | 642 | 8,712 |
| Sea Ltd., ADR * | 19 | 1,558 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 9,455 | 170,970 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 290 | 26,934 |
| Taiwan Union Technology Corp. | 1,420 | 3,667 |
| Uni-President Enterprises Corp. | 4,552 | 10,531 |
| United Microelectronics Corp. | 2,699 | 4,287 |
| Vanguard International Semiconductor Corp. | 1,277 | 4,493 |
| Wiwynn Corp. | 229 | 7,831 |
| Yageo Corp. | 616 | 8,314 |
| Yang Ming Marine Transport Corp. * | 1,354 | 5,649 |
| Yuanta Financial Holding Co. Ltd. | 13,913 | 12,246 |
| | | 432,815 |
| Thailand — 2.1% |
| Airports of Thailand PCL * | 3,921 | 7,578 |
| Airports of Thailand PCL, NVDR * | 104 | 201 |
| Indorama Ventures PCL | 2,247 | 2,942 |
| Minor International PCL * | 5,464 | 5,522 |
| Minor International PCL, NVDR * | 145 | 147 |
| PTT Exploration & Production PCL, NVDR | 85 | 371 |
| PTT Exploration & Production PCL | 2,319 | 10,145 |
| PTT Global Chemical PCL | 4,788 | 6,942 |
| PTT Global Chemical PCL, NVDR | 127 | 185 |
| PTT PCL | 5,171 | 5,621 |
| PTT PCL, NVDR | 138 | 149 |
| SCB X PCL | 2,933 | 9,849 |
| Siam Cement PCL (The), NVDR | 18 | 192 |
| Siam Cement PCL (The) (Registered) | 674 | 7,243 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 33 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Thailand — continued |
| Thai Oil PCL, NVDR | 76 | 124 |
| Thai Oil PCL | 2,864 | 4,686 |
| | | 61,897 |
| Turkey — 0.2% |
| Ford Otomotiv Sanayi A/S | 330 | 6,651 |
| United Arab Emirates — 1.0% |
| Dubai Islamic Bank PJSC | 3,613 | 6,320 |
| Emaar Properties PJSC | 4,464 | 7,699 |
| Emirates Telecommunications Group Co. PJSC | 767 | 7,335 |
| First Abu Dhabi Bank PJSC | 1,100 | 6,720 |
| | | 28,074 |
| United States — 0.0% ^ |
| JS Global Lifestyle Co. Ltd. (b) | 1,179 | 1,399 |
Total Common Stocks
(Cost $2,859,310) | | 2,908,681 |
| Short-Term Investments — 2.0% |
| Investment Companies — 1.5% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $43,823) | 43,814 | 43,823 |
| Investment of Cash Collateral from Securities Loaned — 0.5% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 6,491 | 6,486 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 7,576 | 7,576 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $14,061) | | 14,062 |
Total Short-Term Investments
(Cost $57,884) | | 57,885 |
Total Investments — 100.7%
(Cost $2,917,194) | | 2,966,566 |
| Liabilities in Excess of Other Assets — (0.7)% | | (20,474) |
| NET ASSETS — 100.0% | | 2,946,092 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| ADR | American Depositary Receipt |
| GDR | Global Depositary Receipt |
| JSC | Joint Stock Company |
| NVDR | Non-Voting Depositary Receipt |
| 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 |
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. | |
| * | Non-income producing security. | |
| (a) | The security or a portion of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 is $13,480. | |
| (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, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. Morgan International Equity Funds | April 30, 2022 |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Banks | 15.5% |
| Semiconductors & Semiconductor Equipment | 10.1 |
| Internet & Direct Marketing Retail | 6.3 |
| Interactive Media & Services | 5.7 |
| Technology Hardware, Storage & Peripherals | 5.6 |
| Oil, Gas & Consumable Fuels | 5.5 |
| Metals & Mining | 4.2 |
| Insurance | 3.6 |
| Chemicals | 3.1 |
| Electronic Equipment, Instruments & Components | 2.5 |
| Automobiles | 2.5 |
| Food & Staples Retailing | 2.5 |
| IT Services | 2.2 |
| Food Products | 2.1 |
| Real Estate Management & Development | 1.9 |
| Diversified Financial Services | 1.5 |
| Wireless Telecommunication Services | 1.5 |
| Entertainment | 1.3 |
| Life Sciences Tools & Services | 1.3 |
| Diversified Telecommunication Services | 1.3 |
| Transportation Infrastructure | 1.1 |
| Hotels, Restaurants & Leisure | 1.1 |
| Personal Products | 1.0 |
| Construction Materials | 1.0 |
| Thrifts & Mortgage Finance | 1.0 |
| Others (each less than 1.0%) | 12.6 |
| Short-Term Investments | 2.0 |
Futures contracts outstanding as of April 30, 2022 (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 Markets E-Mini Index | 78 | 06/17/2022 | USD | 4,119 | 77 |
| Abbreviations | |
| MSCI | Morgan Stanley Capital International |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 35 |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 97.8% |
| Australia — 2.1% |
| Glencore plc * | 2,081 | 12,823 |
| Austria — 1.1% |
| Erste Group Bank AG | 125 | 3,879 |
| Wienerberger AG | 97 | 2,738 |
| | | 6,617 |
| Denmark — 7.8% |
| Carlsberg A/S, Class B | 39 | 4,924 |
| Genmab A/S * | 20 | 7,172 |
| Jyske Bank A/S (Registered) * | 93 | 5,161 |
| Novo Nordisk A/S, Class B | 213 | 24,325 |
| Pandora A/S (a) | 36 | 3,164 |
| Royal Unibrew A/S | 28 | 2,381 |
| | | 47,127 |
| Finland — 3.5% |
| Neste OYJ | 105 | 4,527 |
| Nokia OYJ * | 1,783 | 9,038 |
| Nordea Bank Abp | 742 | 7,394 |
| | | 20,959 |
| France — 16.1% |
| Airbus SE | 81 | 8,872 |
| Arkema SA | 56 | 6,404 |
| BNP Paribas SA | 136 | 7,066 |
| Capgemini SE | 50 | 10,114 |
| LVMH Moet Hennessy Louis Vuitton SE | 24 | 15,446 |
| Pernod Ricard SA | 43 | 8,818 |
| Teleperformance | 15 | 5,339 |
| Thales SA | 31 | 3,967 |
| TotalEnergies SE (a) | 386 | 18,952 |
| Veolia Environnement SA | 180 | 5,266 |
| Vinci SA (a) | 78 | 7,559 |
| | | 97,803 |
| Germany — 15.2% |
| Allianz SE (Registered) | 62 | 13,987 |
| Bayer AG (Registered) * | 106 | 6,974 |
| Brenntag SE | 84 | 6,461 |
| Deutsche Boerse AG | 56 | 9,739 |
| Deutsche Telekom AG (Registered) | 567 | 10,446 |
| DWS Group GmbH & Co. KGaA (b) | 68 | 2,257 |
| Mercedes-Benz Group AG * | 133 | 9,309 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 31 | 7,392 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Germany — continued |
| RWE AG | 267 | 11,073 |
| Siemens AG (Registered) | 81 | 9,938 |
| Volkswagen AG (Preference) | 31 | 4,809 |
| | | 92,385 |
| Ireland — 1.5% |
| AIB Group plc | 1,699 | 3,705 |
| AIB Group plc | 10 | 21 |
| Bank of Ireland Group plc * | 883 | 5,463 |
| Bank of Ireland Group plc * | 14 | 87 |
| | | 9,276 |
| Italy — 1.2% |
| UniCredit SpA | 762 | 7,051 |
| Luxembourg — 1.0% |
| ArcelorMittal SA | 210 | 6,134 |
| Netherlands — 6.3% |
| Adyen NV * (b) | 3 | 4,653 |
| ASM International NV | 20 | 6,075 |
| ASML Holding NV (a) | 8 | 4,670 |
| Koninklijke Ahold Delhaize NV | 496 | 14,618 |
| NN Group NV | 163 | 8,014 |
| | | 38,030 |
| Norway — 1.4% |
| Equinor ASA | 257 | 8,688 |
| Spain — 1.3% |
| Corp. ACCIONA Energias Renovables SA | 133 | 4,917 |
| Fluidra SA | 105 | 2,836 |
| | | 7,753 |
| Switzerland — 17.3% |
| Cie Financiere Richemont SA (Registered) | 73 | 8,448 |
| Nestle SA (Registered) | 236 | 30,416 |
| Novartis AG (Registered) | 206 | 18,206 |
| Roche Holding AG | 65 | 24,249 |
| Schindler Holding AG | 20 | 3,890 |
| Sika AG (Registered) | 23 | 7,124 |
| Zurich Insurance Group AG | 28 | 12,730 |
| | | 105,063 |
| United Kingdom — 19.6% |
| 3i Group plc | 304 | 4,973 |
| Ashtead Group plc | 111 | 5,737 |
| Auto Trader Group plc (b) | 643 | 5,075 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United Kingdom — continued |
| Barclays plc | 4,715 | 8,666 |
| BP plc | 3,787 | 18,283 |
| Centrica plc * | 6,057 | 6,002 |
| Computacenter plc | 92 | 3,110 |
| Diageo plc | 260 | 12,950 |
| Future plc | 108 | 2,969 |
| Intermediate Capital Group plc | 145 | 2,770 |
| JD Sports Fashion plc | 2,102 | 3,463 |
| Linde plc (a) | 40 | 12,406 |
| Lloyds Banking Group plc | 14,092 | 8,004 |
| Marks & Spencer Group plc * | 2,091 | 3,570 |
| Petershill Partners plc * (b) | 582 | 1,867 |
| RELX plc | 298 | 8,865 |
| Segro plc, REIT | 384 | 6,425 |
| Taylor Wimpey plc | 2,410 | 3,791 |
| | | 118,926 |
| United States — 2.4% |
| Schneider Electric SE (a) | 61 | 8,829 |
| Stellantis NV | 413 | 5,552 |
| | | 14,381 |
Total Common Stocks
(Cost $575,629) | | 593,016 |
| Short-Term Investments — 9.9% |
| Investment Companies — 2.0% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $12,092) | 12,089 | 12,091 |
| Investment of Cash Collateral from Securities Loaned — 7.9% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 34,025 | 34,001 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 14,177 | 14,177 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $48,178) | | 48,178 |
Total Short-Term Investments
(Cost $60,270) | | 60,269 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
Total Investments — 107.7%
(Cost $635,899) | | 653,285 |
| Liabilities in Excess of Other Assets — (7.7)% | | (46,743) |
| NET ASSETS — 100.0% | | 606,542 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| 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 |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 is $44,177. |
| (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, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 37 |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Pharmaceuticals | 11.3% |
| Banks | 8.6 |
| Oil, Gas & Consumable Fuels | 7.7 |
| Insurance | 6.4 |
| Food Products | 4.7 |
| Beverages | 4.4 |
| Textiles, Apparel & Luxury Goods | 4.2 |
| Chemicals | 4.0 |
| Multi-Utilities | 3.4 |
| Capital Markets | 3.4 |
| Automobiles | 2.9 |
| Metals & Mining | 2.9 |
| Food & Staples Retailing | 2.8 |
| IT Services | 2.7 |
| Professional Services | 2.2 |
| Aerospace & Defense | 2.0 |
| Trading Companies & Distributors | 1.9 |
| Semiconductors & Semiconductor Equipment | 1.6 |
| Diversified Telecommunication Services | 1.6 |
| Industrial Conglomerates | 1.5 |
| Communications Equipment | 1.4 |
| Electrical Equipment | 1.4 |
| Construction & Engineering | 1.2 |
| Biotechnology | 1.1 |
| Machinery | 1.0 |
| Equity Real Estate Investment Trusts (REITs) | 1.0 |
| Others (each less than 1.0%) | 3.5 |
| Short-Term Investments | 9.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. Morgan International Equity Funds | April 30, 2022 |
Futures contracts outstanding as of April 30, 2022 (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 | 128 | 06/17/2022 | EUR | 4,971 | (200) |
| FTSE 100 Index | 29 | 06/17/2022 | GBP | 2,704 | (64) |
| | | | | | (264) |
| Abbreviations | |
| EUR | Euro |
| FTSE | Financial Times and the London Stock Exchange |
| GBP | British Pound |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 39 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 94.4% |
| Australia — 2.5% |
| BHP Group Ltd. | 1,060 | 35,532 |
| BHP Group Ltd. | 2,303 | 76,945 |
| | | 112,477 |
| Austria — 0.8% |
| Erste Group Bank AG | 1,184 | 36,856 |
| Belgium — 1.3% |
| KBC Group NV | 877 | 59,685 |
| China — 0.8% |
| Tencent Holdings Ltd. | 736 | 34,693 |
| Denmark — 5.8% |
| Carlsberg A/S, Class B | 347 | 44,053 |
| Coloplast A/S, Class B | 247 | 33,286 |
| Genmab A/S * | 92 | 32,495 |
| Novo Nordisk A/S, Class B | 1,070 | 122,268 |
| Orsted A/S (a) | 256 | 28,261 |
| | | 260,363 |
| Finland — 0.7% |
| Kone OYJ, Class B | 609 | 29,279 |
| France — 15.1% |
| AXA SA (b) | 2,268 | 60,007 |
| BNP Paribas SA (b) | 836 | 43,352 |
| Capgemini SE | 288 | 58,640 |
| Kering SA | 87 | 46,403 |
| L'Oreal SA | 202 | 73,510 |
| LVMH Moet Hennessy Louis Vuitton SE | 158 | 101,950 |
| Pernod Ricard SA | 245 | 50,532 |
| Safran SA | 398 | 42,710 |
| TotalEnergies SE | 3,029 | 148,725 |
| Vinci SA (b) | 550 | 53,374 |
| | | 679,203 |
| Germany — 8.4% |
| adidas AG | 173 | 34,829 |
| Allianz SE (Registered) | 363 | 81,953 |
| Deutsche Boerse AG | 363 | 63,267 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 198 | 47,179 |
| RWE AG | 1,171 | 48,636 |
| Symrise AG | 454 | 53,977 |
| Volkswagen AG (Preference) | 314 | 48,622 |
| | | 378,463 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Hong Kong — 3.5% |
| AIA Group Ltd. | 8,860 | 87,043 |
| Hong Kong Exchanges & Clearing Ltd. | 1,054 | 44,705 |
| Techtronic Industries Co. Ltd. | 1,922 | 25,655 |
| | | 157,403 |
| India — 0.9% |
| HDFC Bank Ltd., ADR | 745 | 41,122 |
| Japan — 12.0% |
| Daikin Industries Ltd. | 270 | 41,200 |
| Hoya Corp. | 490 | 48,589 |
| Keyence Corp. | 174 | 70,109 |
| Kubota Corp. | 2,272 | 38,597 |
| Kyowa Kirin Co. Ltd. | 1,486 | 31,331 |
| Makita Corp. | 962 | 28,425 |
| Nidec Corp. | 514 | 33,262 |
| Recruit Holdings Co. Ltd. | 949 | 34,438 |
| Shin-Etsu Chemical Co. Ltd. | 428 | 58,849 |
| SMC Corp. | 79 | 38,253 |
| Sony Group Corp. | 826 | 71,250 |
| Tokyo Electron Ltd. | 102 | 42,828 |
| | | 537,131 |
| Netherlands — 5.7% |
| Adyen NV * (a) | 18 | 30,916 |
| ASML Holding NV | 185 | 104,758 |
| ING Groep NV (b) | 3,197 | 30,290 |
| Shell plc | 3,256 | 87,406 |
| | | 253,370 |
| Singapore — 2.1% |
| DBS Group Holdings Ltd. | 3,797 | 92,118 |
| South Africa — 1.5% |
| Anglo American plc | 1,554 | 68,826 |
| South Korea — 1.7% |
| Delivery Hero SE * (a) (b) | 396 | 13,936 |
| Samsung Electronics Co. Ltd., GDR (a) | 25 | 32,765 |
| Samsung Electronics Co. Ltd., GDR (a) | 23 | 29,669 |
| | | 76,370 |
| Spain — 2.1% |
| Iberdrola SA | 6,265 | 71,993 |
| Industria de Diseno Textil SA (b) | 992 | 20,788 |
| | | 92,781 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Sweden — 3.6% |
| Assa Abloy AB, Class B | 1,591 | 40,208 |
| Atlas Copco AB, Class A | 930 | 42,144 |
| Svenska Handelsbanken AB, Class A | 5,071 | 51,153 |
| Volvo AB, Class B | 1,854 | 29,581 |
| | | 163,086 |
| Switzerland — 10.3% |
| Lonza Group AG (Registered) | 95 | 56,105 |
| Nestle SA (Registered) | 1,420 | 183,305 |
| Roche Holding AG | 412 | 152,801 |
| SGS SA (Registered) | 18 | 45,352 |
| Straumann Holding AG (Registered) | 196 | 23,128 |
| | | 460,691 |
| Taiwan — 1.3% |
| Sea Ltd., ADR * | 246 | 20,331 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 430 | 39,958 |
| | | 60,289 |
| United Kingdom — 10.1% |
| Diageo plc | 2,236 | 111,562 |
| Legal & General Group plc | 10,911 | 34,011 |
| Linde plc (b) | 231 | 72,341 |
| London Stock Exchange Group plc | 545 | 53,750 |
| Persimmon plc | 1,277 | 33,264 |
| Prudential plc | 3,233 | 40,249 |
| RELX plc | 2,401 | 71,562 |
| Smith & Nephew plc | 2,147 | 34,799 |
| | | 451,538 |
| United States — 4.2% |
| Ferguson plc | 362 | 45,438 |
| GlaxoSmithKline plc | 3,571 | 80,497 |
| Schneider Electric SE (b) | 440 | 63,049 |
| | | 188,984 |
Total Common Stocks
(Cost $3,767,366) | | 4,234,728 |
| Short-Term Investments — 7.4% |
| Investment Companies — 2.9% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $127,784) | 127,777 | 127,803 |
| Investment of Cash Collateral from Securities Loaned — 4.5% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 136,104 | 136,009 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Investment of Cash Collateral from Securities Loaned — continued |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 66,362 | 66,362 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $202,371) | | 202,371 |
Total Short-Term Investments
(Cost $330,155) | | 330,174 |
Total Investments — 101.8%
(Cost $4,097,521) | | 4,564,902 |
| Liabilities in Excess of Other Assets — (1.8)% | | (81,516) |
| NET ASSETS — 100.0% | | 4,483,386 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| ADR | American Depositary Receipt |
| GDR | Global 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. |
| * | Non-income producing security. |
| (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, 2022. The total value of securities on loan at April 30, 2022 is $169,016. |
| (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, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 41 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Pharmaceuticals | 8.5% |
| Banks | 7.8 |
| Insurance | 7.6 |
| Oil, Gas & Consumable Fuels | 5.2 |
| Machinery | 5.0 |
| Beverages | 4.5 |
| Semiconductors & Semiconductor Equipment | 4.1 |
| Chemicals | 4.1 |
| Food Products | 4.0 |
| Textiles, Apparel & Luxury Goods | 4.0 |
| Metals & Mining | 3.9 |
| Capital Markets | 3.6 |
| Professional Services | 3.4 |
| Health Care Equipment & Supplies | 3.1 |
| Household Durables | 2.3 |
| Electric Utilities | 2.2 |
| Electrical Equipment | 2.1 |
| IT Services | 2.0 |
| Building Products | 1.8 |
| Personal Products | 1.6 |
| Electronic Equipment, Instruments & Components | 1.5 |
| Technology Hardware, Storage & Peripherals | 1.4 |
| Life Sciences Tools & Services | 1.2 |
| Construction & Engineering | 1.2 |
| Multi-Utilities | 1.1 |
| Automobiles | 1.1 |
| Trading Companies & Distributors | 1.0 |
| Others (each less than 1.0%) | 3.5 |
| Short-Term Investments | 7.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 96.9% |
| Australia — 3.5% |
| BHP Group Ltd. | 1,474 | 49,409 |
| Belgium — 2.1% |
| KBC Group NV | 426 | 28,987 |
| Canada — 5.7% |
| Canadian National Railway Co. | 312 | 36,711 |
| Toronto-Dominion Bank (The) | 608 | 43,874 |
| | | 80,585 |
| China — 2.4% |
| Tencent Holdings Ltd. | 714 | 33,657 |
| Denmark — 5.3% |
| Coloplast A/S, Class B | 147 | 19,794 |
| Novo Nordisk A/S, Class B | 475 | 54,270 |
| | | 74,064 |
| France — 9.8% |
| Capgemini SE | 114 | 23,256 |
| L'Oreal SA | 80 | 29,111 |
| LVMH Moet Hennessy Louis Vuitton SE | 55 | 35,515 |
| TotalEnergies SE | 412 | 20,205 |
| Vinci SA | 310 | 30,091 |
| | | 138,178 |
| Germany — 5.4% |
| adidas AG | 83 | 16,655 |
| Allianz SE (Registered) | 171 | 38,640 |
| Volkswagen AG (Preference) | 131 | 20,265 |
| | | 75,560 |
| Hong Kong — 4.8% |
| AIA Group Ltd. | 4,197 | 41,227 |
| Hong Kong Exchanges & Clearing Ltd. | 638 | 27,063 |
| | | 68,290 |
| India — 2.4% |
| HDFC Bank Ltd., ADR | 605 | 33,384 |
| Indonesia — 1.9% |
| Bank Central Asia Tbk. PT | 47,320 | 26,541 |
| Japan — 4.7% |
| Hoya Corp. | 154 | 15,293 |
| Keyence Corp. | 54 | 21,548 |
| Sony Group Corp. | 337 | 29,066 |
| | | 65,907 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Netherlands — 7.4% |
| Adyen NV * (a) | 8 | 14,007 |
| ASML Holding NV | 60 | 34,215 |
| Shell plc | 2,100 | 56,372 |
| | | 104,594 |
| Singapore — 2.6% |
| DBS Group Holdings Ltd. | 1,538 | 37,318 |
| South Africa — 3.2% |
| Anglo American plc | 1,004 | 44,450 |
| South Korea — 4.5% |
| Delivery Hero SE * (a) | 269 | 9,472 |
| Samsung Electronics Co. Ltd. | 1,003 | 53,456 |
| | | 62,928 |
| Spain — 2.1% |
| Iberdrola SA | 2,638 | 30,314 |
| Sweden — 1.4% |
| Atlas Copco AB, Class A | 439 | 19,881 |
| Switzerland — 11.2% |
| Lonza Group AG (Registered) | 39 | 23,191 |
| Nestle SA (Registered) | 519 | 67,010 |
| Roche Holding AG | 123 | 45,449 |
| SGS SA (Registered) | 8 | 21,499 |
| | | 157,149 |
| Taiwan — 3.3% |
| Sea Ltd., ADR * | 119 | 9,817 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 388 | 36,074 |
| | | 45,891 |
| United Kingdom — 9.9% |
| Diageo plc | 1,000 | 49,915 |
| Linde plc | 117 | 36,728 |
| Persimmon plc | 641 | 16,686 |
| RELX plc | 1,187 | 35,377 |
| | | 138,706 |
| United States — 3.3% |
| Ferguson plc | 189 | 23,702 |
| Schneider Electric SE | 159 | 22,866 |
| | | 46,568 |
Total Common Stocks
(Cost $1,191,605) | | 1,362,361 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 43 |
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short-Term Investments — 2.8% |
| Investment Companies — 2.8% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (b) (c)(Cost $39,692) | 39,681 | 39,689 |
Total Investments — 99.7%
(Cost $1,231,297) | | 1,402,050 |
| Other Assets Less Liabilities — 0.3% | | 4,897 |
| NET ASSETS — 100.0% | | 1,406,947 |
Percentages indicated are based on net assets. |
| 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. |
| PT | Limited liability company |
| * | Non-income producing security. |
| (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) | 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. |
| (c) | The rate shown is the current yield as of April 30, 2022. |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Banks | 12.2% |
| Pharmaceuticals | 7.1 |
| Metals & Mining | 6.7 |
| Insurance | 5.8 |
| Oil, Gas & Consumable Fuels | 5.4 |
| Semiconductors & Semiconductor Equipment | 5.0 |
| Food Products | 4.8 |
| Professional Services | 4.0 |
| Technology Hardware, Storage & Peripherals | 3.8 |
| Textiles, Apparel & Luxury Goods | 3.7 |
| Beverages | 3.6 |
| Household Durables | 3.3 |
| IT Services | 2.7 |
| Chemicals | 2.6 |
| Road & Rail | 2.6 |
| Health Care Equipment & Supplies | 2.5 |
| Interactive Media & Services | 2.4 |
| Electric Utilities | 2.2 |
| Construction & Engineering | 2.1 |
| Personal Products | 2.1 |
| Capital Markets | 1.9 |
| Trading Companies & Distributors | 1.7 |
| Life Sciences Tools & Services | 1.7 |
| Electrical Equipment | 1.6 |
| Electronic Equipment, Instruments & Components | 1.5 |
| Automobiles | 1.4 |
| Machinery | 1.4 |
| Others (each less than 1.0%) | 1.4 |
| Short-Term Investments | 2.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 91.2% |
| Australia — 6.0% |
| Aurizon Holdings Ltd. | 61 | 172 |
| Australia & New Zealand Banking Group Ltd. | 13 | 253 |
| BHP Group Ltd. | 43 | 1,444 |
| Commonwealth Bank of Australia | 12 | 885 |
| CSL Ltd. | 5 | 958 |
| Dexus, REIT | 63 | 490 |
| Goodman Group, REIT | 48 | 800 |
| GPT Group (The), REIT | 41 | 147 |
| Insurance Australia Group Ltd. | 47 | 150 |
| Macquarie Group Ltd. | 3 | 411 |
| Mirvac Group, REIT | 145 | 244 |
| National Australia Bank Ltd. | 19 | 434 |
| Newcrest Mining Ltd. | 8 | 155 |
| Rio Tinto Ltd. | 19 | 1,528 |
| Rio Tinto plc | 9 | 632 |
| Wesfarmers Ltd. | 10 | 360 |
| Westpac Banking Corp. | 55 | 914 |
| Woolworths Group Ltd. | 12 | 327 |
| | | 10,304 |
| Belgium — 0.4% |
| KBC Group NV | 10 | 689 |
| China — 0.5% |
| BOC Hong Kong Holdings Ltd. | 117 | 423 |
| Prosus NV * | 9 | 406 |
| | | 829 |
| Denmark — 3.2% |
| Carlsberg A/S, Class B | 7 | 858 |
| Genmab A/S * | — | 189 |
| Novo Nordisk A/S, Class B | 28 | 3,161 |
| Orsted A/S (a) | 10 | 1,085 |
| Vestas Wind Systems A/S | 7 | 174 |
| | | 5,467 |
| Finland — 0.8% |
| Kone OYJ, Class B | 4 | 216 |
| Nokia OYJ * | 60 | 302 |
| Nordea Bank Abp | 77 | 763 |
| | | 1,281 |
| France — 10.7% |
| Air Liquide SA | 11 | 1,890 |
| Airbus SE | 4 | 433 |
| Alstom SA | 14 | 316 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| France — continued |
| AXA SA | 8 | 220 |
| BNP Paribas SA | 28 | 1,474 |
| Capgemini SE | 7 | 1,474 |
| Kering SA | 1 | 633 |
| L'Oreal SA | 6 | 2,116 |
| LVMH Moet Hennessy Louis Vuitton SE | 5 | 2,922 |
| Pernod Ricard SA | 2 | 409 |
| Safran SA | 7 | 708 |
| Sanofi | 5 | 580 |
| Societe Generale SA | 18 | 421 |
| TotalEnergies SE | 42 | 2,055 |
| Veolia Environnement SA | 38 | 1,096 |
| Vinci SA | 15 | 1,488 |
| | | 18,235 |
| Germany — 8.6% |
| adidas AG | 4 | 870 |
| Allianz SE (Registered) | 10 | 2,143 |
| BASF SE * | 2 | 86 |
| Bayer AG (Registered) * | 7 | 479 |
| Brenntag SE | 2 | 152 |
| Deutsche Boerse AG | 1 | 153 |
| Deutsche Post AG (Registered) | 23 | 964 |
| Deutsche Telekom AG (Registered) | 92 | 1,686 |
| Infineon Technologies AG | 36 | 1,028 |
| Mercedes-Benz Group AG * | 2 | 163 |
| Merck KGaA | 3 | 518 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 4 | 1,014 |
| RWE AG | 34 | 1,417 |
| SAP SE | 11 | 1,124 |
| Siemens AG (Registered) | 8 | 985 |
| Volkswagen AG (Preference) | 5 | 827 |
| Vonovia SE * | 20 | 812 |
| Zalando SE * (a) | 7 | 282 |
| | | 14,703 |
| Hong Kong — 2.4% |
| AIA Group Ltd. | 171 | 1,682 |
| CK Asset Holdings Ltd. | 51 | 349 |
| CLP Holdings Ltd. | 20 | 195 |
| Hong Kong Exchanges & Clearing Ltd. | 18 | 742 |
| Link, REIT | 20 | 173 |
| Sun Hung Kai Properties Ltd. | 22 | 253 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 45 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Hong Kong — continued |
| Techtronic Industries Co. Ltd. | 29 | 387 |
| Xinyi Glass Holdings Ltd. | 143 | 317 |
| | | 4,098 |
| Ireland — 0.5% |
| Kingspan Group plc | 3 | 294 |
| Kingspan Group plc | 5 | 467 |
| | | 761 |
| Italy — 0.6% |
| Enel SpA | 27 | 174 |
| FinecoBank Banca Fineco SpA | 48 | 672 |
| UniCredit SpA | 26 | 243 |
| | | 1,089 |
| Japan — 20.8% |
| AGC, Inc. | 11 | 397 |
| Asahi Group Holdings Ltd. | 23 | 878 |
| Asahi Kasei Corp. | 69 | 566 |
| Bridgestone Corp. | 22 | 817 |
| Capcom Co. Ltd. | 13 | 333 |
| Central Japan Railway Co. | 5 | 655 |
| Daiichi Sankyo Co. Ltd. | 35 | 894 |
| Daikin Industries Ltd. | 3 | 504 |
| Daito Trust Construction Co. Ltd. | 1 | 87 |
| Daiwa House Industry Co. Ltd. | 27 | 661 |
| Dentsu Group, Inc. | 24 | 872 |
| Fast Retailing Co. Ltd. | — | 92 |
| Hitachi Ltd. | 24 | 1,143 |
| Honda Motor Co. Ltd. | 38 | 1,000 |
| Hoya Corp. | 11 | 1,042 |
| ITOCHU Corp. | 29 | 884 |
| Japan Airlines Co. Ltd. * | 12 | 205 |
| Kao Corp. | 11 | 425 |
| Keyence Corp. | 4 | 1,407 |
| Konami Holdings Corp. | 7 | 449 |
| Kubota Corp. | 30 | 517 |
| Kyowa Kirin Co. Ltd. | 18 | 390 |
| Mitsubishi Corp. | 26 | 876 |
| Mitsubishi Electric Corp. | 15 | 159 |
| Mitsubishi UFJ Financial Group, Inc. | 88 | 510 |
| Mitsui Fudosan Co. Ltd. | 24 | 517 |
| Murata Manufacturing Co. Ltd. | 12 | 715 |
| Nidec Corp. | 5 | 304 |
| Nintendo Co. Ltd. | 1 | 320 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — continued |
| NIPPON EXPRESS HOLDINGS, Inc. | 7 | 428 |
| Nippon Steel Corp. | 11 | 175 |
| Nippon Telegraph & Telephone Corp. | 33 | 975 |
| Nitori Holdings Co. Ltd. | 4 | 401 |
| Nomura Research Institute Ltd. | 18 | 495 |
| Ono Pharmaceutical Co. Ltd. | 21 | 529 |
| ORIX Corp. | 37 | 673 |
| Otsuka Corp. | 13 | 416 |
| Recruit Holdings Co. Ltd. | 16 | 573 |
| Rohm Co. Ltd. | 6 | 391 |
| Ryohin Keikaku Co. Ltd. | 49 | 440 |
| Seven & i Holdings Co. Ltd. | 13 | 593 |
| Shimadzu Corp. | 2 | 62 |
| Shin-Etsu Chemical Co. Ltd. | 7 | 948 |
| Shionogi & Co. Ltd. | 10 | 528 |
| SoftBank Group Corp. | 10 | 399 |
| Sony Group Corp. | 19 | 1,683 |
| Sumitomo Electric Industries Ltd. | 41 | 441 |
| Sumitomo Metal Mining Co. Ltd. | 12 | 531 |
| Sumitomo Mitsui Financial Group, Inc. | 34 | 1,027 |
| Suzuki Motor Corp. | 12 | 374 |
| T&D Holdings, Inc. | 36 | 464 |
| Takeda Pharmaceutical Co. Ltd. | 10 | 290 |
| Terumo Corp. | 22 | 649 |
| Tokio Marine Holdings, Inc. | 22 | 1,190 |
| Tokyo Electron Ltd. | 3 | 1,266 |
| Toyota Motor Corp. | 111 | 1,898 |
| Yamato Holdings Co. Ltd. | 6 | 107 |
| | | 35,565 |
| Luxembourg — 0.1% |
| ArcelorMittal SA | 7 | 216 |
| Netherlands — 5.9% |
| Adyen NV * (a) | — | 431 |
| Akzo Nobel NV | 8 | 689 |
| ASML Holding NV | 6 | 3,389 |
| ING Groep NV | 21 | 202 |
| Koninklijke Ahold Delhaize NV | 18 | 516 |
| Koninklijke DSM NV | 4 | 734 |
| Koninklijke KPN NV | 234 | 808 |
| Koninklijke Philips NV | 6 | 149 |
| NN Group NV | 19 | 915 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Netherlands — continued |
| Shell plc | 62 | 1,674 |
| Wolters Kluwer NV | 6 | 547 |
| | | 10,054 |
| Singapore — 0.9% |
| DBS Group Holdings Ltd. | 45 | 1,087 |
| Oversea-Chinese Banking Corp. Ltd. | 39 | 345 |
| United Overseas Bank Ltd. | 8 | 171 |
| | | 1,603 |
| Spain — 2.6% |
| Banco Bilbao Vizcaya Argentaria SA | 239 | 1,256 |
| Banco Santander SA | 72 | 211 |
| Endesa SA | 23 | 486 |
| Iberdrola SA | 179 | 2,051 |
| Industria de Diseno Textil SA | 24 | 507 |
| | | 4,511 |
| Sweden — 1.8% |
| Atlas Copco AB, Class A | 19 | 869 |
| Lundin Energy AB | 18 | 754 |
| SKF AB, Class B | 35 | 567 |
| Volvo AB, Class B | 61 | 965 |
| | | 3,155 |
| Switzerland — 10.8% |
| Cie Financiere Richemont SA (Registered) | 3 | 344 |
| Givaudan SA (Registered) | — | 1,220 |
| Julius Baer Group Ltd. | 3 | 129 |
| Lonza Group AG (Registered) | 2 | 1,325 |
| Nestle SA (Registered) | 37 | 4,758 |
| Novartis AG (Registered) | 32 | 2,844 |
| Roche Holding AG | 11 | 4,002 |
| SGS SA (Registered) | — | 750 |
| Sika AG (Registered) | 4 | 1,211 |
| UBS Group AG (Registered) | 37 | 630 |
| Zurich Insurance Group AG | 3 | 1,313 |
| | | 18,526 |
| Taiwan — 0.1% |
| Sea Ltd., ADR * | 2 | 119 |
| United Kingdom — 12.7% |
| 3i Group plc | 79 | 1,288 |
| AstraZeneca plc | 21 | 2,763 |
| Barclays plc | 619 | 1,137 |
| Berkeley Group Holdings plc * | 15 | 759 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United Kingdom — continued |
| BP plc | 422 | 2,039 |
| British American Tobacco plc | 16 | 660 |
| CK Hutchison Holdings Ltd. | 17 | 123 |
| DCC plc | 4 | 339 |
| Diageo plc | 47 | 2,340 |
| HSBC Holdings plc | 131 | 819 |
| InterContinental Hotels Group plc | 15 | 955 |
| Intertek Group plc | 2 | 126 |
| Lloyds Banking Group plc | 2,027 | 1,151 |
| London Stock Exchange Group plc | 1 | 131 |
| Prudential plc | 41 | 510 |
| Reckitt Benckiser Group plc | 16 | 1,250 |
| RELX plc | 53 | 1,572 |
| SSE plc | 34 | 785 |
| Standard Chartered plc | 141 | 965 |
| Taylor Wimpey plc | 132 | 208 |
| Tesco plc | 239 | 811 |
| Unilever plc | 23 | 1,069 |
| | | 21,800 |
| United States — 1.8% |
| Ferguson plc | 1 | 118 |
| GlaxoSmithKline plc | 17 | 378 |
| Schneider Electric SE | 12 | 1,760 |
| Stellantis NV | 64 | 861 |
| | | 3,117 |
Total Common Stocks
(Cost $147,593) | | 156,122 |
| INVESTMENTS | NO. OF CONTRACTS | |
| Options Purchased — 3.5% |
| Put Options Purchased — 3.5% |
| United States — 3.5% |
| MSCI EAFE E-Mini Index | | |
| 6/17/2022 at USD 2,015.00, European Style | | |
| Notional Amount: USD 166,560 | | |
| Counterparty: Exchange-Traded * (Cost $4,108) | 819 | 6,077 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 47 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Short-Term Investments — 4.5% |
| Investment Companies — 4.5% |
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.29% (b) (c)(Cost $7,724) | 7,724 | 7,724 |
Total Investments — 99.2%
(Cost $159,425) | | 169,923 |
| Other Assets Less Liabilities — 0.8% | | 1,300 |
| NET ASSETS — 100.0% | | 171,223 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| 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 |
| * | Non-income producing security. |
| (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) | 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. |
| (c) | The rate shown is the current yield as of April 30, 2022. |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Pharmaceuticals | 10.2% |
| Banks | 9.5 |
| Insurance | 5.6 |
| Chemicals | 4.3 |
| Oil, Gas & Consumable Fuels | 3.8 |
| Index Funds | 3.6 |
| Semiconductors & Semiconductor Equipment | 3.6 |
| Automobiles | 3 |
| Electric Utilities | 2.8 |
| Textiles, Apparel & Luxury Goods | 2.8 |
| Food Products | 2.8 |
| Metals & Mining | 2.7 |
| Beverages | 2.6 |
| Machinery | 2.3 |
| Personal Products | 2.1 |
| Professional Services | 2.1 |
| Capital Markets | 2.1 |
| Diversified Telecommunication Services | 2 |
| IT Services | 1.7 |
| Real Estate Management & Development | 1.6 |
| Household Durables | 1.6 |
| Industrial Conglomerates | 1.5 |
| Multi-Utilities | 1.5 |
| Electrical Equipment | 1.4 |
| Food & Staples Retailing | 1.3 |
| Electronic Equipment, Instruments & Components | 1.3 |
| Trading Companies & Distributors | 1.2 |
| Building Products | 1.2 |
| Equity Real Estate Investment Trusts (REITs) | 1.1 |
| Health Care Equipment & Supplies | 1.1 |
| Others (each less than 1.0%) | 11.1 |
| Short-Term Investments | 4.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. Morgan International Equity Funds | April 30, 2022 |
Futures contracts outstanding as of April 30, 2022 (amounts in thousands, except number of contracts):
| DESCRIPTION | NUMBER OF
CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL
AMOUNT ($) | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| Long Contracts | | | | | |
| SPI 200 Index | 27 | 06/16/2022 | AUD | 3,484 | 100 |
| MSCI EAFE E-Mini Index | 52 | 06/17/2022 | USD | 5,188 | (323) |
| | | | | | (223) |
| Abbreviations | |
| AUD | Australian Dollar |
| EAFE | Europe, Australasia, and Far East |
| MSCI | Morgan Stanley Capital International |
| SPI | Australian Securities Exchange |
| USD | United States Dollar |
Written Call Options Contracts as of April 30, 2022 (amounts in thousands, except number of contracts):
|
| DESCRIPTION | COUNTERPARTY | NUMBER OF
CONTRACTS | NOTIONAL
AMOUNT | EXERCISE
PRICE | EXPIRATION
DATE | VALUE ($) |
| MSCI EAFE E-Mini Index | Exchange-Traded | 819 | USD 166,560 | USD 2,240.00 | 6/17/2022 | (156) |
Written Put Options Contracts as of April 30, 2022 (amounts in thousands, except number of contracts):
|
| DESCRIPTION | COUNTERPARTY | NUMBER OF
CONTRACTS | NOTIONAL
AMOUNT | EXERCISE
PRICE | EXPIRATION
DATE | VALUE ($) |
| MSCI EAFE E-Mini Index | Exchange-Traded | 819 | USD 166,560 | USD 1,700.00 | 6/17/2022 | (880) |
| Total Written Options Contracts (Premiums Received $3,954) | (1,036) |
| Abbreviations | |
| EAFE | Europe, Australasia, and Far East |
| MSCI | Morgan Stanley Capital International |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 49 |
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 93.0% |
| Australia — 5.8% |
| Aurizon Holdings Ltd. | 1,806 | 5,100 |
| Australia & New Zealand Banking Group Ltd. | 473 | 8,996 |
| BHP Group Ltd. | 1,252 | 41,822 |
| Commonwealth Bank of Australia (a) | 378 | 27,468 |
| CSL Ltd. (a) | 156 | 29,779 |
| Dexus, REIT | 2,082 | 16,277 |
| Goodman Group, REIT | 1,551 | 25,816 |
| GPT Group (The), REIT | 1,310 | 4,657 |
| Insurance Australia Group Ltd. | 1,434 | 4,579 |
| Macquarie Group Ltd. | 92 | 13,239 |
| Mirvac Group, REIT | 4,262 | 7,203 |
| National Australia Bank Ltd. | 610 | 13,915 |
| Newcrest Mining Ltd. (a) | 254 | 4,775 |
| Rio Tinto Ltd. | 563 | 44,554 |
| Rio Tinto plc | 321 | 22,717 |
| Wesfarmers Ltd. | 322 | 11,149 |
| Westpac Banking Corp. | 1,724 | 28,856 |
| Woolworths Group Ltd. | 370 | 10,019 |
| | | 320,921 |
| Belgium — 0.4% |
| KBC Group NV | 345 | 23,440 |
| China — 0.5% |
| BOC Hong Kong Holdings Ltd. | 3,436 | 12,438 |
| Prosus NV * | 295 | 14,253 |
| | | 26,691 |
| Denmark — 3.4% |
| Carlsberg A/S, Class B | 238 | 30,226 |
| Genmab A/S * | 18 | 6,300 |
| Novo Nordisk A/S, Class B | 947 | 108,177 |
| Orsted A/S (b) | 334 | 36,979 |
| Vestas Wind Systems A/S (a) | 228 | 5,808 |
| | | 187,490 |
| Finland — 0.8% |
| Kone OYJ, Class B | 154 | 7,422 |
| Nokia OYJ * | 2,127 | 10,783 |
| Nordea Bank Abp | 2,605 | 25,967 |
| | | 44,172 |
| France — 11.4% |
| Air Liquide SA | 376 | 64,981 |
| Airbus SE | 156 | 17,120 |
| Alstom SA | 509 | 11,199 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| France — continued |
| AXA SA (a) | 322 | 8,524 |
| BNP Paribas SA (a) | 961 | 49,812 |
| Capgemini SE | 253 | 51,500 |
| Kering SA | 42 | 22,324 |
| L'Oreal SA | 195 | 70,811 |
| LVMH Moet Hennessy Louis Vuitton SE | 153 | 98,992 |
| Pernod Ricard SA | 69 | 14,212 |
| Safran SA | 234 | 25,190 |
| Sanofi (a) | 188 | 19,901 |
| Societe Generale SA | 601 | 14,446 |
| TotalEnergies SE (a) | 1,445 | 70,937 |
| Veolia Environnement SA | 1,299 | 37,914 |
| Vinci SA (a) | 537 | 52,073 |
| | | 629,936 |
| Germany — 9.2% |
| adidas AG | 150 | 30,244 |
| Allianz SE (Registered) | 315 | 71,064 |
| BASF SE * | 67 | 3,506 |
| Bayer AG (Registered) * | 266 | 17,549 |
| Brenntag SE | 84 | 6,465 |
| Deutsche Boerse AG | 34 | 5,976 |
| Deutsche Post AG (Registered) | 803 | 34,324 |
| Deutsche Telekom AG (Registered) | 3,203 | 59,011 |
| Infineon Technologies AG | 1,184 | 33,593 |
| Mercedes-Benz Group AG * | 76 | 5,298 |
| Merck KGaA | 98 | 18,147 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 147 | 34,965 |
| RWE AG | 1,158 | 48,082 |
| SAP SE | 372 | 37,723 |
| Siemens AG (Registered) | 271 | 33,291 |
| Volkswagen AG (Preference) | 191 | 29,548 |
| Vonovia SE * | 708 | 28,201 |
| Zalando SE * (a) (b) | 242 | 9,538 |
| | | 506,525 |
| Hong Kong — 2.2% |
| AIA Group Ltd. | 4,937 | 48,498 |
| CK Asset Holdings Ltd. | 1,527 | 10,353 |
| CLP Holdings Ltd. | 589 | 5,748 |
| Hong Kong Exchanges & Clearing Ltd. | 533 | 22,622 |
| Link, REIT | 597 | 5,158 |
| Sun Hung Kai Properties Ltd. | 658 | 7,572 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Hong Kong — continued |
| Techtronic Industries Co. Ltd. | 812 | 10,839 |
| Xinyi Glass Holdings Ltd. | 4,214 | 9,325 |
| | | 120,115 |
| Ireland — 0.5% |
| Kingspan Group plc | 119 | 10,938 |
| Kingspan Group plc | 163 | 15,188 |
| | | 26,126 |
| Italy — 0.7% |
| Enel SpA | 1,060 | 6,894 |
| FinecoBank Banca Fineco SpA | 1,750 | 24,323 |
| UniCredit SpA | 890 | 8,236 |
| | | 39,453 |
| Japan — 19.1% |
| AGC, Inc. | 309 | 11,603 |
| Asahi Group Holdings Ltd. | 677 | 25,537 |
| Asahi Kasei Corp. | 2,082 | 17,083 |
| Bridgestone Corp. | 657 | 24,089 |
| Capcom Co. Ltd. | 382 | 10,082 |
| Central Japan Railway Co. | 140 | 17,611 |
| Daiichi Sankyo Co. Ltd. | 1,032 | 25,987 |
| Daikin Industries Ltd. | 89 | 13,613 |
| Daito Trust Construction Co. Ltd. | 21 | 1,974 |
| Daiwa House Industry Co. Ltd. | 831 | 19,973 |
| Dentsu Group, Inc. | 690 | 24,876 |
| Fast Retailing Co. Ltd. | 10 | 4,558 |
| Hitachi Ltd. | 744 | 35,271 |
| Honda Motor Co. Ltd. | 1,113 | 29,270 |
| Hoya Corp. | 297 | 29,524 |
| ITOCHU Corp. | 888 | 26,804 |
| Japan Airlines Co. Ltd. * | 380 | 6,277 |
| Kao Corp. | 331 | 13,266 |
| Keyence Corp. | 87 | 34,934 |
| Konami Holdings Corp. | 219 | 13,436 |
| Kubota Corp. | 928 | 15,762 |
| Kyowa Kirin Co. Ltd. | 560 | 11,797 |
| Mitsubishi Corp. | 782 | 26,263 |
| Mitsubishi Electric Corp. | 459 | 4,808 |
| Mitsubishi UFJ Financial Group, Inc. | 2,758 | 16,033 |
| Mitsui Fudosan Co. Ltd. | 748 | 15,847 |
| Murata Manufacturing Co. Ltd. | 362 | 21,578 |
| Nidec Corp. | 151 | 9,743 |
| Nintendo Co. Ltd. | 22 | 10,086 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — continued |
| NIPPON EXPRESS HOLDINGS, Inc. | 217 | 12,723 |
| Nippon Steel Corp. | 289 | 4,597 |
| Nippon Telegraph & Telephone Corp. | 1,259 | 37,093 |
| Nitori Holdings Co. Ltd. | 115 | 11,852 |
| Nomura Research Institute Ltd. | 526 | 14,862 |
| Ono Pharmaceutical Co. Ltd. | 629 | 16,167 |
| ORIX Corp. | 1,122 | 20,460 |
| Otsuka Corp. | 465 | 15,242 |
| Recruit Holdings Co. Ltd. | 455 | 16,504 |
| Rohm Co. Ltd. | 161 | 11,276 |
| Ryohin Keikaku Co. Ltd. | 1,423 | 12,790 |
| Seven & i Holdings Co. Ltd. | 401 | 17,722 |
| Shimadzu Corp. | 88 | 2,864 |
| Shin-Etsu Chemical Co. Ltd. | 205 | 28,119 |
| Shionogi & Co. Ltd. | 271 | 15,063 |
| SoftBank Group Corp. | 278 | 11,438 |
| Sony Group Corp. | 552 | 47,657 |
| Sumitomo Electric Industries Ltd. | 1,231 | 13,232 |
| Sumitomo Metal Mining Co. Ltd. | 355 | 15,565 |
| Sumitomo Mitsui Financial Group, Inc. | 1,008 | 30,447 |
| Suzuki Motor Corp. | 373 | 11,253 |
| T&D Holdings, Inc. | 1,084 | 13,929 |
| Takeda Pharmaceutical Co. Ltd. | 297 | 8,627 |
| Terumo Corp. | 639 | 19,029 |
| Tokio Marine Holdings, Inc. | 650 | 35,161 |
| Tokyo Electron Ltd. | 84 | 35,317 |
| Toyota Motor Corp. | 3,162 | 54,180 |
| Yamato Holdings Co. Ltd. | 160 | 2,990 |
| | | 1,053,844 |
| Luxembourg — 0.1% |
| ArcelorMittal SA | 290 | 8,453 |
| Malta — 0.0% ^ |
| BGP Holdings plc ‡ * | 449 | 2 |
| Netherlands — 6.3% |
| Adyen NV * (b) | 9 | 14,794 |
| Akzo Nobel NV (a) | 273 | 23,721 |
| ASML Holding NV | 199 | 112,793 |
| ING Groep NV (a) | 877 | 8,309 |
| Koninklijke Ahold Delhaize NV | 619 | 18,252 |
| Koninklijke DSM NV | 147 | 24,723 |
| Koninklijke KPN NV | 8,306 | 28,659 |
| Koninklijke Philips NV | 206 | 5,380 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 51 |
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Netherlands — continued |
| NN Group NV | 659 | 32,293 |
| Shell plc | 2,241 | 60,167 |
| Wolters Kluwer NV | 189 | 19,088 |
| | | 348,179 |
| Singapore — 0.9% |
| DBS Group Holdings Ltd. | 1,397 | 33,884 |
| Oversea-Chinese Banking Corp. Ltd. | 1,225 | 10,880 |
| United Overseas Bank Ltd. | 250 | 5,356 |
| | | 50,120 |
| Spain — 2.8% |
| Banco Bilbao Vizcaya Argentaria SA | 8,143 | 42,731 |
| Banco Santander SA (a) | 2,814 | 8,224 |
| Endesa SA | 778 | 16,303 |
| Iberdrola SA | 5,930 | 68,136 |
| Industria de Diseno Textil SA (a) | 814 | 17,073 |
| | | 152,467 |
| Sweden — 1.9% |
| Atlas Copco AB, Class A | 669 | 30,337 |
| Lundin Energy AB (a) | 578 | 23,917 |
| SKF AB, Class B | 1,240 | 20,244 |
| Volvo AB, Class B | 2,103 | 33,550 |
| | | 108,048 |
| Switzerland — 11.4% |
| Cie Financiere Richemont SA (Registered) | 107 | 12,489 |
| Givaudan SA (Registered) | 10 | 41,518 |
| Julius Baer Group Ltd. | 90 | 4,313 |
| Lonza Group AG (Registered) | 77 | 45,174 |
| Nestle SA (Registered) | 1,260 | 162,612 |
| Novartis AG (Registered) | 1,075 | 94,988 |
| Roche Holding AG | 367 | 136,056 |
| SGS SA (Registered) | 10 | 25,973 |
| Sika AG (Registered) | 133 | 40,771 |
| UBS Group AG (Registered) | 1,302 | 22,099 |
| Zurich Insurance Group AG | 100 | 45,432 |
| | | 631,425 |
| Taiwan — 0.1% |
| Sea Ltd., ADR * | 48 | 3,953 |
| United Kingdom — 13.6% |
| 3i Group plc | 2,813 | 46,037 |
| AstraZeneca plc | 662 | 88,261 |
| Barclays plc | 21,163 | 38,900 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United Kingdom — continued |
| Berkeley Group Holdings plc * | 504 | 25,577 |
| BP plc | 14,904 | 71,951 |
| British American Tobacco plc | 611 | 25,623 |
| CK Hutchison Holdings Ltd. | 535 | 3,752 |
| DCC plc | 149 | 11,282 |
| Diageo plc | 1,581 | 78,866 |
| HSBC Holdings plc | 4,651 | 29,061 |
| InterContinental Hotels Group plc | 517 | 33,011 |
| Intertek Group plc | 71 | 4,443 |
| Lloyds Banking Group plc | 67,039 | 38,076 |
| London Stock Exchange Group plc | 50 | 4,967 |
| Prudential plc | 1,474 | 18,350 |
| Reckitt Benckiser Group plc | 554 | 43,232 |
| RELX plc | 1,858 | 55,359 |
| SSE plc | 1,153 | 26,774 |
| Standard Chartered plc | 5,017 | 34,300 |
| Taylor Wimpey plc | 5,072 | 7,977 |
| Tesco plc | 8,523 | 28,956 |
| Unilever plc | 813 | 37,750 |
| | | 752,505 |
| United States — 1.9% |
| Ferguson plc | 42 | 5,303 |
| GlaxoSmithKline plc | 528 | 11,898 |
| Schneider Electric SE (a) | 411 | 59,012 |
| Stellantis NV | 2,140 | 28,726 |
| | | 104,939 |
Total Common Stocks
(Cost $4,625,226) | | 5,138,804 |
| Short-Term Investments — 7.4% |
| Investment Companies — 3.7% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $204,860) | 204,821 | 204,862 |
| Investment of Cash Collateral from Securities Loaned — 3.7% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 127,422 | 127,333 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 73,567 | 73,567 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $200,904) | | 200,900 |
Total Short-Term Investments
(Cost $405,764) | | 405,762 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
Total Investments — 100.4%
(Cost $5,030,990) | | 5,544,566 |
| Liabilities in Excess of Other Assets — (0.4)% | | (21,526) |
| NET ASSETS — 100.0% | | 5,523,040 |
Percentages indicated are based on net assets. |
| 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 |
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. | |
| * | Non-income producing security. | |
| (a) | The security or a portion of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 is $177,073. | |
| (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, 2022. | |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Pharmaceuticals | 10.5% |
| Banks | 9.6 |
| Insurance | 5.6 |
| Chemicals | 4.5 |
| Oil, Gas & Consumable Fuels | 4.1 |
| Semiconductors & Semiconductor Equipment | 3.4 |
| Textiles, Apparel & Luxury Goods | 2.9 |
| Food Products | 2.9 |
| Electric Utilities | 2.9 |
| Automobiles | 2.8 |
| Beverages | 2.7 |
| Metals & Mining | 2.6 |
| Machinery | 2.3 |
| Diversified Telecommunication Services | 2.3 |
| Personal Products | 2.2 |
| Professional Services | 2.2 |
| Capital Markets | 2.1 |
| IT Services | 1.8 |
| Multi-Utilities | 1.6 |
| Real Estate Management & Development | 1.5 |
| Industrial Conglomerates | 1.5 |
| Household Durables | 1.5 |
| Electrical Equipment | 1.5 |
| Food & Staples Retailing | 1.3 |
| Trading Companies & Distributors | 1.2 |
| Building Products | 1.1 |
| Electronic Equipment, Instruments & Components | 1.1 |
| Equity Real Estate Investment Trusts (REITs) | 1.1 |
| Others (each less than 1.0%) | 11.9 |
| Short-Term Investments | 7.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 53 |
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2022 (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 | 607 | 06/16/2022 | AUD | 78,334 | 2,036 |
| MSCI EAFE E-Mini Index | 826 | 06/17/2022 | USD | 82,402 | (1,379) |
| | | | | | 657 |
| Abbreviations | |
| AUD | Australian Dollar |
| EAFE | Europe, Australasia, and Far East |
| MSCI | Morgan Stanley Capital International |
| SPI | Australian Securities Exchange |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 98.2% |
| Australia — 8.5% |
| Australia & New Zealand Banking Group Ltd. | 177 | 3,371 |
| BHP Group Ltd. | 266 | 8,877 |
| BlueScope Steel Ltd. | 29 | 416 |
| Glencore plc * | 695 | 4,283 |
| Harvey Norman Holdings Ltd. | 141 | 502 |
| JB Hi-Fi Ltd. | 11 | 419 |
| Metcash Ltd. | 136 | 455 |
| National Australia Bank Ltd. | 200 | 4,557 |
| Rio Tinto Ltd. | 24 | 1,923 |
| Rio Tinto plc | 54 | 3,797 |
| South32 Ltd. | 291 | 969 |
| Super Retail Group Ltd. | 62 | 456 |
| Westpac Banking Corp. | 113 | 1,897 |
| Worley Ltd. | 109 | 1,062 |
| | | 32,984 |
| Austria — 1.3% |
| ANDRITZ AG | 12 | 520 |
| BAWAG Group AG * (a) | 14 | 680 |
| Erste Group Bank AG | 25 | 768 |
| OMV AG | 32 | 1,608 |
| Telekom Austria AG * | 59 | 419 |
| voestalpine AG | 34 | 886 |
| Wienerberger AG | 13 | 376 |
| | | 5,257 |
| Belgium — 0.5% |
| Ageas SA | 18 | 885 |
| Bekaert SA | 19 | 703 |
| Telenet Group Holding NV | 9 | 266 |
| | | 1,854 |
| China — 0.5% |
| BOC Hong Kong Holdings Ltd. | 316 | 1,142 |
| Yangzijiang Shipbuilding Holdings Ltd. | 1,259 | 822 |
| | | 1,964 |
| Denmark — 1.7% |
| AP Moller - Maersk A/S, Class B | — | 776 |
| D/S Norden A/S | 6 | 210 |
| Drilling Co. of 1972 A/S (The) * | 18 | 910 |
| H+H International A/S, Class B * | 24 | 582 |
| Jyske Bank A/S (Registered) * | 11 | 609 |
| Matas A/S | 38 | 532 |
| Solar A/S, Class B | 9 | 1,043 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Denmark — continued |
| Spar Nord Bank A/S | 83 | 1,055 |
| Sydbank A/S | 23 | 784 |
| | | 6,501 |
| Egypt — 0.3% |
| Energean plc * | 74 | 1,100 |
| Finland — 1.6% |
| Cargotec OYJ, Class B | 12 | 421 |
| Konecranes OYJ | 13 | 374 |
| Nokia OYJ * | 370 | 1,878 |
| Nordea Bank Abp | 202 | 2,007 |
| Outokumpu OYJ (b) | 132 | 647 |
| TietoEVRY OYJ (b) | 10 | 257 |
| Valmet OYJ | 18 | 486 |
| | | 6,070 |
| France — 8.1% |
| AXA SA (b) | 117 | 3,096 |
| BNP Paribas SA | 62 | 3,221 |
| Carrefour SA | 81 | 1,723 |
| Cie de Saint-Gobain | 25 | 1,436 |
| Coface SA | 41 | 495 |
| Credit Agricole SA | 91 | 985 |
| Eiffage SA | 11 | 1,131 |
| Eutelsat Communications SA | 84 | 928 |
| IPSOS | 18 | 870 |
| Metropole Television SA | 32 | 594 |
| Orange SA | 177 | 2,102 |
| Publicis Groupe SA | 20 | 1,205 |
| Renault SA * | 35 | 846 |
| Rothschild & Co. | 28 | 1,102 |
| SCOR SE | 18 | 516 |
| Societe Generale SA | 70 | 1,677 |
| Sopra Steria Group SACA | 3 | 496 |
| SPIE SA | 25 | 596 |
| Technip Energies NV * | 79 | 955 |
| Television Francaise 1 (b) | 56 | 473 |
| TotalEnergies SE (b) | 138 | 6,797 |
| | | 31,244 |
| Germany — 9.8% |
| Allianz SE (Registered) | 21 | 4,730 |
| Aurubis AG | 7 | 819 |
| Bayer AG (Registered) * | 64 | 4,214 |
| Bayerische Motoren Werke AG | 19 | 1,505 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 55 |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Germany — continued |
| Continental AG * | 7 | 471 |
| Covestro AG (a) | 18 | 786 |
| Daimler Truck Holding AG * | 26 | 684 |
| Deutsche Bank AG (Registered) * | 148 | 1,484 |
| Deutsche Pfandbriefbank AG (a) | 77 | 974 |
| Deutsche Post AG (Registered) | 60 | 2,561 |
| Deutsche Telekom AG (Registered) | 152 | 2,805 |
| DWS Group GmbH & Co. KGaA (a) | 10 | 324 |
| E.ON SE | 127 | 1,324 |
| Freenet AG | 21 | 580 |
| HeidelbergCement AG | 12 | 697 |
| HOCHTIEF AG | 4 | 267 |
| Kloeckner & Co. SE * | 71 | 914 |
| Mercedes-Benz Group AG * | 51 | 3,553 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 7 | 1,599 |
| ProSiebenSat.1 Media SE | 27 | 308 |
| Siemens AG (Registered) | 40 | 4,942 |
| Talanx AG | 10 | 405 |
| Volkswagen AG (Preference) | 14 | 2,097 |
| | | 38,043 |
| Hong Kong — 1.0% |
| Hongkong Land Holdings Ltd. | 287 | 1,341 |
| Kerry Properties Ltd. | 420 | 1,136 |
| Pacific Basin Shipping Ltd. | 2,195 | 1,007 |
| VTech Holdings Ltd. | 57 | 402 |
| | | 3,886 |
| Italy — 3.4% |
| Anima Holding SpA (a) | 104 | 508 |
| Assicurazioni Generali SpA | 84 | 1,593 |
| Azimut Holding SpA | 22 | 460 |
| Credito Emiliano SpA | 68 | 417 |
| Eni SpA | 209 | 2,923 |
| Intesa Sanpaolo SpA | 935 | 1,904 |
| Maire Tecnimont SpA (b) | 252 | 737 |
| Mediobanca Banca di Credito Finanziario SpA | 73 | 735 |
| Pirelli & C SpA (a) | 196 | 971 |
| Poste Italiane SpA (a) | 50 | 488 |
| UniCredit SpA | 137 | 1,267 |
| Unipol Gruppo SpA | 214 | 1,169 |
| | | 13,172 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — 21.0% |
| Acom Co. Ltd. | 98 | 251 |
| AGC, Inc. | 26 | 978 |
| Aiful Corp. | 138 | 394 |
| Aozora Bank Ltd. | 23 | 450 |
| Arcs Co. Ltd. | 17 | 269 |
| Bridgestone Corp. | 36 | 1,301 |
| Brother Industries Ltd. | 40 | 690 |
| Chiba Bank Ltd. (The) | 98 | 567 |
| Concordia Financial Group Ltd. | 147 | 537 |
| Cosmo Energy Holdings Co. Ltd. | 58 | 1,438 |
| Credit Saison Co. Ltd. (b) | 92 | 1,034 |
| Dai-ichi Life Holdings, Inc. | 102 | 2,048 |
| Daiwa Securities Group, Inc. | 125 | 613 |
| Fuyo General Lease Co. Ltd. | 16 | 866 |
| Hachijuni Bank Ltd. (The) | 96 | 316 |
| Hitachi Ltd. | 43 | 2,020 |
| Honda Motor Co. Ltd. | 105 | 2,767 |
| Isuzu Motors Ltd. | 115 | 1,340 |
| ITOCHU Corp. | 49 | 1,482 |
| Japan Post Holdings Co. Ltd. | 193 | 1,355 |
| Japan Post Insurance Co. Ltd. | 74 | 1,195 |
| Kamigumi Co. Ltd. | 23 | 389 |
| Kandenko Co. Ltd. | 41 | 261 |
| KDDI Corp. | 105 | 3,474 |
| Kinden Corp. | 22 | 265 |
| Mitsubishi Chemical Holdings Corp. | 137 | 837 |
| Mitsubishi Corp. | 68 | 2,266 |
| Mitsubishi Gas Chemical Co., Inc. | 22 | 314 |
| Mitsubishi UFJ Financial Group, Inc. | 731 | 4,250 |
| Mitsui & Co. Ltd. | 95 | 2,288 |
| Mitsui Fudosan Co. Ltd. | 74 | 1,575 |
| Mizuho Financial Group, Inc. | 178 | 2,159 |
| MS&AD Insurance Group Holdings, Inc. | 44 | 1,319 |
| Nichias Corp. | 14 | 253 |
| Nippon Telegraph & Telephone Corp. | 98 | 2,900 |
| Nippon Television Holdings, Inc. | 33 | 314 |
| Nomura Holdings, Inc. | 274 | 1,055 |
| Nomura Real Estate Holdings, Inc. | 54 | 1,318 |
| ORIX Corp. | 119 | 2,174 |
| Rengo Co. Ltd. | 36 | 215 |
| Resona Holdings, Inc. | 190 | 827 |
| Sanwa Holdings Corp. | 37 | 333 |
| SBI Holdings, Inc. | 23 | 521 |
| Sekisui House Ltd. | 64 | 1,105 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Japan — continued |
| Shizuoka Bank Ltd. (The) | 91 | 587 |
| SoftBank Corp. | 211 | 2,452 |
| Sojitz Corp. | 71 | 1,075 |
| Sompo Holdings, Inc. | 23 | 949 |
| Sumitomo Corp. | 94 | 1,486 |
| Sumitomo Forestry Co. Ltd. | 66 | 1,007 |
| Sumitomo Mitsui Financial Group, Inc. | 93 | 2,807 |
| Sumitomo Mitsui Trust Holdings, Inc. | 50 | 1,558 |
| T&D Holdings, Inc. | 92 | 1,182 |
| Takeda Pharmaceutical Co. Ltd. | 115 | 3,349 |
| Tokyo Steel Manufacturing Co. Ltd. | 53 | 551 |
| Tokyo Tatemono Co. Ltd. | 35 | 495 |
| Tosoh Corp. | 38 | 518 |
| Toyota Motor Corp. | 535 | 9,175 |
| Toyota Tsusho Corp. | 19 | 672 |
| UBE Corp. | 16 | 253 |
| Yamaha Motor Co. Ltd. | 55 | 1,144 |
| | | 81,583 |
| Luxembourg — 0.5% |
| ArcelorMittal SA | 57 | 1,658 |
| RTL Group SA | 7 | 387 |
| | | 2,045 |
| Malta — 0.1% |
| Kindred Group plc, SDR | 57 | 504 |
| Netherlands — 6.1% |
| ABN AMRO Bank NV, CVA (a) (b) | 91 | 1,133 |
| Aegon NV | 337 | 1,747 |
| ASR Nederland NV | 27 | 1,218 |
| Flow Traders (a) (b) | 21 | 692 |
| Heijmans NV, CVA | 56 | 764 |
| ING Groep NV | 211 | 2,002 |
| Koninklijke Ahold Delhaize NV | 63 | 1,870 |
| NN Group NV | 26 | 1,288 |
| PostNL NV (b) | 116 | 381 |
| Randstad NV | 13 | 667 |
| Shell plc | 420 | 11,262 |
| Signify NV (a) | 14 | 601 |
| | | 23,625 |
| Norway — 2.5% |
| DNB Bank ASA (b) | 70 | 1,354 |
| Elkem ASA (a) | 230 | 953 |
| Equinor ASA | 80 | 2,707 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Norway — continued |
| Europris ASA (a) | 59 | 300 |
| Norsk Hydro ASA | 170 | 1,427 |
| Olav Thon Eiendomsselskap ASA | 24 | 493 |
| Selvaag Bolig ASA | 12 | 56 |
| SpareBank 1 Nord Norge | 80 | 854 |
| SpareBank 1 SMN | 42 | 597 |
| SpareBank 1 SR-Bank ASA | 46 | 588 |
| Storebrand ASA | 60 | 518 |
| | | 9,847 |
| Singapore — 1.5% |
| DBS Group Holdings Ltd. | 64 | 1,560 |
| Oversea-Chinese Banking Corp. Ltd. | 207 | 1,836 |
| StarHub Ltd. | 378 | 343 |
| United Overseas Bank Ltd. | 68 | 1,449 |
| Yangzijiang Financial Holding Pte. Ltd. * | 1,260 | 497 |
| | | 5,685 |
| South Africa — 0.9% |
| Anglo American plc | 76 | 3,373 |
| Spain — 3.3% |
| Acerinox SA | 40 | 427 |
| Atresmedia Corp. de Medios de Comunicacion SA | 190 | 726 |
| Banco Bilbao Vizcaya Argentaria SA | 518 | 2,718 |
| Banco Santander SA (b) | 944 | 2,758 |
| CaixaBank SA (b) | 293 | 945 |
| Mediaset Espana Comunicacion SA * | 96 | 431 |
| Repsol SA | 148 | 2,209 |
| Telefonica SA | 401 | 1,950 |
| Unicaja Banco SA (a) | 541 | 510 |
| | | 12,674 |
| Sweden — 2.7% |
| Bilia AB, Class A | 24 | 330 |
| Boliden AB (b) | 25 | 1,092 |
| Bonava AB, Class B | 42 | 204 |
| Humana AB * | 52 | 274 |
| Intrum AB * (b) | 24 | 574 |
| Inwido AB | 42 | 573 |
| Loomis AB | 31 | 777 |
| Lundin Energy AB (b) | 27 | 1,124 |
| Mekonomen AB * | 34 | 392 |
| Securitas AB, Class B | 60 | 709 |
| Skandinaviska Enskilda Banken AB, Class A | 125 | 1,402 |
| Skanska AB, Class B | 29 | 544 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 57 |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Sweden — continued |
| SSAB AB, Class B (b) | 189 | 1,110 |
| Svenska Handelsbanken AB, Class A | 105 | 1,061 |
| Volvo AB, Class B | 14 | 230 |
| | | 10,396 |
| Switzerland — 6.2% |
| Adecco Group AG (Registered) | 16 | 604 |
| Julius Baer Group Ltd. | 15 | 734 |
| Mobilezone Holding AG (Registered) | 51 | 824 |
| Novartis AG (Registered) | 108 | 9,584 |
| Roche Holding AG | 3 | 1,144 |
| Swiss Life Holding AG (Registered) | 2 | 1,479 |
| Swisscom AG (Registered) (b) | 2 | 1,153 |
| UBS Group AG (Registered) | 237 | 4,024 |
| Vontobel Holding AG (Registered) | 8 | 555 |
| Zurich Insurance Group AG | 9 | 4,063 |
| | | 24,164 |
| United Kingdom — 14.2% |
| 3i Group plc | 59 | 969 |
| Aviva plc | 276 | 1,481 |
| Balfour Beatty plc | 249 | 753 |
| Barclays plc | 969 | 1,782 |
| Barratt Developments plc | 139 | 852 |
| Bellway plc | 9 | 267 |
| Berkeley Group Holdings plc * | 10 | 513 |
| BP plc | 1,192 | 5,755 |
| BT Group plc | 575 | 1,276 |
| Centrica plc * | 1,490 | 1,476 |
| CK Hutchison Holdings Ltd. | 276 | 1,937 |
| Crest Nicholson Holdings plc | 84 | 265 |
| Drax Group plc | 122 | 1,237 |
| easyJet plc * | 111 | 766 |
| Halfords Group plc | 239 | 681 |
| HSBC Holdings plc | 1,071 | 6,693 |
| IG Group Holdings plc | 56 | 569 |
| Inchcape plc | 43 | 387 |
| Investec plc | 278 | 1,639 |
| ITV plc | 437 | 404 |
| J Sainsbury plc | 236 | 689 |
| JET2 plc * | 55 | 835 |
| Johnson Matthey plc | 50 | 1,366 |
| Keller Group plc | 44 | 468 |
| Kier Group plc * | 253 | 252 |
| Land Securities Group plc, REIT | 157 | 1,471 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United Kingdom — continued |
| Legal & General Group plc | 427 | 1,331 |
| Lloyds Banking Group plc | 4,177 | 2,372 |
| Man Group plc | 271 | 788 |
| Marks & Spencer Group plc * | 530 | 905 |
| Morgan Sindall Group plc | 20 | 531 |
| NatWest Group plc | 399 | 1,071 |
| OSB Group plc | 172 | 1,203 |
| Paragon Banking Group plc | 75 | 462 |
| Premier Foods plc | 451 | 630 |
| Rathbones Group plc | 16 | 412 |
| Reach plc | 208 | 426 |
| Redrow plc | 48 | 314 |
| Royal Mail plc | 263 | 1,125 |
| Standard Chartered plc | 163 | 1,114 |
| Taylor Wimpey plc | 325 | 511 |
| Tesco plc | 599 | 2,034 |
| Vistry Group plc | 77 | 801 |
| Vodafone Group plc | 1,914 | 2,898 |
| WPP plc | 106 | 1,322 |
| | | 55,033 |
| United States — 2.5% |
| GlaxoSmithKline plc | 278 | 6,276 |
| Stellantis NV | 97 | 1,303 |
| Stellantis NV | 62 | 836 |
| Tenaris SA | 74 | 1,124 |
| | | 9,539 |
Total Common Stocks
(Cost $361,439) | | 380,543 |
| Short-Term Investments — 6.6% |
| Investment Companies — 1.5% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (c) (d)(Cost $5,752) | 5,751 | 5,753 |
| Investment of Cash Collateral from Securities Loaned — 5.1% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (c) (d) | 14,709 | 14,699 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (c) (d) | 5,183 | 5,183 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $19,881) | | 19,882 |
Total Short-Term Investments
(Cost $25,633) | | 25,635 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. Morgan International Equity Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
Total Investments — 104.8%
(Cost $387,072) | | 406,178 |
| Liabilities in Excess of Other Assets — (4.8)% | | (18,478) |
| NET ASSETS — 100.0% | | 387,700 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| 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 |
| SDR | Swedish Depositary Receipt |
| * | Non-income producing security. |
| (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, 2022. The total value of securities on loan at April 30, 2022 is $18,772. |
| (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, 2022. |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Banks | 18.4% |
| Oil, Gas & Consumable Fuels | 9.1 |
| Insurance | 8.9 |
| Metals & Mining | 8.1 |
| Pharmaceuticals | 6 |
| Automobiles | 6 |
| Capital Markets | 4.2 |
| Diversified Telecommunication Services | 3.1 |
| Trading Companies & Distributors | 2.8 |
| Wireless Telecommunication Services | 2.4 |
| Industrial Conglomerates | 2.2 |
| Media | 2.1 |
| Food & Staples Retailing | 2 |
| Real Estate Management & Development | 1.6 |
| Construction & Engineering | 1.5 |
| Household Durables | 1.4 |
| Chemicals | 1.2 |
| Air Freight & Logistics | 1 |
| Energy Equipment & Services | 1 |
| Others (each less than 1.0%) | 10.7 |
| Short-Term Investments | 6.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 59 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (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 in non-affiliates, at value | $9,421,456 | | $2,908,681 | | $ 593,016 |
| Investments in affiliates, at value | 267,806 | | 43,823 | | 12,091 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C) | 107 | | 14,062 | | 48,178 |
| Cash | — | | 4,238 | | 98 |
| Foreign currency, at value | 4,775 | | 1,131 | | — |
| Deposits at broker for futures contracts | — | | 12,043 | | 834 |
| Receivables: | | | | | |
| Investment securities sold | 10,291 | | 155,227 | | 931 |
| Fund shares sold | 131,113 | | 137,432 | | 59 |
| Dividends from non-affiliates | 4,182 | | 6,028 | | 2,369 |
| Dividends from affiliates | 59 | | 10 | | 2 |
| Tax reclaims | 230 | | 122 | | 3,350 |
| Securities lending income (See Note 2.C) | —(a) | | 3 | | 8 |
| Variation margin on futures contracts | — | | 3,769 | | 34 |
| Total Assets | 9,840,019 | | 3,286,569 | | 660,970 |
| LIABILITIES: | | | | | |
| Payables: | | | | | |
| Due to custodian | 10,241 | | — | | — |
| Foreign currency due to custodian, at value | — | | — | | 460 |
| Investment securities purchased | — | | — | | 5,093 |
| Collateral received on securities loaned (See Note 2.C) | 107 | | 14,063 | | 48,178 |
| Fund shares redeemed | 94,084 | | 317,760 | | 250 |
| Accrued liabilities: | | | | | |
| Investment advisory fees | 5,472 | | 569 | | 312 |
| Administration fees | 523 | | 140 | | 39 |
| Distribution fees | 138 | | — | | 21 |
| Service fees | 746 | | 19 | | 40 |
| Custodian and accounting fees | 143 | | 180 | | 14 |
| Trustees’ and Chief Compliance Officer’s fees | — | | — | | —(a) |
| Deferred foreign capital gains tax | 49,934 | | 7,716 | | — |
| Other | 403 | | 30 | | 21 |
| Total Liabilities | 161,791 | | 340,477 | | 54,428 |
| Net Assets | $9,678,228 | | $2,946,092 | | $ 606,542
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
Emerging
Markets
Equity Fund | | JPMorgan
Emerging
Markets
Research
Enhanced
Equity Fund | | JPMorgan
Europe
Dynamic
Fund |
| NET ASSETS: | | | | | |
| Paid-in-Capital | $8,828,888 | | $3,082,344 | | $ 712,608 |
| Total distributable earnings (loss) | 849,340 | | (136,252) | | (106,066) |
| Total Net Assets: | $9,678,228 | | $2,946,092 | | $ 606,542 |
| Net Assets: | | | | | |
| Class A | $ 476,166 | | $ — | | $ 73,397 |
| Class C | 51,142 | | — | | 7,015 |
| Class I | 2,901,502 | | 236,318 | | 69,744 |
| Class L | 1,804,078 | | — | | 75,636 |
| Class R2 | 465 | | — | | — |
| Class R3 | 12,570 | | — | | — |
| Class R4 | 2,908 | | — | | — |
| Class R5 | 15,147 | | — | | — |
| Class R6 | 4,414,250 | | 2,709,774 | | 380,750 |
| Total | $9,678,228 | | $2,946,092 | | $ 606,542 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | | |
| Class A | 16,507 | | — | | 2,832 |
| Class C | 1,848 | | — | | 307 |
| Class I | 98,095 | | 14,208 | | 2,638 |
| Class L | 60,492 | | — | | 2,823 |
| Class R2 | 16 | | — | | — |
| Class R3 | 439 | | — | | — |
| Class R4 | 99 | | — | | — |
| Class R5 | 508 | | — | | — |
| Class R6 | 148,159 | | 163,851 | | 14,277 |
| Net Asset Value (a): | | | | | |
| Class A — Redemption price per share | $ 28.85 | | $ — | | $ 25.92 |
| Class C — Offering price per share (b) | 27.67 | | — | | 22.86 |
| Class I — Offering and redemption price per share | 29.58 | | 16.63 | | 26.43 |
| Class L — Offering and redemption price per share | 29.82 | | — | | 26.79 |
| Class R2 — Offering and redemption price per share | 28.45 | | — | | — |
| Class R3 — Offering and redemption price per share | 28.64 | | — | | — |
| Class R4 — Offering and redemption price per share | 29.47 | | — | | — |
| Class R5 — Offering and redemption price per share | 29.82 | | — | | — |
| Class R6 — Offering and redemption price per share | 29.79 | | 16.54 | | 26.67 |
| Class A maximum sales charge | 5.25% | | —% | | 5.25% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 30.45 | | $ — | | $ 27.36 |
| Cost of investments in non-affiliates | $8,504,575 | | $2,859,310 | | $ 575,629 |
| Cost of investments in affiliates | 267,802 | | 43,823 | | 12,092 |
| Cost of foreign currency | 3,472 | | 1,131 | | — |
| Investment securities on loan, at value (See Note 2.C) | 106 | | 13,480 | | 44,177 |
| Cost of investment of cash collateral (See Note 2.C) | 107 | | 14,061 | | 48,178 |
| (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, 2022 | J.P. Morgan International Equity Funds | 61 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| | JPMorgan
International
Equity Fund | | JPMorgan
International
Focus Fund | | JPMorgan
International
Hedged
Equity Fund |
| ASSETS: | | | | | |
| Investments in non-affiliates, at value | $4,234,728 | | $1,362,361 | | $156,122 |
| Investments in affiliates, at value | 127,803 | | 39,689 | | 7,724 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C) | 202,371 | | — | | — |
| Options purchased, at value | — | | — | | 6,077 |
| Cash | 51 | | 50 | | 751 |
| Foreign currency, at value | 2,745 | | 967 | | 204 |
| Deposits at broker for futures contracts | — | | — | | 642 |
| Receivables: | | | | | |
| Investment securities sold | — | | — | | 995 |
| Fund shares sold | 312,065 | | 1,544 | | 635 |
| Dividends from non-affiliates | 12,176 | | 1,739 | | 636 |
| Dividends from affiliates | 39 | | 20 | | 1 |
| Tax reclaims | 7,971 | | 5,603 | | 424 |
| Securities lending income (See Note 2.C) | 126 | | 5 | | — |
| Other assets | — | | 69 | | — |
| Total Assets | 4,900,075 | | 1,412,047 | | 174,211 |
| LIABILITIES: | | | | | |
| Payables: | | | | | |
| Investment securities purchased | 95,972 | | 2,937 | | 1,215 |
| Collateral received on securities loaned (See Note 2.C) | 202,371 | | — | | — |
| Fund shares redeemed | 116,207 | | 848 | | 615 |
| Variation margin on futures contracts | — | | — | | 39 |
| Outstanding options written, at fair value | — | | — | | 1,036 |
| Accrued liabilities: | | | | | |
| Investment advisory fees | 1,610 | | 959 | | 16 |
| Administration fees | 123 | | 9 | | — |
| Distribution fees | 93 | | 71 | | 1 |
| Service fees | 173 | | 161 | | 36 |
| Custodian and accounting fees | 85 | | 73 | | 12 |
| Trustees’ and Chief Compliance Officer’s fees | — | | — | | 1 |
| Other | 55 | | 42 | | 17 |
| Total Liabilities | 416,689 | | 5,100 | | 2,988 |
| Net Assets | $4,483,386 | | $1,406,947 | | $171,223 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
International
Equity Fund | | JPMorgan
International
Focus Fund | | JPMorgan
International
Hedged
Equity Fund |
| NET ASSETS: | | | | | |
| Paid-in-Capital | $4,036,997 | | $1,118,469 | | $179,991 |
| Total distributable earnings (loss) | 446,389 | | 288,478 | | (8,768) |
| Total Net Assets: | $4,483,386 | | $1,406,947 | | $171,223 |
| Net Assets: | | | | | |
| Class A | $ 365,217 | | $ 268,558 | | $ 5,203 |
| Class C | 8,331 | | 18,734 | | 284 |
| Class I | 623,210 | | 654,222 | | 165,497 |
| Class R2 | 20,627 | | 1,783 | | — |
| Class R5 | 9,074 | | 2,216 | | 21 |
| Class R6 | 3,456,927 | | 461,434 | | 218 |
| Total | $4,483,386 | | $1,406,947 | | $171,223 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | | |
| Class A | 21,721 | | 11,896 | | 354 |
| Class C | 526 | | 843 | | 19 |
| Class I | 36,411 | | 28,583 | | 11,216 |
| Class R2 | 1,244 | | 79 | | — |
| Class R5 | 527 | | 97 | | 2 |
| Class R6 | 201,358 | | 20,152 | | 15 |
| Net Asset Value (a): | | | | | |
| Class A — Redemption price per share | $ 16.81 | | $ 22.57 | | $ 14.68 |
| Class C — Offering price per share (b) | 15.85 | | 22.23 | | 14.65 |
| Class I — Offering and redemption price per share | 17.12 | | 22.89 | | 14.76 |
| Class R2 — Offering and redemption price per share | 16.59 | | 22.40 | | — |
| Class R5 — Offering and redemption price per share | 17.21 | | 22.89 | | 14.78 |
| Class R6 — Offering and redemption price per share | 17.17 | | 22.90 | | 14.79 |
| Class A maximum sales charge | 5.25% | | 5.25% | | 5.25% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 17.74 | | $ 23.82 | | $ 15.49 |
| Cost of investments in non-affiliates | $3,767,366 | | $1,191,605 | | $147,593 |
| Cost of investments in affiliates | 127,784 | | 39,692 | | 7,724 |
| Cost of options purchased | — | | — | | 4,108 |
| Cost of foreign currency | 2,748 | | 967 | | 206 |
| Investment securities on loan, at value (See Note 2.C) | 169,016 | | — | | — |
| Cost of investment of cash collateral (See Note 2.C) | 202,371 | | — | | — |
| Premiums received from options written | — | | — | | 3,954 |
| (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, 2022 | J.P. Morgan International Equity Funds | 63 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| | JPMorgan
International
Research
Enhanced
Equity Fund | | JPMorgan
International
Value Fund |
| ASSETS: | | | |
| Investments in non-affiliates, at value | $5,138,804 | | $380,543 |
| Investments in affiliates, at value | 204,862 | | 5,753 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C) | 200,900 | | 19,882 |
| Cash | 4,433 | | — |
| Foreign currency, at value | 606 | | — |
| Deposits at broker for futures contracts | 11,765 | | — |
| Receivables: | | | |
| Investment securities sold | 29,816 | | 658 |
| Fund shares sold | 567,563 | | 818 |
| Dividends from non-affiliates | 18,416 | | 2,851 |
| Dividends from affiliates | 57 | | 3 |
| Tax reclaims | 10,118 | | 2,232 |
| Securities lending income (See Note 2.C) | 187 | | 20 |
| Total Assets | 6,187,527 | | 412,760 |
| LIABILITIES: | | | |
| Payables: | | | |
| Due to custodian | — | | 266 |
| Foreign currency due to custodian, at value | — | | 289 |
| Investment securities purchased | 461,303 | | 2,647 |
| Collateral received on securities loaned (See Note 2.C) | 200,899 | | 19,882 |
| Fund shares redeemed | 309 | | 587 |
| Variation margin on futures contracts | 382 | | — |
| Accrued liabilities: | | | |
| Investment advisory fees | 714 | | 148 |
| Administration fees | 240 | | 3 |
| Distribution fees | 8 | | 40 |
| Service fees | 27 | | 37 |
| Custodian and accounting fees | 132 | | 24 |
| Trustees’ and Chief Compliance Officer’s fees | —(a) | | —(a) |
| Other | 473 | | 1,137 |
| Total Liabilities | 664,487 | | 25,060 |
| Net Assets | $5,523,040 | | $387,700
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
International
Research
Enhanced
Equity Fund | | JPMorgan
International
Value Fund |
| NET ASSETS: | | | |
| Paid-in-Capital | $5,318,902 | | $451,151 |
| Total distributable earnings (loss) | 204,138 | | (63,451) |
| Total Net Assets: | $5,523,040 | | $387,700 |
| Net Assets: | | | |
| Class A | $ 37,317 | | $177,422 |
| Class C | — | | 2,490 |
| Class I | 313,629 | | 37,651 |
| Class L | — | | 6,285 |
| Class R2 | — | | 500 |
| Class R5 | — | | 33 |
| Class R6 | 5,172,094 | | 163,319 |
| Total | $5,523,040 | | $387,700 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| Class A | 2,080 | | 15,053 |
| Class C | — | | 217 |
| Class I | 17,407 | | 3,106 |
| Class L | — | | 521 |
| Class R2 | — | | 43 |
| Class R5 | — | | 3 |
| Class R6 | 288,141 | | 13,630 |
| Net Asset Value (a): | | | |
| Class A — Redemption price per share | $ 17.94 | | $ 11.79 |
| Class C — Offering price per share (b) | — | | 11.44 |
| Class I — Offering and redemption price per share | 18.02 | | 12.12 |
| Class L — Offering and redemption price per share | — | | 12.05 |
| Class R2 — Offering and redemption price per share | — | | 11.59 |
| Class R5 — Offering and redemption price per share | — | | 11.97 |
| Class R6 — Offering and redemption price per share | 17.95 | | 11.98 |
| Class A maximum sales charge | 5.25% | | 5.25% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 18.93 | | $ 12.44 |
| Cost of investments in non-affiliates | $4,625,226 | | $361,439 |
| Cost of investments in affiliates | 204,860 | | 5,752 |
| Cost of foreign currency | 631 | | — |
| Investment securities on loan, at value | 177,073 | | 18,772 |
| Cost of investment of cash collateral (See Note 2.C) | 200,904 | | 19,881 |
| (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, 2022 | J.P. Morgan International Equity Funds | 65 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited)
(Amounts in thousands)
| | JPMorgan
Emerging
Markets
Equity Fund | | JPMorgan
Emerging
Markets
Research
Enhanced
Equity Fund | | JPMorgan
Europe
Dynamic
Fund |
| INVESTMENT INCOME: | | | | | |
| Interest income from non-affiliates | $ — | | $ 3 | | $ 1 |
| Dividend income from non-affiliates | 49,549 | | 46,566 | | 11,865 |
| Dividend income from affiliates | 90 | | 34 | | 10 |
| Non-cash dividend income from non-affiliates | 13,536 | | 4,198 | | 2,368 |
| Income from securities lending (net) (See Note 2.C) | 85 | | 20 | | 86 |
| Foreign taxes withheld (net) | (5,770) | | (3,902) | | (1,485) |
| Total investment income | 57,490 | | 46,919 | | 12,845 |
| EXPENSES: | | | | | |
| Investment advisory fees | 40,116 | | 4,495 | | 2,764 |
| Administration fees | 4,115 | | 1,348 | | 346 |
| Distribution fees: | | | | | |
| Class A | 729 | | — | | 103 |
| Class C | 250 | | — | | 36 |
| Class R2 | 2 | | — | | — |
| Class R3 | 17 | | — | | — |
| Service fees: | | | | | |
| Class A | 729 | | — | | 103 |
| Class C | 83 | | — | | 12 |
| Class I | 4,859 | | 137 | | 397 |
| Class L | 1,103 | | — | | 41 |
| Class R3 | 17 | | — | | — |
| Class R4 | 4 | | — | | — |
| Class R5 | 9 | | — | | — |
| Custodian and accounting fees | 2,119 | | 959 | | 76 |
| Interest expense to affiliates | 14 | | — | | 9 |
| Professional fees | 143 | | 49 | | 46 |
| Trustees’ and Chief Compliance Officer’s fees | 31 | | 18 | | 14 |
| Printing and mailing costs | 358 | | 15 | | 30 |
| Registration and filing fees | 222 | | 46 | | 35 |
| Transfer agency fees (See Note 2.I) | 130 | | 13 | | 20 |
| Other | 333 | | 39 | | 27 |
| Total expenses | 55,383 | | 7,119 | | 4,059 |
| Less fees waived | (1,804) | | (796) | | (20) |
| Less expense reimbursements | (55) | | — | | — |
| Net expenses | 53,524 | | 6,323 | | 4,039 |
| Net investment income (loss) | $ 3,966 | | $ 40,596 | | $ 8,806 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
Emerging
Markets
Equity Fund | | JPMorgan
Emerging
Markets
Research
Enhanced
Equity Fund | | JPMorgan
Europe
Dynamic
Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | | | |
| Net realized gain (loss) on transactions from: | | | | | |
| Investments in non-affiliates | $ 58,730(a) | | $(144,648)(b) | | $ (51,787) |
| Investments in affiliates | (21) | | (14) | | (7) |
| Futures contracts | — | | (420) | | 2,066 |
| Foreign currency transactions | (3,457) | | (1,113) | | (2,159) |
| Forward foreign currency exchange contracts | — | | — | | — |
| Net realized gain (loss) | 55,252 | | (146,195) | | (51,887) |
| Distribution of capital gain received from investment company affiliates | — | | — | | — |
| Change in net unrealized appreciation/depreciation on: | | | | | |
| Investments in non-affiliates | (3,600,687)(c) | | (502,838)(d) | | (112,693) |
| Investments in affiliates | 4 | | 1 | | (1) |
| Futures contracts | — | | 77 | | (1,615) |
| Foreign currency translations | 1,104 | | 119 | | (314) |
| Change in net unrealized appreciation/depreciation | (3,599,579) | | (502,641) | | (114,623) |
| Net realized/unrealized gains (losses) | (3,544,327) | | (648,836) | | (166,510) |
| Change in net assets resulting from operations | $(3,540,361) | | $(608,240) | | $(157,704) |
| (a) | Net of foreign capital gains tax of $(250). |
| (b) | Net of foreign capital gains tax of $(2,160). |
| (c) | Net of change in foreign capital gains tax of $(89). |
| (d) | Net of change in foreign capital gains tax of $5,322. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 67 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
(Amounts in thousands)
| | JPMorgan
International
Equity Fund | | JPMorgan
International
Focus Fund | | JPMorgan
International
Hedged
Equity Fund |
| INVESTMENT INCOME: | | | | | |
| Interest income from non-affiliates | $ — | | $ — | | $ — |
| Interest income from affiliates | — | | —(a) | | — |
| Dividend income from non-affiliates | 65,897 | | 36,677 | | 2,708 |
| Dividend income from affiliates | 69 | | 34 | | 2 |
| Non-cash dividend income from non-affiliates | — | | 3,517 | | — |
| Income from securities lending (net) (See Note 2.C) | 347 | | 84 | | — |
| Foreign taxes withheld (net) | (6,505) | | (3,253) | | (270) |
| Total investment income | 59,808 | | 37,059 | | 2,440 |
| EXPENSES: | | | | | |
| Investment advisory fees | 11,777 | | 9,993 | | 210 |
| Administration fees | 1,766 | | 1,249 | | 63 |
| Distribution fees: | | | | | |
| Class A | 515 | | 394 | | 6 |
| Class C | 37 | | 82 | | 1 |
| Class R2 | 57 | | 5 | | — |
| Service fees: | | | | | |
| Class A | 515 | | 394 | | 6 |
| Class C | 12 | | 28 | | — |
| Class I | 776 | | 970 | | 204 |
| Class R2 | 28 | | 2 | | — |
| Class R5 | 5 | | 1 | | — |
| Custodian and accounting fees | 307 | | 290 | | 41 |
| Interest expense to affiliates | 8 | | 5 | | — |
| Professional fees | 67 | | 52 | | 46 |
| Trustees’ and Chief Compliance Officer’s fees | 20 | | 17 | | 13 |
| Printing and mailing costs | 60 | | 49 | | 13 |
| Registration and filing fees | 88 | | 92 | | 55 |
| Transfer agency fees (See Note 2.I) | 56 | | 33 | | 1 |
| Other | 62 | | 44 | | 9 |
| Total expenses | 16,156 | | 13,700 | | 668 |
| Less fees waived | (2,706) | | (2,941) | | (158) |
| Less expense reimbursements | — | | — | | —(a) |
| Net expenses | 13,450 | | 10,759 | | 510 |
| Net investment income (loss) | $ 46,358 | | $ 26,300 | | $ 1,930
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
International
Equity Fund | | JPMorgan
International
Focus Fund | | JPMorgan
International
Hedged
Equity Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | | | |
| Net realized gain (loss) on transactions from: | | | | | |
| Investments in non-affiliates | $ (36,377) | | $ 224,853 | | $ 879 |
| Investments in affiliates | (44) | | (5) | | — |
| Options purchased | — | | — | | (6,076) |
| Futures contracts | — | | 71 | | (604) |
| Foreign currency transactions | (859) | | (345) | | (40) |
| Options written | — | | — | | 5,505 |
| Net realized gain (loss) | (37,280) | | 224,574 | | (336) |
| Change in net unrealized appreciation/depreciation on: | | | | | |
| Investments in non-affiliates | (884,227) | | (803,012) | | (24,366) |
| Investments in affiliates | 19 | | (3) | | — |
| Options purchased | — | | — | | 3,612 |
| Futures contracts | — | | — | | (233) |
| Foreign currency translations | (1,171) | | (384) | | (57) |
| Options written | — | | — | | 1,199 |
| Change in net unrealized appreciation/depreciation | (885,379) | | (803,399) | | (19,845) |
| Net realized/unrealized gains (losses) | (922,659) | | (578,825) | | (20,181) |
| Change in net assets resulting from operations | $(876,301) | | $(552,525) | | $(18,251) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 69 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
(Amounts in thousands)
| | JPMorgan
International
Research
Enhanced
Equity Fund | | JPMorgan
International
Value Fund |
| INVESTMENT INCOME: | | | |
| Interest income from non-affiliates | $ 2 | | $ — |
| Interest income from affiliates | —(a) | | — |
| Dividend income from non-affiliates | 80,992 | | 8,938 |
| Dividend income from affiliates | 96 | | 5 |
| Non-cash dividend income from non-affiliates | — | | 871 |
| Income from securities lending (net) (See Note 2.C) | 526 | | 48 |
| Foreign taxes withheld (net) | (7,756) | | (805) |
| Total investment income | 73,860 | | 9,057 |
| EXPENSES: | | | |
| Investment advisory fees | 4,904 | | 1,088 |
| Administration fees | 1,839 | | 148 |
| Distribution fees: | | | |
| Class A | 53 | | 231 |
| Class C | — | | 12 |
| Class R2 | — | | 1 |
| Service fees: | | | |
| Class A | 53 | | 231 |
| Class C | — | | 4 |
| Class I | 453 | | 48 |
| Class L | — | | 3 |
| Class R2 | — | | 1 |
| Custodian and accounting fees | 330 | | 49 |
| Interest expense to affiliates | 36 | | 1 |
| Professional fees | 82 | | 49 |
| Trustees’ and Chief Compliance Officer’s fees | 20 | | 13 |
| Printing and mailing costs | 13 | | 8 |
| Registration and filing fees | 65 | | 67 |
| Transfer agency fees (See Note 2.I) | 33 | | 9 |
| Other | 78 | | 25 |
| Total expenses | 7,959 | | 1,988 |
| Less fees waived | (1,570) | | (409) |
| Less expense reimbursements | — | | (1) |
| Net expenses | 6,389 | | 1,578 |
| Net investment income (loss) | $ 67,471 | | $ 7,479
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan
International
Research
Enhanced
Equity Fund | | JPMorgan
International
Value Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | |
| Net realized gain (loss) on transactions from: | | | |
| Investments in non-affiliates | $ 40,943 | | $ (76) |
| Investments in affiliates | (36) | | (1) |
| Futures contracts | (2,412) | | (367) |
| Foreign currency transactions | (1,473) | | 109 |
| Net realized gain (loss) | 37,022 | | (335) |
| Change in net unrealized appreciation/depreciation on: | | | |
| Investments in non-affiliates | (745,853) | | (40,325) |
| Investments in affiliates | (3) | | 1 |
| Futures contracts | 501 | | (50) |
| Foreign currency translations | (1,597) | | (266) |
| Change in net unrealized appreciation/depreciation | (746,952) | | (40,640) |
| Net realized/unrealized gains (losses) | (709,930) | | (40,975) |
| Change in net assets resulting from operations | $(642,459) | | $(33,496) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 71 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED
(Amounts in thousands)
| | JPMorgan Emerging Markets
Equity Fund | | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | �� | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 3,966 | | $ (660) | | $ 40,596 | | $ 70,642 |
| Net realized gain (loss) | 55,252 | | 570,100 | | (146,195) | | 184,068 |
| Distributions of capital gains received from investment company affiliates | — | | — | | — | | — |
| Change in net unrealized appreciation/depreciation | (3,599,579) | | 749,583 | | (502,641) | | 221,738 |
| Change in net assets resulting from operations | (3,540,361) | | 1,319,023 | | (608,240) | | 476,448 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (22,535) | | — | | — | | — |
| Class C | (2,610) | | — | | — | | — |
| Class I | (162,208) | | (4,875) | | (231) | | (1) |
| Class L | (91,277) | | (3,336) | | — | | — |
| Class R2 | (19) | | — | | — | | — |
| Class R3 | (504) | | — | | — | | — |
| Class R4 | (135) | | (1) | | — | | — |
| Class R5 | (704) | | (80) | | — | | — |
| Class R6 | (206,914) | | (10,851) | | (199,236) | | (50,836) |
| Total distributions to shareholders | (486,906) | | (19,143) | | (199,467) | | (50,837) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | (130,289) | | 1,315,679 | | (39,589) | | 527,435 |
| NET ASSETS: | | | | | | | |
| Change in net assets | (4,157,556) | | 2,615,559 | | (847,296) | | 953,046 |
| Beginning of period | 13,835,784 | | 11,220,225 | | 3,793,388 | | 2,840,342 |
| End of period | $ 9,678,228 | | $13,835,784 | | $2,946,092 | | $3,793,388 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan Europe Dynamic Fund | | JPMorgan International Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 8,806 | | $ 12,685 | | $ 46,358 | | $ 80,677 |
| Net realized gain (loss) | (51,887) | | 65,264 | | (37,280) | | 332,125 |
| Change in net unrealized appreciation/depreciation | (114,623) | | 119,032 | | (885,379) | | 630,933 |
| Change in net assets resulting from operations | (157,704) | | 196,981 | | (876,301) | | 1,043,735 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (1,773) | | (839) | | (27,845) | | (3,040) |
| Class C | (188) | | (80) | | (669) | | (42) |
| Class I | (9,923) | | (772) | | (38,399) | | (4,786) |
| Class L | (2,043) | | (920) | | — | | — |
| Class R2 | — | | — | | (1,477) | | (292) |
| Class R5 | — | | — | | (678) | | (99) |
| Class R6 | (11,157) | | (4,405) | | (256,785) | | (33,732) |
| Total distributions to shareholders | (25,084) | | (7,016) | | (325,853) | | (41,991) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | (285,188) | | 445,725 | | 839,823 | | 913,051 |
| NET ASSETS: | | | | | | | |
| Change in net assets | (467,976) | | 635,690 | | (362,331) | | 1,914,795 |
| Beginning of period | 1,074,518 | | 438,828 | | 4,845,717 | | 2,930,922 |
| End of period | $ 606,542 | | $1,074,518 | | $4,483,386 | | $4,845,717 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 73 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | International Focus Fund | | JPMorgan International Hedged Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 26,300 | | $ 58,536 | | $ 1,930 | | $ 2,600 |
| Net realized gain (loss) | 224,574 | | 75,956 | | (336) | | (5,465) |
| Change in net unrealized appreciation/depreciation | (803,399) | | 610,179 | | (19,845) | | 26,744 |
| Change in net assets resulting from operations | (552,525) | | 744,671 | | (18,251) | | 23,879 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (5,362) | | (1,160) | | (77) | | (29) |
| Class C | (261) | | (42) | | (6) | | (1) |
| Class I | (14,693) | | (4,486) | | (4,049) | | (2,175) |
| Class R2 | (21) | | (9) | | — | | — |
| Class R5 | (56) | | (32) | | (1) | | (1) |
| Class R6 | (50,762) | | (28,297) | | (4) | | (1) |
| Total distributions to shareholders | (71,155) | | (34,026) | | (4,137) | | (2,207) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | (1,889,661) | | 407,973 | | 40,835 | | (6,164) |
| NET ASSETS: | | | | | | | |
| Change in net assets | (2,513,341) | | 1,118,618 | | 18,447 | | 15,508 |
| Beginning of period | 3,920,288 | | 2,801,670 | | 152,776 | | 137,268 |
| End of period | $ 1,406,947 | | $3,920,288 | | $171,223 | | $152,776 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan International Research
Enhanced Equity Fund | | JPMorgan International Value Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 67,471 | | $ 126,966 | | $ 7,479 | | $ 13,022 |
| Net realized gain (loss) | 37,022 | | 283,157 | | (335) | | 4,345 |
| Change in net unrealized appreciation/depreciation | (746,952) | | 1,196,412 | | (40,640) | | 104,838 |
| Change in net assets resulting from operations | (642,459) | | 1,606,535 | | (33,496) | | 122,205 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (1,695) | | (402) | | (8,496) | | (4,156) |
| Class C | — | | — | | (136) | | (106) |
| Class I | (15,314) | | (10,216) | | (1,804) | | (914) |
| Class L | — | | — | | (331) | | (192) |
| Class R2 | — | | — | | (22) | | (11) |
| Class R5 | — | | — | | (2) | | (3) |
| Class R6 | (182,288) | | (95,880) | | (7,825) | | (3,877) |
| Total distributions to shareholders | (199,297) | | (106,498) | | (18,616) | | (9,259) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | 1,368,954 | | (1,366,544) | | 43,113 | | 15,889 |
| NET ASSETS: | | | | | | | |
| Change in net assets | 527,198 | | 133,493 | | (8,999) | | 128,835 |
| Beginning of period | 4,995,842 | | 4,862,349 | | 396,699 | | 267,864 |
| End of period | $5,523,040 | | $ 4,995,842 | | $387,700 | | $396,699 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 75 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Emerging Markets
Equity Fund | | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 72,542 | | $ 254,285 | | $ — | | $ — |
| Distributions reinvested | 21,957 | | — | | — | | — |
| Cost of shares redeemed | (124,291) | | (192,488) | | — | | — |
| Change in net assets resulting from Class A capital transactions | (29,792) | | 61,797 | | — | | — |
| Class C | | | | | | | |
| Proceeds from shares issued | 1,419 | | 21,002 | | — | | — |
| Distributions reinvested | 2,464 | | — | | — | | — |
| Cost of shares redeemed | (12,578) | | (18,983) | | — | | — |
| Change in net assets resulting from Class C capital transactions | (8,695) | | 2,019 | | — | | — |
| Class I | | | | | | | |
| Proceeds from shares issued | 737,549 | | 2,529,253 | | 289,005 | | 6,294 |
| Distributions reinvested | 152,054 | | 4,534 | | 232 | | 1 |
| Cost of shares redeemed | (1,413,676) | | (2,287,926) | | (28,388) | | (466) |
| Change in net assets resulting from Class I capital transactions | (524,073) | | 245,861 | | 260,849 | | 5,829 |
| Class L | | | | | | | |
| Proceeds from shares issued | 375,238 | | 1,202,345 | | — | | — |
| Distributions reinvested | 90,633 | | 3,299 | | — | | — |
| Cost of shares redeemed | (510,665) | | (693,103) | | — | | — |
| Change in net assets resulting from Class L capital transactions | (44,794) | | 512,541 | | — | | — |
| Class R2 | | | | �� | | | |
| Proceeds from shares issued | 80 | | 415 | | — | | — |
| Distributions reinvested | 19 | | — | | — | | — |
| Cost of shares redeemed | (36) | | (288) | | — | | — |
| Change in net assets resulting from Class R2 capital transactions | 63 | | 127 | | — | | — |
| Class R3 | | | | | | | |
| Proceeds from shares issued | 3,296 | | 13,765 | | — | | — |
| Distributions reinvested | 227 | | — | | — | | — |
| Cost of shares redeemed | (1,233) | | (5,183) | | — | | — |
| Change in net assets resulting from Class R3 capital transactions | 2,290 | | 8,582 | | — | | — |
| Class R4 | | | | | | | |
| Proceeds from shares issued | 574 | | 2,383 | | — | | — |
| Distributions reinvested | 135 | | 1 | | — | | — |
| Cost of shares redeemed | (464) | | (1,833) | | — | | — |
| Change in net assets resulting from Class R4 capital transactions | 245 | | 551 | | — | | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan Emerging Markets
Equity Fund | | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: (continued) | | | | | | | |
| Class R5 | | | | | | | |
| Proceeds from shares issued | $ 2,496 | | $ 18,329 | | $ — | | $ — |
| Distributions reinvested | 651 | | 79 | | — | | — |
| Cost of shares redeemed | (2,589) | | (63,474) | | — | | — |
| Change in net assets resulting from Class R5 capital transactions | 558 | | (45,066) | | — | | — |
| Class R6 | | | | | | | |
| Proceeds from shares issued | 1,170,304 | | 2,782,507 | | 626,445 | | 1,383,412 |
| Distributions reinvested | 189,279 | | 9,925 | | 199,236 | | 50,835 |
| Cost of shares redeemed | (885,674) | | (2,263,165) | | (1,126,119) | | (912,641) |
| Change in net assets resulting from Class R6 capital transactions | 473,909 | | 529,267 | | (300,438) | | 521,606 |
| Total change in net assets resulting from capital transactions | $ (130,289) | | $ 1,315,679 | | $ (39,589) | | $ 527,435 |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 2,151 | | 6,043 | | — | | — |
| Reinvested | 591 | | — | | — | | — |
| Redeemed | (3,559) | | (4,582) | | — | | — |
| Change in Class A Shares | (817) | | 1,461 | | — | | — |
| Class C | | | | | | | |
| Issued | 44 | | 523 | | — | | — |
| Reinvested | 69 | | — | | — | | — |
| Redeemed | (380) | | (464) | | — | | — |
| Change in Class C Shares | (267) | | 59 | | — | | — |
| Class I | | | | | | | |
| Issued | 20,934 | | 58,966 | | 15,500 | | 281 |
| Reinvested | 3,999 | | 106 | | 12 | | — |
| Redeemed | (41,117) | | (52,366) | | (1,565) | | (22) |
| Change in Class I Shares | (16,184) | | 6,706 | | 13,947 | | 259 |
| Class L | | | | | | | |
| Issued | 10,537 | | 27,731 | | — | | — |
| Reinvested | 2,366 | | 77 | | — | | — |
| Redeemed | (14,334) | | (15,762) | | — | | — |
| Change in Class L Shares | (1,431) | | 12,046 | | — | | — |
| Class R2 | | | | | | | |
| Issued | 2 | | 10 | | — | | — |
| Reinvested | 1 | | — | | — | | — |
| Redeemed | (1) | | (7) | | — | | — |
| Change in Class R2 Shares | 2 | | 3 | | — | | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 77 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Emerging Markets
Equity Fund | | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: (continued) | | | | | | | |
| Class R3 | | | | | | | |
| Issued | 98 | | 334 | | — | | — |
| Reinvested | 6 | | — | | — | | — |
| Redeemed | (35) | | (124) | | — | | — |
| Change in Class R3 Shares | 69 | | 210 | | — | | — |
| Class R4 | | | | | | | |
| Issued | 16 | | 54 | | — | | — |
| Reinvested | 4 | | — | | — | | — |
| Redeemed | (13) | | (42) | | — | | — |
| Change in Class R4 Shares | 7 | | 12 | | — | | — |
| Class R5 | | | | | | | |
| Issued | 70 | | 416 | | — | | — |
| Reinvested | 17 | | 2 | | — | | — |
| Redeemed | (73) | | (1,466) | | — | | — |
| Change in Class R5 Shares | 14 | | (1,048) | | — | | — |
| Class R6 | | | | | | | |
| Issued | 34,215 | | 63,838 | | 35,237 | | 64,804 |
| Reinvested | 4,950 | | 232 | | 10,435 | | 2,474 |
| Redeemed | (25,924) | | (51,699) | | (64,205) | | (42,567) |
| Change in Class R6 Shares | 13,241 | | 12,371 | | (18,533) | | 24,711 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan Europe Dynamic Fund | | JPMorgan International Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 3,798 | | $ 6,061 | | $ 45,611 | | $ 128,373 |
| Distributions reinvested | 1,698 | | 805 | | 27,642 | | 3,017 |
| Cost of shares redeemed | (6,159) | | (15,952) | | (37,996) | | (50,637) |
| Change in net assets resulting from Class A capital transactions | (663) | | (9,086) | | 35,257 | | 80,753 |
| Class C | | | | | | | |
| Proceeds from shares issued | 65 | | 543 | | 817 | | 2,112 |
| Distributions reinvested | 183 | | 79 | | 669 | | 42 |
| Cost of shares redeemed | (2,942) | | (4,769) | | (1,587) | | (3,467) |
| Change in net assets resulting from Class C capital transactions | (2,694) | | (4,147) | | (101) | | (1,313) |
| Class I | | | | | | | |
| Proceeds from shares issued | 51,229 | | 412,233 | | 265,574 | | 217,953 |
| Distributions reinvested | 9,021 | | 721 | | 38,299 | | 4,774 |
| Cost of shares redeemed | (358,634) | | (48,189) | | (110,519) | | (91,184) |
| Change in net assets resulting from Class I capital transactions | (298,384) | | 364,765 | | 193,354 | | 131,543 |
| Class L | | | | | | | |
| Proceeds from shares issued | 7,945 | | 11,606 | | — | | — |
| Distributions reinvested | 2,037 | | 917 | | — | | — |
| Cost of shares redeemed | (5,871) | | (6,155) | | — | | — |
| Change in net assets resulting from Class L capital transactions | 4,111 | | 6,368 | | — | | — |
| Class R2 | | | | | | | |
| Proceeds from shares issued | — | | — | | 3,053 | | 5,946 |
| Distributions reinvested | — | | — | | 1,474 | | 289 |
| Cost of shares redeemed | — | | — | | (2,833) | | (9,508) |
| Change in net assets resulting from Class R2 capital transactions | — | | — | | 1,694 | | (3,273) |
| Class R5 | | | | | | | |
| Proceeds from shares issued | — | | — | | 1,886 | | 4,537 |
| Distributions reinvested | — | | — | | 650 | | 95 |
| Cost of shares redeemed | — | | — | | (1,596) | | (3,471) |
| Change in net assets resulting from Class R5 capital transactions | — | | — | | 940 | | 1,161 |
| Class R6 | | | | | | | |
| Proceeds from shares issued | 38,473 | | 135,760 | | 1,034,724 | | 1,637,397 |
| Distributions reinvested | 10,393 | | 4,405 | | 256,061 | | 33,605 |
| Cost of shares redeemed | (36,424) | | (52,340) | | (682,106) | | (966,822) |
| Change in net assets resulting from Class R6 capital transactions | 12,442 | | 87,825 | | 608,679 | | 704,180 |
| Total change in net assets resulting from capital transactions | $(285,188) | | $445,725 | | $ 839,823 | | $ 913,051 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 79 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Europe Dynamic Fund | | JPMorgan International Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 131 | | 204 | | 2,323 | | 6,338 |
| Reinvested | 58 | | 31 | | 1,370 | | 155 |
| Redeemed | (215) | | (561) | | (1,993) | | (2,491) |
| Change in Class A Shares | (26) | | (326) | | 1,700 | | 4,002 |
| Class C | | | | | | | |
| Issued | 2 | | 21 | | 44 | | 108 |
| Reinvested | 7 | | 3 | | 35 | | 2 |
| Redeemed | (118) | | (189) | | (87) | | (179) |
| Change in Class C Shares | (109) | | (165) | | (8) | | (69) |
| Class I | | | | | | | |
| Issued | 1,685 | | 13,177 | | 13,925 | | 10,466 |
| Reinvested | 301 | | 27 | | 1,865 | | 242 |
| Redeemed | (13,380) | | (1,563) | | (5,912) | | (4,423) |
| Change in Class I Shares | (11,394) | | 11,641 | | 9,878 | | 6,285 |
| Class L | | | | | | | |
| Issued | 264 | | 384 | | — | | — |
| Reinvested | 67 | | 34 | | — | | — |
| Redeemed | (198) | | (212) | | — | | — |
| Change in Class L Shares | 133 | | 206 | | — | | — |
| Class R2 | | | | | | | |
| Issued | — | | — | | 164 | | 296 |
| Reinvested | — | | — | | 74 | | 15 |
| Redeemed | — | | — | | (148) | | (468) |
| Change in Class R2 Shares | — | | — | | 90 | | (157) |
| Class R5 | | | | | | | |
| Issued | — | | — | | 101 | | 219 |
| Reinvested | — | | — | | 31 | | 5 |
| Redeemed | — | | — | | (78) | | (165) |
| Change in Class R5 Shares | — | | — | | 54 | | 59 |
| Class R6 | | | | | | | |
| Issued | 1,288 | | 4,263 | | 55,539 | | 79,648 |
| Reinvested | 344 | | 163 | | 12,433 | | 1,702 |
| Redeemed | (1,348) | | (1,668) | | (37,798) | | (46,388) |
| Change in Class R6 Shares | 284 | | 2,758 | | 30,174 | | 34,962 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | International Focus Fund | | JPMorgan International Hedged Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 55,948 | | $ 195,801 | | $ 3,689 | | $ 3,079 |
| Distributions reinvested | 5,307 | | 1,132 | | 77 | | 29 |
| Cost of shares redeemed | (67,045) | | (32,379) | | (1,511) | | (1,473) |
| Change in net assets resulting from Class A capital transactions | (5,790) | | 164,554 | | 2,255 | | 1,635 |
| Class C | | | | | | | |
| Proceeds from shares issued | 1,461 | | 8,415 | | 131 | | 184 |
| Distributions reinvested | 260 | | 42 | | 6 | | 1 |
| Cost of shares redeemed | (3,033) | | (3,542) | | (132) | | (7) |
| Change in net assets resulting from Class C capital transactions | (1,312) | | 4,915 | | 5 | | 178 |
| Class I | | | | | | | |
| Proceeds from shares issued | 190,812 | | 534,780 | | 89,078 | | 57,032 |
| Distributions reinvested | 14,119 | | 4,249 | | 3,842 | | 2,032 |
| Cost of shares redeemed | (224,640) | | (182,797) | | (54,423) | | (67,180) |
| Change in net assets resulting from Class I capital transactions | (19,709) | | 356,232 | | 38,497 | | (8,116) |
| Class R2 | | | | | | | |
| Proceeds from shares issued | 417 | | 947 | | — | | — |
| Distributions reinvested | 21 | | 9 | | — | | — |
| Cost of shares redeemed | (363) | | (716) | | — | | — |
| Change in net assets resulting from Class R2 capital transactions | 75 | | 240 | | — | | — |
| Class R5 | | | | | | | |
| Proceeds from shares issued | 217 | | 424 | | — | | — |
| Distributions reinvested | 56 | | 32 | | 1 | | — |
| Cost of shares redeemed | (691) | | (749) | | — | | — |
| Change in net assets resulting from Class R5 capital transactions | (418) | | (293) | | 1 | | — |
| Class R6 | | | | | | | |
| Proceeds from shares issued | 85,526 | | 452,976 | | 112 | | 151 |
| Distributions reinvested | 50,271 | | 28,297 | | 5 | | 1 |
| Cost of shares redeemed | (566,706) | | (598,948) | | (40) | | (13) |
| Redemptions in-kind | (1,431,598) | | — | | — | | — |
| Change in net assets resulting from Class R6 capital transactions | (1,862,507) | | (117,675) | | 77 | | 139 |
| Total change in net assets resulting from capital transactions | $(1,889,661) | | $ 407,973 | | $ 40,835 | | $ (6,164) |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 2,189 | | 7,283 | | 232 | | 192 |
| Reinvested | 205 | | 45 | | 5 | | 2 |
| Redeemed | (2,748) | | (1,217) | | (96) | | (92) |
| Change in Class A Shares | (354) | | 6,111 | | 141 | | 102 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 81 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | International Focus Fund | | JPMorgan International Hedged Equity Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: (continued) | | | | | | | |
| Class C | | | | | | | |
| Issued | 57 | | 316 | | 8 | | 11 |
| Reinvested | 10 | | 2 | | — | | — |
| Redeemed | (122) | | (134) | | (8) | | — |
| Change in Class C Shares | (55) | | 184 | | — | | 11 |
| Class I | | | | | | | |
| Issued | 7,441 | | 19,663 | | 5,596 | | 3,560 |
| Reinvested | 538 | | 165 | | 241 | | 135 |
| Redeemed | (9,166) | | (6,676) | | (3,457) | | (4,418) |
| Change in Class I Shares | (1,187) | | 13,152 | | 2,380 | | (723) |
| Class R2 | | | | | | | |
| Issued | 17 | | 36 | | — | | — |
| Reinvested | 1 | | — | | — | | — |
| Redeemed | (14) | | (26) | | — | | — |
| Change in Class R2 Shares | 4 | | 10 | | — | | — |
| Class R5 | | | | | | | |
| Issued | 8 | | 15 | | — | | — |
| Reinvested | 2 | | 1 | | — | | — |
| Redeemed | (27) | | (27) | | — | | — |
| Change in Class R5 Shares | (17) | | (11) | | — | | — |
| Class R6 | | | | | | | |
| Issued | 3,340 | | 16,687 | | 7 | | 9 |
| Reinvested | 1,917 | | 1,099 | | — | | — |
| Redeemed | (21,797) | | (22,086) | | (2) | | (1) |
| Redemptions in-kind | (60,558) | | — | | — | | — |
| Change in Class R6 Shares | (77,098) | | (4,300) | | 5 | | 8 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | JPMorgan International Research
Enhanced Equity Fund | | JPMorgan International Value Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 712 | | $ 1,989 | | $ 21,599 | | $ 39,262 |
| Distributions reinvested | 1,642 | | 389 | | 8,400 | | 4,095 |
| Cost of shares redeemed | (4,775) | | (22,274) | | (16,228) | | (34,717) |
| Change in net assets resulting from Class A capital transactions | (2,421) | | (19,896) | | 13,771 | | 8,640 |
| Class C | | | | | | | |
| Proceeds from shares issued | — | | — | | 127 | | 165 |
| Distributions reinvested | — | | — | | 135 | | 104 |
| Cost of shares redeemed | — | | — | | (1,309) | | (2,175) |
| Change in net assets resulting from Class C capital transactions | — | | — | | (1,047) | | (1,906) |
| Class I | | | | | | | |
| Proceeds from shares issued | 75,161 | | 105,581 | | 7,674 | | 12,348 |
| Distributions reinvested | 15,288 | | 10,212 | | 1,784 | | 829 |
| Cost of shares redeemed | (103,229) | | (342,012) | | (5,847) | | (11,848) |
| Change in net assets resulting from Class I capital transactions | (12,780) | | (226,219) | | 3,611 | | 1,329 |
| Class L | | | | | | | |
| Proceeds from shares issued | — | | — | | 349 | | 2,881 |
| Distributions reinvested | — | | — | | 310 | | 179 |
| Cost of shares redeemed | — | | — | | (554) | | (3,956) |
| Change in net assets resulting from Class L capital transactions | — | | — | | 105 | | (896) |
| Class R2 | | | | | | | |
| Proceeds from shares issued | — | | — | | 32 | | 175 |
| Distributions reinvested | — | | — | | 22 | | 11 |
| Cost of shares redeemed | — | | — | | (2) | | (252) |
| Change in net assets resulting from Class R2 capital transactions | — | | — | | 52 | | (66) |
| Class R5 | | | | | | | |
| Proceeds from shares issued | — | | — | | 24 | | 21 |
| Distributions reinvested | — | | — | | 2 | | 3 |
| Cost of shares redeemed | — | | — | | (52) | | (64) |
| Change in net assets resulting from Class R5 capital transactions | — | | — | | (26) | | (40) |
| Class R6 | | | | | | | |
| Proceeds from shares issued | 1,424,432 | | 359,932 | | 37,644 | | 52,793 |
| Distributions reinvested | 181,166 | | 95,880 | | 7,790 | | 3,621 |
| Cost of shares redeemed | (221,443) | | (1,576,241) | | (18,787) | | (47,586) |
| Change in net assets resulting from Class R6 capital transactions | 1,384,155 | | (1,120,429) | | 26,647 | | 8,828 |
| Total change in net assets resulting from capital transactions | $1,368,954 | | $(1,366,544) | | $ 43,113 | | $ 15,889 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 83 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan International Research
Enhanced Equity Fund | | JPMorgan International Value Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 36 | | 100 | | 1,690 | | 3,054 |
| Reinvested | 83 | | 21 | | 685 | | 356 |
| Redeemed | (238) | | (1,211) | | (1,270) | | (2,757) |
| Change in Class A Shares | (119) | | (1,090) | | 1,105 | | 653 |
| Class C | | | | | | | |
| Issued | — | | — | | 10 | | 12 |
| Reinvested | — | | — | | 11 | | 10 |
| Redeemed | — | | — | | (105) | | (181) |
| Change in Class C Shares | — | | — | | (84) | | (159) |
| Class I | | | | | | | |
| Issued | 3,788 | | 5,301 | | 582 | | 923 |
| Reinvested | 765 | | 540 | | 141 | | 70 |
| Redeemed | (5,228) | | (17,195) | | (449) | | (921) |
| Change in Class I Shares | (675) | | (11,354) | | 274 | | 72 |
| Class L | | | | | | | |
| Issued | — | | — | | 28 | | 219 |
| Reinvested | — | | — | | 25 | | 15 |
| Redeemed | — | | — | | (43) | | (301) |
| Change in Class L Shares | — | | — | | 10 | | (67) |
| Class R2 | | | | | | | |
| Issued | — | | — | | 3 | | 14 |
| Reinvested | — | | — | | 2 | | 1 |
| Redeemed | — | | — | | (—)(a) | | (20) |
| Change in Class R2 Shares | — | | — | | 5 | | (5) |
| Class R5 | | | | | | | |
| Issued | — | | — | | 2 | | 2 |
| Redeemed | — | | — | | (4) | | (5) |
| Change in Class R5 Shares | — | | — | | (2) | | (3) |
| Class R6 | | | | | | | |
| Issued | 76,037 | | 17,749 | | 2,914 | | 4,060 |
| Reinvested | 9,108 | | 5,089 | | 626 | | 310 |
| Redeemed | (10,933) | | (80,049) | | (1,451) | | (3,744) |
| Change in Class R6 Shares | 74,212 | | (57,211) | | 2,089 | | 626 |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. Morgan International Equity Funds | April 30, 2022 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
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 | Net
realized
gain | Total
distributions |
| JPMorgan Emerging Markets Equity Fund | | | | | | | | |
| Class A | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $40.54 | $(0.04) | $(10.32) | $(10.36) | | $(0.07) | $(1.26) | $(1.33) |
| Year Ended October 31, 2021 | 36.44 | (0.14) | 4.24 | 4.10 | | — | — | — |
| Year Ended October 31, 2020 | 30.07 | (0.02) | 6.56 | 6.54 | | (0.17) | — | (0.17) |
| Year Ended October 31, 2019 | 23.84 | 0.19 | 6.16 | 6.35 | | (0.12) | — | (0.12) |
| Year Ended October 31, 2018 | 27.58 | 0.14 | (3.84) | (3.70) | | (0.04) | — | (0.04) |
| Year Ended October 31, 2017 | 21.79 | 0.09 | 5.80 | 5.89 | | (0.10) | — | (0.10) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 38.96 | (0.13) | (9.90) | (10.03) | | — | (1.26) | (1.26) |
| Year Ended October 31, 2021 | 35.20 | (0.34) | 4.10 | 3.76 | | — | — | — |
| Year Ended October 31, 2020 | 29.07 | (0.18) | 6.35 | 6.17 | | (0.04) | — | (0.04) |
| Year Ended October 31, 2019 | 23.08 | 0.04 | 5.98 | 6.02 | | (0.03) | — | (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) | — | (0.01) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 41.60 | (0.01) | (10.58) | (10.59) | | (0.17) | (1.26) | (1.43) |
| Year Ended October 31, 2021 | 37.34 | (0.04) | 4.34 | 4.30 | | (0.04) | — | (0.04) |
| Year Ended October 31, 2020 | 30.79 | 0.05 | 6.75 | 6.80 | | (0.25) | — | (0.25) |
| Year Ended October 31, 2019 | 24.45 | 0.27 | 6.29 | 6.56 | | (0.22) | — | (0.22) |
| Year Ended October 31, 2018 | 28.29 | 0.24 | (3.96) | (3.72) | | (0.12) | — | (0.12) |
| Year Ended October 31, 2017 | 22.33 | 0.16 | 5.94 | 6.10 | | (0.14) | — | (0.14) |
| Class L | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 41.96 | 0.02 | (10.68) | (10.66) | | (0.22) | (1.26) | (1.48) |
| Year Ended October 31, 2021 | 37.64 | 0.01 | 4.37 | 4.38 | | (0.06) | — | (0.06) |
| Year Ended October 31, 2020 | 31.03 | 0.08 | 6.80 | 6.88 | | (0.27) | — | (0.27) |
| Year Ended October 31, 2019 | 24.63 | 0.29 | 6.35 | 6.64 | | (0.24) | — | (0.24) |
| Year Ended October 31, 2018 | 28.49 | 0.26 | (3.99) | (3.73) | | (0.13) | — | (0.13) |
| Year Ended October 31, 2017 | 22.49 | 0.21 | 5.96 | 6.17 | | (0.17) | — | (0.17) |
| Class R2 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 39.99 | (0.09) | (10.19) | (10.28) | | — | (1.26) | (1.26) |
| Year Ended October 31, 2021 | 36.06 | (0.26) | 4.19 | 3.93 | | — | — | — |
| Year Ended October 31, 2020 | 29.78 | (0.13) | 6.52 | 6.39 | | (0.11) | — | (0.11) |
| Year Ended October 31, 2019 | 23.73 | 0.08 | 6.13 | 6.21 | | (0.16) | — | (0.16) |
| Year Ended October 31, 2018 | 27.57 | 0.07 | (3.83) | (3.76) | | (0.08) | — | (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, 2022(Unaudited) | 40.30 | (0.05) | (10.24) | (10.29) | | (0.11) | (1.26) | (1.37) |
| Year Ended October 31, 2021 | 36.25 | (0.15) | 4.20 | 4.05 | | — | — | — |
| Year Ended October 31, 2020 | 29.96 | (0.05) | 6.55 | 6.50 | | (0.21) | — | (0.21) |
| Year Ended October 31, 2019 | 23.78 | 0.25 | 6.06 | 6.31 | | (0.13) | — | (0.13) |
| Year Ended October 31, 2018 | 27.59 | 0.22 | (3.92) | (3.70) | | (0.11) | — | (0.11) |
| July 31, 2017(h) through October 31, 2017 | 26.40 | 0.01 | 1.18 | 1.19 | | — | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | 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(d) | |
| | | | | | | | |
| | | | | | | | |
| $28.85 | (26.28)% | $ 476,166 | 1.24(f)% | (0.26)(f)% | 1.31(f)% | 11% | |
| 40.54 | 11.25 | 702,288 | 1.24 | (0.33) | 1.30 | 25 | |
| 36.44 | 21.84 | 578,112 | 1.24 | (0.06) | 1.33 | 15 | |
| 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 | |
| | | | | | | | |
| 27.67 | (26.47) | 51,142 | 1.74(f) | (0.78)(f) | 1.81(f) | 11 | |
| 38.96 | 10.68 | 82,409 | 1.74 | (0.83) | 1.80 | 25 | |
| 35.20 | 21.24 | 72,364 | 1.74 | (0.58) | 1.83 | 15 | |
| 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 | |
| | | | | | | | |
| 29.58 | (26.20) | 2,901,502 | 0.99(f) | (0.04)(f) | 1.05(f) | 11 | |
| 41.60 | 11.51 | 4,753,438 | 0.99 | (0.09) | 1.05 | 25 | |
| 37.34 | 22.19 | 4,016,180 | 0.99 | 0.15 | 1.07 | 15 | |
| 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 | |
| | | | | | | | |
| 29.82 | (26.17) | 1,804,078 | 0.89(f) | 0.09(f) | 0.90(f) | 11 | |
| 41.96 | 11.63 | 2,598,326 | 0.89 | 0.02 | 0.90 | 25 | |
| 37.64 | 22.29 | 1,877,489 | 0.89 | 0.25 | 0.92 | 15 | |
| 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 | |
| | | | | | | | |
| 28.45 | (26.41) | 465 | 1.54(f) | (0.54)(f) | 1.81(f) | 11 | |
| 39.99 | 10.90 | 585 | 1.54 | (0.63) | 1.78 | 25 | |
| 36.06 | 21.51 | 414 | 1.54 | (0.41) | 2.00 | 15 | |
| 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 | |
| | | | | | | | |
| 28.64 | (26.29) | 12,570 | 1.29(f) | (0.29)(f) | 1.31(f) | 11 | |
| 40.30 | 11.17 | 14,918 | 1.29 | (0.36) | 1.30 | 25 | |
| 36.25 | 21.80 | 5,797 | 1.29 | (0.15) | 1.33 | 15 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 87 |
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 |
| Class R4 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $41.45 | $(0.01) | $(10.55) | $(10.56) | | $(0.16) | $(1.26) | $(1.42) |
| Year Ended October 31, 2021 | 37.20 | (0.05) | 4.32 | 4.27 | | (0.02) | — | (0.02) |
| Year Ended October 31, 2020 | 30.68 | 0.04 | 6.70 | 6.74 | | (0.22) | — | (0.22) |
| Year Ended October 31, 2019 | 24.42 | 0.27 | 6.25 | 6.52 | | (0.26) | — | (0.26) |
| Year Ended October 31, 2018 | 28.28 | 0.18 | (3.91) | (3.73) | | (0.13) | — | (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, 2022(Unaudited) | 41.88 | 0.02 | (10.67) | (10.65) | | (0.15) | (1.26) | (1.41) |
| Year Ended October 31, 2021 | 37.56 | 0.01 | 4.36 | 4.37 | | (0.05) | — | (0.05) |
| Year Ended October 31, 2020 | 30.96 | 0.08 | 6.78 | 6.86 | | (0.26) | — | (0.26) |
| Year Ended October 31, 2019 | 24.60 | 0.31 | 6.31 | 6.62 | | (0.26) | — | (0.26) |
| Year Ended October 31, 2018 | 28.47 | 0.39 | (4.11) | (3.72) | | (0.15) | — | (0.15) |
| Year Ended October 31, 2017 | 22.49 | 0.15 | 6.01 | 6.16 | | (0.18) | — | (0.18) |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 41.95 | 0.04 | (10.68) | (10.64) | | (0.26) | (1.26) | (1.52) |
| Year Ended October 31, 2021 | 37.61 | 0.05 | 4.37 | 4.42 | | (0.08) | — | (0.08) |
| Year Ended October 31, 2020 | 31.00 | 0.12 | 6.78 | 6.90 | | (0.29) | — | (0.29) |
| Year Ended October 31, 2019 | 24.60 | 0.31 | 6.35 | 6.66 | | (0.26) | — | (0.26) |
| Year Ended October 31, 2018 | 28.46 | 0.29 | (3.99) | (3.70) | | (0.16) | — | (0.16) |
| Year Ended October 31, 2017 | 22.46 | 0.21 | 5.98 | 6.19 | | (0.19) | — | (0.19) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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(d) | |
| | | | | | | | |
| $29.47 | (26.22)% | $ 2,908 | 1.04(f)% | (0.03)(f)% | 1.06(f)% | 11% | |
| 41.45 | 11.48 | 3,810 | 1.04 | (0.12) | 1.06 | 25 | |
| 37.20 | 22.09 | 2,962 | 1.04 | 0.12 | 1.08 | 15 | |
| 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 | |
| | | | | | | | |
| 29.82 | (26.15) | 15,147 | 0.89(f) | 0.10(f) | 0.92(f) | 11 | |
| 41.88 | 11.64 | 20,676 | 0.89 | 0.02 | 0.91 | 25 | |
| 37.56 | 22.29 | 57,909 | 0.89 | 0.26 | 0.93 | 15 | |
| 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 | |
| | | | | | | | |
| 29.79 | (26.14) | 4,414,250 | 0.79(f) | 0.20(f) | 0.80(f) | 11 | |
| 41.95 | 11.75 | 5,659,334 | 0.79 | 0.11 | 0.80 | 25 | |
| 37.61 | 22.39 | 4,608,998 | 0.79 | 0.37 | 0.82 | 15 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 89 |
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, 2022(Unaudited) | $20.87 | $0.19 | $(3.38) | $(3.19) | | $(0.52) | $(0.53) | $(1.05) |
| Year Ended October 31, 2021 | 18.11 | 0.51 | 2.56 | 3.07 | | (0.31) | — | (0.31) |
| Year Ended October 31, 2020 | 16.78 | 0.33 | 1.04 | 1.37 | | — | (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, 2022(Unaudited) | 20.77 | 0.21 | (3.37) | (3.16) | | (0.54) | (0.53) | (1.07) |
| Year Ended October 31, 2021 | 18.01 | 0.42 | 2.65 | 3.07 | | (0.31) | — | (0.31) |
| Year Ended October 31, 2020 | 16.80 | 0.31 | 1.07 | 1.38 | | (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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-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.
| 90 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | Ratios/Supplemental data | |
| | | | Ratios to average net assets(a) | | |
Net asset
value,
end of
period | Total return(c)(d) | Net assets,
end of
period
(000's) | Net
expenses(e) | Net
investment
income
(loss) | Expenses without
waivers | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $16.63 | (15.90)% | $ 236,318 | 0.45(f)% | 2.21(f)% | 0.64(f)% | 16% | |
| 20.87 | 16.95 | 5,435 | 0.45 | 2.36 | 0.69 | 53 | |
| 18.11 | 8.15 | 33 | 0.45 | 1.98 | 1.39 | 47 | |
| 16.78 | 3.45 | 5 | 0.44(f) | 2.52(f) | 0.70(f) | 28 | |
| | | | | | | | |
| 16.54 | (15.84) | 2,709,774 | 0.35(f) | 2.26(f) | 0.39(f) | 16 | |
| 20.77 | 17.09 | 3,787,953 | 0.35 | 1.97 | 0.40 | 53 | |
| 18.01 | 8.22 | 2,840,309 | 0.35 | 1.87 | 0.41 | 47 | |
| 16.80 | 12.60 | 2,090,569 | 0.34(f) | 2.90(f) | 0.46(f) | 28 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 91 |
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, 2022(Unaudited) | $30.91 | $0.28 | $(4.65) | $(4.37) | | $(0.62) |
| Year Ended October 31, 2021 | 21.64 | 0.40(g) | 9.14 | 9.54 | | (0.27) |
| Year Ended October 31, 2020 | 24.25 | 0.25 | (2.16) | (1.91) | | (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) |
| Class C | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 27.25 | 0.16 | (4.08) | (3.92) | | (0.47) |
| Year Ended October 31, 2021 | 19.10 | 0.22(g) | 8.08 | 8.30 | | (0.15) |
| Year Ended October 31, 2020 | 21.47 | 0.12 | (1.91) | (1.79) | | (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) |
| Class I | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 31.57 | 0.16 | (4.57) | (4.41) | | (0.73) |
| Year Ended October 31, 2021 | 22.10 | 0.47(g) | 9.33 | 9.80 | | (0.33) |
| Year Ended October 31, 2020 | 24.75 | 0.31 | (2.19) | (1.88) | | (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) |
| Class L | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 31.99 | 0.36 | (4.81) | (4.45) | | (0.75) |
| Year Ended October 31, 2021 | 22.38 | 0.54(g) | 9.44 | 9.98 | | (0.37) |
| Year Ended October 31, 2020 | 25.05 | 0.35 | (2.23) | (1.88) | | (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) |
| Class R6 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 31.86 | 0.36 | (4.77) | (4.41) | | (0.78) |
| Year Ended October 31, 2021 | 22.29 | 0.55(g) | 9.41 | 9.96 | | (0.39) |
| Year Ended October 31, 2020 | 24.96 | 0.37 | (2.22) | (1.85) | | (0.82) |
| Year Ended October 31, 2019 | 23.70 | 0.75 | 1.19 | 1.94 | | (0.68) |
| October 1, 2018(h) 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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Reflects income from foreign withholding tax claims, including related interest income. Had the Fund not received these proceeds, the net investment income (loss) per share would have been $0.38, $0.20, $0.45, $0.52 and $0.53 for Class A, Class C, Class I, Class L and Class R6, respectively, and the net investment income (loss) ratios would have been 1.29%, 0.78%, 1.44%, 1.70% and 1.75% for Class A, Class C, Class I, Class L and Class R6, respectively. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $25.92 | (14.36)% | $ 73,397 | 1.24(f)% | 1.98(f)% | 1.24(f)% | 43% | |
| 30.91 | 44.30 | 88,315 | 1.24 | 1.37(g) | 1.26 | 92 | |
| 21.64 | (8.21) | 68,882 | 1.24 | 1.09 | 1.28 | 159 | |
| 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 | |
| | | | | | | | |
| 22.86 | (14.58) | 7,015 | 1.74(f) | 1.27(f) | 1.75(f) | 43 | |
| 27.25 | 43.56 | 11,313 | 1.74 | 0.86(g) | 1.77 | 92 | |
| 19.10 | (8.68) | 11,082 | 1.74 | 0.59 | 1.77 | 159 | |
| 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 | |
| | | | | | | | |
| 26.43 | (14.25) | 69,744 | 0.98(f) | 1.07(f) | 0.98(f) | 43 | |
| 31.57 | 44.61 | 443,053 | 0.98 | 1.52(g) | 0.99 | 92 | |
| 22.10 | (7.98) | 52,841 | 0.99 | 1.33 | 1.01 | 159 | |
| 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 | |
| | | | | | | | |
| 26.79 | (14.19) | 75,636 | 0.82(f) | 2.43(f) | 0.83(f) | 43 | |
| 31.99 | 44.88 | 86,054 | 0.84 | 1.78(g) | 0.85 | 92 | |
| 22.38 | (7.86) | 55,597 | 0.85 | 1.49 | 0.86 | 159 | |
| 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 | |
| | | | | | | | |
| 26.67 | (14.13) | 380,750 | 0.72(f) | 2.45(f) | 0.73(f) | 43 | |
| 31.86 | 45.01 | 445,783 | 0.74 | 1.83(g) | 0.75 | 92 | |
| 22.29 | (7.79) | 250,426 | 0.75 | 1.61 | 0.76 | 159 | |
| 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, 2022 | J.P. Morgan International Equity Funds | 93 |
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, 2022(Unaudited) | $21.63 | $0.15 | $(3.61) | $(3.46) | | $(0.37) | $(0.99) | $(1.36) |
| Year Ended October 31, 2021 | 16.47 | 0.30(g) | 5.04 | 5.34 | | (0.18) | — | (0.18) |
| Year Ended October 31, 2020 | 17.27 | 0.19 | (0.49) | (0.30) | | (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) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 20.41 | 0.09 | (3.39) | (3.30) | | (0.27) | (0.99) | (1.26) |
| Year Ended October 31, 2021 | 15.53 | 0.18(g) | 4.77 | 4.95 | | (0.07) | — | (0.07) |
| Year Ended October 31, 2020 | 16.29 | 0.09 | (0.45) | (0.36) | | (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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 22.02 | 0.20 | (3.69) | (3.49) | | (0.42) | (0.99) | (1.41) |
| Year Ended October 31, 2021 | 16.76 | 0.36(g) | 5.13 | 5.49 | | (0.23) | — | (0.23) |
| Year Ended October 31, 2020 | 17.56 | 0.21 | (0.47) | (0.26) | | (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) |
| Class R2 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 21.31 | 0.12 | (3.55) | (3.43) | | (0.30) | (0.99) | (1.29) |
| Year Ended October 31, 2021 | 16.31 | 0.23(g) | 4.99 | 5.22 | | (0.22) | — | (0.22) |
| Year Ended October 31, 2020 | 17.14 | 0.13 | (0.48) | (0.35) | | (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) |
| Class R5 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 22.14 | 0.19 | (3.69) | (3.50) | | (0.44) | (0.99) | (1.43) |
| Year Ended October 31, 2021 | 16.85 | 0.39(g) | 5.15 | 5.54 | | (0.25) | — | (0.25) |
| Year Ended October 31, 2020 | 17.60 | 0.24 | (0.48) | (0.24) | | (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) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $16.81 | (16.98)% | $365,217 | 0.95(f)% | 1.58(f)% | 1.11(f)% | 18% | |
| 21.63 | 32.56 | 433,033 | 0.95 | 1.47(g) | 1.11 | 35 | |
| 16.47 | (1.88) | 263,791 | 0.95 | 1.17 | 1.12 | 28 | |
| 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 | |
| | | | | | | | |
| 15.85 | (17.16) | 8,331 | 1.45(f) | 1.02(f) | 1.62(f) | 18 | |
| 20.41 | 31.94 | 10,899 | 1.45 | 0.91(g) | 1.62 | 35 | |
| 15.53 | (2.38) | 9,358 | 1.45 | 0.61 | 1.62 | 28 | |
| 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 | |
| | | | | | | | |
| 17.12 | (16.85) | 623,210 | 0.70(f) | 2.03(f) | 0.85(f) | 18 | |
| 22.02 | 32.94 | 584,191 | 0.70 | 1.71(g) | 0.86 | 35 | |
| 16.76 | (1.64) | 339,416 | 0.70 | 1.26 | 0.86 | 28 | |
| 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 | |
| | | | | | | | |
| 16.59 | (17.06) | 20,627 | 1.25(f) | 1.27(f) | 1.46(f) | 18 | |
| 21.31 | 32.18 | 24,598 | 1.25 | 1.13(g) | 1.47 | 35 | |
| 16.31 | (2.21) | 21,379 | 1.25 | 0.79 | 1.37 | 28 | |
| 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 | |
| | | | | | | | |
| 17.21 | (16.83) | 9,074 | 0.60(f) | 1.97(f) | 0.71(f) | 18 | |
| 22.14 | 33.04 | 10,463 | 0.60 | 1.85(g) | 0.71 | 35 | |
| 16.85 | (1.52) | 6,970 | 0.60 | 1.41 | 0.72 | 28 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 95 |
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 |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $22.10 | $0.20 | $(3.68) | $(3.48) | | $(0.46) | $(0.99) | $(1.45) |
| Year Ended October 31, 2021 | 16.81 | 0.42(g) | 5.13 | 5.55 | | (0.26) | — | (0.26) |
| Year Ended October 31, 2020 | 17.61 | 0.26 | (0.49) | (0.23) | | (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) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Reflects income from foreign withholding tax claims. Had the Fund not received these proceeds, the net investment income (loss) per share and the net investment income (loss) ratios for each share class would have remained the same. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| $17.17 | (16.77)% | $3,456,927 | 0.50(f)% | 2.01(f)% | 0.60(f)% | 18% | |
| 22.10 | 33.20 | 3,782,533 | 0.50 | 1.98(g) | 0.60 | 35 | |
| 16.81 | (1.46) | 2,290,008 | 0.50 | 1.56 | 0.61 | 28 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 97 |
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 Focus Fund | | | | | | |
| Class A | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $27.55 | $0.18 | $(4.73) | $(4.55) | | $(0.43) |
| Year Ended October 31, 2021 | 22.07 | 0.35(g) | 5.32 | 5.67 | | (0.19) |
| Year Ended October 31, 2020 | 21.15 | 0.18 | 0.75 | 0.93 | | (0.01) |
| Year Ended October 31, 2019 | 18.24 | 0.26 | 3.02 | 3.28 | | (0.37) |
| Year Ended October 31, 2018 | 21.14 | 0.36 | (3.13) | (2.77) | | (0.13) |
| Year Ended October 31, 2017 | 17.24 | 0.16 | 4.09 | 4.25 | | (0.35) |
| Class C | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 27.06 | 0.11 | (4.65) | (4.54) | | (0.29) |
| Year Ended October 31, 2021 | 21.68 | 0.20(g) | 5.24 | 5.44 | | (0.06) |
| Year Ended October 31, 2020 | 20.86 | 0.07 | 0.75 | 0.82 | | — |
| Year Ended October 31, 2019 | 17.98 | 0.16 | 2.97 | 3.13 | | (0.25) |
| Year Ended October 31, 2018 | 20.90 | 0.26 | (3.09) | (2.83) | | (0.09) |
| Year Ended October 31, 2017 | 17.04 | 0.05 | 4.06 | 4.11 | | (0.25) |
| Class I | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 27.95 | 0.21 | (4.79) | (4.58) | | (0.48) |
| Year Ended October 31, 2021 | 22.39 | 0.42(g) | 5.39 | 5.81 | | (0.25) |
| Year Ended October 31, 2020 | 21.43 | 0.23 | 0.78 | 1.01 | | (0.05) |
| Year Ended October 31, 2019 | 18.49 | 0.31 | 3.04 | 3.35 | | (0.41) |
| Year Ended October 31, 2018 | 21.41 | 0.44 | (3.19) | (2.75) | | (0.17) |
| Year Ended October 31, 2017 | 17.45 | 0.23 | 4.13 | 4.36 | | (0.40) |
| Class R2 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 27.25 | 0.14 | (4.69) | (4.55) | | (0.30) |
| Year Ended October 31, 2021 | 21.85 | 0.27(g) | 5.26 | 5.53 | | (0.13) |
| Year Ended October 31, 2020 | 20.99 | 0.13 | 0.73 | 0.86 | | — |
| Year Ended October 31, 2019 | 18.14 | 0.21 | 2.98 | 3.19 | | (0.34) |
| Year Ended October 31, 2018 | 21.11 | 0.35 | (3.17) | (2.82) | | (0.15) |
| Year Ended October 31, 2017 | 17.21 | 0.06 | 4.14 | 4.20 | | (0.30) |
| Class R5 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 27.96 | 0.22 | (4.79) | (4.57) | | (0.50) |
| Year Ended October 31, 2021 | 22.38 | 0.44(g) | 5.40 | 5.84 | | (0.26) |
| Year Ended October 31, 2020 | 21.42 | 0.25 | 0.78 | 1.03 | | (0.07) |
| Year Ended October 31, 2019 | 18.49 | 0.34 | 3.03 | 3.37 | | (0.44) |
| Year Ended October 31, 2018 | 21.39 | 0.53 | (3.25) | (2.72) | | (0.18) |
| Year Ended October 31, 2017 | 17.44 | 0.20 | 4.17 | 4.37 | | (0.42) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $22.57 | (16.72)% | $268,558 | 1.00(f)% | 1.39(f)% | 1.21(f)% | 16% | |
| 27.55 | 25.74 | 337,503 | 1.00 | 1.31(g) | 1.21 | 32 | |
| 22.07 | 4.39 | 135,527 | 1.00 | 0.86 | 1.22 | 38 | |
| 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 | |
| | | | | | | | |
| 22.23 | (16.91) | 18,734 | 1.50(f) | 0.89(f) | 1.73(f) | 16 | |
| 27.06 | 25.11 | 24,272 | 1.50 | 0.77(g) | 1.72 | 32 | |
| 21.68 | 3.93 | 15,463 | 1.50 | 0.32 | 1.73 | 38 | |
| 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 | |
| | | | | | | | |
| 22.89 | (16.59) | 654,222 | 0.75(f) | 1.63(f) | 0.96(f) | 16 | |
| 27.95 | 26.04 | 832,039 | 0.75 | 1.54(g) | 0.96 | 32 | |
| 22.39 | 4.71 | 372,068 | 0.75 | 1.05 | 0.96 | 38 | |
| 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 | |
| | | | | | | | |
| 22.40 | (16.83) | 1,783 | 1.30(f) | 1.13(f) | 1.50(f) | 16 | |
| 27.25 | 25.35 | 2,078 | 1.30 | 1.00(g) | 1.48 | 32 | |
| 21.85 | 4.10 | 1,441 | 1.30 | 0.61 | 1.51 | 38 | |
| 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 | |
| | | | | | | | |
| 22.89 | (16.57) | 2,216 | 0.65(f) | 1.69(f) | 0.87(f) | 16 | |
| 27.96 | 26.19 | 3,172 | 0.65 | 1.61(g) | 0.87 | 32 | |
| 22.38 | 4.79 | 2,772 | 0.65 | 1.16 | 0.88 | 38 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 99 |
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 |
| Class R6 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $27.98 | $0.21 | $(4.76) | $(4.55) | | $(0.53) |
| Year Ended October 31, 2021 | 22.40 | 0.46(g) | 5.40 | 5.86 | | (0.28) |
| Year Ended October 31, 2020 | 21.44 | 0.28 | 0.77 | 1.05 | | (0.09) |
| Year Ended October 31, 2019 | 18.50 | 0.27 | 3.13 | 3.40 | | (0.46) |
| Year Ended October 31, 2018 | 21.40 | 0.44 | (3.16) | (2.72) | | (0.18) |
| Year Ended October 31, 2017 | 17.45 | 0.26 | 4.12 | 4.38 | | (0.43) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Reflects income from foreign withholding tax claims. Had the Fund not received these proceeds, the net investment income (loss) per share and the net investment income (loss) ratios for each share class would have remained the same. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| $22.90 | (16.50)% | $ 461,434 | 0.55(f)% | 1.60(f)% | 0.71(f)% | 16% | |
| 27.98 | 26.28 | 2,721,224 | 0.55 | 1.68(g) | 0.71 | 32 | |
| 22.40 | 4.89 | 2,274,399 | 0.55 | 1.31 | 0.71 | 38 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 101 |
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, 2022(Unaudited) | $16.73 | $0.18 | $(1.85) | $(1.67) | | $(0.38) |
| Year Ended October 31, 2021 | 14.12 | 0.30 | 2.58 | 2.88 | | (0.27) |
| Year Ended October 31, 2020 | 15.58 | 0.27 | (1.49) | (1.22) | | (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, 2022(Unaudited) | 16.68 | 0.10 | (1.81) | (1.71) | | (0.32) |
| Year Ended October 31, 2021 | 14.06 | 0.22 | 2.57 | 2.79 | | (0.17) |
| Year Ended October 31, 2020 | 15.53 | 0.20 | (1.50) | (1.30) | | (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, 2022(Unaudited) | 16.83 | 0.18 | (1.84) | (1.66) | | (0.41) |
| Year Ended October 31, 2021 | 14.18 | 0.32 | 2.61 | 2.93 | | (0.28) |
| Year Ended October 31, 2020 | 15.61 | 0.31 | (1.50) | (1.19) | | (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, 2022(Unaudited) | 16.86 | 0.19 | (1.84) | (1.65) | | (0.43) |
| Year Ended October 31, 2021 | 14.20 | 0.35 | 2.61 | 2.96 | | (0.30) |
| Year Ended October 31, 2020 | 15.62 | 0.31 | (1.48) | (1.17) | | (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, 2022(Unaudited) | 16.88 | 0.21 | (1.85) | (1.64) | | (0.45) |
| Year Ended October 31, 2021 | 14.22 | 0.39 | 2.59 | 2.98 | | (0.32) |
| Year Ended October 31, 2020 | 15.63 | 0.34 | (1.49) | (1.15) | | (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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $14.68 | (10.15)% | $ 5,203 | 0.85(f)% | 2.33(f)% | 1.04(f)% | 9% | |
| 16.73 | 20.60 | 3,561 | 0.85 | 1.85 | 1.05 | 50 | |
| 14.12 | (8.02) | 1,573 | 0.85 | 1.84 | 1.30 | 85 | |
| 15.58 | 3.87 | 330 | 0.85(f) | 1.95(f) | 1.31(f) | 9 | |
| | | | | | | | |
| 14.65 | (10.38) | 284 | 1.35(f) | 1.33(f) | 1.55(f) | 9 | |
| 16.68 | 19.97 | 320 | 1.35 | 1.35 | 1.55 | 50 | |
| 14.06 | (8.47) | 115 | 1.35 | 1.34 | 1.81 | 85 | |
| 15.53 | 3.53 | 119 | 1.35(f) | 1.73(f) | 1.92(f) | 9 | |
| | | | | | | | |
| 14.76 | (10.02) | 165,497 | 0.60(f) | 2.30(f) | 0.79(f) | 9 | |
| 16.83 | 20.90 | 148,703 | 0.60 | 2.02 | 0.79 | 50 | |
| 14.18 | (7.78) | 135,542 | 0.60 | 2.12 | 1.03 | 85 | |
| 15.61 | 4.07 | 59,751 | 0.60(f) | 3.38(f) | 1.19(f) | 9 | |
| | | | | | | | |
| 14.78 | (9.97) | 21 | 0.45(f) | 2.35(f) | 0.70(f) | 9 | |
| 16.86 | 21.10 | 23 | 0.45 | 2.19 | 0.71 | 50 | |
| 14.20 | (7.68) | 19 | 0.45 | 2.08 | 1.04 | 85 | |
| 15.62 | 4.13 | 21 | 0.45(f) | 3.59(f) | 1.03(f) | 9 | |
| | | | | | | | |
| 14.79 | (9.92) | 218 | 0.35(f) | 2.66(f) | 0.56(f) | 9 | |
| 16.88 | 21.19 | 169 | 0.35 | 2.42 | 0.58 | 50 | |
| 14.22 | (7.53) | 19 | 0.35 | 2.33 | 0.94 | 85 | |
| 15.63 | 4.20 | 21 | 0.35(f) | 3.69(f) | 0.93(f) | 9 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 103 |
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, 2022(Unaudited) | $21.26 | $0.24 | $(2.78) | $(2.54) | | $(0.78) | $ — | $(0.78) |
| Year Ended October 31, 2021 | 15.84 | 0.43(g) | 5.16 | 5.59 | | (0.17) | — | (0.17) |
| Year Ended October 31, 2020 | 17.93 | 0.36 | (1.96) | (1.60) | | (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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 21.39 | 0.25 | (2.79) | (2.54) | | (0.83) | — | (0.83) |
| Year Ended October 31, 2021 | 16.05 | 0.47(g) | 5.23 | 5.70 | | (0.36) | — | (0.36) |
| Year Ended October 31, 2020 | 18.17 | 0.36 | (1.94) | (1.58) | | (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) |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 21.33 | 0.27 | (2.80) | (2.53) | | (0.85) | — | (0.85) |
| Year Ended October 31, 2021 | 16.00 | 0.49(g) | 5.21 | 5.70 | | (0.37) | — | (0.37) |
| Year Ended October 31, 2020 | 18.11 | 0.39 | (1.94) | (1.55) | | (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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Reflects income from foreign withholding tax claims, including related interest income. Had the Fund not received these proceeds, the net investment income (loss) per share for each share class would have remained the same and the net investment income (loss) ratios would have been 2.13%, 2.33%, and 2.44% for Class A, Class I and Class R6, respectively. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 | J.P. Morgan International Equity Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $17.94 | (12.31)% | $ 37,317 | 0.47(f)% | 2.38(f)% | 0.84(f)% | 9% | |
| 21.26 | 35.44 | 46,779 | 0.60 | 2.15(g) | 0.88 | 20 | |
| 15.84 | (9.26) | 52,118 | 0.60 | 2.21 | 0.83 | 52 | |
| 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 | |
| | | | | | | | |
| 18.02 | (12.26) | 313,629 | 0.35(f) | 2.48(f) | 0.56(f) | 9 | |
| 21.39 | 35.78 | 386,797 | 0.35 | 2.35(g) | 0.56 | 20 | |
| 16.05 | (9.05) | 472,455 | 0.34 | 2.15 | 0.56 | 52 | |
| 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 | |
| | | | | | | | |
| 17.95 | (12.24) | 5,172,094 | 0.25(f) | 2.78(f) | 0.30(f) | 9 | |
| 21.33 | 35.93 | 4,562,266 | 0.25 | 2.46(g) | 0.31 | 20 | |
| 16.00 | (8.96) | 4,337,776 | 0.24 | 2.35 | 0.30 | 52 | |
| 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, 2022 | J.P. Morgan International Equity Funds | 105 |
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, 2022(Unaudited) | $13.46 | $0.23 | $(1.29) | $(1.06) | | $(0.61) |
| Year Ended October 31, 2021 | 9.46 | 0.43(g) | 3.89 | 4.32 | | (0.32) |
| Year Ended October 31, 2020 | 12.22 | 0.28 | (2.55) | (2.27) | | (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) |
| Class C | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.02 | 0.17 | (1.23) | (1.06) | | (0.52) |
| Year Ended October 31, 2021 | 9.14 | 0.33(g) | 3.79 | 4.12 | | (0.24) |
| Year Ended October 31, 2020 | 11.81 | 0.21 | (2.47) | (2.26) | | (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) |
| Class I | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.84 | 0.25 | (1.33) | (1.08) | | (0.64) |
| Year Ended October 31, 2021 | 9.72 | 0.47(g) | 3.99 | 4.46 | | (0.34) |
| Year Ended October 31, 2020 | 12.54 | 0.31 | (2.61) | (2.30) | | (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) |
| Class L | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.78 | 0.25 | (1.33) | (1.08) | | (0.65) |
| Year Ended October 31, 2021 | 9.66 | 0.47(g) | 3.99 | 4.46 | | (0.34) |
| Year Ended October 31, 2020 | 12.47 | 0.30 | (2.58) | (2.28) | | (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) |
| Class R2 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.22 | 0.20 | (1.26) | (1.06) | | (0.57) |
| Year Ended October 31, 2021 | 9.29 | 0.39(g) | 3.82 | 4.21 | | (0.28) |
| Year Ended October 31, 2020 | 11.96 | 0.24 | (2.51) | (2.27) | | (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) |
| Class R5 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 13.67 | 0.28 | (1.34) | (1.06) | | (0.64) |
| Year Ended October 31, 2021 | 9.60 | 0.41(g) | 4.02 | 4.43 | | (0.36) |
| Year Ended October 31, 2020 | 12.40 | 0.33 | (2.59) | (2.26) | | (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) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | 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(f) | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $11.79 | (8.05)% | $177,422 | 1.00(f)% | 3.55(f)% | 1.23(f)% | 11% | |
| 13.46 | 46.20 | 187,774 | 1.00 | 3.39(g) | 1.24 | 33 | |
| 9.46 | (19.51) | 125,744 | 1.00 | 2.66 | 1.26 | 59 | |
| 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 | |
| | | | | | | | |
| 11.44 | (8.34) | 2,490 | 1.50(f) | 2.79(f) | 1.76(f) | 11 | |
| 13.02 | 45.54 | 3,923 | 1.50 | 2.70(g) | 1.77 | 33 | |
| 9.14 | (19.94) | 4,202 | 1.50 | 2.07 | 1.78 | 59 | |
| 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 | |
| | | | | | | | |
| 12.12 | (7.97) | 37,651 | 0.75(f) | 3.86(f) | 0.98(f) | 11 | |
| 13.84 | 46.51 | 39,188 | 0.75 | 3.58(g) | 0.99 | 33 | |
| 9.72 | (19.31) | 26,805 | 0.75 | 2.88 | 1.02 | 59 | |
| 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 | |
| | | | | | | | |
| 12.05 | (8.00) | 6,285 | 0.66(f) | 3.88(f) | 0.84(f) | 11 | |
| 13.78 | 46.77 | 7,042 | 0.66 | 3.66(g) | 0.84 | 33 | |
| 9.66 | (19.25) | 5,585 | 0.65 | 2.72 | 0.85 | 59 | |
| 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 | |
| | | | | | | | |
| 11.59 | (8.22) | 500 | 1.30(f) | 3.25(f) | 1.59(f) | 11 | |
| 13.22 | 45.84 | 514 | 1.30 | 3.14(g) | 1.59 | 33 | |
| 9.29 | (19.74) | 412 | 1.30 | 2.27 | 1.61 | 59 | |
| 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 | |
| | | | | | | | |
| 11.97 | (7.93) | 33 | 0.65(f) | 4.35(f) | 0.84(f) | 11 | |
| 13.67 | 46.74 | 67 | 0.65 | 3.24(g) | 0.85 | 33 | |
| 9.60 | (19.26) | 77 | 0.65 | 3.13 | 0.86 | 59 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 107 |
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 |
| Class R6 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $13.71 | $0.26 | $(1.32) | $(1.06) | | $(0.67) |
| Year Ended October 31, 2021 | 9.62 | 0.49(g) | 3.97 | 4.46 | | (0.37) |
| Year Ended October 31, 2020 | 12.43 | 0.34 | (2.60) | (2.26) | | (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) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Reflects income from foreign withholding tax claims, including related interest income, less IRS compliance fees. Without these proceeds, the net investment income (loss) per share would have been $0.38, $0.28, $0.42, $0.41, $0.34, $0.35 and $0.44 for Class A, Class C, Class I, Class L, Class R2, Class R5, and Class R6,respectively, and the net investment income (loss) ratios would have been 3.00%, 2.26%, 3.19%, 3.23%, 2.72%, 2.80% and 3.44% for Class A, Class C, Class I, Class L, Class R2, Class R5, and Class R6, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 108 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | 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(f) | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| $11.98 | (7.93)% | $163,319 | 0.55(f)% | 4.07(f)% | 0.73(f)% | 11% | |
| 13.71 | 46.99 | 158,191 | 0.55 | 3.83(g) | 0.73 | 33 | |
| 9.62 | (19.22) | 105,039 | 0.55 | 3.18 | 0.76 | 59 | |
| 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 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan International Equity Funds | 109 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited)
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 8 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 | Class I 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 Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified |
| JPMorgan International Focus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified |
| JPMorgan International Hedged Equity Fund | 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 |
The investment objective of JPMorgan Emerging Markets Equity Fund (“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”), JPMorgan International Research Enhanced Equity Fund (“International Research Enhanced Equity Fund”) and JPMorgan International Value Fund (“International Value Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan Europe Dynamic Fund (“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 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 L Shares of Europe Dynamic Fund and International Value Fund are publicly offered on a limited basis. Class A Shares of International Research Enhanced Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of 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' prospectuses.
Effective as of the close of business on December 31, 2020, all share classes of Emerging Markets Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund's prospectuses.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. ("JPMIM"), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. ("JPMorgan"), acts as Adviser (the "Adviser") and Administrator (the "Administrator") to the Funds.
| 110 | J.P. Morgan International Equity Funds | April 30, 2022 |
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 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 in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. 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 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"):
| April 30, 2022 | J.P. Morgan International Equity Funds | 111 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values 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 | | | | | | | |
| Brazil | $ 551,331 | | $ — | | $— | | $ 551,331 |
| China | 247,149 | | 2,704,394 | | — | | 2,951,543 |
| Hong Kong | — | | 475,149 | | — | | 475,149 |
| India | 290,761 | | 1,832,518 | | — | | 2,123,279 |
| Indonesia | — | | 424,269 | | — | | 424,269 |
| Macau | — | | 48,921 | | — | | 48,921 |
| Mexico | 303,316 | | — | | — | | 303,316 |
| Panama | 66,264 | | — | | — | | 66,264 |
| Poland | — | | 34,466 | | — | | 34,466 |
| Portugal | — | | 89,295 | | — | | 89,295 |
| South Africa | 72,233 | | 73,285 | | — | | 145,518 |
| South Korea | — | | 790,082 | | — | | 790,082 |
| Taiwan | 756,695 | | 358,809 | | — | | 1,115,504 |
| United Kingdom | — | | 109,652 | | — | | 109,652 |
| United States | 144,031 | | 48,836 | | — | | 192,867 |
| Total Common Stocks | 2,431,780 | | 6,989,676 | | — | | 9,421,456 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 267,806 | | — | | — | | 267,806 |
| Investment of Cash Collateral from Securities Loaned | 107 | | — | | — | | 107 |
| Total Short-Term Investments | 267,913 | | — | | — | | 267,913 |
| Total Investments in Securities | $2,699,693 | | $6,989,676 | | $— | | $9,689,369 |
| 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 | | | | |
| Brazil | $182,209 | $ — | $ — | $ 182,209 |
| Chile | 11,347 | — | — | 11,347 |
| China | 48,016 | 847,933 | — | 895,949 |
| Colombia | 5,352 | — | — | 5,352 |
| Greece | — | 14,274 | — | 14,274 |
| Hong Kong | — | 5,579 | — | 5,579 |
| Hungary | — | 11,198 | — | 11,198 |
| India | 42,303 | 335,312 | — | 377,615 |
| Indonesia | 16,177 | 38,174 | — | 54,351 |
| Malaysia | 13,972 | 20,624 | — | 34,596 |
| Mexico | 84,570 | — | — | 84,570 |
| Peru | 11,094 | — | — | 11,094 |
| Philippines | — | 13,330 | — | 13,330 |
| Poland | — | 13,262 | — | 13,262 |
| Qatar | 12,624 | 6,142 | — | 18,766 |
| Russia | — | — | 892 | 892 |
| Saudi Arabia | 4,249 | 120,714 | — | 124,963 |
| Singapore | — | 2,718 | — | 2,718 |
| 112 | J.P. Morgan International Equity Funds | April 30, 2022 |
| Emerging Markets Research Enhanced Equity Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| South Africa | $ 34,735 | | $ 88,445 | | $ — | | $ 123,180 |
| South Korea | — | | 392,600 | | — | | 392,600 |
| Taiwan | 28,492 | | 404,323 | | — | | 432,815 |
| Thailand | 54,907 | | 6,990 | | — | | 61,897 |
| Turkey | 6,651 | | — | | — | | 6,651 |
| United Arab Emirates | 6,720 | | 21,354 | | — | | 28,074 |
| United States | — | | 1,399 | | — | | 1,399 |
| Total Common Stocks | 563,418 | | 2,344,371 | | 892 | | 2,908,681 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 43,823 | | — | | — | | 43,823 |
| Investment of Cash Collateral from Securities Loaned | 14,062 | | — | | — | | 14,062 |
| Total Short-Term Investments | 57,885 | | — | | — | | 57,885 |
| Total Investments in Securities | $621,303 | | $2,344,371 | | $892 | | $2,966,566 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | $ 77 | | $ — | | $ — | | $ 77 |
Transfers between level 1 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the six months ended April 30, 2022.
Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the six months ended April 30, 2022.
| 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 | $ — | | $ 12,823 | | $— | | $ 12,823 |
| Austria | — | | 6,617 | | — | | 6,617 |
| Denmark | — | | 47,127 | | — | | 47,127 |
| Finland | — | | 20,959 | | — | | 20,959 |
| France | — | | 97,803 | | — | | 97,803 |
| Germany | — | | 92,385 | | — | | 92,385 |
| Ireland | 9,168 | | 108 | | — | | 9,276 |
| Italy | — | | 7,051 | | — | | 7,051 |
| Luxembourg | — | | 6,134 | | — | | 6,134 |
| Netherlands | — | | 38,030 | | — | | 38,030 |
| Norway | — | | 8,688 | | — | | 8,688 |
| Spain | — | | 7,753 | | — | | 7,753 |
| Switzerland | — | | 105,063 | | — | | 105,063 |
| United Kingdom | 1,867 | | 117,059 | | — | | 118,926 |
| United States | — | | 14,381 | | — | | 14,381 |
| Total Common Stocks | 11,035 | | 581,981 | | — | | 593,016 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 12,091 | | — | | — | | 12,091 |
| Investment of Cash Collateral from Securities Loaned | 48,178 | | — | | — | | 48,178 |
| Total Short-Term Investments | 60,269 | | — | | — | | 60,269 |
| April 30, 2022 | J.P. Morgan International Equity Funds | 113 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Europe Dynamic Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Total Investments in Securities | $71,304 | | $581,981 | | $— | | $653,285 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | $ (264) | | $ — | | $— | | $ (264) |
| International Equity Fund | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Investments in Securities | | | | | | | |
| Common Stocks | | | | | | | |
| Australia | $ — | | $ 112,477 | | $— | | $ 112,477 |
| Austria | — | | 36,856 | | — | | 36,856 |
| Belgium | — | | 59,685 | | — | | 59,685 |
| China | — | | 34,693 | | — | | 34,693 |
| Denmark | — | | 260,363 | | — | | 260,363 |
| Finland | — | | 29,279 | | — | | 29,279 |
| France | — | | 679,203 | | — | | 679,203 |
| Germany | — | | 378,463 | | — | | 378,463 |
| Hong Kong | — | | 157,403 | | — | | 157,403 |
| India | 41,122 | | — | | — | | 41,122 |
| Japan | — | | 537,131 | | — | | 537,131 |
| Netherlands | — | | 253,370 | | — | | 253,370 |
| Singapore | — | | 92,118 | | — | | 92,118 |
| South Africa | — | | 68,826 | | — | | 68,826 |
| South Korea | — | | 76,370 | | — | | 76,370 |
| Spain | — | | 92,781 | | — | | 92,781 |
| Sweden | — | | 163,086 | | — | | 163,086 |
| Switzerland | — | | 460,691 | | — | | 460,691 |
| Taiwan | 60,289 | | — | | — | | 60,289 |
| United Kingdom | — | | 451,538 | | — | | 451,538 |
| United States | — | | 188,984 | | — | | 188,984 |
| Total Common Stocks | 101,411 | | 4,133,317 | | — | | 4,234,728 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 127,803 | | — | | — | | 127,803 |
| Investment of Cash Collateral from Securities Loaned | 202,371 | | — | | — | | 202,371 |
| Total Short-Term Investments | 330,174 | | — | | — | | 330,174 |
| Total Investments in Securities | $431,585 | | $4,133,317 | | $— | | $4,564,902 |
| International Focus Fund | | |
| | Level 1
Quoted prices | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | Total |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Australia | $ — | $ 49,409 | $— | $ 49,409 |
| Belgium | — | 28,987 | — | 28,987 |
| Canada | 80,585 | — | — | 80,585 |
| 114 | J.P. Morgan International Equity Funds | April 30, 2022 |
| International Focus Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| China | $ — | | $ 33,657 | | $— | | $ 33,657 |
| Denmark | — | | 74,064 | | — | | 74,064 |
| France | — | | 138,178 | | — | | 138,178 |
| Germany | — | | 75,560 | | — | | 75,560 |
| Hong Kong | — | | 68,290 | | — | | 68,290 |
| India | 33,384 | | — | | — | | 33,384 |
| Indonesia | — | | 26,541 | | — | | 26,541 |
| Japan | — | | 65,907 | | — | | 65,907 |
| Netherlands | — | | 104,594 | | — | | 104,594 |
| Singapore | — | | 37,318 | | — | | 37,318 |
| South Africa | — | | 44,450 | | — | | 44,450 |
| South Korea | — | | 62,928 | | — | | 62,928 |
| Spain | — | | 30,314 | | — | | 30,314 |
| Sweden | — | | 19,881 | | — | | 19,881 |
| Switzerland | — | | 157,149 | | — | | 157,149 |
| Taiwan | 45,891 | | — | | — | | 45,891 |
| United Kingdom | — | | 138,706 | | — | | 138,706 |
| United States | — | | 46,568 | | — | | 46,568 |
| Total Common Stocks | 159,860 | | 1,202,501 | | — | | 1,362,361 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 39,689 | | — | | — | | 39,689 |
| Total Investments in Securities | $199,549 | | $1,202,501 | | $— | | $1,402,050 |
| International Hedged Equity Fund | | |
| | Level 1
Quoted prices | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | Total |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Australia | $ — | $ 10,304 | $— | $ 10,304 |
| Belgium | — | 689 | — | 689 |
| China | — | 829 | — | 829 |
| Denmark | — | 5,467 | — | 5,467 |
| Finland | — | 1,281 | — | 1,281 |
| France | — | 18,235 | — | 18,235 |
| Germany | — | 14,703 | — | 14,703 |
| Hong Kong | — | 4,098 | — | 4,098 |
| Ireland | — | 761 | — | 761 |
| Italy | — | 1,089 | — | 1,089 |
| Japan | — | 35,565 | — | 35,565 |
| Luxembourg | — | 216 | — | 216 |
| Netherlands | — | 10,054 | — | 10,054 |
| Singapore | — | 1,603 | — | 1,603 |
| Spain | — | 4,511 | — | 4,511 |
| Sweden | — | 3,155 | — | 3,155 |
| Switzerland | — | 18,526 | — | 18,526 |
| Taiwan | 119 | — | — | 119 |
| United Kingdom | — | 21,800 | — | 21,800 |
| April 30, 2022 | J.P. Morgan International Equity Funds | 115 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| International Hedged Equity Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| United States | $ — | | $ 3,117 | | $— | | $ 3,117 |
| Total Common Stocks | 119 | | 156,003 | | — | | 156,122 |
| Options Purchased | | | | | | | |
| Put Options Purchased | 6,077 | | — | | — | | 6,077 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 7,724 | | — | | — | | 7,724 |
| Total Investments in Securities | $13,920 | | $156,003 | | $— | | $169,923 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | $ 100 | | $ — | | $— | | $ 100 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | (323) | | — | | — | | (323) |
| Options Written | | | | | | | |
| Call Options Written | (156) | | — | | — | | (156) |
| Put Options Written | (880) | | — | | — | | (880) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ (1,259) | | $ — | | $— | | $ (1,259) |
| International 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 | | | | | | | |
| Australia | $ — | | $ 320,921 | | $— | | $ 320,921 |
| Belgium | — | | 23,440 | | — | | 23,440 |
| China | — | | 26,691 | | — | | 26,691 |
| Denmark | — | | 187,490 | | — | | 187,490 |
| Finland | — | | 44,172 | | — | | 44,172 |
| France | — | | 629,936 | | — | | 629,936 |
| Germany | — | | 506,525 | | — | | 506,525 |
| Hong Kong | — | | 120,115 | | — | | 120,115 |
| Ireland | — | | 26,126 | | — | | 26,126 |
| Italy | — | | 39,453 | | — | | 39,453 |
| Japan | — | | 1,053,844 | | — | | 1,053,844 |
| Luxembourg | — | | 8,453 | | — | | 8,453 |
| Malta | — | | — | | 2 | | 2 |
| Netherlands | — | | 348,179 | | — | | 348,179 |
| Singapore | — | | 50,120 | | — | | 50,120 |
| Spain | — | | 152,467 | | — | | 152,467 |
| Sweden | — | | 108,048 | | — | | 108,048 |
| Switzerland | — | | 631,425 | | — | | 631,425 |
| Taiwan | 3,953 | | — | | — | | 3,953 |
| United Kingdom | — | | 752,505 | | — | | 752,505 |
| United States | — | | 104,939 | | — | | 104,939 |
| Total Common Stocks | 3,953 | | 5,134,849 | | 2 | | 5,138,804 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 204,862 | | — | | — | | 204,862 |
| 116 | J.P. Morgan International Equity Funds | April 30, 2022 |
| International Research Enhanced Equity Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Investment of Cash Collateral from Securities Loaned | $200,900 | | $ — | | $— | | $ 200,900 |
| Total Short-Term Investments | 405,762 | | — | | — | | 405,762 |
| Total Investments in Securities | $409,715 | | $5,134,849 | | $ 2 | | $5,544,566 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | $ 2,036 | | $ — | | $— | | $ 2,036 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | (1,379) | | — | | — | | (1,379) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ 657 | | $ — | | $— | | $ 657 |
| International Value Fund | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Investments in Securities | | | | | | | |
| Common Stocks | | | | | | | |
| Australia | $ — | | $ 32,984 | | $— | | $ 32,984 |
| Austria | — | | 5,257 | | — | | 5,257 |
| Belgium | — | | 1,854 | | — | | 1,854 |
| China | — | | 1,964 | | — | | 1,964 |
| Denmark | 532 | | 5,969 | | — | | 6,501 |
| Egypt | 1,100 | | — | | — | | 1,100 |
| Finland | — | | 6,070 | | — | | 6,070 |
| France | — | | 31,244 | | — | | 31,244 |
| Germany | — | | 38,043 | | — | | 38,043 |
| Hong Kong | — | | 3,886 | | — | | 3,886 |
| Italy | — | | 13,172 | | — | | 13,172 |
| Japan | — | | 81,583 | | — | | 81,583 |
| Luxembourg | — | | 2,045 | | — | | 2,045 |
| Malta | — | | 504 | | — | | 504 |
| Netherlands | — | | 23,625 | | — | | 23,625 |
| Norway | 1,403 | | 8,444 | | — | | 9,847 |
| Singapore | 497 | | 5,188 | | — | | 5,685 |
| South Africa | — | | 3,373 | | — | | 3,373 |
| Spain | — | | 12,674 | | — | | 12,674 |
| Sweden | 274 | | 10,122 | | — | | 10,396 |
| Switzerland | — | | 24,164 | | — | | 24,164 |
| United Kingdom | 2,401 | | 52,632 | | — | | 55,033 |
| United States | — | | 9,539 | | — | | 9,539 |
| Total Common Stocks | 6,207 | | 374,336 | | — | | 380,543 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 5,753 | | — | | — | | 5,753 |
| Investment of Cash Collateral from Securities Loaned | 19,882 | | — | | — | | 19,882 |
| Total Short-Term Investments | 25,635 | | — | | — | | 25,635 |
| Total Investments in Securities | $31,842 | | $374,336 | | $— | | $406,178 |
| April 30, 2022 | J.P. Morgan International Equity Funds | 117 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of April 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. 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 the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the as of April 30, 2022.
| | Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
| Emerging Markets Equity Fund | $ 106 | $ (106) | $— |
| Emerging Markets Research Enhanced Equity Fund | 13,480 | (13,480) | — |
| Europe Dynamic Fund | 44,177 | (44,177) | — |
| International Equity Fund | 169,016 | (169,016) | — |
| International Research Enhanced Equity Fund | 177,073 | (177,073) | — |
| International Value Fund | 18,772 | (18,772) | — |
|
| * | 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.
| 118 | J.P. Morgan International Equity Funds | April 30, 2022 |
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the six months ended April 30, 2022, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Emerging Markets Equity Fund | $6 |
| Emerging Markets Research Enhanced Equity Fund | 2 |
| Europe Dynamic Fund | 2 |
| International Equity Fund | 8 |
| International Focus Fund | 3 |
| 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).
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds and ETFs which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ and ETFs’ distributions may be reinvested into the Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Emerging Markets Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $ 24,800 | | $1,675,531 | | $1,432,508 | | $(21) | | $ 4 | | $267,806 | 267,753 | $ 90 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 222,040 | | 150,500 | | 372,500 | | (32)* | | —(c) | | 8 | 8 | 26* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 25,886 | | 319,665 | | 345,452 | | — | | — | | 99 | 99 | 2* | | — |
| Total | $272,726 | | $2,145,696 | | $2,150,460 | | $(53) | | $ 4 | | $267,913 | | $118 | | $— |
|
| (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, 2022. |
| (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). |
| April 30, 2022 | J.P. Morgan International Equity Funds | 119 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Emerging Markets Research Enhanced Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $ 3,718 | | $745,224 | | $705,105 | | $(14) | | $—(c) | | $43,823 | 43,814 | $34 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 22,493 | | 48,000 | | 64,000 | | (8)* | | 1 | | 6,486 | 6,491 | 7* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 2,859 | | 98,486 | | 93,769 | | — | | — | | 7,576 | 7,576 | 2* | | — |
| Total | $29,070 | | $891,710 | | $862,874 | | $(22) | | $ 1 | | $57,885 | | $43 | | $— |
|
| (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, 2022. |
| (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). |
| Europe Dynamic Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $46,060 | | $253,946 | | $287,907 | | $(7) | | $(1) | | $12,091 | 12,089 | $10 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | — | | 73,000 | | 39,000 | | 1* | | —(c) | | 34,001 | 34,025 | 8* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 7,173 | | 129,488 | | 122,484 | | — | | — | | 14,177 | 14,177 | 4* | | — |
| Total | $53,233 | | $456,434 | | $449,391 | | $(6) | | $(1) | | $60,269 | | $22 | | $— |
|
| (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, 2022. |
| (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). |
| 120 | J.P. Morgan International Equity Funds | April 30, 2022 |
| International Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $123,785 | | $ 968,511 | | $ 964,468 | | $(44) | | $19 | | $127,803 | 127,777 | $ 69 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 111,000 | | 561,000 | | 535,975 | | (16)* | | —(c) | | 136,009 | 136,104 | 59* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 13,466 | | 609,509 | | 556,613 | | — | | — | | 66,362 | 66,362 | 16* | | — |
| Total | $248,251 | | $2,139,020 | | $2,057,056 | | $(60) | | $19 | | $330,174 | | $144 | | $— |
|
| (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, 2022. |
| (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). |
| International Focus Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $47,837 | | $595,620 | | $ 603,760 | | $ (5) | | $(3) | | $39,689 | 39,681 | $34 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 33,000 | | 234,000 | | 266,986 | | (14)* | | — | | — | — | 8* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 3,469 | | 160,401 | | 163,870 | | — | | — | | — | — | 5* | | — |
| Total | $84,306 | | $990,021 | | $1,034,616 | | $(19) | | $(3) | | $39,689 | | $47 | | $— |
|
| (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, 2022. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| International Hedged Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.29% (a) (b) | $3,536 | | $54,734 | | $50,546 | | $— | | $— | | $7,724 | 7,724 | $2 | | $— |
|
| (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, 2022. |
| April 30, 2022 | J.P. Morgan International Equity Funds | 121 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| International Research Enhanced Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $ 93,239 | | $ 936,459 | | $ 824,801 | | $(36) | | $ 1 | | $204,862 | 204,821 | $ 96 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 82,347 | | 399,000 | | 354,000 | | (10)* | | (4) | | 127,333 | 127,422 | 47* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 10,123 | | 411,295 | | 347,851 | | — | | — | | 73,567 | 73,567 | 18* | | — |
| Total | $185,709 | | $1,746,754 | | $1,526,652 | | $(46) | | $(3) | | $405,762 | | $161 | | $— |
|
| (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, 2022. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| International Value Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | $2,400 | | $ 40,191 | | $ 36,838 | | $(1) | | $ 1 | | $ 5,753 | 5,751 | $ 5 | | $— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 3,199 | | 41,501 | | 30,000 | | (1)* | | — | | 14,699 | 14,709 | 6* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 945 | | 52,091 | | 47,853 | | — | | — | | 5,183 | 5,183 | 2* | | — |
| Total | $6,544 | | $133,783 | | $114,691 | | $(2) | | $ 1 | | $25,635 | | $13 | | $— |
|
| (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, 2022. |
| * | 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 in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets
| 122 | J.P. Morgan International Equity Funds | April 30, 2022 |
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 put and call options on securities to gain long or short exposure to the underlying instrument. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Funds' exchange-traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
G. Futures Contracts — Emerging Markets Research Enhanced Equity Fund, Europe Dynamic Fund, International Hedged Equity Fund, International Research Enhanced Equity Fund and International Value Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
| April 30, 2022 | J.P. Morgan International Equity Funds | 123 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended April 30, 2022. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | Emerging
Markets
Research
Enhanced
Equity Fund | Europe
Dynamic
Fund | International
Focus Fund | International
Hedged
Equity Fund | International
Research
Enhanced
Equity Fund | International
Value Fund |
| Futures Contracts: | | | | | | |
| Average Notional Balance Long | $82,512 | $20,389 | $ 14,652 | $ 7,409 | $108,795 | $3,581 |
| Average Notional Balance Short | — | — | (14,662) | — | — | — |
| Ending Notional Balance Long | 4,119 | 7,675 | — | 8,672 | 160,736 | — |
| Exchange-Traded Options: | | | | | | |
| Average Number of Contracts Purchased | — | — | — | 747 | — | — |
| Average Number of Contracts Written | — | — | — | (1,494) | — | — |
| Ending Number of Contracts Purchased | — | — | — | 819 | — | — |
| Ending Number of Contracts Written | — | — | — | (1,638) | — | — |
The Funds' derivatives contracts held at April 30, 2022 are not accounted for as hedging instruments under GAAP.
H. Security Transactions and Investment Income— Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
I. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2022 are as follows:
| | 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 | $ 16 | $ 2 | $42 | $ 12 | $ 1 | $ —(a) | $ —(a) | $ 2 | $55 | $130 |
| Emerging Markets Research Enhanced Equity Fund | | | | | | | | | | |
| Transfer agency fees | n/a | n/a | 2 | n/a | n/a | n/a | n/a | n/a | 11 | 13 |
| Europe Dynamic Fund | | | | | | | | | | |
| Transfer agency fees | 6 | 1 | 11 | 1 | n/a | n/a | n/a | n/a | 1 | 20 |
| International Equity Fund | | | | | | | | | | |
| Transfer agency fees | 11 | 1 | 14 | n/a | 12 | n/a | n/a | —(a) | 18 | 56 |
| International Focus Fund | | | | | | | | | | |
| Transfer agency fees | 4 | 2 | 16 | n/a | —(a) | n/a | n/a | 1 | 10 | 33 |
| International Hedged Equity Fund | | | | | | | | | | |
| Transfer agency fees | —(a) | —(a) | 1 | n/a | n/a | n/a | n/a | —(a) | —(a) | 1 |
| 124 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| International Research Enhanced Equity Fund | | | | | | | | | | |
| Transfer agency fees | $ 9 | n/a | $12 | n/a | n/a | n/a | n/a | n/a | $12 | $ 33 |
| International Value Fund | | | | | | | | | | |
| Transfer agency fees | 6 | $ 1 | 1 | $ —(a) | $ —(a) | n/a | n/a | $ —(a) | 1 | 9 |
|
| (a) | Amount rounds to less than one thousand. |
J. Federal Income Taxes— Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of April 30, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
K. 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 gains 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.
As a result of several court rulings in certain European countries, the tax authorities of each of these countries, recently paid European Dynamic Fund (Finland & Sweden), International Equity Fund (Sweden), International Focus Fund (Finland), International Research Enhanced Equity Fund (Finland & Sweden) and International Value Fund (Finland, Spain & Sweden) tax reclaims for prior tax withholding. These tax reclaim payments are included in Foreign withholding tax reclaims on the Statements of Operations. Interest income, if any, related to these tax reclaim payments is included in Interest income from non-affiliates on the Statements of Operations.
In the event that tax reclaims received by the Funds during the fiscal year ending October 31, 2021 exceed the foreign withholding taxes paid by the Funds for other foreign investments, and the Funds have previously passed foreign tax credits on to their shareholders, the Funds will have a U.S. tax liability. The Funds will enter into a closing agreement with the Internal Revenue Service (IRS) in order to pay the associated tax liability (fees) on behalf of the Funds' shareholders. These IRS fees are estimated through the year ended October 31, 2021 and are included in IRS Compliance Fees for foreign withholding tax reclaims on the Statements of Operations, if applicable.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. 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 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 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 |
| April 30, 2022 | J.P. Morgan International Equity Funds | 125 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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, 2022, the effective annualized rate for Emerging Markets Equity Fund, Emerging Markets Research Enhanced Equity Fund, Europe Dynamic Fund, International Equity Fund, International Focus Fund, International Hedged Equity Fund, International Research Enhanced Equity Fund and International Value Fund was 0.07%, 0.075%, 0.075%, 0.075%, 0.075%, 0.075%, 0.075% and 0.075%, respectively of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that the following Funds 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 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 the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended ended April 30, 2022, JPMDS retained the following:
| | Front-End Sales Charge | CDSC |
| Emerging Markets Equity Fund | $ 7 | $—(a) |
| Europe Dynamic Fund | 1 | — |
| International Equity Fund | 26 | 1 |
| International Focus Fund | 39 | —(a) |
| International Hedged Equity Fund | 1 | — |
| International Research Enhanced Equity Fund | —(a) | — |
| International Value Fund | 19 | — |
|
| (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 Equity Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 |
| 126 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 |
| 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 |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding 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 R2 | Class R3 | Class R4 | Class R5 | Class R6 |
| Emerging Markets Equity Fund | 1.24% | 1.74% | 0.99% | 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 | 0.35 |
| Europe Dynamic Fund | 1.24 | 1.74 | 0.99 | n/a | n/a | n/a | n/a | n/a |
| International Equity Fund | 0.95 | 1.45 | 0.70 | 1.25 | n/a | n/a | 0.60 | 0.50 |
| International Focus Fund | 1.00 | 1.50 | 0.75 | 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 | 0.45 | 0.35 |
| International Research Enhanced Equity Fund | 0.60 | n/a | 0.35 | n/a | n/a | n/a | n/a | 0.25 |
| International Value Fund | 1.00 | 1.50 | 0.75 | 1.30 | n/a | n/a | 0.65 | 0.55 |
The expense limitation agreements were in effect for the six months ended April 30, 2022 and the contractual expense limitation percentages in the table above are in place until at least February 28, 2023.
| April 30, 2022 | J.P. Morgan International Equity Funds | 127 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
For the six months ended April 30, 2022, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | Contractual Waivers | | Voluntary Waivers |
| | Investment
Advisory Fees | Administration
Fees | Service
Fees | Total | Contractual
Reimbursements | 12b-1 |
| Emerging Markets Equity Fund | $ 326 | $ 219 | $1,197 | $1,742 | $55 | $ — |
| Emerging Markets Research Enhanced Equity Fund | 402 | 268 | 84 | 754 | — | — |
| International Equity Fund | 1,412 | 941 | 293 | 2,646 | — | — |
| International Focus Fund | 1,568 | 1,045 | 297 | 2,910 | — | — |
| International Hedged Equity Fund | 95 | 60 | —(a) | 155 | — | — |
| International Research Enhanced Equity Fund | 691 | 459 | 324 | 1,474 | — | 29 |
| International Value Fund | 205 | 137 | 64 | 406 | 1 | — |
|
| (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. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2022 were as follows:
| Emerging Markets Equity Fund | $61 |
| Emerging Markets Research Enhanced Equity Fund | 42 |
| Europe Dynamic Fund | 19 |
| International Equity Fund | 59 |
| International Focus Fund | 30 |
| International Hedged Equity Fund | 2 |
| International Research Enhanced Equity Fund | 66 |
| International Value Fund | 3 |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through April 30, 2022 the amount of these waivers were as follows:
| Emerging Markets Equity Fund | 1 |
| Emerging Markets Research Enhanced Equity Fund | 1 |
| Europe Dynamic Fund | 1 |
| International Equity Fund | 1 |
| International Focus Fund | 1 |
| International Hedged Equity Fund | 1 |
| International Research Enhanced Equity Fund | 1 |
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 Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| 128 | J.P. Morgan International Equity Funds | April 30, 2022 |
4. Investment Transactions
During the six months ended April 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| | Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| Emerging Markets Equity Fund | $1,308,784 | $2,177,166 |
| Emerging Markets Research Enhanced Equity Fund | 571,098 | 737,155 |
| Europe Dynamic Fund | 385,041 | 642,085 |
| International Equity Fund | 1,248,185 | 836,829 |
| International Focus Fund | 512,049 | 1,301,728 |
| International Hedged Equity Fund | 46,086 | 13,376 |
| International Research Enhanced Equity Fund | 1,412,392 | 422,408 |
| International Value Fund | 69,376 | 44,096 |
During the six months ended April 30, 2022, 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, 2022 were as follows:
| | Aggregate
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Emerging Markets Equity Fund | $8,772,484 | $2,384,515 | $1,467,630 | $916,885 |
| Emerging Markets Research Enhanced Equity Fund | 2,917,194 | 408,925 | 359,476 | 49,449 |
| Europe Dynamic Fund | 635,899 | 55,515 | 38,393 | 17,122 |
| International Equity Fund | 4,097,521 | 741,897 | 274,516 | 467,381 |
| International Focus Fund | 1,231,297 | 257,687 | 86,934 | 170,753 |
| International Hedged Equity Fund | 155,471 | 23,579 | 10,386 | 13,193 |
| International Research Enhanced Equity Fund | 5,030,990 | 808,857 | 294,624 | 514,233 |
| International Value Fund | 387,072 | 45,483 | 26,377 | 19,106 |
At October 31, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| | Capital Loss Carryforward Character |
| | Short-Term | Long-Term |
| Europe Dynamic Fund | $ 60,459 | $ — |
| International Focus Fund | 113,809 | — |
| International Hedged Equity Fund | 4,593* | 13,223* |
| International Research Enhanced Equity Fund | — | 285,015 |
| International Value Fund | 48,944 | 31,961 |
|
| * | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
| April 30, 2022 | J.P. Morgan International Equity Funds | 129 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
During the year ended October 31, 2021, the following Funds utilized capital loss carryforwards as follows:
| | Capital Loss Utilized |
| | Short-Term | Long-Term |
| Emerging Markets Equity Fund | $ — | $151,019 |
| Emerging Markets Research Enhanced Equity Fund | 64,286 | 18,842 |
| Europe Dynamic Fund | 58,188 | — |
| International Equity Fund | 56,023 | 54,962 |
| International Focus Fund | 51,636 | 21,707 |
| International Research Enhanced Equity Fund | 33,296 | 211,502 |
| International Value Fund | 4,721 | — |
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, or loans outstanding to another fund, during the six months ended April 30, 2022. Average borrowings from the Facility during the six months ended April 30, 2022 were as follows:
| | Average
Borrowings | Average
Interest
Rate paid | Number of
Days
Outstanding | Interest
Paid |
| Emerging Markets Equity Fund | $45,389 | 0.83% | 20 | $14 |
| Emerging Markets Research Enhanced Equity Fund | 12,242 | 0.81 | 2 | 1 |
| Europe Dynamic Fund | 45,914 | 0.81 | 5 | 5 |
| International Equity Fund | 90,091 | 0.81 | 2 | 4 |
| International Focus Fund | 23,839 | 0.80 | 3 | 2 |
| International Value Fund | 1,651 | 0.82 | 2 | —(a) |
|
| (a) | Amount rounds to less than one thousand. |
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 October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2022.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 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%, which has decreased from 1.25% pursuant to the amendment referenced below (the "Applicable Margin"), plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the
| 130 | J.P. Morgan International Equity Funds | April 30, 2022 |
unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Fund did not utilize the Credit Facility during the six months ended April 30, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2022, the Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| | Number of
Individual
Shareholder and/or
Affiliated
Omnibus Accounts | % of
the Fund | Number of
Individual
Shareholder and/or
Non-Affiliated
Omnibus Accounts | % of the Fund |
| Emerging Markets Equity Fund | — | —% | 3 | 43.4% |
| Europe Dynamic Fund | 3 | 45.3 | 1 | 11.6 |
| International Focus Fund | — | — | 2 | 35.5 |
| International Hedged Equity Fund | 1 | 13.9 | 3 | 57.7 |
| International Research Enhanced Equity Fund | 1 | 10.4 | 1 | 10.4 |
| International Value Fund | — | — | 1 | 80.8 |
As of April 30, 2022, J.P. Morgan Investor Funds, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated fund of funds, each 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 Research Enhanced Equity Fund | 10.5% | 31.5% | 39.9% |
| Europe Dynamic Fund | 50.5 | — | — |
| International Equity Fund | — | 49.8 | — |
| International Focus Fund | 11.6 | — | — |
| International Research Enhanced Equity Fund | 19.3 | 60.5 | — |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
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 foreign countries or regions, which may vary throughout the period. Such concentrations may subject each of these 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.
| April 30, 2022 | J.P. Morgan International Equity Funds | 131 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
As of April 30, 2022, the following Funds had non-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
| | Emerging
Markets
Equity Fund | Emerging
Markets
Research
Enhanced
Equity Fund | Europe
Dynamic
Fund | International
Equity Fund | International
Focus Fund | International
Hedged
Equity Fund | International
Research
Enhanced
Equity Fund | International
Value Fund |
| China | 30.5% | 30.3% | —% | —% | —% | —% | —% | —% |
| France | — | — | 16.2 | 15.6 | — | 10.7 | 11.8 | — |
| Germany | — | — | 15.3 | — | — | — | — | — |
| India | 21.9 | 12.8 | — | — | — | — | — | — |
| Japan | — | — | — | 12.3 | — | 20.9 | 19.7 | 21.1 |
| South Korea | — | 13.3 | — | — | — | — | — | — |
| Switzerland | — | — | 17.4 | 10.6 | 11.2 | 10.9 | 11.8 | — |
| Taiwan | 11.5 | 14.7 | — | — | — | — | — | — |
| United Kingdom | — | — | 19.7 | 10.4 | — | 12.8 | 14.1 | 14.2 |
As of April 30, 2022, 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.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile. Emerging Markets Equity Fund and Emerging Markets Research Enhanced Equity Fund each invests a substantial portion of their assets in emerging market countries. These risks are magnified in countries in emerging markets. Emerging market countries typically have less established market economies than developed countries and may face greater social, economic, regulatory and political uncertainties. In addition, emerging markets typically present greater illiquidity and price volatility concerns due to smaller or limited local capital markets and greater difficulty in determining market valuations of securities due to limited public information on issuers. Certain emerging market countries may be subject to less stringent requirements regarding accounting, auditing, financial reporting and record keeping and therefore, material information related to an investment may not be available or reliable.
In addition, a Fund is limited in its ability to exercise its legal rights or enforce a counterparty’s legal obligations in certain jurisdictions outside of the United States, in particular, in emerging market countries.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and
| 132 | J.P. Morgan International Equity Funds | April 30, 2022 |
result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments. 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. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
8. Redemptions in-kind
On April 21, 2022, certain shareholders sold Class R6 Shares of International Focus Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
| Fund | Value | Type |
| International Focus Fund | $1,236,430(a) | Redemption in-kind |
|
| (a) | This amount includes cash of $99,867 associated with the redemption in-kind. |
9. Subsequent Event
At a meeting held on January 13, 2022, the Board approved the reorganization (the “Reorganization”) of International Research Enhanced Equity Fund into a newly created exchange-traded fund, JPMorgan International Research Enhanced Equity ETF (“JPM International Research Enhanced Equity ETF”), a series of J.P. Morgan Exchange-Traded Fund Trust. The Reorganization occurred as of the close of business on June 10, 2022 (the “Closing Date”). Following the Reorganization, International Research Enhanced Equity Fund’s performance and financial history were adopted by JPM International Research Enhanced Equity ETF. In connection with the Reorganization, each shareholder of International Research Enhanced Equity Fund (except as noted below) received shares of JPM International Research Enhanced Equity ETF equal in value to the number of shares of International Research Enhanced Equity Fund they owned on the Closing Date, including a cash payment in lieu of fractional shares of JPM International Research Enhanced Equity ETF, which cash payment may be taxable. Shareholders of International Research Enhanced Equity Fund who did not hold their shares through a brokerage account that could accept shares of JPM International Research Enhanced Equity ETF on the Closing Date had their Fund shares liquidated, and such shareholders received cash equal in value to their International Research Enhanced Equity Fund shares, which cash payment may be taxable. Shareholders of International Research Enhanced Equity Fund who held their shares through a fund direct individual retirement account and did not take action prior to the Reorganization had their Fund shares exchanged for Morgan Shares of JPMorgan U.S. Government Money Market Fund equal in value to their International Research Enhanced Equity Fund shares. JPM International Research Enhanced Equity ETF has the same investment adviser, investment objective and fundamental investment policies and substantially similar investment strategies as International Research Enhanced Equity Fund. Effective as of the close of business on June 10, 2022, International Research Enhanced Equity Fund ceased operations in connection with the consummation of the Reorganization.
| April 30, 2022 | J.P. Morgan International Equity Funds | 133 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2021, and continued to hold your shares at the end of the reporting period, April 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Emerging Markets Equity Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 737.20 | $5.34 | 1.24% |
| Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 |
| Class C | | | | |
| Actual | 1,000.00 | 735.30 | 7.49 | 1.74 |
| Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 |
| Class I | | | | |
| Actual | 1,000.00 | 738.00 | 4.27 | 0.99 |
| Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 |
| Class R2 | | | | |
| Actual | 1,000.00 | 735.90 | 6.63 | 1.54 |
| Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 |
| Class R3 | | | | |
| Actual | 1,000.00 | 737.10 | 5.56 | 1.29 |
| Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 |
| Class R4 | | | | |
| Actual | 1,000.00 | 737.80 | 4.48 | 1.04 |
| Hypothetical | 1,000.00 | 1,019.64 | 5.21 | 1.04 |
| Class R5 | | | | |
| Actual | 1,000.00 | 738.50 | 3.84 | 0.89 |
| Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 |
| Class R6 | | | | |
| Actual | 1,000.00 | 738.60 | 3.41 | 0.79 |
| Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 |
| 134 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Emerging Markets Research Enhanced Equity Fund | | | | |
| Class I | | | | |
| Actual | $1,000.00 | $ 841.00 | $2.05 | 0.45% |
| Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 |
| Class R6 | | | | |
| Actual | 1,000.00 | 841.60 | 1.60 | 0.35 |
| Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 |
| JPMorgan Europe Dynamic Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 856.40 | 5.71 | 1.24 |
| Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 |
| Class C | | | | |
| Actual | 1,000.00 | 854.20 | 8.00 | 1.74 |
| Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 |
| Class I | | | | |
| Actual | 1,000.00 | 857.50 | 4.51 | 0.98 |
| Hypothetical | 1,000.00 | 1,019.94 | 4.91 | 0.98 |
| Class R6 | | | | |
| Actual | 1,000.00 | 858.70 | 3.32 | 0.72 |
| Hypothetical | 1,000.00 | 1,021.22 | 3.61 | 0.72 |
| JPMorgan International Equity Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 830.20 | 4.31 | 0.95 |
| Hypothetical | 1,000.00 | 1,020.08 | 4.76 | 0.95 |
| Class C | | | | |
| Actual | 1,000.00 | 828.40 | 6.57 | 1.45 |
| Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 |
| Class I | | | | |
| Actual | 1,000.00 | 831.50 | 3.18 | 0.70 |
| Hypothetical | 1,000.00 | 1,021.32 | 3.51 | 0.70 |
| Class R2 | | | | |
| Actual | 1,000.00 | 829.40 | 5.67 | 1.25 |
| Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 |
| Class R5 | | | | |
| Actual | 1,000.00 | 831.70 | 2.72 | 0.60 |
| Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 |
| Class R6 | | | | |
| Actual | 1,000.00 | 832.30 | 2.27 | 0.50 |
| Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 |
| JPMorgan International Focus Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 832.80 | 4.54 | 1.00 |
| Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 |
| Class C | | | | |
| Actual | 1,000.00 | 830.90 | 6.81 | 1.50 |
| Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 |
| Class I | | | | |
| Actual | 1,000.00 | 834.10 | 3.41 | 0.75 |
| Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 |
| Class R2 | | | | |
| Actual | 1,000.00 | 831.70 | 5.90 | 1.30 |
| Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 |
| April 30, 2022 | J.P. Morgan International Equity Funds | 135 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan International Focus Fund (continued) | | | | |
| Class R5 | | | | |
| Actual | $1,000.00 | $ 834.30 | $2.96 | 0.65% |
| Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 |
| Class R6 | | | | |
| Actual | 1,000.00 | 835.00 | 2.50 | 0.55 |
| Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 |
| JPMorgan International Hedged Equity Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 898.50 | 4.00 | 0.85 |
| Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 |
| Class C | | | | |
| Actual | 1,000.00 | 896.20 | 6.35 | 1.35 |
| Hypothetical | 1,000.00 | 1,018.10 | 6.76 | 1.35 |
| Class I | | | | |
| Actual | 1,000.00 | 899.80 | 2.83 | 0.60 |
| Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 |
| Class R5 | | | | |
| Actual | 1,000.00 | 900.30 | 2.12 | 0.45 |
| Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 |
| Class R6 | | | | |
| Actual | 1,000.00 | 900.80 | 1.65 | 0.35 |
| Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 |
| JPMorgan International Research Enhanced Equity Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 876.90 | 2.19 | 0.47 |
| Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 |
| Class I | | | | |
| Actual | 1,000.00 | 877.40 | 1.63 | 0.35 |
| Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 |
| Class R6 | | | | |
| Actual | 1,000.00 | 877.60 | 1.16 | 0.25 |
| Hypothetical | 1,000.00 | 1,023.56 | 1.25 | 0.25 |
| JPMorgan International Value Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 919.50 | 4.76 | 1.00 |
| Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 |
| Class C | | | | |
| Actual | 1,000.00 | 916.60 | 7.13 | 1.50 |
| Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 |
| Class I | | | | |
| Actual | 1,000.00 | 920.30 | 3.57 | 0.75 |
| Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 |
| Class R2 | | | | |
| Actual | 1,000.00 | 917.80 | 6.18 | 1.30 |
| Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 |
| Class R5 | | | | |
| Actual | 1,000.00 | 920.70 | 3.10 | 0.65 |
| Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 |
| 136 | J.P. Morgan International Equity Funds | April 30, 2022 |
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan International Value Fund (continued) | | | | |
| Class R6 | | | | |
| Actual | $1,000.00 | $ 920.70 | $2.62 | 0.55% |
| Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 |
|
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| April 30, 2022 | J.P. Morgan International Equity Funds | 137 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| 138 | J.P. Morgan International Equity Funds | April 30, 2022 |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each 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 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 calling 1-800-480-4111 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2022. All rights reserved. April 2022. | SAN-INTEQ-422 |
Semi-Annual Report
J.P. Morgan Tax Aware Funds
April 30, 2022 (Unaudited)
| JPMorgan Tax Aware Equity Fund |
| JPMorgan Tax Aware Real Return Fund |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
June 21, 2022, 2022(Unaudited)
Dear Shareholders,
 |
“The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification.”
— Andrea L. Lisher
|
Global economic growth has been hindered by accelerating inflation, the conflict in Ukraine and regional surges in pandemic infections. While equity markets largely rallied in the final months of 2021 and continued to outperform bond markets, a more hawkish U.S. Federal Reserve (the “Fed”) and Russia’s invasion of Ukraine in late February 2022 set off a cascade of weakening investor sentiment.
In the U.S., continued job growth, strong consumer spending and resilient corporate earnings in the first quarter of 2022 helped to offset a contraction in real economic growth. Meanwhile, in response to the highest levels of inflation in nearly 40 years, the Fed raised its benchmark interest rate in March 2022 for the first time since 2018 and then raised it again in both May and June.
Elsewhere, the Bank of England has raised interest rates multiple times since the start of 2022 and the European Central Bank has signaled it is poised to raise interest rates in July 2022, which would mark the first rate increase in the European Union in 11 years.
Meanwhile, emerging markets generally struggled during the six months ended April 30, 2022 as rising prices for energy and food weighed on economic growth. Additionally, a pandemic resurgence in China in early 2022 led to strict lockdowns in several large cities, which hurt manufacturing and other economic activity and had a spillover effect on other emerging market economies.
The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 1 |
J.P. Morgan Tax Aware Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2022 (Unaudited)
While developed market equities rallied in the final months of 2021, a resurgence in the pandemic, surging inflation and Russia’s invasion of Ukraine in late February 2022 dented the global economic outlook and erased equity market gains for the six month period. Overall, both global equity and fixed income markets largely generated negative returns for the period, with emerging markets largely underperforming developed markets.
U.S. equity prices largely maintained upward momentum in the final months of 2021 amid low interest rates, a boom in household wealth and record corporate earnings and revenues. However, investor concerns about the emergence of the Omicron variant of COVID-19 and surging inflationary pressure fueled market volatility in 2022 and Russia’s military build-up and invasion of Ukraine in February 2022 put further pressure on U.S. equity prices.
In mid-March 2022, the U.S. Federal Reserve followed through on its stated plan and raised interest rates for the first time since December 2018, and pledged to raise rates six more times in 2022. While U.S. equity prices rebounded somewhat for the month, both equity and bond markets slumped in April as negotiations to end the Ukraine conflict failed and global supply-chain disruptions increased. Notably, the U.S. dollar strengthened against other major currencies in early 2022, which provided a significant drag on both the domestic economy and corporate earnings. However, job growth in the U.S. continued throughout the six month period.
For the six months ended April 30, 2022, the S&P 500 Index returned -9.65%, the MSCI EAFE Index returned -11.58% and the MSCI Emerging Markets Index returned -14.04%. Within fixed income, the Bloomberg U.S. Aggregate Index returned -9.47%, the Bloomberg U.S. High Yield Index returned -7.41% and the Bloomberg Emerging Markets Index returned -13.25% for the period.
| 2 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
JPMorgan Tax Aware Equity Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund Class I Shares *
| (12.03)% |
S&P 500 Index
| (9.65)% |
Net Assets as of 4/30/2022 (In Thousands)
| $1,171,616 |
INVESTMENT OBJECTIVE**
The JPMorgan Tax Aware Equity Fund (the “Fund”) seeks to provide high after-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 underperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2022.
The Fund’s underweight position in the energy sector and its security selection in the semiconductors & hardware sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selections in the pharmaceutical/medical technology and software & services sectors were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in NextEra Energy Inc. and NXP Semiconductors Inc., and its underweight position in Berkshire Hathaway Inc. Shares of NextEra Energy, an electric utility, fell amid investor concerns that a U.S. trade investigation of Chinese solar panel suppliers could impede several of the company’s large solar energy projects. Shares of NXP Semiconductors, a Netherlands semiconductor manufacturer, fell amid investor concerns about the outlook for the company’s profit margins. Shares of Berkshire Hathaway, a holding company conglomerate not held in the Fund, rose amid continued growth in quarterly earnings.
Leading individual contributors to relative performance included the Fund’s overweight positions in AbbVie Inc. and Mastercard Inc., and its underweight position in Netflix Inc. Shares of AbbVie, a biopharmaceutical company, rebounded late in the period after investor concerns about the 2023 expiration of the company’s patent on the drug Humira weighed on the stock in 2021. Shares of Mastercard, a payment processing provider, rose after the company reported better-than-expected earnings and revenue for the fourth quarter of 2021. Shares of Netflix, a provider of streaming entertainment that was not held in the Fund, fell sharply late in the period after the company reported declining subscriptions.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers employed a bottom-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 AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | Microsoft Corp.
| | 9.8 % |
| 2. | Apple, Inc.
| | 5.8 |
| 3. | Amazon.com, Inc.
| | 5.3 |
| 4. | UnitedHealth Group, Inc.
| | 4.5 |
| 5. | Alphabet, Inc., Class A
| | 4.4 |
| 6. | Alphabet, Inc., Class C
| | 4.0 |
| 7. | AbbVie, Inc.
| | 2.9 |
| 8. | Mastercard, Inc., Class A
| | 2.9 |
| 9. | Texas Instruments, Inc.
| | 2.7 |
| 10. | NXP Semiconductors NV (China)
| | 2.7 |
PORTFOLIO COMPOSTION BY SECTOR
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Information Technology
| | 28.5% |
Health Care
| | 15.5 |
Industrials
| | 11.9 |
Consumer Discretionary
| | 11.5 |
Communication Services
| | 10.9 |
Financials
| | 9.1 |
Consumer Staples
| | 4.9 |
Energy
| | 3.7 |
Utilities
| | 2.0 |
Materials
| | 1.7 |
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. |
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 3 |
JPMorgan Tax Aware Equity Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | | | 6 MONTH | | 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 ** | | | (16.81)% | | (19.37)% | | (7.58)% | | (8.66)% | | (11.47)% | | (2.52)% | | 12.25% | | 9.97% | | 9.56% | | 12.99% | | 11.44% | | 10.61% |
| Without Sales Charge | | | (12.20) | | (14.90) | | (4.72) | | (3.60) | | (6.57) | | 0.61 | | 13.47 | | 11.16 | | 10.57 | | 13.60 | | 12.04 | | 11.16 |
| CLASS C SHARES | March 22, 2011 | | | | | | | | | | | | | | | | | | | | | | | | |
| With CDSC *** | | | (13.40) | | (16.15) | | (5.39) | | (5.05) | | (8.06) | | (0.20) | | 12.91 | | 10.67 | | 10.14 | | 13.16 | | 11.68 | | 10.80 |
| Without CDSC | | | (12.40) | | (15.15) | | (4.79) | | (4.05) | | (7.06) | | 0.39 | | 12.91 | | 10.67 | | 10.14 | | 13.16 | | 11.68 | | 10.80 |
| Class I SHARES | January 30, 1997 | | (12.03) | | (14.75) | | (4.61) | | (3.22) | | (6.25) | | 0.90 | | 13.93 | | 11.53 | | 10.93 | | 14.08 | | 12.42 | | 11.54 |
| Class R6 SHARES | October 01, 2018 | | (11.96) | | (14.69) | | (4.56) | | (3.09) | | (6.15) | | 0.99 | | 14.02 | | 11.60 | | 11.00 | | 14.13 | | 12.46 | | 11.58 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Tax Aware Equity Fund and the S&P 500 Index from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
JPMorgan Tax Aware Real Return Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class I Shares) *
| (3.54)% |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index
| (6.69)% |
Tax Aware Real Return Composite Benchmark **
| (1.20)% |
Net Assets as of 4/30/2022 (In Thousands)
| $607,253 |
INVESTMENT OBJECTIVE***
The JPMorgan Tax Aware Real Return Fund (the “Fund”) seeks to maximize after-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 outperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) and underperformed the Tax Aware Real Return Composite Benchmark for the six months ended April 30, 2022. The Bloomberg Inflation Swap 5-Year Zero Coupon Index returned 5.85% for the period.
The Fund’s hedge against inflation, which was implemented through the use of swaps contracts, was a leading contributor to absolute performance as supply chain disruptions caused by the pandemic and the conflict in Ukraine fueled rising prices, particularly for energy, during the period.
Relative to the Benchmark, the Fund’s longer duration was a leading detractor from performance as interest rates rose during the period. Generally, bonds of longer duration will experience a large decline in price compared with shorter duration bonds when interest rates rise. The Fund’s overweight allocations to bonds rated single-A and BBB also detracted from relative performance.
HOW WAS THE FUND POSITIONED?
Among the Fund’s tax-exempt fixed income investments, the Fund employed a bottom-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. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
During the period, the Fund’s portfolio managers increased the aggregate amount of hedged positions to 100% from 94% at the start of the period.
INVESTMENT APPROACH
The Fund uses inflation swaps in combination with tax-exempt municipal bonds to seek to replicate a portfolio of inflation
protected securities. The Fund is designed to protect the total return generated by its tax-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 the CPI-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 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.
PORTFOLIO COMPOSITION
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Municipal Bonds
| | 87.7% |
Short-Term Investments
| | 12.3 |
| * | 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 Fund’s Composite Benchmark is determined by adding the return of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly known as Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index) and the Bloomberg Inflation Swap 5 Year Zero Coupon Index (formerly known as Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index). |
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 5 |
JPMorgan Tax Aware Real Return Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
| *** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 6 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | | | 6 MONTH | | 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 ** | | | (7.22)% | | (7.22)% | | (4.05)% | | (4.26)% | | (4.27)% | | (2.07)% | | 1.36% | | 1.31% | | 1.45% | | 0.96% | | 0.93% | | 1.20% |
| Without Sales Charge | | | (3.58) | | (3.58) | | (1.89) | | (0.50) | | (0.52) | | 0.17 | | 2.14 | | 2.09 | | 2.06 | | 1.35 | | 1.32 | | 1.51 |
| CLASS C SHARES | August 31, 2005 | | | | | | | | | | | | | | | | | | | | | | | | |
| With CDSC *** | | | (4.82) | | (4.82) | | (2.73) | | (1.90) | | (1.91) | | (0.86) | | 1.62 | | 1.59 | | 1.57 | | 0.87 | | 0.86 | | 1.05 |
| Without CDSC | | | (3.82) | | (3.82) | | (2.13) | | (0.90) | | (0.91) | | (0.26) | | 1.62 | | 1.59 | | 1.57 | | 0.87 | | 0.86 | | 1.05 |
| Class I SHARES | August 31, 2005 | | (3.54) | | (3.55) | | (1.82) | | (0.26) | | (0.28) | | 0.41 | | 2.38 | | 2.33 | | 2.30 | | 1.60 | | 1.57 | | 1.76 |
| Class R6 SHARES | August 16, 2013 | | (3.40) | | (3.40) | | (1.71) | | (0.05) | | (0.07) | | 0.57 | | 2.49 | | 2.47 | | 2.45 | | 1.69 | | 1.68 | | 1.86 |
|
| * | 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 (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class 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 U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg 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 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 U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg 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.
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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 7 |
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 99.7% |
| Aerospace & Defense — 0.5% |
| Raytheon Technologies Corp. | 60 | 5,685 |
| Banks — 3.7% |
| Bank of America Corp. | 653 | 23,311 |
| First Republic Bank | 19 | 2,826 |
| Wells Fargo & Co. | 406 | 17,706 |
| | | 43,843 |
| Beverages — 2.2% |
| Monster Beverage Corp. * | 72 | 6,135 |
| PepsiCo, Inc. | 115 | 19,763 |
| | | 25,898 |
| Biotechnology — 3.6% |
| AbbVie, Inc. | 230 | 33,797 |
| Regeneron Pharmaceuticals, Inc. * | 13 | 8,569 |
| | | 42,366 |
| Building Products — 0.4% |
| Trane Technologies plc | 35 | 4,882 |
| Capital Markets — 2.6% |
| Charles Schwab Corp. (The) | 138 | 9,160 |
| Morgan Stanley | 200 | 16,132 |
| S&P Global, Inc. | 15 | 5,572 |
| | | 30,864 |
| Chemicals — 1.7% |
| Linde plc (United Kingdom) | 62 | 19,424 |
| Commercial Services & Supplies — 1.4% |
| Waste Connections, Inc. | 122 | 16,777 |
| Consumer Finance — 1.8% |
| American Express Co. | 118 | 20,563 |
| Electric Utilities — 2.0% |
| NextEra Energy, Inc. | 323 | 22,973 |
| Energy Equipment & Services — 1.4% |
| Baker Hughes Co. | 538 | 16,704 |
| Food & Staples Retailing — 1.1% |
| Costco Wholesale Corp. | 25 | 13,080 |
| Food Products — 1.6% |
| Mondelez International, Inc., Class A | 281 | 18,109 |
| Health Care Equipment & Supplies — 1.6% |
| Boston Scientific Corp. * | 252 | 10,619 |
| Intuitive Surgical, Inc. * | 32 | 7,562 |
| | | 18,181 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Health Care Providers & Services — 4.5% |
| UnitedHealth Group, Inc. | 105 | 53,223 |
| Hotels, Restaurants & Leisure — 1.8% |
| Booking Holdings, Inc. * | 4 | 8,289 |
| Hilton Worldwide Holdings, Inc. * | 82 | 12,842 |
| | | 21,131 |
| Industrial Conglomerates — 1.4% |
| Honeywell International, Inc. | 81 | 15,761 |
| Insurance — 1.0% |
| Arthur J Gallagher & Co. | 29 | 4,920 |
| Progressive Corp. (The) | 65 | 6,914 |
| | | 11,834 |
| Interactive Media & Services — 10.1% |
| Alphabet, Inc., Class A * | 23 | 51,717 |
| Alphabet, Inc., Class C * | 20 | 47,265 |
| Meta Platforms, Inc., Class A * | 73 | 14,646 |
| Snap, Inc., Class A * | 167 | 4,750 |
| | | 118,378 |
| Internet & Direct Marketing Retail — 5.3% |
| Amazon.com, Inc. * | 25 | 62,215 |
| IT Services — 3.9% |
| Fiserv, Inc. * | 89 | 8,676 |
| Mastercard, Inc., Class A | 92 | 33,518 |
| PayPal Holdings, Inc. * | 42 | 3,679 |
| | | 45,873 |
| Life Sciences Tools & Services — 2.3% |
| Danaher Corp. | 80 | 20,166 |
| Thermo Fisher Scientific, Inc. | 13 | 6,911 |
| | | 27,077 |
| Machinery — 2.3% |
| Deere & Co. | 57 | 21,502 |
| Dover Corp. | 42 | 5,612 |
| | | 27,114 |
| Media — 0.8% |
| Charter Communications, Inc., Class A * | 21 | 9,142 |
| Multiline Retail — 0.7% |
| Dollar General Corp. | 32 | 7,625 |
| Oil, Gas & Consumable Fuels — 2.3% |
| ConocoPhillips | 280 | 26,755 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Pharmaceuticals — 3.5% |
| Bristol-Myers Squibb Co. | 149 | 11,261 |
| Eli Lilly & Co. | 103 | 30,047 |
| | | 41,308 |
| Road & Rail — 5.9% |
| Norfolk Southern Corp. | 118 | 30,469 |
| Old Dominion Freight Line, Inc. | 39 | 10,925 |
| Union Pacific Corp. | 120 | 28,045 |
| | | 69,439 |
| Semiconductors & Semiconductor Equipment — 9.0% |
| Advanced Micro Devices, Inc. * | 102 | 8,740 |
| Analog Devices, Inc. | 71 | 10,977 |
| ASML Holding NV (Registered), NYRS (Netherlands) | 11 | 5,891 |
| NVIDIA Corp. | 91 | 16,859 |
| NXP Semiconductors NV (China) | 182 | 31,087 |
| Texas Instruments, Inc. | 187 | 31,888 |
| | | 105,442 |
| Software — 9.7% |
| Microsoft Corp. | 411 | 114,175 |
| Specialty Retail — 3.8% |
| AutoZone, Inc. * | 10 | 19,107 |
| Burlington Stores, Inc. * | 38 | 7,817 |
| Lowe's Cos., Inc. | 87 | 17,144 |
| | | 44,068 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Technology Hardware, Storage & Peripherals — 5.8% |
| Apple, Inc. | 432 | 68,081 |
Total Common Stocks
(Cost $491,275) | | 1,167,990 |
| Short Term Investments — 0.3% |
| Investment Companies — 0.3% |
JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (a) (b)
(Cost $3,537) | 3,536 | 3,537 |
Total Investments — 100.0%
(Cost $494,812) | | 1,171,527 |
| Other Assets Less Liabilities — 0.0% ^ | | 89 |
| NET ASSETS — 100.0% | | 1,171,616 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| NYRS | New York Registry Shares |
| ^ | Amount rounds to less than 0.1% of net assets. |
| * | Non-income producing security. |
| (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, 2022. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 9 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — 86.0% (a) |
| Alabama — 1.8% |
| Alabama Public School and College Authority Series 2016-A, Rev., 4.00%, 6/1/2031 | 35 | 36 |
| Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., VRDO, 4.00%, 12/1/2029 (b) | 1,615 | 1,664 |
| Black Belt Energy Gas District, Gas Supply | | |
| Series 2021C-1, Rev., VRDO, 4.00%, 12/1/2026 (b) | 450 | 457 |
| Series 2021A, Rev., VRDO, LIQ : Royal Bank of Canada, 4.00%, 12/1/2031 (b) | 3,000 | 3,084 |
| Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., VRDO, 4.00%, 12/1/2031 (b) | 5,745 | 5,821 |
| Total Alabama | | 11,062 |
| Alaska — 1.0% |
| Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | | |
| Series 2016, Rev., 5.00%, 9/1/2024 | 15 | 16 |
| Rev., 5.25%, 9/1/2029 | 3,490 | 3,726 |
| City and Borough of Juneau | | |
| GO, 4.00%, 6/1/2029 | 800 | 859 |
| GO, 4.00%, 6/1/2030 | 380 | 411 |
| GO, 4.00%, 6/1/2031 | 250 | 271 |
| GO, 4.00%, 6/1/2032 | 855 | 924 |
| Total Alaska | | 6,207 |
| Arizona — 1.2% |
| Arizona Board of Regents Series 2022A, Rev., 5.00%, 7/1/2034 | 350 | 405 |
| Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project Series 2021A, Rev., 4.00%, 7/15/2036 (c) | 275 | 257 |
| Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2041 | 135 | 123 |
| Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (c) | 150 | 146 |
| City of Phoenix, GO, 5.00%, 7/1/2031 (d) | 1,500 | 1,754 |
| City of Phoenix Civic Improvement Corp., Junior Lien Series 2021A, Rev., 5.00%, 7/1/2035 | 1,200 | 1,397 |
| City of San Luis Series A, Rev., AGM, 5.00%, 7/1/2025 | 50 | 54 |
| City of Sedona, Excise Tax | | |
| Rev., 5.00%, 7/1/2028 | 200 | 225 |
| Rev., 5.00%, 7/1/2029 | 200 | 227 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Arizona — continued |
| Rev., 5.00%, 7/1/2030 | 100 | 115 |
| Rev., 5.00%, 7/1/2031 | 175 | 203 |
| Rev., 5.00%, 7/1/2032 | 100 | 117 |
| Rev., 5.00%, 7/1/2033 | 300 | 349 |
| County of Pima, Rev., 3.00%, 7/1/2023 | 5 | 5 |
| Maricopa County Industrial Development Authority, Honorhealth | | |
| Series 2021A, Rev., 5.00%, 9/1/2036 | 750 | 838 |
| Series 2021A, Rev., 4.00%, 9/1/2037 | 695 | 701 |
| Pima County Regional Transportation Authority, Excise Tax Series 2014, Rev., 5.00%, 6/1/2025 | 20 | 21 |
| Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects Series 2018-B, GO, 5.00%, 7/1/2028 | 10 | 11 |
| Pinal County Electric District No. 3, Rev., 5.00%, 7/1/2029 | 200 | 226 |
| Salt River Project Agricultural Improvement & Power District, Electric System Series A, Rev., 5.00%, 1/1/2028 | 185 | 208 |
| Town of Queen Creek, Excise Tax | | |
| Series 2016, Rev., 4.00%, 8/1/2026 | 25 | 26 |
| Rev., 5.00%, 8/1/2029 | 10 | 11 |
| Total Arizona | | 7,419 |
| Arkansas — 0.3% |
| City of Cabot | | |
| Series 2021B, Rev., 5.00%, 12/1/2026 | 300 | 331 |
| Series 2021B, Rev., 5.00%, 12/1/2027 | 325 | 362 |
| City of Fort Smith, Water and Sewer, Rev., 5.00%, 10/1/2027 | 1,305 | 1,432 |
| City of Springdale Public Facilities Board Hospital, Arkansas Children's Northwest Project Series 2016, Rev., 5.00%, 3/1/2030 | 10 | 11 |
| Total Arkansas | | 2,136 |
| California — 8.6% |
| Briggs Elementary School District, Election of 2014 Series B, GO, 4.00%, 8/1/2030 | 5 | 5 |
| California Enterprise Development Authority, Rocketship Public Schools | | |
| Series 2022A, Rev., 4.00%, 6/1/2031 (c) | 250 | 241 |
| Series 2022A, Rev., 4.00%, 6/1/2042 (c) | 550 | 497 |
| California Health Facilities Financing Authority, Kaiser Permanente Series 2017A, Subseries 2017A-2, Rev., 4.00%, 11/1/2038 | 1,000 | 1,008 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| California — continued |
| California Infrastructure and Economic Development Bank, Bay Area Toll Bridges, First Lien Series 2003A, Rev., AGM, 5.00%, 7/1/2022 (e) | 340 | 342 |
| California Municipal Finance Authority, Lutheran University | | |
| Rev., 5.00%, 10/1/2029 | 225 | 246 |
| Rev., 5.00%, 10/1/2030 | 225 | 245 |
| Rev., 5.00%, 10/1/2031 | 225 | 244 |
| California Municipal Finance Authority, Mount San Antonio Garden Series 2022B1, Rev., 2.75%, 11/15/2027 | 100 | 93 |
| California Public Finance Authority, Enso Village Project | | |
| Series 2021B-3, Rev., 2.13%, 11/15/2027 (c) | 150 | 142 |
| Series 2021B-2, Rev., 2.38%, 11/15/2028 (c) | 260 | 244 |
| Series 2021B-1, Rev., 3.13%, 5/15/2029 (c) | 100 | 94 |
| Series 2021A, Rev., 5.00%, 11/15/2036 (c) | 100 | 102 |
| Series 2021A, Rev., 5.00%, 11/15/2046 (c) | 100 | 100 |
| California Statewide Communities Development Authority, San Francisco Campus for Jewish Living Project | | |
| Rev., 4.00%, 11/1/2031 | 100 | 107 |
| Rev., 4.00%, 11/1/2032 | 160 | 170 |
| City of Culver City, Wastewater Facilities Series A, Rev., 4.00%, 9/1/2035 | 25 | 26 |
| City of Los Angeles, Department of Water and Power, Power System | | |
| Series B, Rev., 5.00%, 7/1/2031 | 2,100 | 2,180 |
| Series A, Rev., 5.00%, 7/1/2032 | 2,550 | 2,779 |
| Series B, Rev., 5.00%, 7/1/2032 | 1,925 | 1,998 |
| Series D, Rev., 5.00%, 7/1/2032 | 3,300 | 3,453 |
| Series 2019-C, Rev., 5.00%, 7/1/2034 | 5 | 6 |
| Series A, Rev., 5.00%, 7/1/2034 | 710 | 771 |
| City of Santa Rosa, Wastewater Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 9/1/2023 | 4,750 | 4,598 |
| County of San Bernardino, Arrowhead Project Series 2019 A, COP, 5.00%, 10/1/2026 | 200 | 220 |
| CSCDA Community Improvement Authority, Essential Housing, Orange Portfolio Series 2021A-1, Rev., 2.80%, 3/1/2047 (c) | 1,510 | 1,200 |
| CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (c) | 200 | 161 |
| CSCDA Community Improvement Authority, Essential Housing, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (c) | 1,420 | 1,093 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| California — continued |
| Golden State Tobacco Securitization Corp., Tobacco Settlement Series 2015A, Rev., 5.00%, 6/1/2025 (e) | 4,950 | 5,321 |
| Lompoc Valley Medical Center, GO, 5.00%, 8/1/2024 | 15 | 16 |
| Los Angeles Community College District, Election of 2008 Series G, GO, 4.00%, 8/1/2024 (e) | 145 | 150 |
| Los Angeles Department of Water and Power Power System | | |
| Series 2017B, Rev., 5.00%, 7/1/2029 | 3,580 | 3,935 |
| Series 2017A, Rev., 5.00%, 7/1/2033 | 5,000 | 5,437 |
| Los Angeles Unified School District, Headquarters Building Projects Series B, COP, 5.00%, 10/1/2031 | 80 | 81 |
| Sacramento Municipal Utility District, Financing Authority, Cosumnes Project, Rev., 5.00%, 7/1/2028 | 1,290 | 1,386 |
| San Francisco Bay Area Rapid Transit District, Sales Tax | | |
| Series A, Rev., 5.00%, 7/1/2025 | 395 | 425 |
| Series A, Rev., 5.00%, 7/1/2026 | 225 | 242 |
| San Francisco City and County, Airport Commission, San Francisco International Airport Series 2019A, Rev., AMT, 5.00%, 5/1/2034 | 25 | 27 |
| San Joaquin County Transportation Authority, Measure K Sales Tax, Rev., 5.00%, 3/1/2030 | 2,000 | 2,204 |
| Sanger Unified School District, Capital Projects | | |
| COP, AGM, 5.00%, 6/1/2033 | 145 | 167 |
| COP, AGM, 5.00%, 6/1/2034 | 400 | 458 |
| COP, AGM, 5.00%, 6/1/2035 | 425 | 485 |
| South Placer Wastewater Authority, Rev., 5.00%, 11/1/2024 | 10 | 11 |
| State of California, Various Purpose | | |
| GO, 5.00%, 8/1/2030 | 5,370 | 5,699 |
| GO, 5.00%, 12/1/2035 | 3,250 | 3,705 |
| Westminster School District Series 2016, GO, 5.00%, 8/1/2030 | 5 | 5 |
| Total California | | 52,119 |
| Colorado — 1.5% |
| City of Aurora, COP, 5.00%, 12/1/2031 | 15 | 17 |
| City of Greeley, COP, 4.00%, 12/1/2034 | 10 | 10 |
| Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project | | |
| Rev., 4.00%, 5/1/2026 | 30 | 30 |
| Rev., 4.00%, 5/1/2028 | 35 | 35 |
| Rev., 4.00%, 5/1/2030 | 35 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 11 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Colorado — continued |
| Rev., 4.00%, 5/1/2036 | 85 | 81 |
| Colorado Higher Education, Lease Purchase Financing Program, COP, 5.00%, 9/1/2031 | 500 | 581 |
| Denver Health and Hospital Authority, Healthcare | | |
| Series 2019-A, Rev., 4.00%, 12/1/2038 | 1,250 | 1,231 |
| Series 2019-A, Rev., 4.00%, 12/1/2039 | 1,000 | 981 |
| El Paso County School District No. 49 Falcon | | |
| COP, 5.00%, 12/15/2026 | 75 | 83 |
| COP, 5.00%, 12/15/2027 | 110 | 123 |
| COP, 5.00%, 12/15/2028 | 170 | 192 |
| Rampart Range Metropolitan District No. 5, Rev., 4.00%, 12/1/2036 | 500 | 443 |
| Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044 | 500 | 390 |
| State of Colorado Series 2021A, COP, 5.00%, 12/15/2028 | 1,800 | 2,035 |
| Third Creek Metropolitan District No. 1 Series 2022A-1, GO, 4.50%, 12/1/2037 | 825 | 728 |
| University of Colorado, Enterprise System Series 2021C-3B, Rev., VRDO, 2.00%, 10/15/2026 (b) | 475 | 453 |
| Waterview II Metropolitan District Series 2022A, GO, 4.50%, 12/1/2031 | 525 | 488 |
| Windler Public Improvement Authority, Limited Tax | | |
| Series 2021 A-1, Rev., 4.00%, 12/1/2036 | 885 | 760 |
| Series 2021 A-1, Rev., 4.00%, 12/1/2041 | 750 | 602 |
| Total Colorado | | 9,297 |
| Connecticut — 0.5% |
| Connecticut State Health and Educational Facilities Authority Series 2020A, Rev., 5.00%, 7/1/2029 | 100 | 111 |
| State of Connecticut Special Tax Series 2021A, Rev., 5.00%, 5/1/2030 | 2,400 | 2,751 |
| Town of Southington Series 2020C, GO, 5.00%, 6/1/2028 | 5 | 6 |
| Town of Stafford, GO, 3.00%, 8/1/2026 | 10 | 10 |
| Total Connecticut | | 2,878 |
| District of Columbia — 0.7% |
| District of Columbia | | |
| Series 2017A, GO, 5.00%, 6/1/2029 | 290 | 319 |
| Series 2017A, GO, 5.00%, 6/1/2030 | 400 | 440 |
| Series 2017A, GO, 5.00%, 6/1/2031 | 600 | 657 |
| Series 2017A, GO, 5.00%, 6/1/2032 | 665 | 727 |
| District of Columbia, Gallaudet University Project | | |
| Series 2021A, Rev., 4.00%, 4/1/2033 | 160 | 168 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| District of Columbia — continued |
| Series 2021A, Rev., 4.00%, 4/1/2034 | 165 | 172 |
| Series 2021A, Rev., 4.00%, 4/1/2035 | 200 | 208 |
| Series 2021A, Rev., 4.00%, 4/1/2036 | 200 | 208 |
| District of Columbia, Income Tax Secured Series 2020C, Rev., 5.00%, 5/1/2037 | 1,000 | 1,131 |
| Total District of Columbia | | 4,030 |
| Florida — 4.5% |
| Broward County, Water and Sewer Utility Series 2015B, Rev., 5.00%, 10/1/2030 | 5,000 | 5,376 |
| Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | 175 | 154 |
| Capital Trust Agency, Inc., The Marie Selby Botanical Gardens, Inc. Project, Rev., 4.00%, 6/15/2031 (c) | 100 | 92 |
| City of Jacksonville | | |
| Series 2022A, Rev., 5.00%, 10/1/2029 (d) | 205 | 228 |
| Series 2022A, Rev., 5.00%, 10/1/2030 (d) | 225 | 253 |
| City of Pompano Beach, John Knox Village Project | | |
| Rev., 3.50%, 9/1/2030 | 1,900 | 1,809 |
| Rev., 3.50%, 9/1/2035 | 2,250 | 2,039 |
| Series 2021A, Rev., 4.00%, 9/1/2036 | 115 | 110 |
| Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2029 | 250 | 281 |
| Florida Development Finance Corp., Mater Academy Project | | |
| Series 2022A, Rev., 5.00%, 6/15/2028 | 180 | 190 |
| Series 2022A, Rev., 5.00%, 6/15/2031 | 260 | 271 |
| Florida Development Finance Corp., River city Science Academy Series 2022B, Rev., 5.00%, 7/1/2031 (d) | 165 | 169 |
| Florida Development Finance Corp., The Mayflower Retirement Community Project | | |
| Series 2021B-2, Rev., 1.75%, 6/1/2026 (c) | 100 | 93 |
| Series 2021B-1, Rev., 2.38%, 6/1/2027 (c) | 100 | 92 |
| Series 2021A, Rev., 4.00%, 6/1/2029 (c) | 1,375 | 1,329 |
| Series 2021A, Rev., 4.00%, 6/1/2030 (c) | 1,435 | 1,369 |
| Series 2021A, Rev., 4.00%, 6/1/2031 (c) | 1,395 | 1,316 |
| Series 2021A, Rev., 4.00%, 6/1/2036 (c) | 2,105 | 1,900 |
| Florida Gulf Coast University Financing Corp., Housing Project | | |
| Series 2017A, Rev., 5.00%, 8/1/2032 | 500 | 544 |
| Series 2020A, Rev., 4.00%, 2/1/2037 | 200 | 203 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Florida — continued |
| Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2020A, Rev., 4.00%, 12/1/2037 | 1,590 | 1,625 |
| Florida Municipal Power Agency, St. Lucie Project Series 2021A, Rev., 5.00%, 10/1/2031 | 1,000 | 1,156 |
| Hillsborough County Industrial Development Authority, Baycare Health System Series 2020B, Rev., VRDO, LOC : TD Bank NA, 0.28%, 5/2/2022 (b) | 300 | 300 |
| JEA Electric System Series 2017B, Rev., 5.00%, 10/1/2033 | 4,000 | 4,405 |
| Lee County Industrial Development Authority, Cypress Cove at Healthpark Florida, Inc., Project Series 2022B2, Rev., 3.25%, 10/1/2026 | 1,500 | 1,485 |
| Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai, Rev., 4.00%, 6/1/2041 | 500 | 459 |
| St. Johns County Industrial Development Authority, Vicar's Landing Project Series 2021A, Rev., 4.00%, 12/15/2029 | 225 | 219 |
| University of Central Florida Housing Facility Series 2021A, Rev., 5.00%, 10/1/2024 | 50 | 53 |
| Wildwood Utility Dependent District, Rev., 5.00%, 10/1/2030 | 125 | 142 |
| Total Florida | | 27,662 |
| Georgia — 2.6% |
| Albany-Dougherty Inner City Authority, Albany State University Projects, Rev., 5.00%, 7/1/2032 | 2,000 | 2,232 |
| City of Bainbridge, Utilities, Rev., 4.00%, 12/1/2033 | 435 | 463 |
| Clayton County Development Authority, Clayton State University Project | | |
| Rev., 5.00%, 7/1/2026 | 50 | 54 |
| Rev., 5.00%, 7/1/2027 | 100 | 111 |
| Rev., 5.00%, 7/1/2028 | 125 | 140 |
| Main Street Natural Gas, Inc. Series 2021C, Rev., VRDO, 4.00%, 12/1/2028 (b) | 5,000 | 5,093 |
| Milledgeville and Baldwin County Development Authority, College and State University Projects | | |
| Rev., 5.00%, 6/15/2026 | 450 | 489 |
| Rev., 5.00%, 6/15/2027 | 415 | 458 |
| Rev., 5.00%, 6/15/2030 | 1,075 | 1,217 |
| Rev., 5.00%, 6/15/2034 | 1,600 | 1,790 |
| Rev., 5.00%, 6/15/2035 | 1,000 | 1,117 |
| Oconee County School District | | |
| GO, 5.00%, 3/1/2030 | 360 | 416 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Georgia — continued |
| GO, 5.00%, 3/1/2031 | 175 | 205 |
| Polk School District, Sales Tax, GO, 5.00%, 3/1/2025 | 325 | 347 |
| Savannah Economic Development Authority, University Project | | |
| Series 2021B, Rev., 5.00%, 6/15/2027 | 295 | 326 |
| Series 2021B, Rev., 5.00%, 6/15/2028 | 205 | 229 |
| Series 2021B, Rev., 5.00%, 6/15/2029 | 320 | 360 |
| Series 2021B, Rev., 5.00%, 6/15/2030 | 340 | 385 |
| State of Georgia Series 2015A, GO, 5.00%, 2/1/2025 | 130 | 139 |
| Total Georgia | | 15,571 |
| Idaho — 0.1% |
| Idaho Housing and Finance Association Series 2021A, Rev., 5.00%, 7/15/2035 | 750 | 851 |
| Illinois — 3.2% |
| City of Chicago, Second Lien Waterworks Project | | |
| Rev., 5.00%, 11/1/2022 | 400 | 406 |
| Rev., 5.00%, 11/1/2029 | 1,000 | 1,048 |
| County of Cook Series 2021A, GO, 5.00%, 11/15/2028 | 2,300 | 2,567 |
| Illinois Finance Authority, Smith Crossing | | |
| Rev., 4.00%, 10/15/2025 | 295 | 297 |
| Rev., 4.00%, 10/15/2029 | 150 | 148 |
| Rev., 4.00%, 10/15/2030 | 100 | 98 |
| Rev., 4.00%, 10/15/2031 | 135 | 132 |
| Illinois State Toll Highway Authority Series 2014A, Rev., 5.00%, 12/1/2022 | 3,000 | 3,057 |
| Northern Illinois University, Auxiliary Facilities System | | |
| Rev., 5.00%, 10/1/2026 | 250 | 270 |
| Rev., 5.00%, 10/1/2027 | 325 | 356 |
| Rev., 5.00%, 10/1/2028 | 325 | 360 |
| Regional Transportation Authority Series A, Rev., NATL -RE, 6.00%, 7/1/2024 | 750 | 808 |
| State of Illinois | | |
| Series 2017D, GO, 5.00%, 11/1/2028 | 1,350 | 1,450 |
| Series 2021 A, GO, 5.00%, 3/1/2030 | 1,260 | 1,372 |
| Series 2018-A, GO, 5.00%, 10/1/2030 | 2,000 | 2,152 |
| Series 2021B, GO, 5.00%, 12/1/2033 | 1,000 | 1,077 |
| Series 2021A, GO, 4.00%, 3/1/2038 | 1,000 | 943 |
| Series 2021A, GO, 4.00%, 3/1/2039 | 3,000 | 2,814 |
| Total Illinois | | 19,355 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 13 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Indiana — 1.4% |
| City of Valparaiso, Green Oaks of Valparaiso LLC, Rev., 5.38%, 12/1/2041 (c) | 200 | 161 |
| Crown Point Multi School Building Corp., Ad Valorem Property Tax, First Mortgage, Rev., 5.00%, 7/15/2033 | 2,035 | 2,319 |
| Fort Wayne Redevelopment Authority, Harrison Square Project, Rev., 5.00%, 2/1/2026 | 1,110 | 1,157 |
| Indiana Finance Authority, Rose-Hulman Institute of Technology Project | | |
| Rev., 5.00%, 6/1/2029 | 125 | 139 |
| Rev., 5.00%, 6/1/2031 | 100 | 111 |
| Rev., 4.00%, 6/1/2033 | 115 | 117 |
| Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2026 | 4,050 | 4,138 |
| Lake Ridge School Building Corp., First Mortgage, Rev., 4.00%, 7/15/2028 | 125 | 129 |
| Lawrence Township School Building Corp., Ad Valorem Property Tax, Rev., 5.00%, 1/15/2030 | 100 | 114 |
| Total Indiana | | 8,385 |
| Iowa — 0.0% ^ |
| Iowa Finance Authority, State Revolving Fund, Rev., 5.00%, 8/1/2032 | 20 | 22 |
| Kentucky — 1.8% |
| City of Hazard, Appalachian Regional Healthcare, Inc., Rev., 4.00%, 7/1/2036 | 805 | 803 |
| City of Henderson, Pratt Paper LLC Project | | |
| Series 2022B, Rev., AMT, 3.70%, 1/1/2032 (c) | 440 | 430 |
| Series 2022B, Rev., AMT, 4.45%, 1/1/2042 (c) | 500 | 482 |
| County of Carroll, Kentucky Environmental Facilities | | |
| Series 2008A, Rev., AMT, 2.00%, 2/1/2032 | 1,225 | 1,023 |
| Series 2006B, Rev., AMT, 2.13%, 10/1/2034 | 1,000 | 812 |
| County of Trimble, Louisville Gas And Electric Co. Project Series 2001A, Rev., 0.63%, 9/1/2026 | 3,250 | 2,832 |
| Kentucky Bond Development Corp., Centre College | | |
| Rev., 4.00%, 6/1/2027 | 235 | 246 |
| Rev., 4.00%, 6/1/2028 | 125 | 131 |
| Rev., 4.00%, 6/1/2029 | 160 | 169 |
| Rev., 4.00%, 6/1/2030 | 165 | 174 |
| Kentucky Public Energy Authority Series 2022A-1, Rev., VRDO, 4.00%, 8/1/2030 (b) | 3,825 | 3,895 |
| Total Kentucky | | 10,997 |
| Louisiana — 0.6% |
| City of Alexandria, Utilities Series 2013A, Rev., 5.00%, 5/1/2023 (e) | 1,250 | 1,287 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Louisiana — continued |
| Lafayette Public Power Authority, Rev., 5.00%, 11/1/2025 | 15 | 16 |
| Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project, Rev., 5.00%, 10/1/2027 | 25 | 28 |
| Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project | | |
| Series 2020A, Rev., 5.00%, 5/15/2035 | 650 | 724 |
| Series 2020A, Rev., 5.00%, 5/15/2036 | 775 | 862 |
| Series 2020A, Rev., 5.00%, 5/15/2037 | 500 | 555 |
| Louisiana Public Facilities Authority, School Master Project Series 2021A, Rev., 4.00%, 6/1/2031 (c) | 290 | 275 |
| St. Tammany Parish Hospital Service District No. 1 Series 2018-A, Rev., 5.00%, 7/1/2032 | 15 | 17 |
| State of Louisiana, State Highway Improvement Series 2013-A, Rev., 5.00%, 6/15/2023 | 40 | 41 |
| Terrebonne Parish Recreation District No. 5, GO, 5.00%, 3/1/2027 | 20 | 22 |
| Total Louisiana | | 3,827 |
| Maine — 0.3% |
| Maine Municipal Bond Bank | | |
| Series 2022A, Rev., 5.00%, 11/1/2033 (d) | 800 | 940 |
| Series 2022A, Rev., 5.00%, 11/1/2034 (d) | 700 | 819 |
| Total Maine | | 1,759 |
| Maryland — 1.6% |
| City of Baltimore, Water Project Series 2020A, Rev., 4.00%, 7/1/2038 | 1,000 | 1,028 |
| County of Baltimore, GO, 5.00%, 3/1/2029 | 2,000 | 2,296 |
| County of Baltimore, Public Improvement, GO, 5.00%, 3/1/2036 | 3,560 | 4,135 |
| County of Howard Series 2019-B, GO, 5.00%, 8/15/2027 | 15 | 17 |
| County of Montgomery, Consolidated Public Improvements Series A, GO, 4.00%, 12/1/2033 | 5 | 5 |
| Maryland Health and Higher Educational Facilities Authority, Stevenson University Issue | | |
| Series 2021A, Rev., 5.00%, 6/1/2030 | 395 | 431 |
| Series 2021A, Rev., 5.00%, 6/1/2032 | 450 | 490 |
| Series 2021A, Rev., 4.00%, 6/1/2038 | 790 | 773 |
| Washington Suburban Sanitary Commission, Rev., 5.00%, 6/15/2029 | 395 | 441 |
| Total Maryland | | 9,616 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Massachusetts — 3.0% |
| Commonwealth of Massachusetts Series 2004C, GO, AGM, 5.50%, 12/1/2022 | 200 | 205 |
| Massachusetts Bay Transportation Authority Assessment Series 2006-A, Rev., 5.25%, 7/1/2031 | 1,500 | 1,783 |
| Massachusetts Development Finance Agency, Bentley University | | |
| Series 2021A, Rev., 5.00%, 7/1/2028 | 225 | 248 |
| Series 2021A, Rev., 5.00%, 7/1/2030 | 2,000 | 2,242 |
| Series 2021A, Rev., 5.00%, 7/1/2033 | 1,265 | 1,430 |
| Massachusetts Development Finance Agency, Boston University Project Series 2008 -U6E, Rev., VRDO, LOC : TD Bank NA, 0.25%, 5/2/2022 (b) | 10,000 | 10,000 |
| Massachusetts Development Finance Agency, Salem Community Corp. | | |
| Rev., 5.00%, 1/1/2026 (d) | 290 | 297 |
| Rev., 5.00%, 1/1/2027 (d) | 300 | 309 |
| Rev., 5.00%, 1/1/2028 (d) | 265 | 273 |
| Rev., 5.00%, 1/1/2029 (d) | 500 | 513 |
| Rev., 5.00%, 1/1/2030 (d) | 230 | 236 |
| Rev., 5.00%, 1/1/2031 (d) | 245 | 250 |
| Rev., 5.13%, 1/1/2040 (d) | 100 | 101 |
| Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue Series 2021G, Rev., 5.00%, 7/1/2036 | 200 | 221 |
| Total Massachusetts | | 18,108 |
| Michigan — 0.7% |
| Avondale School District, GO, Q-SBLF, 5.00%, 11/1/2027 | 15 | 16 |
| Eastern Michigan University, Board of Regents Series 2017A, Rev., 5.00%, 3/1/2033 | 1,000 | 1,091 |
| Grand Rapids Public Schools, Unlimited Tax, GO, AGM, 5.00%, 11/1/2029 | 5 | 6 |
| Lakeview School District, School Building & Site, GO, Q-SBLF, 5.00%, 5/1/2028 | 10 | 11 |
| Michigan Finance Authority, Lawrence Technological University Obligated Group | | |
| Rev., 4.00%, 2/1/2027 | 45 | 46 |
| Rev., 4.00%, 2/1/2032 | 95 | 95 |
| Michigan Strategic Fund, Graphic Packaging International LLC, Coated Recycled Board Machine Project, Rev., AMT, VRDO, 4.00%, 10/1/2026 (b) | 125 | 128 |
| Northern Michigan University | | |
| Rev., 5.00%, 6/1/2027 | 110 | 122 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Michigan — continued |
| Rev., 5.00%, 6/1/2028 | 100 | 112 |
| Rev., 5.00%, 6/1/2029 | 325 | 368 |
| Rev., 5.00%, 6/1/2030 | 415 | 474 |
| Rev., 5.00%, 6/1/2031 | 190 | 219 |
| Rev., 5.00%, 6/1/2032 | 300 | 345 |
| Onekama Consolidated Schools, GO, AGM, 4.00%, 5/1/2025 | 15 | 15 |
| Watervliet Public Schools, School Building and Site, GO, Q-SBLF, 5.00%, 5/1/2025 | 10 | 10 |
| Wayne-Westland Community Schools Series 2019, GO, Q-SBLF, 4.00%, 11/1/2031 | 10 | 11 |
| Western Michigan University, Tax Exempt | | |
| Series 2021A, Rev., AGM, 5.00%, 11/15/2034 | 200 | 230 |
| Series 2021A, Rev., AGM, 5.00%, 11/15/2035 | 200 | 230 |
| Series 2021A, Rev., AGM, 5.00%, 11/15/2036 | 200 | 229 |
| Series 2021A, Rev., AGM, 5.00%, 11/15/2037 | 350 | 400 |
| Total Michigan | | 4,158 |
| Minnesota — 0.3% |
| City of Victoria Series 2021A, GO, 4.00%, 2/1/2029 | 100 | 108 |
| Duluth Economic Development Authority, Benedictine Health System | | |
| Series 2021A, Rev., 3.00%, 7/1/2025 | 100 | 98 |
| Series 2021A, Rev., 3.00%, 7/1/2026 | 180 | 174 |
| Minnesota Municipal Gas Agency Series 2022A, Rev., 4.00%, 12/1/2027 | 1,435 | 1,502 |
| Total Minnesota | | 1,882 |
| Mississippi — 0.9% |
| Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc., Project | | |
| Series 2009G, Rev., VRDO, 0.29%, 5/2/2022 (b) | 300 | 300 |
| Series 2011 B, Rev., VRDO, 0.29%, 5/2/2022 (b) | 250 | 250 |
| Series 2011D, Rev., VRDO, 0.29%, 5/2/2022 (b) | 5,000 | 5,000 |
| Total Mississippi | | 5,550 |
| Missouri — 1.0% |
| City of Springfield, Public Utility, Rev., 5.00%, 8/1/2022 | 100 | 101 |
| Health and Educational Facilities Authority of the State of Missouri | | |
| Rev., 5.00%, 2/15/2030 | 670 | 760 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 15 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Missouri — continued |
| Rev., 5.00%, 2/15/2031 | 705 | 806 |
| Rev., 5.00%, 2/15/2032 | 500 | 575 |
| Rev., 5.00%, 2/15/2033 | 500 | 573 |
| Rev., 4.00%, 2/15/2034 | 400 | 402 |
| Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System, Inc. | | |
| Rev., 5.00%, 11/15/2026 | 750 | 821 |
| Rev., 5.00%, 11/15/2027 | 175 | 194 |
| Rev., 5.00%, 11/15/2028 | 500 | 560 |
| Rev., 5.00%, 11/15/2029 | 1,000 | 1,131 |
| Total Missouri | | 5,923 |
| Montana — 0.0% ^ |
| Silver Bow County School District No. 1, GO, 5.00%, 7/1/2029 | 5 | 6 |
| Nebraska — 0.5% |
| Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2042 | 2,550 | 2,793 |
| Nevada — 0.2% |
| County of Clark, Nevada Improvement District No. 158, 5.00%, 8/1/2034 | 10 | 11 |
| County of Clark, Southern California Edison Co., Rev., 2.10%, 6/1/2031 | 1,215 | 1,050 |
| Total Nevada | | 1,061 |
| New Hampshire — 0.4% |
| New Hampshire Business Finance Authority, St. Luke's Hospital Obligated Group | | |
| Series 2021B, Rev., 5.00%, 8/15/2032 | 1,475 | 1,676 |
| Series 2021B, Rev., 5.00%, 8/15/2035 | 650 | 732 |
| Total New Hampshire | | 2,408 |
| New Jersey — 3.8% |
| Burlington County Bridge Commission, Government Leasing Program, Rev., 5.00%, 4/1/2030 | 435 | 499 |
| Camden County Improvement Authority (The), Camden Prep High School Project | | |
| Rev., 4.00%, 7/15/2027 (c) | 215 | 214 |
| Rev., 5.00%, 7/15/2032 (c) | 285 | 296 |
| Rev., 5.00%, 7/15/2042 (c) | 585 | 597 |
| County of Morris, GO, 3.00%, 2/1/2030 | 20 | 20 |
| New Jersey Economic Development Authority, School Facilities Construction Series PP, Rev., 5.00%, 6/15/2024 (e) | 5,000 | 5,269 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| New Jersey — continued |
| New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Series A, Rev., 5.00%, 6/15/2028 | 3,000 | 3,233 |
| New Jersey Transportation Trust Fund Authority, Transportation Program | | |
| Series 2013AA, Rev., 5.00%, 6/15/2036 | 2,500 | 2,551 |
| Series 2020AA, Rev., 4.00%, 6/15/2050 | 1,125 | 1,046 |
| Series 2020AA, Rev., 5.00%, 6/15/2050 | 1,000 | 1,054 |
| New Jersey Turnpike Authority Series 2017B, Rev., 4.00%, 1/1/2035 | 5 | 5 |
| State of New Jersey, COVID-19 Emergency Bonds Series 2020A, GO, 5.00%, 6/1/2029 | 5,000 | 5,588 |
| Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2027 | 2,800 | 3,013 |
| Township of Branchburg, GO, 3.00%, 9/1/2028 | 40 | 40 |
| Total New Jersey | | 23,425 |
| New Mexico — 0.0% ^ |
| State of New Mexico, Severance Tax Permanent Fund Series 2018A, Rev., 5.00%, 7/1/2022 | 25 | 25 |
| New York — 14.2% |
| Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. | | |
| Rev., 4.00%, 7/1/2031 | 100 | 100 |
| Rev., 4.00%, 7/1/2036 | 160 | 159 |
| Build NYC Resource Corp., New World Preparatory Charter School Project | | |
| Series 2021A, Rev., 4.00%, 6/15/2031 | 150 | 145 |
| Series 2021A, Rev., 4.00%, 6/15/2056 | 225 | 188 |
| City of New York, Fiscal Year 2018 | | |
| Series B, Subseries B-4, GO, VRDO, LIQ : Barclays Bank plc, 0.28%, 5/2/2022 (b) | 5,000 | 5,000 |
| Subseries B-5, GO, VRDO, LIQ : Barclays Bank plc, 0.28%, 5/2/2022 (b) | 8,900 | 8,900 |
| Series 2018-1, GO, 5.00%, 8/1/2030 | 20 | 22 |
| City of New York, Fiscal Year 2021 Subseries F-1, GO, 4.00%, 3/1/2040 | 1,020 | 1,023 |
| County of St. Lawrence, GO, AGM, 3.00%, 5/15/2034 | 10 | 10 |
| Erie County Industrial Development Agency (The), School District Buffalo Project Series 2015A, Rev., 5.00%, 5/1/2024 | 40 | 42 |
| Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017 | | |
| Series A, Rev., 5.00%, 2/15/2033 | 1,500 | 1,642 |
| Series A, Rev., 5.00%, 2/15/2034 | 40 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| New York — continued |
| Island Park Union Free School District Series 2019, GO, 4.00%, 7/15/2033 | 40 | 42 |
| Long Island Power Authority Series 2019-A, Rev., 3.00%, 9/1/2036 | 10 | 9 |
| Metropolitan Transportation Authority | | |
| Series 2012 G-1, Rev., VRDO, LOC : Barclays Bank plc, 0.28%, 5/2/2022 (b) | 475 | 475 |
| Series 2015F, Rev., 5.00%, 11/15/2025 | 15 | 16 |
| Subseries C-1, Rev., 5.25%, 11/15/2028 | 5,000 | 5,345 |
| Nassau County Interim Finance Authority Series 2021A, Rev., 5.00%, 11/15/2034 | 1,275 | 1,490 |
| New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019 Series S-2A, Rev., 5.00%, 7/15/2032 | 40 | 44 |
| New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2010 Subseries 2010G-6, Rev., VRDO, LIQ : Barclays Bank plc, 0.28%, 5/2/2022 (b) | 2,900 | 2,900 |
| New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 Series I, Rev., 3.00%, 5/1/2022 | 150 | 150 |
| New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 Series 2021D, Subseries D-1, Rev., 4.00%, 11/1/2042 | 3,000 | 2,987 |
| New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022F, Subseries F-1, Rev., 5.00%, 2/1/2036 | 1,005 | 1,138 |
| New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series FF, Rev., 5.00%, 6/15/2031 | 3,000 | 3,203 |
| New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured Series 2016B, Rev., AGM-CR, Zero Coupon, 11/15/2052 | 10,000 | 2,187 |
| New York Liberty Development Corp. | | |
| Rev., 2.25%, 2/15/2041 | 500 | 364 |
| Rev., 2.75%, 2/15/2044 | 1,000 | 781 |
| New York State Dormitory Authority Series 2018A, Rev., 5.00%, 7/1/2038 | 3,500 | 3,932 |
| New York State Dormitory Authority, School Districts Financing Program Series 2018A, Rev., 5.00%, 10/1/2030 | 875 | 958 |
| New York State Dormitory Authority, State Personal Income Tax, General Purpose | | |
| Series 2021E, Rev., 5.00%, 3/15/2032 | 165 | 191 |
| Series D, Rev., 4.00%, 2/15/2037 | 5,500 | 5,562 |
| Series 2020 A, Rev., 4.00%, 3/15/2044 | 1,000 | 997 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| New York — continued |
| New York State Dormitory Authority, State Sales Tax | | |
| Series 2017-A, Rev., 5.00%, 3/15/2028 | 5 | 5 |
| Series 2014A, Rev., 5.00%, 3/15/2033 | 1,000 | 1,043 |
| New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, New York City Municipal Water Finance Authority | | |
| Series 2017A, Rev., 5.00%, 6/15/2027 | 3,500 | 3,918 |
| Series 2017A, Rev., 5.00%, 6/15/2028 | 2,000 | 2,228 |
| New York State Thruway Authority, Junior Lien | | |
| Series 2016-A, Rev., 5.00%, 1/1/2025 | 25 | 27 |
| Series J, Rev., 5.00%, 1/1/2025 | 5 | 5 |
| Series 2016A, Rev., 5.00%, 1/1/2027 | 125 | 135 |
| New York State Urban Development Corp., Sales Tax Series 2021 A, Rev., 4.00%, 3/15/2046 | 1,000 | 992 |
| New York State Urban Development Corp., State Personal Income Tax, General Purpose Series 2017C, Rev., 5.00%, 3/15/2027 | 5,475 | 6,062 |
| Port Authority of New York & New Jersey, Consolidated Series 194, Rev., 5.00%, 10/15/2041 | 6,500 | 6,926 |
| Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series A, Rev., 5.00%, 10/15/2024 (e) | 1,890 | 2,008 |
| Syracuse Industrial Development Agency, School District Series 2019-A, Rev., 4.00%, 5/1/2034 | 10 | 10 |
| Utility Debt Securitization Authority Series 2013TE, Rev., 5.00%, 12/15/2028 | 4,000 | 4,172 |
| Utility Debt Securitization Authority, Federally Tax-Exempt Series 2013TE, Rev., 5.00%, 12/15/2041 | 4,250 | 4,421 |
| Village of Stewart Manor, Public Improvement | | |
| GO, 5.00%, 8/1/2026 | 20 | 22 |
| GO, 4.00%, 8/1/2028 | 20 | 21 |
| Wellsville Central School District, GO, AGM, 5.00%, 6/15/2023 | 20 | 21 |
| Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project | | |
| Series 2021D, Rev., 2.88%, 7/1/2026 (c) | 465 | 445 |
| Series 2021C, Rev., 3.20%, 7/1/2028 (c) | 3,025 | 2,843 |
| Series 2021A, Rev., 5.00%, 7/1/2046 (c) | 1,000 | 933 |
| Total New York | | 86,283 |
| North Carolina — 1.9% |
| City of Sanford, Enterprise System, Rev., 5.00%, 6/1/2031 | 570 | 645 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 17 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| North Carolina — continued |
| County of Chatham | | |
| Series 2021A, Rev., 5.00%, 11/1/2032 | 150 | 176 |
| Series 2021A, Rev., 5.00%, 11/1/2033 | 275 | 322 |
| Series 2021A, Rev., 5.00%, 11/1/2034 | 225 | 262 |
| County of Duplin | | |
| Rev., 5.00%, 6/1/2029 | 140 | 157 |
| Rev., 5.00%, 6/1/2031 | 135 | 155 |
| County of Wake, Rev., 5.00%, 3/1/2032 | 1,000 | 1,163 |
| Mecklenburg County Public Facilities Corp., Rev., 5.00%, 2/1/2026 | 10 | 11 |
| North Carolina Capital Facilities Finance Agency, High Point University | | |
| Rev., 5.00%, 5/1/2029 | 525 | 582 |
| Rev., 5.00%, 5/1/2030 | 560 | 623 |
| Rev., 4.00%, 5/1/2032 | 1,000 | 1,031 |
| North Carolina Medical Care Commission, The Forest at Duke Project, Rev., 4.00%, 9/1/2034 | 190 | 193 |
| North Carolina Medical Care Commission, Moses Cone Health System Series 2001B, Rev., VRDO, LIQ : Bank of Montreal, 0.29%, 5/2/2022 (b) | 5,000 | 5,000 |
| North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 1/1/2029 | 700 | 767 |
| University of North Carolina at Chapel Hill Series B, Rev., VRDO, LIQ : TD Bank NA, 0.28%, 5/2/2022 (b) | 575 | 575 |
| University of North Carolina at Greensboro, Rev., 4.00%, 4/1/2035 | 10 | 10 |
| Total North Carolina | | 11,672 |
| North Dakota — 0.2% |
| City of Grand Forks, Rev., 4.00%, 12/1/2038 | 1,200 | 1,192 |
| Ohio — 1.8% |
| Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron Series 2022A, Rev., 5.00%, 11/15/2029 (d) | 650 | 727 |
| American Municipal Power, Inc., Fremont Energy Center Project Series 2021A, Rev., 5.00%, 2/15/2033 | 1,250 | 1,412 |
| Butler County Port Authority, Community First Solutions | | |
| Series 2021A, Rev., 4.00%, 5/15/2038 | 110 | 115 |
| Series 2021A, Rev., 4.00%, 5/15/2039 | 110 | 114 |
| Series 2021A, Rev., 4.00%, 5/15/2040 | 120 | 125 |
| Series 2021A, Rev., 4.00%, 5/15/2041 | 125 | 130 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Ohio — continued |
| City of Lakewood, Limited Tax, Various Purpose, GO, 5.00%, 12/1/2027 | 250 | 281 |
| County of Hamilton Series 2021A, GO, 5.00%, 12/1/2031 | 1,190 | 1,398 |
| Miami University, General Receipts Series 2021A, Rev., 5.00%, 9/1/2035 | 760 | 862 |
| Northeast Ohio Medical University | | |
| Series 2021A, Rev., 5.00%, 12/1/2030 | 70 | 76 |
| Series 2021A, Rev., 4.00%, 12/1/2035 | 150 | 151 |
| Ohio Higher Educational Facility Commission, John Carroll University | | |
| Rev., 5.00%, 10/1/2028 | 370 | 402 |
| Rev., 5.00%, 10/1/2029 | 445 | 485 |
| Rev., 5.00%, 10/1/2030 | 425 | 465 |
| Rev., 5.00%, 10/1/2031 | 645 | 706 |
| Rev., 5.00%, 10/1/2032 | 700 | 762 |
| Ohio Turnpike and Infrastructure Commission, Junior Lien Series 2022A, Rev., 5.00%, 2/15/2031 (d) | 1,000 | 1,130 |
| State of Ohio Series 2016A, GO, 5.00%, 9/1/2025 | 385 | 416 |
| State of Ohio, Capital Facilities Lease Appropriation Series 2018A, Rev., 5.00%, 4/1/2028 | 1,020 | 1,149 |
| Total Ohio | | 10,906 |
| Oklahoma — 0.6% |
| Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | | |
| Rev., 5.00%, 10/1/2022 | 250 | 253 |
| Rev., 5.00%, 10/1/2023 | 180 | 187 |
| Rev., 5.00%, 10/1/2025 | 500 | 535 |
| Rev., 5.00%, 10/1/2026 | 500 | 543 |
| Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2038 | 2,000 | 2,149 |
| Total Oklahoma | | 3,667 |
| Oregon — 2.1% |
| City of Portland, Second Lien Sewer System Series B, Rev., 4.00%, 10/1/2036 | 2,180 | 2,237 |
| County of Marion, GO, AMBAC, 5.50%, 6/1/2023 | 100 | 104 |
| Hospital Facilities Authority of Multnomah County Oregon | | |
| Series 2021B-2, Rev., 0.95%, 6/1/2027 | 5,800 | 5,097 |
| Series 2021B-1, Rev., 1.20%, 6/1/2028 | 2,000 | 1,717 |
| Linn & Benton Counties, School District No. 8J, Greater Albany, GO, 5.00%, 6/15/2030 | 500 | 555 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Oregon — continued |
| Oregon State Facilities Authority, Peacehealth Series 2018 B, Rev., VRDO, LOC : TD Bank NA, 0.28%, 5/2/2022 (b) | 1,100 | 1,100 |
| Salem Hospital Facility Authority, Capital Manor Project | | |
| Rev., 5.00%, 5/15/2028 | 155 | 163 |
| Rev., 4.00%, 5/15/2029 | 130 | 130 |
| Rev., 4.00%, 5/15/2030 | 190 | 188 |
| Rev., 4.00%, 5/15/2031 | 200 | 197 |
| Rev., 4.00%, 5/15/2032 | 185 | 182 |
| Tri-County Metropolitan Transportation District of Oregon Series 2017A, Rev., 5.00%, 10/1/2023 | 50 | 52 |
| Washington Counties, Hillsborough School District No. 1J, GO, 5.00%, 6/15/2027 | 570 | 635 |
| Yamhill County Hospital Authority Series 2021A, Rev., 5.00%, 11/15/2056 | 240 | 218 |
| Total Oregon | | 12,575 |
| Pennsylvania — 1.6% |
| Berks County Industrial Development Authority, Tower Health Project | | |
| Rev., 5.00%, 11/1/2027 | 350 | 366 |
| Rev., 5.00%, 11/1/2028 | 450 | 468 |
| Rev., 5.00%, 11/1/2029 | 150 | 155 |
| Rev., 5.00%, 11/1/2030 | 150 | 154 |
| Bucks County Industrial Development Authority, Grand View Hospital Project, Rev., 5.00%, 7/1/2036 | 1,225 | 1,296 |
| Commonwealth Financing Authority, Tobacco Master Settlement Payment | | |
| Rev., 5.00%, 6/1/2024 | 500 | 522 |
| Rev., 5.00%, 6/1/2025 | 630 | 668 |
| Rev., 5.00%, 6/1/2026 | 380 | 409 |
| Rev., 5.00%, 6/1/2027 | 500 | 544 |
| Rev., 5.00%, 6/1/2028 | 880 | 966 |
| Rev., 5.00%, 6/1/2029 | 380 | 415 |
| County of Lancaster Series 2016-A, GO, 4.00%, 5/1/2026 | 15 | 16 |
| County of Montgomery Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2043 | 2,000 | 1,984 |
| Fairview School District Series A, GO, 4.00%, 2/1/2028 | 10 | 10 |
| Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living, Rev., 4.00%, 7/1/2030 | 335 | 347 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Pennsylvania — continued |
| Pennsylvania Turnpike Commission Series 2021 B, Rev., 5.00%, 12/1/2025 | 165 | 178 |
| Sayre Health Care Facilities Authority, Guthrie Health Issue, Rev., (ICE LIBOR USD 3 Month + 0.78%), 1.13%, 6/1/2022 (f) | 1,475 | 1,473 |
| Township of Lower Paxton Series 2020A, GO, 4.00%, 4/1/2032 | 15 | 16 |
| Total Pennsylvania | | 9,987 |
| Rhode Island — 0.0% ^ |
| Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax Series 2016A, Rev., 5.00%, 10/1/2029 | 10 | 11 |
| South Carolina — 0.0% ^ |
| City of Charleston, Waterworks & Sewer System, Rev., 5.00%, 1/1/2028 | 15 | 16 |
| Spartanburg County Tourist Public Facilities Corp., COP, 4.00%, 4/1/2028 | 10 | 11 |
| Total South Carolina | | 27 |
| Tennessee — 3.7% |
| City of Memphis, Electric System, Rev., 5.00%, 12/1/2026 | 345 | 382 |
| County of Coffee | | |
| Series 2021A, GO, 5.00%, 6/1/2025 | 105 | 113 |
| Series 2021C, GO, 5.00%, 6/1/2025 | 110 | 118 |
| Series 2021B, GO, 5.00%, 6/1/2026 | 150 | 165 |
| Series 2021A, GO, 5.00%, 6/1/2027 | 120 | 134 |
| Series 2021B, GO, 5.00%, 6/1/2027 | 160 | 178 |
| Series 2021A, GO, 5.00%, 6/1/2028 | 125 | 141 |
| Series 2021B, GO, 5.00%, 6/1/2028 | 165 | 186 |
| Series 2021C, GO, 5.00%, 6/1/2028 | 460 | 519 |
| Series 2021A, GO, 5.00%, 6/1/2029 | 135 | 155 |
| Series 2021B, GO, 5.00%, 6/1/2029 | 175 | 200 |
| Series 2021C, GO, 5.00%, 6/1/2029 | 490 | 561 |
| Series 2021B, GO, 5.00%, 6/1/2030 | 180 | 208 |
| Series 2021C, GO, 5.00%, 6/1/2030 | 215 | 248 |
| Series 2021A, GO, 5.00%, 6/1/2031 | 100 | 117 |
| Metropolitan Government Nashville and Davidson County Health and Educational Facilities, The Blakeford at Green Hills Corp. Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305 | 1,241 |
| Metropolitan Government Nashville and Davidson County Health and Educational Facilities, Trevecca Nazarene University Project | | |
| Series 2021B, Rev., 4.00%, 10/1/2026 | 150 | 150 |
| Series 2021B, Rev., 4.00%, 10/1/2027 | 195 | 194 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 19 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Tennessee — continued |
| Series 2021B, Rev., 4.00%, 10/1/2028 | 200 | 198 |
| Series 2021B, Rev., 4.00%, 10/1/2029 | 200 | 196 |
| Series 2021B, Rev., 4.00%, 10/1/2030 | 105 | 102 |
| Metropolitan Nashville Airport Authority (The), Subordinate Airport Series 2019A, Rev., 5.00%, 7/1/2034 | 130 | 144 |
| Tennessee Energy Acquisition Corp., Commodity Project Series 2021A, Rev., VRDO, 5.00%, 11/1/2031 (b) | 7,755 | 8,433 |
| Tennessee Energy Acquisition Corp., Gas Project, Rev., VRDO, 4.00%, 11/1/2025 (b) | 8,000 | 8,155 |
| Total Tennessee | | 22,238 |
| Texas — 10.3% |
| Baytown Municipal Development District, Third-Lien Hotel | | |
| Series 2021C, Rev., 5.00%, 10/1/2028 | 890 | 995 |
| Series 2021C, Rev., 5.00%, 10/1/2029 | 465 | 524 |
| Series 2021C, Rev., 5.00%, 10/1/2030 | 485 | 551 |
| Series 2021C, Rev., 5.00%, 10/1/2031 | 515 | 590 |
| Series 2021C, Rev., 5.00%, 10/1/2032 | 535 | 610 |
| Bexar County Hospital District, GO, 4.00%, 2/15/2035 | 10 | 10 |
| Board of Regents of the University of Texas System Financing System Series 2014B, Rev., 5.00%, 8/15/2026 | 5,000 | 5,497 |
| Central Texas Regional Mobility Authority, Senior Lien Series 2021D, Rev., 4.00%, 1/1/2044 | 2,000 | 1,976 |
| City of Austin, Airport System, Rev., AMT, 5.00%, 11/15/2034 (d) | 1,500 | 1,664 |
| City of Cibolo, GO, 4.00%, 2/1/2026 | 410 | 431 |
| City of Edinburg Series 2021A, GO, AGM, 5.00%, 3/1/2030 | 500 | 573 |
| City of El Paso, Water and Sewer, Rev., 5.00%, 3/1/2031 | 1,250 | 1,446 |
| City of Ennis, GO, 4.00%, 2/1/2031 | 225 | 240 |
| City of Houston, Airport System Series 2021A, Rev., AMT, 5.00%, 7/1/2032 | 950 | 1,049 |
| City of Houston, Airport System, United Airlines, Inc., Terminal Improvements Projects Series 2021B-1, Rev., AMT, 4.00%, 7/15/2041 | 400 | 363 |
| City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, 5.75%, 12/1/2032 (e) | 5,550 | 7,021 |
| City of Houston, Public Improvement Series 2014A, GO, 5.00%, 3/1/2024 (e) | 4,000 | 4,189 |
| City of Portland, GO, 3.00%, 8/15/2029 | 100 | 101 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Texas — continued |
| Clifton Higher Education Finance Corp., Idea Public Schools, Rev., PSF-GTD, 5.00%, 8/15/2030 | 460 | 523 |
| Collin County Community College District, Limited Tax, GO, 5.00%, 8/15/2026 | 1,000 | 1,102 |
| Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 2.50%, 10/1/2031 | 100 | 85 |
| County of El Paso, GO, 5.00%, 2/15/2032 | 1,490 | 1,655 |
| Fort Bend County Municipal Utility District No. 169 | | |
| Series 2021A, GO, AGM, 4.00%, 12/1/2025 | 50 | 52 |
| Series 2021A, GO, AGM, 4.00%, 12/1/2026 | 250 | 263 |
| Lower Colorado River Authority, Rev., 5.00%, 5/15/2031 | 2,760 | 3,142 |
| Lower Colorado River Authority, LCRA Transmission Services Corp. Project | | |
| Rev., 5.00%, 5/15/2034 | 220 | 245 |
| Series 2020A, Rev., 5.00%, 5/15/2035 | 1,000 | 1,112 |
| Rev., 5.00%, 5/15/2036 | 1,495 | 1,648 |
| Series 2020A, Rev., 5.00%, 5/15/2036 | 1,000 | 1,109 |
| Rev., 5.00%, 5/15/2037 | 1,250 | 1,385 |
| Rev., 5.00%, 5/15/2038 | 1,500 | 1,646 |
| Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project, Rev., VRDO, 0.27%, 5/2/2022 (b) | 8,000 | 8,000 |
| New Hope Cultural Education Facilities Finance Corp., Jubilee Academic Center, Inc., Rev., 4.00%, 8/15/2031 (c) | 485 | 464 |
| New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project, Rev., 4.00%, 1/1/2037 (d) | 100 | 87 |
| New Hope Cultural Education Facilities Finance Corp., Westminster Project, Rev., 4.00%, 11/1/2055 | 100 | 90 |
| North Texas Tollway Authority System, First Tier | | |
| Series A, Rev., 5.00%, 1/1/2026 | 200 | 203 |
| Series 2017A, Rev., 5.00%, 1/1/2027 | 550 | 594 |
| Series 2017A, Rev., 5.00%, 1/1/2030 | 360 | 385 |
| Series 2017A, Rev., 5.00%, 1/1/2035 | 600 | 647 |
| North Texas Tollway Authority System, Second Tier | | |
| Series 2017B, Rev., 5.00%, 1/1/2026 | 150 | 153 |
| Series 2017B, Rev., 5.00%, 1/1/2027 | 300 | 323 |
| Series 2017B, Rev., 5.00%, 1/1/2030 | 400 | 428 |
| Northwest Independent School District, GO, PSF-GTD, 5.00%, 2/15/2031 (d) | 3,635 | 4,230 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Texas — continued |
| San Antonio Education Facilities Corp., Hallmark University Project Series 2021A, Rev., 5.00%, 10/1/2041 | 200 | 187 |
| San Antonio Education Facilities Corp., University of the Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2037 | 600 | 593 |
| San Antonio Water System, Junior Lien Series 2020C, Rev., 5.00%, 5/15/2029 | 1,500 | 1,713 |
| San Jacinto Community College District, Limited Tax Series 2019-A, GO, 5.00%, 2/15/2029 | 120 | 137 |
| Trinity River Authority, Walker-Calloway System | | |
| Rev., 5.00%, 2/1/2026 | 275 | 296 |
| Rev., 5.00%, 2/1/2027 | 290 | 317 |
| Rev., 5.00%, 2/1/2028 | 305 | 338 |
| Rev., 5.00%, 2/1/2029 | 320 | 356 |
| Rev., 5.00%, 2/1/2030 | 340 | 379 |
| Rev., 5.00%, 2/1/2031 | 355 | 392 |
| Tyler Independent School District, GO, PSF-GTD, 5.00%, 2/15/2028 | 175 | 194 |
| Total Texas | | 62,303 |
| Utah — 0.6% |
| Mida Golf and Equestrian Center Public Infrastructure District, Limited Tax, GO, 4.13%, 6/1/2036 (c) | 895 | 762 |
| Military Installation Development Authority, Tax Allocation and Hotel Tax | | |
| Series 2021A-1, Rev., 4.00%, 6/1/2036 | 100 | 87 |
| Series 2021A-2, Rev., 4.00%, 6/1/2036 | 100 | 87 |
| Series 2021A-1, Rev., 4.00%, 6/1/2041 | 100 | 83 |
| University of Utah (The) Series 2019-A, Rev., 5.00%, 8/1/2035 | 250 | 281 |
| Utah Infrastructure Agency Telecommunications and Franchise Tax, Rev., 4.00%, 10/15/2025 (e) | 250 | 263 |
| Utah Infrastructure Agency, Tax-Exempt Telecommunications | | |
| Rev., 5.00%, 10/15/2027 (d) | 100 | 105 |
| Rev., 4.00%, 10/15/2031 | 500 | 475 |
| Rev., 5.00%, 10/15/2032 (d) | 100 | 102 |
| Rev., 4.00%, 10/15/2033 | 525 | 487 |
| Weber Basin Water Conservancy District | | |
| Series 2017B, Rev., 5.00%, 10/1/2030 | 250 | 279 |
| Series 2017B, Rev., 5.00%, 10/1/2031 | 470 | 523 |
| Total Utah | | 3,534 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Virginia — 0.8% |
| Fairfax County Economic Development Authority Series 2021 A, Rev., 5.00%, 10/1/2034 | 1,520 | 1,759 |
| Henrico County Economic Development Authority, Westminster Canterbury Richmond, Rev., 4.00%, 10/1/2040 | 330 | 321 |
| Lynchburg Economic Development Authority, Central Health, Inc., Rev., 4.00%, 1/1/2037 | 825 | 827 |
| Virginia Public School Authority Series 2017C, Rev., 5.00%, 8/1/2028 | 500 | 556 |
| Virginia Small Business Financing Authority, The Obligated Group of National Senior Campuses, Inc. Series 2020A, Rev., 5.00%, 1/1/2034 | 1,200 | 1,293 |
| Total Virginia | | 4,756 |
| Washington — 3.9% |
| Energy Northwest, Rev., 5.00%, 7/1/2026 | 10 | 11 |
| Port of Seattle, Intermediate Lien | | |
| Series 2015B, Rev., 5.00%, 3/1/2033 | 3,750 | 3,934 |
| Series 2015B, Rev., 5.00%, 3/1/2034 | 1,000 | 1,049 |
| State of Washington, Various Purpose | | |
| Series R-2018C, GO, 5.00%, 8/1/2034 | 900 | 993 |
| Series 2021C, GO, 5.00%, 2/1/2037 | 5,170 | 5,908 |
| University of Washington | | |
| Series 2020C, Rev., 5.00%, 4/1/2034 | 3,495 | 3,972 |
| Series 2020C, Rev., 5.00%, 4/1/2035 | 500 | 567 |
| Washington Health Care Facilities Authority, Providence St. Joseph Health | | |
| Series 2018B, Rev., 5.00%, 10/1/2025 | 1,250 | 1,341 |
| Series 2018B, Rev., 5.00%, 10/1/2026 | 1,500 | 1,634 |
| Series 2018B, Rev., 5.00%, 10/1/2027 | 2,500 | 2,760 |
| Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (c) | 1,415 | 1,265 |
| Total Washington | | 23,434 |
| West Virginia — 0.5% |
| State of West Virginia Series 2021A, GO, 5.00%, 6/1/2032 | 2,600 | 3,018 |
| Wisconsin — 1.3% |
| City of Milwaukee, Sewerage System | | |
| Series 2021-S2, Rev., 5.00%, 6/1/2029 | 580 | 664 |
| Series 2021-S2, Rev., 5.00%, 6/1/2030 | 750 | 866 |
| Public Finance Authority, Ascend Leadership Academy Project Series 2021A, Rev., 5.00%, 6/15/2041 (c) | 130 | 114 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 21 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Municipal Bonds — continued |
| Wisconsin — continued |
| Public Finance Authority, Coral Academy of Science | | |
| Series 2021A, Rev., 4.00%, 7/1/2030 | 305 | 297 |
| Series 2021A, Rev., 4.00%, 7/1/2041 | 500 | 454 |
| Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 | 215 | 198 |
| Public Finance Authority, Roseman University of Health Sciences Project, Rev., 4.00%, 4/1/2032 (c) | 100 | 99 |
| Public Finance Authority, Scotland Healthcare System | | |
| Series 2021A, Rev., 5.00%, 10/1/2025 | 695 | 744 |
| Series 2021A, Rev., 5.00%, 10/1/2026 | 730 | 793 |
| Public Finance Authority, The Carmelite System, Inc., Obligated Group, Rev., 3.25%, 1/1/2029 | 860 | 860 |
| Public Finance Authority, The Franklin School of Innovation, Rev., 5.00%, 1/1/2042 (c) | 105 | 101 |
| Public Finance Authority, Triad Math and Science Academy Co. | | |
| Series 2021A, Rev., 4.00%, 6/15/2024 | 340 | 342 |
| Series 2021A, Rev., 4.00%, 6/15/2026 | 370 | 370 |
| Series 2021A, Rev., 4.00%, 6/15/2028 | 400 | 396 |
| Series 2021A, Rev., 4.00%, 6/15/2030 | 435 | 424 |
| Series 2021A, Rev., 4.00%, 6/15/2041 | 280 | 255 |
| Public Finance Authority, Viticus Group Project | | |
| Series 2022A, Rev., 4.00%, 12/1/2031 (c) | 100 | 94 |
| Series 2022A, Rev., 4.00%, 12/1/2041 (c) | 290 | 253 |
| Wisconsin Health and Educational Facilities Authority, Hope Christian Schools, Rev., 4.00%, 12/1/2041 | 160 | 143 |
| Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries, Rev., 4.00%, 1/1/2037 | 325 | 293 |
| Total Wisconsin | | 7,760 |
Total Municipal Bonds
(Cost $552,690) | | 521,895 |
| | SHARES
(000) | |
| Short Term Investments — 12.0% |
| Investment Companies — 12.0% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.34% (g) (h)
(Cost $73,113) | 73,091 | 73,113 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
Total Investments — 98.0%
(Cost $625,803) | | 595,008 |
| Other Assets Less Liabilities — 2.0% | | 12,245 |
| NET ASSETS — 100.0% | | 607,253 |
Percentages indicated are based on net assets. |
| Abbreviations | |
| AGM | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | Insured by American Municipal Bond Assurance Corp. |
| AMT | Alternative Minimum Tax |
| CCRC | Congregate Care Retirement Center |
| COP | Certificate of Participation |
| CR | Custodial Receipts |
| GO | General Obligation |
| GTD | Guaranteed |
| ICE | Intercontinental Exchange |
| LIBOR | London Interbank Offered Rate |
| LIQ | Liquidity Agreement |
| LOC | Letter of Credit |
| 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 |
| VRDO | Variable Rate Demand Obligation |
| ^ | Amount rounds to less than 0.1% of net assets. |
| (a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| (b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of April 30, 2022. | |
| (c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| (d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| (e) | Security is prerefunded or escrowed to maturity. | |
| (f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2022. | |
| (g) | 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. | |
| (h) | The rate shown is the current yield as of April 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
Centrally Cleared Inflation-linked swap contracts outstanding as of April 30, 2022 (amounts in thousands):
| FLOATING RATE INDEX(a) | FIXED RATE | PAY/
RECEIVE
FLOATING
RATE | MATURITY
DATE | NOTIONAL
AMOUNT | UPFRONT
PAYMENTS
(RECEIPTS)
$ | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | | VALUE ($) |
| CPI-U at termination | 2.74% at termination | Receive | 10/1/2026 | USD 14,803 | — | | 1,019 | | 1,019 |
| CPI-U at termination | 2.95% at termination | Receive | 1/28/2027 | USD 14,096 | — | | 611 | | 611 |
| CPI-U at termination | 3.15% at termination | Receive | 3/29/2032 | USD 45,079 | 83 | | 130 | | 213 |
| CPI-U at termination | 3.21% at termination | Receive | 2/15/2025 | USD 7,148 | — | | 252 | | 252 |
| CPI-U at termination | 3.21% at termination | Receive | 3/2/2027 | USD 14,288 | — | | 386 | | 386 |
| CPI-U at termination | 3.36% at termination | Receive | 11/18/2026 | USD 5,985 | — | | 222 | | 222 |
| CPI-U at termination | 3.36% at termination | Receive | 3/4/2027 | USD 48,446 | (399) | | 1,324 | | 925 |
| CPI-U at termination | 3.38% at termination | Receive | 11/18/2026 | USD 2,797 | — | | 101 | | 101 |
| CPI-U at termination | 3.41% at termination | Receive | 4/12/2027 | USD 8,872 | — | | 88 | | 88 |
| CPI-U at termination | 3.44% at termination | Receive | 3/14/2027 | USD 98,258 | (200) | | 1,516 | | 1,316 |
| CPI-U at termination | 3.45% at termination | Receive | 3/14/2027 | USD 51,874 | (138) | | 795 | | 657 |
| CPI-U at termination | 3.46% at termination | Receive | 4/13/2027 | USD 14,788 | — | | 108 | | 108 |
| CPI-U at termination | 3.57% at termination | Receive | 5/3/2027 | USD 30,773 | (83) | | 41 | | (42) |
| CPI-U at termination | 4.45% at termination | Receive | 4/22/2024 | USD 7,548 | — | | 16 | | 16 |
| CPI-U at termination | 4.48% at termination | Receive | 3/21/2024 | USD 3,962 | — | | 24 | | 24 |
| CPI-U at termination | 5.30% at termination | Receive | 4/4/2023 | USD 17,297 | — | | 71 | | 71 |
| | | | | | (737) | | 6,704 | | 5,967 |
| CPI-U at termination | 3.68% at termination | Receive | 3/29/2027 | USD 5,538 | (2) | | (5) | | (7) |
| CPI-U at termination | 3.69% at termination | Receive | 3/29/2027 | USD 125,074 | (99) | | (125) | | (224) |
| CPI-U at termination | 5.43% at termination | Receive | 5/3/2023 | USD 6,070 | — | | (10) | | (10) |
| CPI-U at termination | 5.98% at termination | Receive | 3/29/2023 | USD 2,909 | — | | (5) | | (5) |
| | | | | | (101) | | (145) | | (246) |
| | | | | | (838) | | 6,559 | | 5,721 |
| Abbreviations | |
| CPI-U | Consumer Price Index for All Urban Consumers |
| USD | United States Dollar |
| (a) Value of floating rate index at April 30, 2022 was as follows: |
| FLOATING RATE INDEX | | VALUE |
| CPI-U | | 2.89% |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 23 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited)
(Amounts in thousands, except per share amounts)
| | JPMorgan
Tax Aware
Equity Fund | | JPMorgan
Tax Aware Real
Return Fund |
| ASSETS: | | | |
| Investments in non-affiliates, at value | $1,167,990 | | $ 521,895 |
| Investments in affiliates, at value | 3,537 | | 73,113 |
| Cash | 2 | | 3,007 |
| Deposits at broker for centrally cleared swaps | — | | 18,365 |
| Receivables: | | | |
| Investment securities sold | 1,572 | | 3,070 |
| Investment securities sold — delayed delivery securities | — | | 100 |
| Fund shares sold | 734 | | 729 |
| Interest from non-affiliates | — | | 5,991 |
| Dividends from non-affiliates | 795 | | — |
| Dividends from affiliates | —(a) | | 18 |
| Total Assets | 1,174,630 | | 626,288 |
| LIABILITIES: | | | |
| Payables: | | | |
| Investment securities purchased | 1,209 | | — |
| Investment securities purchased — delayed delivery securities | — | | 14,386 |
| Fund shares redeemed | 1,239 | | 2,766 |
| Variation margin on centrally cleared swaps (net upfront receipts of $0 and $838, respectively) | — | | 1,585 |
| Accrued liabilities: | | | |
| Investment advisory fees | 355 | | 135 |
| Administration fees | 72 | | 17 |
| Distribution fees | 20 | | 23 |
| Service fees | 79 | | 44 |
| Custodian and accounting fees | 7 | | 18 |
| Trustees’ and Chief Compliance Officer’s fees | — | | —(a) |
| Other | 33 | | 61 |
| Total Liabilities | 3,014 | | 19,035 |
| Net Assets | $1,171,616 | | $ 607,253
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | JPMorgan
Tax Aware
Equity Fund | | JPMorgan
Tax Aware Real
Return Fund |
| NET ASSETS: | | | |
| Paid-in-Capital | $ 396,875 | | $ 711,838 |
| Total distributable earnings (loss) | 774,741 | | (104,585) |
| Total Net Assets: | $1,171,616 | | $ 607,253 |
| Net Assets: | | | |
| Class A | $ 39,105 | | $ 90,091 |
| Class C | 16,838 | | 6,697 |
| Class I | 688,449 | | 457,639 |
| Class R6 | 427,224 | | 52,826 |
| Total | $1,171,616 | | $ 607,253 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| Class A | 1,028 | | 9,456 |
| Class C | 453 | | 704 |
| Class I | 17,931 | | 47,918 |
| Class R6 | 11,123 | | 5,534 |
| Net Asset Value (a): | | | |
| Class A — Redemption price per share | $ 38.05 | | $ 9.53 |
| Class C — Offering price per share (b) | 37.15 | | 9.51 |
| Class I — Offering and redemption price per share | 38.40 | | 9.55 |
| Class R6 — Offering and redemption price per share | 38.41 | | 9.55 |
| Class A maximum sales charge | 5.25% | | 3.75% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 40.16 | | $ 9.90 |
| Cost of investments in non-affiliates | $ 491,275 | | $ 552,690 |
| Cost of investments in affiliates | 3,537 | | 73,113 |
| (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, 2022 | J.P. Morgan Tax Aware Funds | 25 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited)
(Amounts in thousands)
| | JPMorgan
Tax Aware
Equity Fund | | JPMorgan
Tax Aware Real
Return Fund |
| INVESTMENT INCOME: | | | |
| Interest income from non-affiliates | $ — | | $ 5,555 |
| Dividend income from non-affiliates | 6,125 | | — |
| Dividend income from affiliates | 4 | | 35 |
| Total investment income | 6,129 | | 5,590 |
| EXPENSES: | | | |
| Investment advisory fees | 2,316 | | 1,033 |
| Administration fees | 496 | | 221 |
| Distribution fees: | | | |
| Class A | 53 | | 124 |
| Class C | 69 | | 30 |
| Service fees: | | | |
| Class A | 53 | | 124 |
| Class C | 23 | | 10 |
| Class I | 960 | | 550 |
| Custodian and accounting fees | 22 | | 73 |
| Interest expense to affiliates | —(a) | | — |
| Professional fees | 30 | | 47 |
| Trustees’ and Chief Compliance Officer’s fees | 14 | | 13 |
| Printing and mailing costs | 31 | | 5 |
| Registration and filing fees | 49 | | 48 |
| Transfer agency fees (See Note 2.I) | 10 | | 4 |
| Other | 35 | | 10 |
| Total expenses | 4,161 | | 2,292 |
| Less fees waived | (603) | | (704) |
| Less expense reimbursements | (3) | | — |
| Net expenses | 3,555 | | 1,588 |
| Net investment income (loss) | $ 2,574 | | $ 4,002
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | JPMorgan
Tax Aware
Equity Fund | | JPMorgan
Tax Aware Real
Return Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | |
| Net realized gain (loss) on transactions from: | | | |
| Investments in non-affiliates | $ 98,856 | | $ (5,335) |
| Investments in affiliates | (2) | | (14) |
| Futures contracts | — | | (82) |
| Foreign currency transactions | —(a) | | — |
| Swaps | — | | 27,840 |
| Net realized gain (loss) | 98,854 | | 22,409 |
| Distribution of capital gain received from investment company affiliates | — | | 1 |
| Change in net unrealized appreciation/depreciation on: | | | |
| Investments in non-affiliates | (261,574) | | (47,921) |
| Investments in affiliates | —(a) | | (1) |
| Swaps | — | | (870) |
| Change in net unrealized appreciation/depreciation | (261,574) | | (48,792) |
| Net realized/unrealized gains (losses) | (162,720) | | (26,382) |
| Change in net assets resulting from operations | $(160,146) | | $(22,380) |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 27 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED
(Amounts in thousands)
| | JPMorgan Tax Aware Equity Fund | | JPMorgan Tax Aware Real Return Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 2,574 | | $ 6,211 | | $ 4,002 | | $ 6,491 |
| Net realized gain (loss) | 98,854 | | 216,878 | | 22,409 | | 33,316 |
| Distributions of capital gains received from investment company affiliates | — | | — | | 1 | | —(a) |
| Change in net unrealized appreciation/depreciation | (261,574) | | 223,729 | | (48,792) | | (779) |
| Change in net assets resulting from operations | (160,146) | | 446,818 | | (22,380) | | 39,028 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (5,822) | | (4,005) | | (560) | | (795) |
| Class C | (2,555) | | (1,733) | | (25) | | (39) |
| Class I | (105,929) | | (88,662) | | (3,088) | | (5,235) |
| Class R6 | (71,509) | | (69,665) | | (335) | | (444) |
| Total distributions to shareholders | (185,815) | | (164,065) | | (4,008) | | (6,513) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | 78,264 | | (17,513) | | 67,807 | | 258,426 |
| NET ASSETS: | | | | | | | |
| Change in net assets | (267,697) | | 265,240 | | 41,419 | | 290,941 |
| Beginning of period | 1,439,313 | | 1,174,073 | | 565,834 | | 274,893 |
| End of period | $1,171,616 | | $1,439,313 | | $607,253 | | $565,834 |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | JPMorgan Tax Aware Equity Fund | | JPMorgan Tax Aware Real Return Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 6,227 | | $ 6,213 | | $ 32,651 | | $ 65,111 |
| Distributions reinvested | 5,735 | | 3,935 | | 486 | | 693 |
| Cost of shares redeemed | (4,141) | | (5,023) | | (36,536) | | (7,320) |
| Change in net assets resulting from Class A capital transactions | 7,821 | | 5,125 | | (3,399) | | 58,484 |
| Class C | | | | | | | |
| Proceeds from shares issued | 2,573 | | 4,381 | | 2,607 | | 5,286 |
| Distributions reinvested | 2,496 | | 1,683 | | 23 | | 36 |
| Cost of shares redeemed | (2,491) | | (2,848) | | (2,695) | | (1,439) |
| Change in net assets resulting from Class C capital transactions | 2,578 | | 3,216 | | (65) | | 3,883 |
| Class I | | | | | | | |
| Proceeds from shares issued | 83,714 | | 155,474 | | 154,707 | | 237,630 |
| Distributions reinvested | 103,917 | | 86,764 | | 1,703 | | 2,990 |
| Cost of shares redeemed | (138,075) | | (203,733) | | (108,454) | | (51,812) |
| Change in net assets resulting from Class I capital transactions | 49,556 | | 38,505 | | 47,956 | | 188,808 |
| Class R6 | | | | | | | |
| Proceeds from shares issued | 27,926 | | 61,647 | | 27,824 | | 12,045 |
| Distributions reinvested | 71,177 | | 69,432 | | 273 | | 440 |
| Cost of shares redeemed | (80,794) | | (195,438) | | (4,782) | | (5,234) |
| Change in net assets resulting from Class R6 capital transactions | 18,309 | | (64,359) | | 23,315 | | 7,251 |
| Total change in net assets resulting from capital transactions | $ 78,264 | | $ (17,513) | | $ 67,807 | | $258,426 |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 139 | | 136 | | 3,309 | | 6,679 |
| Reinvested | 130 | | 101 | | 50 | | 72 |
| Redeemed | (95) | | (114) | | (3,743) | | (762) |
| Change in Class A Shares | 174 | | 123 | | (384) | | 5,989 |
| Class C | | | | | | | |
| Issued | 60 | | 99 | | 262 | | 544 |
| Reinvested | 58 | | 44 | | 2 | | 4 |
| Redeemed | (58) | | (64) | | (275) | | (148) |
| Change in Class C Shares | 60 | | 79 | | (11) | | 400 |
| Class I | | | | | | | |
| Issued | 1,887 | | 3,388 | | 15,752 | | 24,612 |
| Reinvested | 2,328 | | 2,193 | | 173 | | 309 |
| Redeemed | (3,009) | | (4,477) | | (11,078) | | (5,359) |
| Change in Class I Shares | 1,206 | | 1,104 | | 4,847 | | 19,562 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 29 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Tax Aware Equity Fund | | JPMorgan Tax Aware Real Return Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: (continued) | | | | | | | |
| Class R6 | | | | | | | |
| Issued | 625 | | 1,381 | | 2,826 | | 1,230 |
| Reinvested | 1,594 | | 1,754 | | 28 | | 45 |
| Redeemed | (1,838) | | (4,628) | | (490) | | (540) |
| Change in Class R6 Shares | 381 | | (1,493) | | 2,364 | | 735 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
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 | Net
realized
gain | Total
distributions |
| JPMorgan Tax Aware Equity Fund | | | | | | | | |
| Class A | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $49.77 | $ —(f) | $ (5.15) | $ (5.15) | | $(0.01) | $(6.56) | $(6.57) |
| Year Ended October 31, 2021 | 40.37 | 0.02 | 14.90 | 14.92 | | (0.04) | (5.48) | (5.52) |
| Year Ended October 31, 2020 | 36.83 | 0.17 | 5.79 | 5.96 | | (0.18) | (2.24) | (2.42) |
| 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) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 48.84 | (0.11) | (5.02) | (5.13) | | — | (6.56) | (6.56) |
| Year Ended October 31, 2021 | 39.86 | (0.20) | 14.66 | 14.46 | | — | (5.48) | (5.48) |
| Year Ended October 31, 2020 | 36.42 | (0.02) | 5.74 | 5.72 | | (0.04) | (2.24) | (2.28) |
| 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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 50.15 | 0.08 | (5.18) | (5.10) | | (0.09) | (6.56) | (6.65) |
| Year Ended October 31, 2021 | 40.64 | 0.20 | 15.00 | 15.20 | | (0.21) | (5.48) | (5.69) |
| Year Ended October 31, 2020 | 37.05 | 0.32 | 5.84 | 6.16 | | (0.33) | (2.24) | (2.57) |
| 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) |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 50.16 | 0.11 | (5.19) | (5.08) | | (0.11) | (6.56) | (6.67) |
| Year Ended October 31, 2021 | 40.64 | 0.25 | 15.00 | 15.25 | | (0.25) | (5.48) | (5.73) |
| Year Ended October 31, 2020 | 37.06 | 0.37 | 5.82 | 6.19 | | (0.37) | (2.24) | (2.61) |
| Year Ended October 31, 2019 | 33.68 | 0.38 | 4.33 | 4.71 | | (0.40) | (0.93) | (1.33) |
| October 1, 2018(h) 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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (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) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | 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(d) | |
| | | | | | | | |
| | | | | | | | |
| $38.05 | (12.20)% | $ 39,105 | 0.94(g)% | (0.02)(g)% | 0.95(g)% | 20% | |
| 49.77 | 40.69 | 42,525 | 0.94 | 0.05 | 0.95 | 21 | |
| 40.37 | 16.96 | 29,515 | 0.95 | 0.45 | 0.96 | 19 | |
| 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 | |
| | | | | | | | |
| 37.15 | (12.40) | 16,838 | 1.45(g) | (0.52)(g) | 1.46(g) | 20 | |
| 48.84 | 39.96 | 19,177 | 1.44 | (0.45) | 1.45 | 21 | |
| 39.86 | 16.40 | 12,499 | 1.45 | (0.05) | 1.46 | 19 | |
| 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 | |
| | | | | | | | |
| 38.40 | (12.01) | 688,449 | 0.55(g) | 0.38(g) | 0.70(g) | 20 | |
| 50.15 | 41.22 | 838,765 | 0.55 | 0.45 | 0.70 | 21 | |
| 40.64 | 17.47 | 634,799 | 0.55 | 0.85 | 0.71 | 19 | |
| 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 | |
| | | | | | | | |
| 38.41 | (11.96) | 427,224 | 0.44(g) | 0.49(g) | 0.45(g) | 20 | |
| 50.16 | 41.39 | 538,846 | 0.44 | 0.56 | 0.45 | 21 | |
| 40.64 | 17.57 | 497,260 | 0.44 | 0.98 | 0.45 | 19 | |
| 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, 2022 | J.P. Morgan Tax Aware Funds | 33 |
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 Tax Aware Real Return Fund | | | | | | |
| Class A | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $9.94 | $0.06 | $(0.41) | $(0.35) | | $(0.06) |
| Year Ended October 31, 2021 | 9.11 | 0.13 | 0.84 | 0.97 | | (0.14) |
| Year Ended October 31, 2020 | 9.25 | 0.18 | (0.13) | 0.05 | | (0.19) |
| Year Ended October 31, 2019 | 9.19 | 0.22 | 0.07 | 0.29 | | (0.23) |
| Year Ended October 31, 2018 | 9.46 | 0.23 | (0.26) | (0.03) | | (0.24) |
| Year Ended October 31, 2017 | 9.59 | 0.23 | (0.13) | 0.10 | | (0.23) |
| Class C | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 9.92 | 0.03 | (0.41) | (0.38) | | (0.03) |
| Year Ended October 31, 2021 | 9.09 | 0.08 | 0.84 | 0.92 | | (0.09) |
| Year Ended October 31, 2020 | 9.23 | 0.14 | (0.14) | —(g) | | (0.14) |
| Year Ended October 31, 2019 | 9.17 | 0.17 | 0.07 | 0.24 | | (0.18) |
| Year Ended October 31, 2018 | 9.43 | 0.18 | (0.25) | (0.07) | | (0.19) |
| Year Ended October 31, 2017 | 9.57 | 0.19 | (0.14) | 0.05 | | (0.19) |
| Class I | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 9.97 | 0.07 | (0.42) | (0.35) | | (0.07) |
| Year Ended October 31, 2021 | 9.13 | 0.16 | 0.84 | 1.00 | | (0.16) |
| Year Ended October 31, 2020 | 9.27 | 0.20 | (0.13) | 0.07 | | (0.21) |
| Year Ended October 31, 2019 | 9.21 | 0.24 | 0.07 | 0.31 | | (0.25) |
| Year Ended October 31, 2018 | 9.48 | 0.26 | (0.27) | (0.01) | | (0.26) |
| Year Ended October 31, 2017 | 9.61 | 0.26 | (0.13) | 0.13 | | (0.26) |
| Class R6 | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 9.96 | 0.07 | (0.41) | (0.34) | | (0.07) |
| Year Ended October 31, 2021 | 9.13 | 0.17 | 0.83 | 1.00 | | (0.17) |
| Year Ended October 31, 2020 | 9.27 | 0.23 | (0.15) | 0.08 | | (0.22) |
| Year Ended October 31, 2019 | 9.21 | 0.25 | 0.07 | 0.32 | | (0.26) |
| Year Ended October 31, 2018 | 9.48 | 0.27 | (0.27) | —(g) | | (0.27) |
| Year Ended October 31, 2017 | 9.61 | 0.26 | (0.12) | 0.14 | | (0.27) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | 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 | Portfolio
turnover
rate(d) | |
| | | | | | | | |
| | | | | | | | |
| $9.53 | (3.58)% | $ 90,091 | 0.74(f)% | 1.15(f)% | 0.99(f)% | 18% | |
| 9.94 | 10.68 | 97,845 | 0.75 | 1.33 | 1.01 | 7 | |
| 9.11 | 0.57 | 35,094 | 0.75 | 1.96 | 1.01 | 12 | |
| 9.25 | 3.14 | 39,846 | 0.76 | 2.32 | 0.99 | 4 | |
| 9.19 | (0.36) | 33,051 | 0.74 | 2.47 | 0.98 | 30 | |
| 9.46 | 1.12 | 56,720 | 0.73 | 2.47 | 0.97 | 20 | |
| | | | | | | | |
| 9.51 | (3.82) | 6,697 | 1.24(f) | 0.64(f) | 1.50(f) | 18 | |
| 9.92 | 10.17 | 7,095 | 1.25 | 0.84 | 1.51 | 7 | |
| 9.09 | 0.04 | 2,859 | 1.25 | 1.50 | 1.51 | 12 | |
| 9.23 | 2.60 | 8,353 | 1.26 | 1.85 | 1.48 | 4 | |
| 9.17 | (0.76) | 18,315 | 1.24 | 1.97 | 1.48 | 30 | |
| 9.43 | 0.50 | 26,545 | 1.23 | 1.98 | 1.49 | 20 | |
| | | | | | | | |
| 9.55 | (3.54) | 457,639 | 0.49(f) | 1.40(f) | 0.74(f) | 18 | |
| 9.97 | 11.04 | 429,314 | 0.50 | 1.61 | 0.76 | 7 | |
| 9.13 | 0.82 | 214,709 | 0.50 | 2.24 | 0.75 | 12 | |
| 9.27 | 3.38 | 384,626 | 0.51 | 2.58 | 0.73 | 4 | |
| 9.21 | (0.10) | 411,760 | 0.49 | 2.72 | 0.73 | 30 | |
| 9.48 | 1.35 | 323,320 | 0.48 | 2.74 | 0.65 | 20 | |
| | | | | | | | |
| 9.55 | (3.40) | 52,826 | 0.39(f) | 1.53(f) | 0.49(f) | 18 | |
| 9.96 | 11.04 | 31,580 | 0.40 | 1.76 | 0.51 | 7 | |
| 9.13 | 0.92 | 22,231 | 0.40 | 2.48 | 0.49 | 12 | |
| 9.27 | 3.49 | 316,009 | 0.41 | 2.70 | 0.48 | 4 | |
| 9.21 | —(h) | 588,549 | 0.39 | 2.82 | 0.48 | 30 | |
| 9.48 | 1.47 | 1,112,857 | 0.38 | 2.75 | 0.47 | 20 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 35 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited)
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 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 high after-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 maximize after-tax inflation protected return.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the 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 sales price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
| 36 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
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.
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"):
| Tax Aware Equity Fund | | | | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Total Investments in Securities (a) | $1,171,527 | | $— | | $— | | $1,171,527 |
|
| (a) | Please refer to the SOI for specific of portfolio holdings. |
| Tax Aware Real Return Fund | | | | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Investments in Securities | | | | | | | |
| Municipal Bonds | $ — | | $521,895 | | $— | | $521,895 |
| Short-Term Investments | | | | | | | |
| Investment Companies | 73,113 | | — | | — | | 73,113 |
| Total Investments in Securities | $73,113 | | $521,895 | | $— | | $595,008 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Swaps | $ — | | $ 6,704 | | $— | | $ 6,704 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Swaps | — | | (145) | | — | | (145) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ — | | $ 6,559 | | $— | | $ 6,559 |
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 37 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of April 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — 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 the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
Tax Aware Real Return Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of April 30, 2022, which are shown as a Receivable for Investment securities sold - delayed delivery securities and a Payable for Investment securities purchased - delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at April 30, 2022 are detailed on the SOIs.
D. 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 the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
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.
| 38 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
The Funds did not lend out any securities during the six months ended April 30, 2022.
E. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Tax Aware Equity Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (a) (b) | $14,898 | | $83,600 | | $94,960 | | $(2) | | $—(c) | | $3,537 | 3,536 | $4 | | $— |
|
| (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, 2022. |
| (c) | Amount rounds to less than one thousand. |
| Tax Aware Real Return Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.34% (a) (b) | $56,696 | | $176,174 | | $159,742 | | $(14) | | $(1) | | $73,113 | 73,091 | $35 | | $1 |
|
| (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, 2022. |
F. Futures Contracts — Tax Aware Real Return 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 the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the 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 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.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 39 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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).
G. Swaps — Tax Aware Real Return Fund engaged in various swap transactions to manage interest rate (e.g., duration, yield curve) and inflation risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-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 swaps 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 central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
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 a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
Derivatives Volume
The table below discloses the volume of the Fund’s futures contracts and swaps activity during the six months ended April 30, 2022.
| | Tax Aware
Real Return Fund |
| Futures Contracts: | |
| Average Notional Balance Long | $ 3,819 |
| Average Notional Balance Short | (3,817) |
| Interest Rate Related Swaps : | |
| Average Notional Balance - Pays Fixed Rate | 474,431 |
| Ending Notional Balance - Pays Fixed Rate | 525,605 |
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date of when a Fund first learns of the dividend.
I. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2022 are as follows:
| | Class A | Class C | Class I | Class R6 | Total |
| Tax Aware Equity Fund | | | | | |
| Transfer agency fees | $1 | $—(a) | $6 | $3 | $10 |
| 40 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | Class A | Class C | Class I | Class R6 | Total |
| Tax Aware Real Return Fund | | | | | |
| Transfer agency fees | $1 | $—(a) | $2 | $1 | $ 4 |
|
| (a) | Amount rounds to less than one thousand. |
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of April 30, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, remain subject to examination by the Internal Revenue Service.
K. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly for Tax Aware Equity Fund and declared and paid at least monthly for Tax Aware Real Return Fund. 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 an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.35% of each Fund’s respective average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
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, 2022, 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 as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of each Fund 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 |
JPMDS waived distribution fees as outlined in Note 3.F.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 41 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2022, JPMDS retained the following:
| | Front-End Sales Charge | CDSC |
| Tax Aware Equity Fund | $6 | $— |
| Tax Aware Real Return Fund | 2 | — |
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.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding 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, 2022 and the contractual expense limitation percentages in the table above are in place until at least February 28, 2023.
For the six months ended April 30, 2022, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | Contractual Waivers | |
| | Investment
Advisory Fees | Administration
Fees | Service
Fees | Total | Contractual
Reimbursements |
| Tax Aware Equity Fund | $ 33 | $ 22 | $544 | $599 | $ 3 |
| Tax Aware Real Return Fund | 163 | 108 | 410 | 681 | — |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund's investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2022 were as follows:
| 42 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| Tax Aware Equity Fund | $ 3 |
| Tax Aware Real Return Fund | 23 |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through April 30, 2022 the amount of these waivers were as follows:
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended April 30, 2022, 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended April 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| | Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| Tax Aware Equity Fund | $270,061 | $358,980 |
| Tax Aware Real Return Fund | 177,376 | 90,809 |
During the six months ended April 30, 2022, 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, 2022 were as follows:
| | Aggregate
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Tax Aware Equity Fund | $494,812 | $685,605 | $ 8,890 | $676,715 |
| Tax Aware Real Return Fund | 624,965 | 8,898 | 33,134 | (24,236) |
At October 31, 2021, the following Fund had net capital loss carryforwards which are available to offset future realized gains:
| | Capital Loss Carryforward Character |
| | Short-Term | Long-Term |
| Tax Aware Real Return Fund | $102,720 | $— |
During the year ended October 31, 2021, the following Fund utilized capital loss carryforwards as follows:
| | Capital Loss Utilized |
| | Short-Term | Long-Term |
| Tax Aware Real Return Fund | $33,349 | $— |
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 43 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended April 30, 2022. Average borrowings from the Facility during the six months ended April 30, 2022 were as follows:
| | Average
Borrowings | Average
Interest
Rate paid | Number of
Days
Outstanding | Interest
Paid |
| Tax Aware Equity Fund | $2,698 | 0.82% | 1 | $—(a) |
|
| (a) | Amount rounds to less than one thousand. |
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2022.
The Trust, 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%, which was decreased from 1.25% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
| 44 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
As of April 30, 2022, the Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| | Number of
Individual
Shareholder and/or
Affiliated
Omnibus Accounts | % of
the Fund | Number of
Individual
Shareholder and/or
Non-Affiliated
Omnibus Accounts | % of the Fund |
| Tax Aware Equity Fund | 1 | 46.3% | 1 | 31.2% |
| Tax Aware Real Return Fund | 1 | 12.7 | 2 | 47.8 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
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 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. 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.
Tax Aware Real Return Fund invests primarily in a portfolio of 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.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 45 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2021, and continued to hold your shares at the end of the reporting period, April 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Tax Aware Equity Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 878.00 | $4.38 | 0.94% |
| Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 |
| Class C | | | | |
| Actual | 1,000.00 | 876.00 | 6.74 | 1.45 |
| Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 |
| Class I | | | | |
| Actual | 1,000.00 | 879.90 | 2.56 | 0.55 |
| Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 |
| Class R6 | | | | |
| Actual | 1,000.00 | 880.40 | 2.05 | 0.44 |
| Hypothetical | 1,000.00 | 1,022.61 | 2.21 | 0.44 |
| JPMorgan Tax Aware Real Return Fund | | | | |
| Class A | | | | |
| Actual | 1,000.00 | 964.20 | 3.60 | 0.74 |
| Hypothetical | 1,000.00 | 1,021.13 | 3.71 | 0.74 |
| Class C | | | | |
| Actual | 1,000.00 | 961.80 | 6.03 | 1.24 |
| Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 |
| Class I | | | | |
| Actual | 1,000.00 | 964.60 | 2.39 | 0.49 |
| Hypothetical | 1,000.00 | 1,022.37 | 2.46 | 0.49 |
| 46 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Tax Aware Real Return Fund (continued) | | | | |
| Class R6 | | | | |
| Actual | $1,000.00 | $ 966.00 | $1.90 | 0.39% |
| Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 |
|
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| April 30, 2022 | J.P. Morgan Tax Aware Funds | 47 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| 48 | J.P. Morgan Tax Aware Funds | April 30, 2022 |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each 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 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 calling 1-800-480-4111 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2022. All rights reserved. April 2022. | SAN-TA-422 |
Semi-Annual Report
J.P. Morgan Funds
April 30, 2022 (Unaudited)
| JPMorgan Global Allocation Fund |
| JPMorgan Income Builder Fund |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
June 21, 2022, 2022(Unaudited)
Dear Shareholders,
 |
“The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification.”
— Andrea L. Lisher
|
Global economic growth has been hindered by accelerating inflation, the conflict in Ukraine and regional surges in pandemic infections. While equity markets largely rallied in the final months of 2021 and continued to outperform bond markets, a more hawkish U.S. Federal Reserve (the “Fed”) and Russia’s invasion of Ukraine in late February 2022 set off a cascade of weakening investor sentiment.
In the U.S., continued job growth, strong consumer spending and resilient corporate earnings in the first quarter of 2022 helped to offset a contraction in real economic growth. Meanwhile, in response to the highest levels of inflation in nearly 40 years, the Fed raised its benchmark interest rate in March 2022 for the first time since 2018 and then raised it again in both May and June.
Elsewhere, the Bank of England has raised interest rates multiple times since the start of 2022 and the European Central Bank has signaled it is poised to raise interest rates in July 2022, which would mark the first rate increase in the European Union in 11 years.
Meanwhile, emerging markets generally struggled during the six months ended April 30, 2022 as rising prices for energy and food weighed on economic growth. Additionally, a pandemic resurgence in China in early 2022 led to strict lockdowns in several large cities, which hurt manufacturing and other economic activity and had a spillover effect on other emerging market economies.
The market environment remains challenging; investors should recognize the risks in trying to time market movements, as well as the potential long-term benefits of portfolio diversification. J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| April 30, 2022 | J.P. Morgan Funds | 1 |
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2022 (Unaudited)
While developed market equities rallied in the final months of 2021, a resurgence in the pandemic, surging inflation and Russia’s invasion of Ukraine in late February 2022 dented the global economic outlook and erased equity market gains for the six month period. Overall, both global equity and fixed income markets largely generated negative returns for the period, with emerging markets largely underperforming developed markets.
U.S. equity prices largely maintained upward momentum in the final months of 2021 amid low interest rates, a boom in household wealth and record corporate earnings and revenues. However, investor concerns about the emergence of the Omicron variant of COVID-19 and surging inflationary pressure fueled market volatility in 2022 and Russia’s military build-up and invasion of Ukraine in February 2022 put further pressure on U.S. equity prices.
In mid-March 2022, the U.S. Federal Reserve followed through on its stated plan and raised interest rates for the first time since December 2018, and pledged to raise rates six more times in 2022. While U.S. equity prices rebounded somewhat for the month, both equity and bond markets slumped in April as negotiations to end the Ukraine conflict failed and global supply-chain disruptions increased. Notably, the U.S. dollar strengthened against other major currencies in early 2022, which provided a significant drag on both the domestic economy and corporate earnings. However, job growth in the U.S. continued throughout the six month period.
European and U.K. equities largely ended 2021 with gains but the reimposition of social restrictions in response to the spread of Omicron and the outbreak of fighting in Ukraine weighed on financial markets in early 2022. While initial multilateral trade and financial sanctions against Russia excluded its energy sector, prices for natural gas and petroleum rose sharply across Europe and the potential disruption of energy supplies hurt investor sentiment.
Unemployment in both the Euro area and the U.K. had fallen to near multi-decade lows by the end of April 2022 but consumer sentiment across both regions tumbled lower in 2022. During the six month period, the European Central Bank maintained its ultra-low interest rate policy, while the Bank of England raised rates three times during the period amid the highest annual inflation rate in 30 years.
Within emerging markets, both equities and bonds underperformed throughout the six month period. China proved be the largest drag on emerging markets during the period as investor concerns about tighter regulatory scrutiny of large technology companies in 2021 gave way to strict lockdowns in several large cities amid a resurgence in COVID-19 infections throughout the country. The expected slowdown in China’s economy, and in its manufacturing sector in particular, weighed down financial markets in its emerging market trading partners. Rising prices for energy and a range of other commodities also raised investor concerns about economic growth across emerging market nations, particularly net importers of petroleum and natural gas. Additionally, the prospect of rising U.S. interest rates weighed on emerging market bond prices.
For the six months ended April 30, 2022, the S&P 500 returned -9.65%; the MSCI EAFE Index returned -11.58% and the MSCI Emerging Markets Index returned -14.04%. Within fixed income, the Bloomberg U.S. Aggregate Index returned -9.47%, the Bloomberg U.S. High Yield Index returned -7.41% and the Bloomberg Emerging Markets Index returned -13.25% for the period.
| 2 | J.P. Morgan Funds | April 30, 2022 |
JPMorgan Global Allocation Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund Class I Shares *
| (12.15)% |
MSCI All Country World Index (net of foreign withholding taxes)
| (11.63)% |
Bloomberg Global Aggregate Index (Unhedged USD)
| (11.69)% |
60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index (Unhedged) (formerly known as Global Allocation Composite Benchmark)
| (11.37)% |
Net Assets as of 4/30/2022 (In Thousands)
| $4,213,255 |
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, 2022, the Fund’s Class I Shares underperformed the MSCI All Country World Index (net of foreign withholding taxes) (the “Benchmark”), the Bloomberg Global Aggregate Index (Unhedged USD) and 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index.
Relative to the Benchmark, which is an all-equity index, the Fund’s overweight allocation to equity, particularly non-U.S. developed markets equity, was a leading detractor from performance.
Relative to 60% MSCI All Country World Index / 40% Bloomberg Global Aggregate Index, the Fund’s initial overweight allocation to equity was a leading detractor from performance, while the Fund’s allocation to diversified corporate credit was a leading contributor to relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers decreased their overall equity allocation, particularly in European equity. The portfolio managers maintained the Fund’s allocation to corporate credit and continued to hold non-U.S. government bonds and U.S. Treasury futures.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | JPMorgan Income Fund, Class R6 Shares
| | 4.4% |
| 2. | Microsoft Corp.
| | 1.7 |
| 3. | U.S. Treasury Notes, 0.13%, 1/31/2023
| | 1.5 |
| 4. | Amazon.com, Inc.
| | 1.4 |
| 5. | Apple, Inc.
| | 1.2 |
| 6. | UnitedHealth Group, Inc.
| | 0.8 |
| 7. | Bristol-Myers Squibb Co.
| | 0.8 |
| 8. | LVMH Moet Hennessy Louis Vuitton SE (France)
| | 0.8 |
| 9. | AbbVie, Inc.
| | 0.7 |
| 10. | Japan Government Bond
| | 0.7 |
PORTFOLIO COMPOSITION
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Common Stocks
| | 54.7% |
Corporate Bonds
| | 15.6 |
Foreign Government Securities
| | 14.7 |
Investment Companies
| | 4.4 |
U.S. Treasury Obligations
| | 1.5 |
Options Purchased
| | 1.1 |
Others (each less than 1.0%)
| | 1.0 |
Short-Term Investments
| | 7.0 |
| * | 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. |
| April 30, 2022 | J.P. Morgan Funds | 3 |
JPMorgan Global Allocation Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | May 31, 2011 | | | | | | | | |
| With Sales Charge ** | | | (16.19)% | | (13.74)% | | 4.55% | | 5.85% |
| Without Sales Charge | | | (12.25) | | (9.69) | | 5.52 | | 6.34 |
| CLASS C SHARES | May 31, 2011 | | | | | | | | |
| With CDSC *** | | | (13.42) | | (11.10) | | 5.00 | | 5.92 |
| Without CDSC | | | (12.42) | | (10.10) | | 5.00 | | 5.92 |
| Class I SHARES | May 31, 2011 | | (12.15) | | (9.46) | | 5.79 | | 6.61 |
| Class R2 SHARES | May 31, 2011 | | (12.39) | | (10.03) | | 5.15 | | 6.02 |
| Class R3 SHARES | October 1, 2018 | | (12.32) | | (9.79) | | 5.42 | | 6.29 |
| Class R4 SHARES | October 1, 2018 | | (12.14) | | (9.54) | | 5.71 | | 6.57 |
| Class R5 SHARES | October 1, 2018 | | (12.13) | | (9.42) | | 5.82 | | 6.62 |
| Class R6 SHARES | November 1, 2017 | | (12.10) | | (9.34) | | 5.91 | | 6.67 |
|
| * | 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 FUND PERFORMANCE (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class 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 All Country World Index (net of foreign withholding taxes), the Bloomberg Global Aggregate Index – (Unhedged USD) and 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index (Unhedged) (formerly known as Global Allocation Composite Benchmark) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index (net of foreign withholding taxes), the Bloomberg Global Aggregate Index – (Unhedged USD) and 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index (Unhedged) (formerly known as 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 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index (Unhedged) (formerly known as Global Allocation Composite Benchmark) does not reflect the deduction of expenses associated with a
| 4 | J.P. Morgan Funds | April 30, 2022 |
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 All Country 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 and emerging markets. 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. 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, 2022 | J.P. Morgan Funds | 5 |
JPMorgan Income Builder Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | |
Fund (Class A Shares, without a sales charge) *
| (7.56)% |
MSCI World Index (net of foreign withholding taxes)
| (11.30)% |
Bloomberg U.S. Aggregate Index
| (9.47)% |
60% MSCI World Index (net of foreign withholding taxes) / 40% Bloomberg U.S. Aggregate Index (formerly known as Income Builder Composite Benchmark)
| (10.47)% |
Net Assets as of 4/30/2022 (In Thousands)
| $12,053,776 |
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, 2022, the Fund’s Class A Shares, without a sales charge, outperformed the MSCI World Index (net of foreign withholding taxes), the Bloomberg U.S. Aggregate Index and the 60% MSCI World Index (net of foreign withholding taxes) / 40% Bloomberg U.S. Aggregate Index.
The Fund’s overweight allocation to U.S. equity and its diversified allocation to credit were leading contributors to performance relative to the MSCI World Index, which is an equity index and holds no bonds.
Relative to the Bloomberg U.S. Aggregate Index, which primarily contains U.S. government bonds, the Fund’s allocation to a diversified set of corporate bonds contributed to performance.
Relative to the Composite Benchmark, the Fund’s allocation to corporate credit, which outperformed government bonds amid rising interest rates during the period, was a leading contributor to performance. The Fund’s allocation to U.S. equity also helped relative performance, though the Fund’s overall allocation to developed markets equity was a leading detractor from relative performance.
HOW WAS THE FUND POSITIONED?
During the period, the Fund’s portfolio managers decreased the Fund’s overall equities exposure but maintained its positioning in credit. The portfolio managers sought to take advantage of periodic market volatility by adding to covered call options in the form of equity-linked notes. The portfolio managers also sought to balance credit allocations with more conservative exposures through U.S. Treasury futures.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
| 1. | JPMorgan Equity Premium Income ETF
| | 2.5% |
| 2. | Royal Bank of Canada, ELN, 7.50%, 5/11/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 3. | BNP Paribas SA, ELN, 7.00%, 5/18/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 4. | Societe Generale SA, ELN, 7.50%, 8/10/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 5. | Barclays Bank plc, ELN, 7.00%, 8/3/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 6. | BNP Paribas SA, ELN, 7.00%, 7/27/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 7. | Barclays Bank plc, ELN, 7.00%, 7/20/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 8. | Societe Generale SA, ELN, 7.00%, 5/25/2022, (linked to Russell 2000 Index)
| | 1.0 |
| 9. | Johnson & Johnson
| | 0.6 |
| 10. | U.S. Treasury Notes, 0.13%, 1/31/2023
| | 0.5 |
PORTFOLIO COMPOSITION
AS OF April 30, 2022 | | PERCENT OF
TOTAL
INVESTMENTS |
Common Stocks
| | 37.0% |
Corporate Bonds
| | 33.3 |
Equity Linked Notes
| | 6.8 |
Commercial Mortgage-Backed Securities
| | 3.9 |
Collateralized Mortgage Obligations
| | 3.7 |
Exchange-Traded Funds
| | 2.5 |
Loan Assignments
| | 2.3 |
Asset-Backed Securities
| | 1.3 |
Foreign Government Securities
| | 1.1 |
Others (each less than 1.0%)
| | 1.8 |
Short-Term Investments
| | 6.3 |
| * | 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. |
| 6 | J.P. Morgan Funds | April 30, 2022 |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| April 30, 2022 | J.P. Morgan Funds | 7 |
JPMorgan Income Builder Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2022
| | INCEPTION DATE OF
CLASS | | 6 MONTH* | | 1 YEAR | | 5 YEAR | | 10 YEAR |
| CLASS A SHARES | May 31, 2007 | | | | | | | | |
| With Sales Charge ** | | | (11.74)% | | (9.14)% | | 3.53% | | 4.97% |
| Without Sales Charge | | | (7.56) | | (4.87) | | 4.48 | | 5.45 |
| CLASS C SHARES | May 31, 2007 | | | | | | | | |
| With CDSC *** | | | (8.74) | | (6.37) | | 3.94 | | 5.03 |
| Without CDSC | | | (7.74) | | (5.37) | | 3.94 | | 5.03 |
| Class I SHARES | May 31, 2007 | | (7.48) | | (4.72) | | 4.63 | | 5.62 |
| Class R6 SHARES | November 1, 2017 | | (7.44) | | (4.63) | | 4.71 | | 5.66 |
|
| * | 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 FUND PERFORMANCE (4/30/12 TO 4/30/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class 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 U.S. Aggregate Index and 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg U.S. Aggregate Index (formerly known as Income Builder Composite Benchmark) from April 30, 2012 to April 30, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI World Index (net of foreign withholding taxes), the Bloomberg U.S. Aggregate Index and 60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg U.S. Aggregate Index (formerly known as 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 to non-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 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. 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. 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights,
| 8 | J.P. Morgan Funds | April 30, 2022 |
which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| April 30, 2022 | J.P. Morgan Funds | 9 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 55.4% |
| Australia — 0.5% |
| Ampol Ltd. | 2 | 44 |
| APA Group | 9 | 75 |
| Aristocrat Leisure Ltd. | 5 | 111 |
| ASX Ltd. | 2 | 93 |
| Aurizon Holdings Ltd. | 15 | 41 |
| Australia & New Zealand Banking Group Ltd. | 22 | 425 |
| BHP Group Ltd. | 259 | 8,686 |
| BHP Group Ltd. | 18 | 615 |
| BlueScope Steel Ltd. | 4 | 56 |
| Brambles Ltd. | 11 | 84 |
| Cochlear Ltd. | 1 | 84 |
| Coles Group Ltd. | 11 | 139 |
| Commonwealth Bank of Australia | 13 | 981 |
| Computershare Ltd. | 4 | 76 |
| Crown Resorts Ltd. * | 3 | 27 |
| CSL Ltd. | 4 | 723 |
| Dexus, REIT | 9 | 67 |
| Domino's Pizza Enterprises Ltd. | — | 25 |
| Endeavour Group Ltd. | 11 | 58 |
| Evolution Mining Ltd. | 14 | 41 |
| Fortescue Metals Group Ltd. | 13 | 203 |
| Glencore plc * | 78 | 484 |
| Goodman Group, REIT | 13 | 221 |
| GPT Group (The), REIT | 15 | 54 |
| IDP Education Ltd. | 2 | 31 |
| Insurance Australia Group Ltd. | 20 | 62 |
| LendLease Corp. Ltd. | 5 | 47 |
| Macquarie Group Ltd. | 3 | 386 |
| Medibank Pvt Ltd. | 22 | 49 |
| Mineral Resources Ltd. | 1 | 55 |
| Mirvac Group, REIT | 31 | 53 |
| National Australia Bank Ltd. | 26 | 591 |
| Newcrest Mining Ltd. | 7 | 132 |
| Northern Star Resources Ltd. | 9 | 60 |
| Orica Ltd. | 3 | 37 |
| Origin Energy Ltd. | 14 | 67 |
| Qantas Airways Ltd. * | 7 | 28 |
| QBE Insurance Group Ltd. | 12 | 101 |
| Ramsay Health Care Ltd. | 1 | 82 |
| REA Group Ltd. | — | 37 |
| Reece Ltd. | 2 | 28 |
| Rio Tinto Ltd. | 3 | 232 |
| Rio Tinto plc | 9 | 628 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Australia — continued |
| Santos Ltd. | 25 | 142 |
| Scentre Group, REIT | 41 | 86 |
| SEEK Ltd. | 3 | 52 |
| Sonic Healthcare Ltd. | 4 | 93 |
| South32 Ltd. | 37 | 123 |
| Stockland, REIT | 19 | 55 |
| Suncorp Group Ltd. | 10 | 80 |
| Tabcorp Holdings Ltd. | 18 | 67 |
| Telstra Corp. Ltd. | 33 | 93 |
| Transurban Group | 24 | 244 |
| Treasury Wine Estates Ltd. | 6 | 45 |
| Vicinity Centres, REIT | 31 | 40 |
| Washington H Soul Pattinson & Co. Ltd. | 2 | 33 |
| Wesfarmers Ltd. | 9 | 310 |
| Westpac Banking Corp. | 29 | 486 |
| WiseTech Global Ltd. | 1 | 36 |
| Woodside Petroleum Ltd. | 8 | 167 |
| Woolworths Group Ltd. | 10 | 259 |
| | | 18,530 |
| Austria — 0.0% ^ |
| Erste Group Bank AG | 3 | 85 |
| Mondi plc | 4 | 72 |
| OMV AG | 1 | 59 |
| Raiffeisen Bank International AG (a) | 1 | 13 |
| Verbund AG * | — | 58 |
| voestalpine AG | 1 | 24 |
| | | 311 |
| Belgium — 0.4% |
| Ageas SA | 1 | 65 |
| Anheuser-Busch InBev SA | 7 | 395 |
| Elia Group SA/NV (a) | — | 39 |
| Etablissements Franz Colruyt NV | — | 16 |
| Groupe Bruxelles Lambert SA | 1 | 82 |
| KBC Group NV | 253 | 17,179 |
| Proximus SADP | 1 | 21 |
| Sofina SA | — | 37 |
| Solvay SA | 1 | 55 |
| UCB SA | 1 | 114 |
| Umicore SA | 2 | 60 |
| | | 18,063 |
| Brazil — 0.4% |
| Itau Unibanco Holding SA (Preference) * | 329 | 1,594 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Brazil — continued |
| Localiza Rent a Car SA | 134 | 1,439 |
| Lojas Renner SA * | 286 | 1,381 |
| Magazine Luiza SA * | 496 | 495 |
| NU Holdings Ltd., Class A * (a) | 77 | 459 |
| Petroleo Brasileiro SA (Preference) | 694 | 4,282 |
| Porto Seguro SA | 398 | 1,652 |
| Raia Drogasil SA | 267 | 1,131 |
| Suzano SA | 142 | 1,439 |
| Vale SA | 79 | 1,338 |
| XP, Inc., Class A * | 48 | 1,168 |
| Yara International ASA | 1 | 67 |
| | | 16,445 |
| Canada — 0.3% |
| Canadian National Railway Co. | 48 | 5,627 |
| Fairfax Financial Holdings Ltd. | 3 | 1,740 |
| Toronto-Dominion Bank (The) | 86 | 6,186 |
| | | 13,553 |
| Chile — 0.0% ^ |
| Antofagasta plc | 3 | 60 |
| Banco Santander Chile | 20,347 | 979 |
| | | 1,039 |
| China — 4.4% |
| Advanced Micro-Fabrication Equipment, Inc., Class A * | 53 | 831 |
| Aier Eye Hospital Group Co. Ltd., Class A | 197 | 1,052 |
| Alibaba Group Holding Ltd. * | 532 | 6,488 |
| Amoy Diagnostics Co. Ltd., Class A | 23 | 157 |
| Angel Yeast Co. Ltd., Class A | 110 | 631 |
| Anjoy Foods Group Co. Ltd., Class A | 28 | 539 |
| ANTA Sports Products Ltd. | 87 | 995 |
| Asymchem Laboratories Tianjin Co. Ltd., Class H * (b) | 40 | 853 |
| Bank of Ningbo Co. Ltd., Class A | 294 | 1,593 |
| Baoshan Iron & Steel Co. Ltd., Class A | 1,050 | 1,013 |
| Beijing Kingsoft Office Software, Inc., Class A | 2 | 45 |
| Beijing Kingsoft Office Software, Inc., Class A | 18 | 495 |
| BOC Hong Kong Holdings Ltd. | 29 | 105 |
| BOE Technology Group Co. Ltd., Class A | 1,637 | 930 |
| Budweiser Brewing Co. APAC Ltd. (b) | 610 | 1,518 |
| Chacha Food Co. Ltd., Class A | 72 | 576 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| China — continued |
| Changzhou Xingyu Automotive Lighting Systems Co. Ltd., Class A | 41 | 779 |
| China Construction Bank Corp., Class H | 7,300 | 5,201 |
| China Longyuan Power Group Corp. Ltd., Class H | 960 | 1,852 |
| China Merchants Bank Co. Ltd., Class A | 496 | 2,961 |
| China Merchants Bank Co. Ltd., Class H | 549 | 3,312 |
| China Resources Land Ltd. | 304 | 1,358 |
| China State Construction Engineering Corp. Ltd., Class A | 960 | 903 |
| China Vanke Co. Ltd., Class A | 672 | 1,958 |
| China Yangtze Power Co. Ltd., Class A | 305 | 1,038 |
| Chongqing Brewery Co. Ltd., Class A * | 115 | 2,150 |
| Chongqing Fuling Zhacai Group Co. Ltd., Class A | 376 | 1,960 |
| Chow Tai Fook Jewellery Group Ltd. * | 15 | 25 |
| Contemporary Amperex Technology Co. Ltd., Class A | 58 | 3,521 |
| Country Garden Services Holdings Co. Ltd. | 271 | 1,142 |
| ESR Cayman Ltd. * (b) | 16 | 48 |
| Flat Glass Group Co. Ltd., Class H | 143 | 511 |
| Foshan Haitian Flavouring & Food Co. Ltd., Class A | 260 | 3,176 |
| Futu Holdings Ltd., ADR * (a) | — | 13 |
| Fuyao Glass Industry Group Co. Ltd., Class A | 43 | 229 |
| Fuyao Glass Industry Group Co. Ltd., Class H (b) | 153 | 626 |
| Glodon Co. Ltd., Class A | 92 | 635 |
| Guangdong Haid Group Co. Ltd., Class A | 87 | 805 |
| Guangzhou Automobile Group Co. Ltd., Class H | 1,964 | 1,665 |
| Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A | 63 | 770 |
| Haier Smart Home Co. Ltd., Class H | 1,154 | 4,078 |
| Hangzhou Tigermed Consulting Co. Ltd., Class A | 59 | 789 |
| Han's Laser Technology Industry Group Co. Ltd., Class A | 453 | 1,869 |
| Hefei Meiya Optoelectronic Technology, Inc., Class A | 146 | 493 |
| Hongfa Technology Co. Ltd., Class A * | 102 | 735 |
| Huazhu Group Ltd. | 366 | 1,154 |
| Hundsun Technologies, Inc., Class A | 170 | 967 |
| Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 689 | 3,973 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 11 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| China — continued |
| Jade Bird Fire Co. Ltd., Class A | 271 | 1,330 |
| JD.com, Inc., Class A * | 131 | 4,081 |
| Jiangsu Hengli Hydraulic Co. Ltd., Class A | 98 | 671 |
| Jiangsu Hengrui Medicine Co. Ltd., Class A | 134 | 593 |
| Kingdee International Software Group Co. Ltd. * | 577 | 1,177 |
| Kunlun Energy Co. Ltd. | 1,650 | 1,369 |
| Kweichow Moutai Co. Ltd., Class A | 5 | 1,353 |
| Laobaixing Pharmacy Chain JSC, Class A | 96 | 463 |
| LONGi Green Energy Technology Co. Ltd., Class A | 173 | 1,743 |
| Maxscend Microelectronics Co. Ltd., Class A * | 26 | 715 |
| Meituan * (b) | 242 | 5,190 |
| Midea Group Co. Ltd., Class A | 140 | 1,188 |
| Minth Group Ltd. | 394 | 928 |
| Montage Technology Co. Ltd., Class A | 69 | 603 |
| NARI Technology Co. Ltd., Class A | 311 | 1,481 |
| NetEase, Inc. | 160 | 3,063 |
| NXP Semiconductors NV | 131 | 22,451 |
| Oppein Home Group, Inc., Class A | 113 | 1,974 |
| Pharmaron Beijing Co. Ltd., Class H (b) | 159 | 1,994 |
| Ping An Bank Co. Ltd., Class A | 1,376 | 3,153 |
| Ping An Insurance Group Co. of China Ltd., Class A | 278 | 1,851 |
| Ping An Insurance Group Co. of China Ltd., Class H | 443 | 2,800 |
| Poly Developments and Holdings Group Co. Ltd., Class A | 832 | 2,271 |
| Prosus NV * | 7 | 356 |
| Proya Cosmetics Co. Ltd., Class A | 25 | 772 |
| Qingdao Haier Biomedical Co. Ltd., Class A | 22 | 210 |
| Sangfor Technologies, Inc., Class A | 31 | 408 |
| Shanghai Baosight Software Co. Ltd., Class A | 267 | 1,896 |
| Shanghai Liangxin Electrical Co. Ltd., Class A * | 367 | 585 |
| Shanghai M&G Stationery, Inc., Class A | 65 | 465 |
| Shanghai Putailai New Energy Technology Co. Ltd., Class A * | 34 | 602 |
| Shenzhen Inovance Technology Co. Ltd., Class A | 161 | 1,383 |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 63 | 2,939 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| China — continued |
| Shenzhou International Group Holdings Ltd. | 70 | 953 |
| Silergy Corp. | 10 | 890 |
| SITC International Holdings Co. Ltd. | 11 | 37 |
| Skshu Paint Co. Ltd., Class A | 122 | 1,354 |
| StarPower Semiconductor Ltd., Class A | 8 | 398 |
| StarPower Semiconductor Ltd., Class A | 5 | 271 |
| Sungrow Power Supply Co. Ltd., Class A | 71 | 662 |
| Sunny Optical Technology Group Co. Ltd. | 75 | 1,097 |
| Suzhou Maxwell Technologies Co. Ltd., Class A | 17 | 842 |
| Tencent Holdings Ltd. | 386 | 18,204 |
| Tongwei Co. Ltd., Class A | 642 | 3,925 |
| Wanhua Chemical Group Co. Ltd., Class A | 209 | 2,429 |
| Will Semiconductor Co. Ltd., Class A | 23 | 512 |
| Wilmar International Ltd. | 15 | 48 |
| Wuliangye Yibin Co. Ltd., Class A | 116 | 2,821 |
| Wuxi Biologics Cayman, Inc. * (b) | 313 | 2,310 |
| Xinyi Solar Holdings Ltd. | 1,010 | 1,501 |
| XPeng, Inc., Class A * | 45 | 557 |
| Yangzhou Yangjie Electronic Technology Co. Ltd., Class A | 78 | 803 |
| Yonyou Network Technology Co. Ltd., Class A | 148 | 422 |
| Yunnan Energy New Material Co. Ltd. * | 73 | 2,193 |
| Zhejiang Dingli Machinery Co. Ltd., Class A | 75 | 419 |
| Zijin Mining Group Co. Ltd., Class H | 1,086 | 1,581 |
| | | 184,804 |
| Denmark — 1.1% |
| Ambu A/S, Class B (a) | 1 | 17 |
| AP Moller - Maersk A/S, Class A | — | 71 |
| AP Moller - Maersk A/S, Class B | — | 130 |
| Carlsberg A/S, Class B | 106 | 13,509 |
| Chr Hansen Holding A/S | 1 | 65 |
| Coloplast A/S, Class B | 24 | 3,207 |
| Danske Bank A/S | 5 | 84 |
| Demant A/S * | 1 | 38 |
| DSV A/S | 2 | 265 |
| Genmab A/S * | 1 | 183 |
| GN Store Nord A/S | 1 | 37 |
| Novo Nordisk A/S, Class B | 246 | 28,151 |
| Novozymes A/S, Class B | 2 | 113 |
| Orsted A/S (b) | 1 | 166 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Denmark — continued |
| Pandora A/S | 1 | 69 |
| ROCKWOOL A/S, Class B | — | 18 |
| Tryg A/S | 3 | 68 |
| Vestas Wind Systems A/S | 8 | 204 |
| | | 46,395 |
| Finland — 0.0% ^ |
| Elisa OYJ | 1 | 66 |
| Fortum OYJ | 3 | 58 |
| Kesko OYJ, Class B | 2 | 54 |
| Kone OYJ, Class B | 3 | 129 |
| Neste OYJ | 3 | 144 |
| Nokia OYJ * | 43 | 216 |
| Nordea Bank Abp | 25 | 253 |
| Orion OYJ, Class B | 1 | 33 |
| Sampo OYJ, Class A | 4 | 192 |
| Stora Enso OYJ, Class R | 5 | 91 |
| UPM-Kymmene OYJ | 4 | 146 |
| Wartsila OYJ Abp | 4 | 30 |
| | | 1,412 |
| France — 2.8% |
| Accor SA * | 1 | 44 |
| Adevinta ASA * | 2 | 18 |
| Aeroports de Paris * | — | 33 |
| Air Liquide SA | 4 | 649 |
| Airbus SE | 137 | 15,024 |
| Alstom SA | 3 | 55 |
| Amundi SA (b) | 1 | 29 |
| Arkema SA | 1 | 55 |
| AXA SA (a) | 15 | 408 |
| BioMerieux | — | 31 |
| BNP Paribas SA | 9 | 462 |
| Bollore SE | 7 | 33 |
| Bouygues SA (a) | 2 | 62 |
| Bureau Veritas SA | 2 | 67 |
| Capgemini SE | 77 | 15,734 |
| Carrefour SA | 5 | 104 |
| Cie de Saint-Gobain | 4 | 234 |
| Cie Generale des Etablissements Michelin SCA | 1 | 166 |
| CNP Assurances (a) | 1 | 30 |
| Covivio, REIT (a) | — | 29 |
| Credit Agricole SA | 655 | 7,077 |
| Danone SA | 5 | 313 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| France — continued |
| Dassault Aviation SA | — | 33 |
| Dassault Systemes SE | 5 | 233 |
| Edenred | 2 | 99 |
| Eiffage SA | 1 | 65 |
| Electricite de France SA | 4 | 39 |
| Engie SA | 15 | 171 |
| EssilorLuxottica SA | 2 | 387 |
| Eurazeo SE * | — | 24 |
| Faurecia SE | 1 | 21 |
| Gecina SA, REIT | — | 41 |
| Getlink SE | 4 | 64 |
| Hermes International | — | 309 |
| Ipsen SA | — | 31 |
| Kering SA | 1 | 316 |
| Klepierre SA, REIT * | 2 | 38 |
| La Francaise des Jeux SAEM (b) | 1 | 28 |
| Legrand SA | 2 | 187 |
| L'Oreal SA | 14 | 5,180 |
| LVMH Moet Hennessy Louis Vuitton SE | 50 | 32,146 |
| Orange SA | 16 | 188 |
| Orpea SA | — | 15 |
| Pernod Ricard SA | 2 | 342 |
| Publicis Groupe SA | 2 | 108 |
| Remy Cointreau SA | — | 36 |
| Renault SA * | 2 | 37 |
| Safran SA | 88 | 9,432 |
| Sanofi (a) | 9 | 951 |
| Sartorius Stedim Biotech | — | 71 |
| SEB SA | — | 26 |
| Societe Generale SA | 6 | 154 |
| Sodexo SA | 1 | 53 |
| Teleperformance | 1 | 167 |
| Thales SA | 1 | 108 |
| TotalEnergies SE (a) | 87 | 4,264 |
| Ubisoft Entertainment SA * | 1 | 34 |
| Unibail-Rodamco-Westfield, REIT * | 1 | 70 |
| Valeo | 2 | 33 |
| Veolia Environnement SA | 5 | 151 |
| Vinci SA (a) | 221 | 21,393 |
| Vivendi SE (a) | 6 | 71 |
| Wendel SE | — | 21 |
| Worldline SA * (b) | 2 | 74 |
| | | 117,868 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 13 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Germany — 1.3% |
| adidas AG | 32 | 6,543 |
| Allianz SE (Registered) | 29 | 6,645 |
| Aroundtown SA | 8 | 40 |
| BASF SE * | 7 | 383 |
| Bayer AG (Registered) * | 8 | 512 |
| Bayerische Motoren Werke AG | 3 | 214 |
| Bayerische Motoren Werke AG (Preference) | — | 34 |
| Bechtle AG | 1 | 30 |
| Beiersdorf AG | 1 | 80 |
| Brenntag SE | 1 | 94 |
| Carl Zeiss Meditec AG | — | 40 |
| Commerzbank AG * | 8 | 52 |
| Continental AG * | 1 | 60 |
| Covestro AG (b) | 2 | 66 |
| Daimler Truck Holding AG * | 3 | 88 |
| Deutsche Bank AG (Registered) * | 16 | 164 |
| Deutsche Boerse AG | 2 | 262 |
| Deutsche Lufthansa AG (Registered) * | 5 | 35 |
| Deutsche Post AG (Registered) | 178 | 7,585 |
| Deutsche Telekom AG (Registered) | 26 | 472 |
| E.ON SE | 18 | 185 |
| Evonik Industries AG | 2 | 44 |
| Fresenius Medical Care AG & Co. KGaA | 2 | 101 |
| Fresenius SE & Co. KGaA | 3 | 117 |
| FUCHS PETROLUB SE (Preference) | 1 | 17 |
| GEA Group AG | 1 | 47 |
| Hannover Rueck SE | — | 74 |
| HeidelbergCement AG | 1 | 68 |
| HelloFresh SE * | 1 | 55 |
| Henkel AG & Co. KGaA | 1 | 52 |
| Henkel AG & Co. KGaA (Preference) | 1 | 91 |
| Infineon Technologies AG | 10 | 293 |
| KION Group AG | 1 | 32 |
| Knorr-Bremse AG | 1 | 41 |
| LANXESS AG | 1 | 25 |
| LEG Immobilien SE | 1 | 59 |
| Mercedes-Benz Group AG * | 7 | 473 |
| Merck KGaA | 1 | 190 |
| MTU Aero Engines AG * | — | 85 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1 | 264 |
| Nemetschek SE | — | 36 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Germany — continued |
| Porsche Automobil Holding SE (Preference) | 1 | 100 |
| Puma SE | 1 | 61 |
| Rational AG | — | 24 |
| RWE AG | 413 | 17,153 |
| SAP SE | 8 | 838 |
| Sartorius AG (Preference) | — | 78 |
| Scout24 SE (b) | 1 | 42 |
| Siemens AG (Registered) | 6 | 744 |
| Siemens Energy AG | 3 | 61 |
| Siemens Healthineers AG (b) | 2 | 119 |
| Symrise AG | 1 | 125 |
| Telefonica Deutschland Holding AG | 8 | 25 |
| Uniper SE | 1 | 19 |
| United Internet AG (Registered) | 1 | 25 |
| Volkswagen AG | — | 56 |
| Volkswagen AG (Preference) | 51 | 7,945 |
| Vonovia SE * | 6 | 233 |
| Zalando SE * (b) | 2 | 68 |
| | | 53,464 |
| Greece — 0.0% ^ |
| Hellenic Telecommunications Organization SA | 76 | 1,461 |
| Hong Kong — 0.4% |
| AIA Group Ltd. | 989 | 9,714 |
| CK Asset Holdings Ltd. | 16 | 108 |
| CK Infrastructure Holdings Ltd. | 5 | 34 |
| CLP Holdings Ltd. | 13 | 127 |
| Hang Lung Properties Ltd. | 16 | 31 |
| Hang Seng Bank Ltd. | 6 | 108 |
| Henderson Land Development Co. Ltd. | 12 | 48 |
| HK Electric Investments & HK Electric Investments Ltd. (b) | 20 | 20 |
| HKT Trust & HKT Ltd. | 29 | 42 |
| Hong Kong & China Gas Co. Ltd. | 89 | 99 |
| Hong Kong Exchanges & Clearing Ltd. | 108 | 4,568 |
| Hongkong Land Holdings Ltd. | 9 | 43 |
| Jardine Matheson Holdings Ltd. | 2 | 90 |
| Link, REIT | 16 | 142 |
| Melco Resorts & Entertainment Ltd., ADR * | 2 | 9 |
| MTR Corp. Ltd. | 12 | 64 |
| New World Development Co. Ltd. | 13 | 48 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Hong Kong — continued |
| Power Assets Holdings Ltd. | 11 | 74 |
| Sino Land Co. Ltd. | 26 | 34 |
| Sun Hung Kai Properties Ltd. | 11 | 121 |
| Swire Pacific Ltd., Class A | 4 | 23 |
| Swire Properties Ltd. | 9 | 22 |
| Techtronic Industries Co. Ltd. | 108 | 1,441 |
| WH Group Ltd. (b) | 66 | 46 |
| Wharf Real Estate Investment Co. Ltd. | 14 | 66 |
| Xinyi Glass Holdings Ltd. | 14 | 31 |
| | | 17,153 |
| India — 0.6% |
| HDFC Bank Ltd., ADR | 301 | 16,638 |
| ICICI Bank Ltd., ADR | 126 | 2,397 |
| Infosys Ltd., ADR | 223 | 4,430 |
| | | 23,465 |
| Indonesia — 0.3% |
| Bank Central Asia Tbk. PT | 17,420 | 9,770 |
| Bank Rakyat Indonesia Persero Tbk. PT | 11,624 | 3,873 |
| | | 13,643 |
| Ireland — 0.0% ^ |
| AerCap Holdings NV * | 1 | 50 |
| CRH plc | 6 | 242 |
| Flutter Entertainment plc * | 2 | 133 |
| Kerry Group plc, Class A | 1 | 123 |
| Kerry Group plc, Class A | — | 16 |
| Kingspan Group plc | — | 13 |
| Kingspan Group plc | 1 | 100 |
| Smurfit Kappa Group plc | 2 | 82 |
| | | 759 |
| Israel — 0.0% ^ |
| Azrieli Group Ltd. | — | 29 |
| Bank Hapoalim BM | 9 | 83 |
| Bank Leumi Le-Israel BM | 11 | 121 |
| Check Point Software Technologies Ltd. * | 1 | 106 |
| Elbit Systems Ltd. | — | 45 |
| ICL Group Ltd. | 6 | 61 |
| Israel Discount Bank Ltd., Class A | 10 | 58 |
| Kornit Digital Ltd. * | — | 24 |
| Mizrahi Tefahot Bank Ltd. | 1 | 42 |
| Nice Ltd. * | 1 | 104 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Israel — continued |
| Teva Pharmaceutical Industries Ltd., ADR * | 9 | 76 |
| Wix.com Ltd. * | — | 34 |
| | | 783 |
| Italy — 0.1% |
| Amplifon SpA | 1 | 39 |
| Assicurazioni Generali SpA | 9 | 166 |
| Atlantia SpA * | 4 | 93 |
| Coca-Cola HBC AG * | 1 | 32 |
| Davide Campari-Milano NV | 4 | 47 |
| DiaSorin SpA | — | 26 |
| Enel SpA | 64 | 419 |
| Eni SpA | 20 | 279 |
| Ferrari NV | 1 | 210 |
| FinecoBank Banca Fineco SpA | 5 | 67 |
| Infrastrutture Wireless Italiane SpA (b) | 3 | 28 |
| Intesa Sanpaolo SpA (a) | 131 | 266 |
| Mediobanca Banca di Credito Finanziario SpA | 5 | 49 |
| Moncler SpA | 1 | 85 |
| Nexi SpA * (b) | 4 | 41 |
| Poste Italiane SpA (b) | 4 | 41 |
| Prysmian SpA | 2 | 66 |
| Recordati Industria Chimica e Farmaceutica SpA | 1 | 40 |
| Snam SpA | 16 | 87 |
| Telecom Italia SpA | 79 | 23 |
| Terna - Rete Elettrica Nazionale | 11 | 91 |
| UniCredit SpA | 17 | 155 |
| | | 2,350 |
| Japan — 2.1% |
| Advantest Corp. | 2 | 109 |
| Aeon Co. Ltd. | 5 | 97 |
| AGC, Inc. | 1 | 56 |
| Aisin Corp. | 1 | 35 |
| Ajinomoto Co., Inc. | 3 | 91 |
| ANA Holdings, Inc. * | 1 | 25 |
| Asahi Group Holdings Ltd. | 4 | 136 |
| Asahi Intecc Co. Ltd. | 2 | 33 |
| Asahi Kasei Corp. | 10 | 82 |
| Astellas Pharma, Inc. | 15 | 224 |
| Azbil Corp. | 1 | 30 |
| Bandai Namco Holdings, Inc. | 2 | 108 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 15 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Japan — continued |
| Benefit One, Inc. | 1 | 9 |
| Bridgestone Corp. | 234 | 8,577 |
| Brother Industries Ltd. | 2 | 33 |
| Canon, Inc. | 8 | 184 |
| Capcom Co. Ltd. | 1 | 37 |
| Central Japan Railway Co. | 1 | 151 |
| Chiba Bank Ltd. (The) | 4 | 24 |
| Chubu Electric Power Co., Inc. | 5 | 51 |
| Chugai Pharmaceutical Co. Ltd. | 5 | 159 |
| Concordia Financial Group Ltd. | 9 | 32 |
| Cosmos Pharmaceutical Corp. | — | 18 |
| CyberAgent, Inc. | 3 | 33 |
| Dai Nippon Printing Co. Ltd. | 2 | 38 |
| Daifuku Co. Ltd. | 1 | 49 |
| Dai-ichi Life Holdings, Inc. | 8 | 158 |
| Daiichi Sankyo Co. Ltd. | 14 | 347 |
| Daikin Industries Ltd. | 2 | 290 |
| Daito Trust Construction Co. Ltd. | 1 | 48 |
| Daiwa House Industry Co. Ltd. | 4 | 108 |
| Daiwa House REIT Investment Corp., REIT | — | 41 |
| Daiwa Securities Group, Inc. | 11 | 56 |
| Denso Corp. | 3 | 207 |
| Dentsu Group, Inc. | 2 | 61 |
| Disco Corp. | — | 49 |
| East Japan Railway Co. | 2 | 120 |
| Eisai Co. Ltd. | 2 | 83 |
| ENEOS Holdings, Inc. | 24 | 84 |
| FANUC Corp. | 38 | 5,823 |
| Fast Retailing Co. Ltd. | 1 | 230 |
| Fuji Electric Co. Ltd. | 1 | 44 |
| FUJIFILM Holdings Corp. | 3 | 159 |
| Fujitsu Ltd. | 2 | 242 |
| GLP J-REIT, REIT | — | 45 |
| GMO Payment Gateway, Inc. | — | 25 |
| Hakuhodo DY Holdings, Inc. | 2 | 21 |
| Hamamatsu Photonics KK | 1 | 49 |
| Hankyu Hanshin Holdings, Inc. | 2 | 50 |
| Hikari Tsushin, Inc. | — | 23 |
| Hino Motors Ltd. | 2 | 11 |
| Hirose Electric Co. Ltd. | — | 38 |
| Hitachi Construction Machinery Co. Ltd. | 1 | 20 |
| Hitachi Ltd. | 8 | 365 |
| Hitachi Metals Ltd. * | 2 | 27 |
| Honda Motor Co. Ltd. | 320 | 8,425 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — continued |
| Hoshizaki Corp. | 1 | 32 |
| Hoya Corp. | 86 | 8,584 |
| Hulic Co. Ltd. | 3 | 25 |
| Ibiden Co. Ltd. | 1 | 30 |
| Idemitsu Kosan Co. Ltd. | 2 | 45 |
| Iida Group Holdings Co. Ltd. | 1 | 17 |
| Inpex Corp. | 8 | 96 |
| Isuzu Motors Ltd. | 5 | 55 |
| Ito En Ltd. | 1 | 21 |
| ITOCHU Corp. | 9 | 287 |
| Itochu Techno-Solutions Corp. | 1 | 21 |
| Japan Airlines Co. Ltd. * | 1 | 20 |
| Japan Exchange Group, Inc. | 4 | 57 |
| Japan Metropolitan Fund Invest, REIT | — | 44 |
| Japan Post Bank Co. Ltd. | 3 | 25 |
| Japan Post Holdings Co. Ltd. | 19 | 136 |
| Japan Post Insurance Co. Ltd. | 2 | 26 |
| Japan Real Estate Investment Corp., REIT | — | 48 |
| Japan Tobacco, Inc. | 9 | 160 |
| JFE Holdings, Inc. | 4 | 46 |
| JSR Corp. | 2 | 43 |
| Kajima Corp. | 4 | 40 |
| Kakaku.com, Inc. | 1 | 23 |
| Kansai Electric Power Co., Inc. (The) | 6 | 49 |
| Kansai Paint Co. Ltd. | 1 | 21 |
| Kao Corp. | 4 | 148 |
| KDDI Corp. | 13 | 421 |
| Keio Corp. | 1 | 31 |
| Keisei Electric Railway Co. Ltd. | 1 | 25 |
| Keyence Corp. | 10 | 3,980 |
| Kikkoman Corp. | 1 | 62 |
| Kintetsu Group Holdings Co. Ltd. | 1 | 40 |
| Kirin Holdings Co. Ltd. | 7 | 96 |
| Kobayashi Pharmaceutical Co. Ltd. | — | 27 |
| Kobe Bussan Co. Ltd. | 1 | 24 |
| Koei Tecmo Holdings Co. Ltd. | 1 | 15 |
| Koito Manufacturing Co. Ltd. | 1 | 33 |
| Komatsu Ltd. | 7 | 158 |
| Konami Holdings Corp. | 1 | 43 |
| Kose Corp. | — | 31 |
| Kubota Corp. | 8 | 138 |
| Kurita Water Industries Ltd. | 1 | 27 |
| Kyocera Corp. | 2 | 126 |
| Kyowa Kirin Co. Ltd. | 2 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Japan — continued |
| Lasertec Corp. | 1 | 80 |
| Lawson, Inc. | 1 | 22 |
| Lion Corp. | 2 | 19 |
| Lixil Corp. | 2 | 37 |
| M3, Inc. | 3 | 109 |
| Makita Corp. | 2 | 50 |
| Marubeni Corp. | 12 | 134 |
| Mazda Motor Corp. | 4 | 31 |
| McDonald's Holdings Co. Japan Ltd. | 1 | 24 |
| Medipal Holdings Corp. | 2 | 25 |
| MEIJI Holdings Co. Ltd. | 1 | 50 |
| Mercari, Inc. * | 1 | 13 |
| MINEBEA MITSUMI, Inc. | 3 | 56 |
| MISUMI Group, Inc. | 2 | 55 |
| Mitsubishi Chemical Holdings Corp. | 10 | 62 |
| Mitsubishi Corp. | 10 | 336 |
| Mitsubishi Electric Corp. | 14 | 152 |
| Mitsubishi Estate Co. Ltd. | 9 | 137 |
| Mitsubishi Gas Chemical Co., Inc. | 1 | 19 |
| Mitsubishi HC Capital, Inc. | 5 | 24 |
| Mitsubishi Heavy Industries Ltd. | 2 | 85 |
| Mitsubishi UFJ Financial Group, Inc. | 94 | 549 |
| Mitsui & Co. Ltd. | 12 | 300 |
| Mitsui Chemicals, Inc. | 2 | 34 |
| Mitsui Fudosan Co. Ltd. | 7 | 155 |
| Mitsui OSK Lines Ltd. | 3 | 63 |
| Miura Co. Ltd. | 1 | 17 |
| Mizuho Financial Group, Inc. | 19 | 231 |
| MonotaRO Co. Ltd. | 2 | 33 |
| MS&AD Insurance Group Holdings, Inc. | 3 | 104 |
| Murata Manufacturing Co. Ltd. | 5 | 274 |
| NEC Corp. | 2 | 78 |
| Nexon Co. Ltd. | 4 | 89 |
| NGK Insulators Ltd. | 2 | 28 |
| Nidec Corp. | 3 | 220 |
| Nihon M&A Center Holdings, Inc. | 2 | 28 |
| Nintendo Co. Ltd. | 1 | 411 |
| Nippon Building Fund, Inc., REIT | — | 62 |
| NIPPON EXPRESS HOLDINGS, Inc. | 1 | 35 |
| Nippon Paint Holdings Co. Ltd. | 6 | 51 |
| Nippon Prologis REIT, Inc., REIT | — | 44 |
| Nippon Sanso Holdings Corp. | 1 | 22 |
| Nippon Shinyaku Co. Ltd. | — | 27 |
| Nippon Steel Corp. | 7 | 108 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — continued |
| Nippon Telegraph & Telephone Corp. | 9 | 280 |
| Nippon Yusen KK | 1 | 87 |
| Nissan Chemical Corp. | 1 | 53 |
| Nissan Motor Co. Ltd. * | 18 | 74 |
| Nisshin Seifun Group, Inc. | 2 | 20 |
| Nissin Foods Holdings Co. Ltd. | 1 | 35 |
| Nitori Holdings Co. Ltd. | 1 | 62 |
| Nitto Denko Corp. | 1 | 81 |
| Nomura Holdings, Inc. | 24 | 94 |
| Nomura Real Estate Holdings, Inc. | 1 | 22 |
| Nomura Real Estate Master Fund, Inc., REIT | — | 43 |
| Nomura Research Institute Ltd. | 3 | 74 |
| NTT Data Corp. | 5 | 90 |
| Obayashi Corp. | 5 | 36 |
| Obic Co. Ltd. | 1 | 74 |
| Odakyu Electric Railway Co. Ltd. | 2 | 36 |
| Oji Holdings Corp. | 6 | 31 |
| Olympus Corp. | 9 | 153 |
| Omron Corp. | 2 | 88 |
| Ono Pharmaceutical Co. Ltd. | 3 | 75 |
| Open House Group Co. Ltd. | 1 | 27 |
| Oracle Corp., Japan | — | 19 |
| Oriental Land Co. Ltd. | 2 | 242 |
| ORIX Corp. | 10 | 177 |
| Orix JREIT, Inc., REIT | — | 28 |
| Osaka Gas Co. Ltd. | 3 | 54 |
| Otsuka Corp. | 1 | 29 |
| Otsuka Holdings Co. Ltd. | 3 | 101 |
| Pan Pacific International Holdings Corp. | 3 | 46 |
| Panasonic Holdings Corp. | 17 | 156 |
| Persol Holdings Co. Ltd. | 1 | 28 |
| Pola Orbis Holdings, Inc. | 1 | 9 |
| Rakuten Group, Inc. | 6 | 45 |
| Recruit Holdings Co. Ltd. | 11 | 392 |
| Renesas Electronics Corp. * | 10 | 103 |
| Resona Holdings, Inc. | 16 | 71 |
| Ricoh Co. Ltd. | 5 | 39 |
| Rinnai Corp. | — | 19 |
| Rohm Co. Ltd. | 1 | 49 |
| Ryohin Keikaku Co. Ltd. | 2 | 17 |
| Santen Pharmaceutical Co. Ltd. | 3 | 23 |
| SBI Holdings, Inc. | 2 | 45 |
| SCSK Corp. | 1 | 19 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 17 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Japan — continued |
| Secom Co. Ltd. | 2 | 113 |
| Seiko Epson Corp. | 2 | 31 |
| Sekisui Chemical Co. Ltd. | 3 | 39 |
| Sekisui House Ltd. | 5 | 83 |
| Seven & i Holdings Co. Ltd. | 6 | 261 |
| SG Holdings Co. Ltd. | 2 | 41 |
| Sharp Corp. | 2 | 14 |
| Shimadzu Corp. | 2 | 62 |
| Shimano, Inc. | 1 | 106 |
| Shimizu Corp. | 4 | 23 |
| Shin-Etsu Chemical Co. Ltd. | 78 | 10,761 |
| Shionogi & Co. Ltd. | 2 | 111 |
| Shiseido Co. Ltd. | 3 | 147 |
| Shizuoka Bank Ltd. (The) | 3 | 23 |
| SMC Corp. | 1 | 242 |
| SoftBank Corp. | 23 | 265 |
| SoftBank Group Corp. | 10 | 395 |
| Sohgo Security Services Co. Ltd. | 1 | 19 |
| Sompo Holdings, Inc. | 2 | 98 |
| Sony Group Corp. | 62 | 5,368 |
| Square Enix Holdings Co. Ltd. | 1 | 28 |
| Stanley Electric Co. Ltd. | 1 | 19 |
| Subaru Corp. | 5 | 74 |
| SUMCO Corp. | 3 | 37 |
| Sumitomo Chemical Co. Ltd. | 12 | 50 |
| Sumitomo Corp. | 9 | 141 |
| Sumitomo Electric Industries Ltd. | 6 | 63 |
| Sumitomo Metal Mining Co. Ltd. | 2 | 88 |
| Sumitomo Mitsui Financial Group, Inc. | 10 | 311 |
| Sumitomo Mitsui Trust Holdings, Inc. | 3 | 81 |
| Sumitomo Pharma Co. Ltd. | 1 | 13 |
| Sumitomo Realty & Development Co. Ltd. | 2 | 64 |
| Suntory Beverage & Food Ltd. | 1 | 39 |
| Suzuki Motor Corp. | 3 | 87 |
| Sysmex Corp. | 1 | 92 |
| T&D Holdings, Inc. | 4 | 53 |
| Taisei Corp. | 2 | 41 |
| Taisho Pharmaceutical Holdings Co. Ltd. | — | 16 |
| Takeda Pharmaceutical Co. Ltd. | 12 | 363 |
| TDK Corp. | 3 | 93 |
| Terumo Corp. | 5 | 146 |
| TIS, Inc. | 2 | 36 |
| Tobu Railway Co. Ltd. | 1 | 31 |
| Toho Co. Ltd. | 1 | 33 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Japan — continued |
| Tokio Marine Holdings, Inc. | 118 | 6,380 |
| Tokyo Century Corp. | — | 12 |
| Tokyo Electric Power Co. Holdings, Inc. * | 12 | 41 |
| Tokyo Electron Ltd. | 15 | 6,329 |
| Tokyo Gas Co. Ltd. | 3 | 57 |
| Tokyu Corp. | 4 | 48 |
| TOPPAN, Inc. | 2 | 33 |
| Toray Industries, Inc. | 11 | 52 |
| Toshiba Corp. | 3 | 125 |
| Tosoh Corp. | 2 | 29 |
| TOTO Ltd. | 1 | 37 |
| Toyo Suisan Kaisha Ltd. | 1 | 22 |
| Toyota Industries Corp. | 1 | 66 |
| Toyota Motor Corp. | 84 | 1,438 |
| Toyota Tsusho Corp. | 2 | 61 |
| Trend Micro, Inc. | 1 | 56 |
| Tsuruha Holdings, Inc. | — | 15 |
| Unicharm Corp. | 3 | 108 |
| USS Co. Ltd. | 1 | 25 |
| Welcia Holdings Co. Ltd. | 1 | 12 |
| West Japan Railway Co. | 2 | 63 |
| Yakult Honsha Co. Ltd. | 1 | 52 |
| Yamaha Corp. | 1 | 38 |
| Yamaha Motor Co. Ltd. | 2 | 47 |
| Yamato Holdings Co. Ltd. | 2 | 41 |
| Yaskawa Electric Corp. | 2 | 61 |
| Yokogawa Electric Corp. | 2 | 29 |
| Z Holdings Corp. | 21 | 82 |
| ZOZO, Inc. | 1 | 19 |
| | | 86,398 |
| Jordan — 0.0% ^ |
| Hikma Pharmaceuticals plc | 1 | 32 |
| Luxembourg — 0.0% ^ |
| ArcelorMittal SA | 5 | 147 |
| Eurofins Scientific SE | 1 | 99 |
| | | 246 |
| Macau — 0.0% ^ |
| Galaxy Entertainment Group Ltd. | 17 | 97 |
| Sands China Ltd. * | 338 | 745 |
| | | 842 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Mexico — 0.3% |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B * | 179 | 2,759 |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (a) | 11 | 2,413 |
| Grupo Financiero Banorte SAB de CV, Class O | 628 | 4,135 |
| Wal-Mart de Mexico SAB de CV | 803 | 2,847 |
| | | 12,154 |
| Netherlands — 0.5% |
| ABN AMRO Bank NV, CVA (a) (b) | 3 | 42 |
| Adyen NV * (b) | 1 | 2,422 |
| Aegon NV | 14 | 73 |
| Akzo Nobel NV | 2 | 129 |
| Argenx SE * | — | 80 |
| Argenx SE * | — | 25 |
| ASM International NV | — | 111 |
| ASML Holding NV | 13 | 7,088 |
| Euronext NV (b) | 1 | 54 |
| EXOR NV | 1 | 59 |
| Heineken Holding NV | 1 | 71 |
| Heineken NV | 2 | 200 |
| IMCD NV | 1 | 72 |
| ING Groep NV (a) | 31 | 293 |
| JDE Peet's NV | 1 | 23 |
| Koninklijke Ahold Delhaize NV | 8 | 244 |
| Koninklijke DSM NV | 1 | 233 |
| Koninklijke KPN NV | 27 | 92 |
| Koninklijke Philips NV | 7 | 190 |
| NN Group NV | 2 | 105 |
| Randstad NV | 1 | 50 |
| Shell plc | 389 | 10,451 |
| Universal Music Group NV | 6 | 133 |
| Wolters Kluwer NV | 2 | 210 |
| | | 22,450 |
| New Zealand — 0.0% ^ |
| Auckland International Airport Ltd. * | 10 | 49 |
| Fisher & Paykel Healthcare Corp. Ltd. | 5 | 63 |
| Mercury NZ Ltd. | 5 | 21 |
| Meridian Energy Ltd. | 10 | 31 |
| Ryman Healthcare Ltd. | 3 | 20 |
| Spark New Zealand Ltd. | 15 | 47 |
| Xero Ltd. * | 1 | 70 |
| | | 301 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Norway — 0.0% ^ |
| Aker BP ASA | 1 | 36 |
| DNB Bank ASA | 7 | 143 |
| Equinor ASA | 8 | 261 |
| Gjensidige Forsikring ASA (a) | 2 | 34 |
| Mowi ASA | 3 | 98 |
| Norsk Hydro ASA | 11 | 90 |
| Orkla ASA | 6 | 48 |
| Schibsted ASA, Class A (a) | 1 | 12 |
| Schibsted ASA, Class B | 1 | 15 |
| Telenor ASA | 5 | 78 |
| | | 815 |
| Peru — 0.1% |
| Credicorp Ltd. | 14 | 1,981 |
| Poland — 0.0% ^ |
| Dino Polska SA * (b) | 20 | 1,287 |
| InPost SA * (a) | 1 | 9 |
| | | 1,296 |
| Portugal — 0.0% ^ |
| EDP - Energias de Portugal SA | 22 | 102 |
| Galp Energia SGPS SA | 4 | 48 |
| Jeronimo Martins SGPS SA | 2 | 47 |
| | | 197 |
| Qatar — 0.0% ^ |
| Qatar National Bank QPSC | 244 | 1,556 |
| Russia — 0.0% ^ |
| Severstal PAO, GDR ‡ (b) | 58 | 19 |
| TCS Group Holding plc, GDR ‡ * (b) | 17 | 12 |
| | | 31 |
| Singapore — 0.2% |
| Ascendas, REIT | 27 | 55 |
| CapitaLand Integrated Commercial Trust, REIT | 38 | 64 |
| Capitaland Investment Ltd. * | 21 | 63 |
| City Developments Ltd. | 3 | 20 |
| DBS Group Holdings Ltd. | 251 | 6,099 |
| Genting Singapore Ltd. * | 47 | 27 |
| Grab Holdings Ltd., Class A * | 9 | 25 |
| Keppel Corp. Ltd. | 12 | 57 |
| Mapletree Commercial Trust, REIT | 17 | 23 |
| Mapletree Logistics Trust, REIT | 25 | 32 |
| Oversea-Chinese Banking Corp. Ltd. | 27 | 237 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 19 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Singapore — continued |
| Singapore Airlines Ltd. * | 11 | 42 |
| Singapore Exchange Ltd. | 6 | 45 |
| Singapore Technologies Engineering Ltd. | 12 | 37 |
| Singapore Telecommunications Ltd. | 65 | 131 |
| STMicroelectronics NV | 6 | 200 |
| United Overseas Bank Ltd. | 9 | 199 |
| UOL Group Ltd. * | 4 | 19 |
| Venture Corp. Ltd. | 2 | 28 |
| | | 7,403 |
| South Africa — 0.5% |
| Anglo American plc | 191 | 8,452 |
| Bid Corp. Ltd. | 79 | 1,661 |
| Capitec Bank Holdings Ltd. | 12 | 1,747 |
| Clicks Group Ltd. | 104 | 2,039 |
| FirstRand Ltd. | 699 | 3,009 |
| Naspers Ltd., Class N | 9 | 891 |
| Sanlam Ltd. | 421 | 1,744 |
| Vodacom Group Ltd. | 124 | 1,198 |
| | | 20,741 |
| South Korea — 1.1% |
| Delivery Hero SE * (b) | 43 | 1,511 |
| JYP Entertainment Corp. | 31 | 1,443 |
| KB Financial Group, Inc. | 57 | 2,643 |
| Kia Corp. | 37 | 2,450 |
| KIWOOM Securities Co. Ltd. | 12 | 899 |
| LG Chem Ltd. | 7 | 2,915 |
| LG Household & Health Care Ltd. | 2 | 1,155 |
| NAVER Corp. | 7 | 1,605 |
| NCSoft Corp. | 3 | 796 |
| Samsung Electronics Co. Ltd. | 422 | 22,468 |
| SK Hynix, Inc. | 46 | 4,064 |
| S-Oil Corp. | 31 | 2,528 |
| | | 44,477 |
| Spain — 0.3% |
| ACS Actividades de Construccion y Servicios SA | 2 | 47 |
| Aena SME SA * (b) | 1 | 84 |
| Amadeus IT Group SA * | 4 | 223 |
| Banco Bilbao Vizcaya Argentaria SA | 53 | 277 |
| Banco Santander SA (a) | 137 | 401 |
| CaixaBank SA | 35 | 113 |
| Cellnex Telecom SA (b) | 4 | 188 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Spain — continued |
| EDP Renovaveis SA (a) | 2 | 54 |
| Enagas SA | 2 | 43 |
| Endesa SA | 2 | 53 |
| Ferrovial SA | 4 | 98 |
| Grifols SA | 2 | 40 |
| Iberdrola SA | 741 | 8,516 |
| Industria de Diseno Textil SA | 9 | 181 |
| Naturgy Energy Group SA | 2 | 46 |
| Red Electrica Corp. SA | 3 | 69 |
| Repsol SA | 11 | 171 |
| Siemens Gamesa Renewable Energy SA * | 2 | 30 |
| Telefonica SA | 42 | 203 |
| | | 10,837 |
| Sweden — 0.4% |
| Alfa Laval AB (a) | 3 | 69 |
| Assa Abloy AB, Class B | 8 | 201 |
| Atlas Copco AB, Class A | 76 | 3,441 |
| Atlas Copco AB, Class B | 3 | 122 |
| Boliden AB | 2 | 94 |
| Electrolux AB, Class B (a) | 2 | 27 |
| Embracer Group AB * (a) | 4 | 30 |
| Epiroc AB, Class A (a) | 5 | 106 |
| Epiroc AB, Class B | 3 | 54 |
| EQT AB | 2 | 66 |
| Essity AB, Class B (a) | 5 | 127 |
| Evolution AB (b) | 1 | 140 |
| Fastighets AB Balder, Class B * | 1 | 41 |
| Getinge AB, Class B | 2 | 52 |
| H & M Hennes & Mauritz AB, Class B (a) | 6 | 73 |
| Hexagon AB, Class B * | 15 | 199 |
| Husqvarna AB, Class B (a) | 3 | 32 |
| Industrivarden AB, Class A | 1 | 26 |
| Industrivarden AB, Class C (a) | 1 | 32 |
| Investment AB Latour, Class B | 1 | 31 |
| Investor AB, Class A (a) | 4 | 82 |
| Investor AB, Class B | 14 | 277 |
| Kinnevik AB, Class B * (a) | 2 | 38 |
| L E Lundbergforetagen AB, Class B | 1 | 28 |
| Lifco AB, Class B * | 2 | 39 |
| Lundin Energy AB (a) | 2 | 66 |
| Nibe Industrier AB, Class B | 11 | 111 |
| Sagax AB, Class B | 1 | 33 |
| Sandvik AB | 9 | 169 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Sweden — continued |
| Securitas AB, Class B | 2 | 29 |
| Sinch AB * (a) (b) | 4 | 18 |
| Skandinaviska Enskilda Banken AB, Class A | 13 | 144 |
| Skanska AB, Class B | 3 | 51 |
| SKF AB, Class B | 3 | 49 |
| Svenska Cellulosa AB SCA, Class B | 5 | 93 |
| Svenska Handelsbanken AB, Class A | 12 | 116 |
| Swedbank AB, Class A | 7 | 113 |
| Swedish Match AB | 13 | 100 |
| Tele2 AB, Class B (a) | 4 | 53 |
| Telefonaktiebolaget LM Ericsson, Class B | 23 | 184 |
| Telia Co. AB | 21 | 87 |
| Volvo AB, Class A | 2 | 26 |
| Volvo AB, Class B | 708 | 11,296 |
| | | 18,165 |
| Switzerland — 0.9% |
| ABB Ltd. (Registered) | 13 | 390 |
| Adecco Group AG (Registered) | 1 | 49 |
| Alcon, Inc. | 4 | 282 |
| Bachem Holding AG (Registered), Class B * | — | 20 |
| Baloise Holding AG (Registered) | — | 63 |
| Barry Callebaut AG (Registered) | — | 67 |
| Chocoladefabriken Lindt & Spruengli AG | — | 90 |
| Chocoladefabriken Lindt & Spruengli AG (Registered) | — | 119 |
| Cie Financiere Richemont SA (Registered) | 4 | 480 |
| Clariant AG (Registered) * | 2 | 29 |
| Credit Suisse Group AG (Registered) | 21 | 142 |
| EMS-Chemie Holding AG (Registered) | — | 49 |
| Geberit AG (Registered) | — | 162 |
| Givaudan SA (Registered) (a) | — | 294 |
| Holcim AG * | 4 | 203 |
| Julius Baer Group Ltd. | 2 | 84 |
| Kuehne + Nagel International AG (Registered) | 1 | 120 |
| Logitech International SA (Registered) | 1 | 89 |
| Lonza Group AG (Registered) | 7 | 3,956 |
| Nestle SA (Registered) | 102 | 13,148 |
| Novartis AG (Registered) | 17 | 1,532 |
| Partners Group Holding AG | — | 190 |
| Roche Holding AG | 25 | 9,134 |
| Roche Holding AG | — | 98 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Switzerland — continued |
| Schindler Holding AG | — | 59 |
| Schindler Holding AG (Registered) | — | 30 |
| SGS SA (Registered) | 1 | 3,430 |
| Sika AG (Registered) | 1 | 343 |
| Sonova Holding AG (Registered) | 1 | 153 |
| Straumann Holding AG (Registered) | 1 | 96 |
| Swatch Group AG (The) (a) | — | 54 |
| Swatch Group AG (The) (Registered) | 1 | 20 |
| Swiss Life Holding AG (Registered) | — | 146 |
| Swiss Prime Site AG (Registered) | 1 | 59 |
| Swisscom AG (Registered) | — | 121 |
| Temenos AG (Registered) | 1 | 54 |
| UBS Group AG (Registered) | 28 | 472 |
| VAT Group AG (b) | — | 66 |
| Vifor Pharma AG | — | 68 |
| Wizz Air Holdings plc * (b) | 24 | 928 |
| Zurich Insurance Group AG | 1 | 542 |
| | | 37,431 |
| Taiwan — 1.3% |
| Accton Technology Corp. | 159 | 1,240 |
| Advantech Co. Ltd. | 166 | 2,067 |
| Chailease Holding Co. Ltd. | 189 | 1,500 |
| Eclat Textile Co. Ltd. | 85 | 1,395 |
| Global Unichip Corp. | 78 | 1,068 |
| Novatek Microelectronics Corp. | 73 | 966 |
| Realtek Semiconductor Corp. | 107 | 1,452 |
| Sea Ltd., ADR * | 21 | 1,720 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 879 | 15,895 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 269 | 25,023 |
| Wiwynn Corp. | 49 | 1,675 |
| | | 54,001 |
| Tanzania, United Republic of — 0.0% ^ |
| AngloGold Ashanti Ltd. | 35 | 725 |
| Thailand — 0.1% |
| PTT Exploration & Production PCL | 343 | 1,500 |
| SCB X PCL | 381 | 1,279 |
| Thai Oil PCL | 1,306 | 2,138 |
| | | 4,917 |
| United Arab Emirates — 0.0% ^ |
| NMC Health plc ‡ * | 3 | —(c) |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 21 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United Kingdom — 1.1% |
| 3i Group plc | 8 | 126 |
| abrdn plc | 17 | 41 |
| Admiral Group plc | 2 | 48 |
| Ashtead Group plc | 3 | 183 |
| Associated British Foods plc | 3 | 56 |
| AstraZeneca plc | 12 | 1,636 |
| Auto Trader Group plc (b) | 7 | 59 |
| AVEVA Group plc | 1 | 26 |
| Aviva plc | 30 | 161 |
| BAE Systems plc | 25 | 232 |
| Barclays plc | 133 | 244 |
| Barratt Developments plc | 8 | 49 |
| Berkeley Group Holdings plc * | 1 | 45 |
| BP plc | 2,076 | 10,021 |
| British American Tobacco plc | 17 | 723 |
| British Land Co. plc (The), REIT | 7 | 45 |
| BT Group plc | 71 | 157 |
| Bunzl plc | 3 | 103 |
| Burberry Group plc | 3 | 63 |
| CK Hutchison Holdings Ltd. | 7 | 48 |
| CK Hutchison Holdings Ltd. | 14 | 102 |
| CNH Industrial NV | 8 | 115 |
| Coca-Cola Europacific Partners plc | 2 | 81 |
| Compass Group plc | 14 | 298 |
| Croda International plc | 1 | 107 |
| DCC plc | 1 | 59 |
| Diageo plc | 172 | 8,602 |
| Entain plc * | 5 | 87 |
| Experian plc | 7 | 252 |
| Halma plc | 3 | 92 |
| Hargreaves Lansdown plc | 3 | 32 |
| HSBC Holdings plc | 161 | 1,006 |
| Imperial Brands plc | 7 | 156 |
| Informa plc * | 12 | 84 |
| InterContinental Hotels Group plc | 1 | 93 |
| Intertek Group plc | 1 | 80 |
| J Sainsbury plc | 14 | 40 |
| JD Sports Fashion plc | 20 | 34 |
| Johnson Matthey plc | 2 | 42 |
| Just Eat Takeaway.com NV * (b) | 1 | 39 |
| Kingfisher plc | 16 | 52 |
| Land Securities Group plc, REIT | 6 | 52 |
| Legal & General Group plc | 47 | 147 |
| Linde plc (a) | 18 | 5,624 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United Kingdom — continued |
| Lloyds Banking Group plc | 562 | 319 |
| London Stock Exchange Group plc | 3 | 257 |
| M&G plc | 21 | 55 |
| Melrose Industries plc | 35 | 50 |
| National Grid plc | 29 | 425 |
| NatWest Group plc | 45 | 120 |
| Next plc | 1 | 79 |
| Ocado Group plc * | 4 | 44 |
| Pearson plc | 6 | 58 |
| Pepco Group NV * (b) | 121 | 1,133 |
| Persimmon plc | 105 | 2,727 |
| Phoenix Group Holdings plc | 6 | 42 |
| Prudential plc | 134 | 1,668 |
| Reckitt Benckiser Group plc | 6 | 441 |
| RELX plc | 15 | 456 |
| RELX plc | 182 | 5,417 |
| Rentokil Initial plc | 15 | 101 |
| Rolls-Royce Holdings plc * | 66 | 68 |
| Sage Group plc (The) | 8 | 74 |
| Schroders plc | 1 | 35 |
| Segro plc, REIT | 9 | 159 |
| Severn Trent plc | 2 | 78 |
| Smith & Nephew plc | 7 | 113 |
| Smiths Group plc | 3 | 57 |
| Spirax-Sarco Engineering plc | 1 | 88 |
| SSE plc | 8 | 196 |
| St James's Place plc | 4 | 69 |
| Standard Chartered plc | 21 | 142 |
| Taylor Wimpey plc | 29 | 45 |
| Tesco plc | 61 | 207 |
| Unilever plc | 20 | 945 |
| United Utilities Group plc | 5 | 78 |
| Vodafone Group plc | 216 | 327 |
| Whitbread plc * | 2 | 56 |
| WPP plc | 9 | 115 |
| | | 47,586 |
| United States — 33.9% |
| AbbVie, Inc. | 211 | 30,975 |
| Advanced Micro Devices, Inc. * | 113 | 9,704 |
| Airbnb, Inc., Class A * | 7 | 1,024 |
| Alleghany Corp. * | 2 | 1,612 |
| Alliant Energy Corp. (a) | 23 | 1,353 |
| Allstate Corp. (The) | 9 | 1,076 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| Alnylam Pharmaceuticals, Inc. * | 16 | 2,089 |
| Alphabet, Inc., Class C * (d) | 8 | 19,432 |
| Amazon.com, Inc. * (d) | 24 | 59,809 |
| American Electric Power Co., Inc. | 12 | 1,234 |
| American Express Co. | 113 | 19,669 |
| American Homes 4 Rent, REIT, Class A | 36 | 1,409 |
| American International Group, Inc. | 44 | 2,559 |
| AmerisourceBergen Corp. | 17 | 2,556 |
| AMETEK, Inc. | 29 | 3,658 |
| Analog Devices, Inc. | 52 | 8,082 |
| Apple Hospitality REIT, Inc., REIT | 48 | 857 |
| Apple, Inc. (d) | 335 | 52,886 |
| Arista Networks, Inc. * | 27 | 3,085 |
| Arthur J Gallagher & Co. | 51 | 8,603 |
| AutoZone, Inc. * | 2 | 3,227 |
| Axalta Coating Systems Ltd. * | 28 | 712 |
| Baker Hughes Co. | 372 | 11,536 |
| Bank of America Corp. | 850 | 30,326 |
| BellRing Brands, Inc. * | 33 | 697 |
| Berkshire Hathaway, Inc., Class B * | 24 | 7,655 |
| Best Buy Co., Inc. | 14 | 1,265 |
| Biogen, Inc. * | 5 | 1,016 |
| BioMarin Pharmaceutical, Inc. * | 9 | 724 |
| BJ's Wholesale Club Holdings, Inc. * | 28 | 1,789 |
| BlackRock, Inc. | 4 | 2,386 |
| Blackstone, Inc. | 44 | 4,438 |
| Boeing Co. (The) * | 12 | 1,816 |
| Booking Holdings, Inc. * | 8 | 17,901 |
| Boston Scientific Corp. * | 452 | 19,044 |
| Bright Horizons Family Solutions, Inc. * | 21 | 2,372 |
| Bristol-Myers Squibb Co. | 440 | 33,116 |
| Brixmor Property Group, Inc., REIT | 70 | 1,775 |
| Bumble, Inc., Class A * | 91 | 2,184 |
| Bunge Ltd. | 6 | 724 |
| Burlington Stores, Inc. * | 15 | 3,113 |
| Capital One Financial Corp. | 31 | 3,802 |
| Cardinal Health, Inc. | 31 | 1,770 |
| Carlisle Cos., Inc. | 6 | 1,477 |
| CarMax, Inc. * | 17 | 1,467 |
| Catalent, Inc. * | 33 | 2,994 |
| CBRE Group, Inc., Class A * | 18 | 1,494 |
| Celanese Corp. | 4 | 524 |
| Centene Corp. * | 83 | 6,687 |
| CenterPoint Energy, Inc. | 46 | 1,423 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| Charles Schwab Corp. (The) | 91 | 6,049 |
| Charter Communications, Inc., Class A * | 25 | 10,785 |
| Cheniere Energy, Inc. | 18 | 2,418 |
| Chevron Corp. | 114 | 17,797 |
| Chubb Ltd. | 10 | 2,015 |
| Cigna Corp. | 18 | 4,516 |
| Cisco Systems, Inc. | 24 | 1,155 |
| Citigroup, Inc. | 151 | 7,264 |
| Citizens Financial Group, Inc. | 62 | 2,461 |
| Claire's Stores, Inc. ‡ * | — | 110 |
| CNA Financial Corp. | 17 | 786 |
| Coca-Cola Co. (The) | 151 | 9,744 |
| Columbia Sportswear Co. | 14 | 1,120 |
| Comcast Corp., Class A | 111 | 4,409 |
| CommScope Holding Co., Inc. * | 57 | 342 |
| Confluent, Inc., Class A * (a) | 40 | 1,264 |
| ConocoPhillips | 155 | 14,794 |
| Constellation Brands, Inc., Class A | 58 | 14,271 |
| Cooper Cos., Inc. (The) | 9 | 3,323 |
| Copart, Inc. * | 33 | 3,775 |
| Coterra Energy, Inc. | 79 | 2,264 |
| Cracker Barrel Old Country Store, Inc. (a) | 6 | 687 |
| Crowdstrike Holdings, Inc., Class A * | 8 | 1,604 |
| CVS Health Corp. | 30 | 2,859 |
| CyberArk Software Ltd. * | — | 49 |
| Deere & Co. | 17 | 6,461 |
| Delta Air Lines, Inc. * | 92 | 3,941 |
| Dexcom, Inc. * | 7 | 2,700 |
| Diamondback Energy, Inc. | 34 | 4,287 |
| Dick's Sporting Goods, Inc. (a) | 16 | 1,544 |
| DISH Network Corp., Class A * | 36 | 1,015 |
| Dollar General Corp. | 8 | 1,797 |
| Dover Corp. | 16 | 2,105 |
| Dow, Inc. | 14 | 938 |
| DuPont de Nemours, Inc. | 17 | 1,141 |
| Eastman Chemical Co. | 65 | 6,691 |
| Eaton Corp. plc | 94 | 13,701 |
| Edison International | 19 | 1,284 |
| Energizer Holdings, Inc. | 36 | 1,090 |
| Entegris, Inc. | 26 | 2,879 |
| Entergy Corp. | 11 | 1,359 |
| EOG Resources, Inc. | 38 | 4,472 |
| EP Energy Corp. * | 5 | 38 |
| EPAM Systems, Inc. * | 7 | 1,861 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 23 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| Equifax, Inc. | 12 | 2,484 |
| Equity LifeStyle Properties, Inc., REIT | 28 | 2,172 |
| Estee Lauder Cos., Inc. (The), Class A | 11 | 2,858 |
| Exact Sciences Corp. * (a) | 25 | 1,384 |
| Exelixis, Inc. * | 83 | 1,860 |
| Exelon Corp. | 40 | 1,852 |
| Exxon Mobil Corp. | 47 | 3,973 |
| Federal Realty Investment Trust, REIT | 11 | 1,258 |
| FedEx Corp. | ��� 9 | 1,787 |
| Ferguson plc | 31 | 3,909 |
| Fidelity National Information Services, Inc. | 34 | 3,411 |
| First Republic Bank | 20 | 2,989 |
| Fiverr International Ltd. * | — | 11 |
| FleetCor Technologies, Inc. * | 6 | 1,379 |
| Flowserve Corp. | 19 | 635 |
| FMC Corp. | 14 | 1,808 |
| Fortune Brands Home & Security, Inc. | 14 | 983 |
| Freeport-McMoRan, Inc. | 165 | 6,677 |
| Gap, Inc. (The) | 96 | 1,195 |
| Garmin Ltd. | 20 | 2,152 |
| Generac Holdings, Inc. * | 7 | 1,592 |
| General Dynamics Corp. | 7 | 1,740 |
| General Motors Co. * | 21 | 804 |
| GlaxoSmithKline plc | 40 | 898 |
| Global Payments, Inc. | 22 | 2,972 |
| Goodman Networks, Inc. ‡ * | 2 | —(c) |
| Hartford Financial Services Group, Inc. (The) | 34 | 2,379 |
| HCA Healthcare, Inc. | 4 | 869 |
| Hess Corp. | 52 | 5,318 |
| Hilton Worldwide Holdings, Inc. * | 27 | 4,198 |
| Home Depot, Inc. (The) | 21 | 6,328 |
| Honeywell International, Inc. | 18 | 3,446 |
| Horizon Therapeutics plc * | 39 | 3,885 |
| Host Hotels & Resorts, Inc., REIT | 87 | 1,781 |
| HubSpot, Inc. * | 6 | 2,266 |
| Humana, Inc. | 6 | 2,578 |
| Ingersoll Rand, Inc. | 358 | 15,758 |
| Inmode Ltd. * | — | 9 |
| Insulet Corp. * | 9 | 2,082 |
| InterActiveCorp. * | 11 | 899 |
| Intercontinental Exchange, Inc. | 9 | 984 |
| International Business Machines Corp. | 13 | 1,708 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| Intuit, Inc. | 21 | 8,730 |
| Intuitive Surgical, Inc. * | 15 | 3,548 |
| Invesco Ltd. | 53 | 982 |
| ITT, Inc. | 14 | 955 |
| James Hardie Industries plc, CHDI | 4 | 101 |
| Jazz Pharmaceuticals plc * | 19 | 3,034 |
| JBG SMITH Properties, REIT | 34 | 886 |
| Johnson & Johnson | 26 | 4,698 |
| Keurig Dr Pepper, Inc. | 65 | 2,449 |
| Keysight Technologies, Inc. * | 16 | 2,187 |
| Kilroy Realty Corp., REIT | 7 | 476 |
| Kimco Realty Corp., REIT | 90 | 2,291 |
| Kinder Morgan, Inc. | 102 | 1,853 |
| Kite Realty Group Trust, REIT | 27 | 611 |
| Kohl's Corp. | 41 | 2,364 |
| Kontoor Brands, Inc. | 18 | 708 |
| Kraft Heinz Co. (The) | 53 | 2,254 |
| Kyndryl Holdings, Inc. * | 36 | 432 |
| Laboratory Corp. of America Holdings * | 4 | 970 |
| Lam Research Corp. | 19 | 8,890 |
| Lamar Advertising Co., REIT, Class A | 6 | 706 |
| Lamb Weston Holdings, Inc. | 32 | 2,093 |
| Leidos Holdings, Inc. | 22 | 2,245 |
| Liberty Broadband Corp., Class C * | 14 | 1,550 |
| Liberty Media Corp.-Liberty SiriusXM, Class C * | 38 | 1,584 |
| Lincoln National Corp. | 19 | 1,131 |
| Lockheed Martin Corp. | 2 | 660 |
| Loews Corp. | 66 | 4,117 |
| Lowe's Cos., Inc. | 10 | 1,987 |
| Lyft, Inc., Class A * | 495 | 16,130 |
| M&T Bank Corp. | 44 | 7,308 |
| Marathon Petroleum Corp. | 13 | 1,110 |
| Marriott International, Inc., Class A * | 108 | 19,175 |
| Marsh & McLennan Cos., Inc. | 6 | 1,044 |
| Martin Marietta Materials, Inc. | 5 | 1,922 |
| Mastercard, Inc., Class A | 81 | 29,604 |
| McDonald's Corp. | 100 | 24,993 |
| McKesson Corp. | 16 | 5,019 |
| Medtronic plc | 28 | 2,943 |
| Merck & Co., Inc. | 16 | 1,433 |
| Meta Platforms, Inc., Class A * | 139 | 27,906 |
| Mettler-Toledo International, Inc. * | 1 | 1,782 |
| Microsoft Corp. | 269 | 74,684 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| Mid-America Apartment Communities, Inc., REIT | 7 | 1,464 |
| Middleby Corp. (The) * | 5 | 787 |
| Mohawk Industries, Inc. * | 12 | 1,726 |
| MongoDB, Inc. * | 6 | 2,205 |
| Moran Foods Backstop Equity ‡ * | 24 | 14 |
| Morgan Stanley | 18 | 1,452 |
| Murphy USA, Inc. | 7 | 1,686 |
| MYT Holding Co. ‡ * | 23 | 23 |
| Natera, Inc. * | 28 | 973 |
| National Vision Holdings, Inc. * | 35 | 1,313 |
| Neurocrine Biosciences, Inc. * | 7 | 645 |
| Newell Brands, Inc. | 69 | 1,608 |
| Nexstar Media Group, Inc., Class A | 7 | 1,047 |
| NextEra Energy, Inc. | 192 | 13,629 |
| NIKE, Inc., Class B | 32 | 4,037 |
| NMG, Inc. * | 1 | 208 |
| Norfolk Southern Corp. | 33 | 8,510 |
| Northern Trust Corp. | 16 | 1,600 |
| Northrop Grumman Corp. | 4 | 1,798 |
| NVIDIA Corp. | 34 | 6,393 |
| Old Dominion Freight Line, Inc. | 5 | 1,529 |
| Organon & Co. | 17 | 548 |
| Packaging Corp. of America | 15 | 2,433 |
| Palo Alto Networks, Inc. * | 9 | 5,132 |
| Parker-Hannifin Corp. | 11 | 3,087 |
| PG&E Corp. * | 92 | 1,158 |
| Philip Morris International, Inc. | 17 | 1,672 |
| Phillips 66 | 20 | 1,725 |
| Pioneer Natural Resources Co. | 6 | 1,279 |
| PNC Financial Services Group, Inc. (The) | 17 | 2,757 |
| Post Holdings, Inc. * | 25 | 1,842 |
| Procter & Gamble Co. (The) | 16 | 2,512 |
| Progressive Corp. (The) | 204 | 21,900 |
| Prologis, Inc., REIT | 60 | 9,662 |
| Public Storage, REIT | 2 | 716 |
| QIAGEN NV * | 2 | 84 |
| QUALCOMM, Inc. | 38 | 5,338 |
| Quanta Services, Inc. | 50 | 5,837 |
| Ralph Lauren Corp. | 11 | 1,166 |
| Rayonier, Inc., REIT | 43 | 1,870 |
| Raytheon Technologies Corp. | 77 | 7,333 |
| Regeneron Pharmaceuticals, Inc. * | 35 | 23,330 |
| Regions Financial Corp. | 36 | 754 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| ROBLOX Corp., Class A * | 18 | 553 |
| Ross Stores, Inc. | 103 | 10,312 |
| Royal Caribbean Cruises Ltd. * (a) | 86 | 6,679 |
| Royalty Pharma plc, Class A | 40 | 1,716 |
| S&P Global, Inc. | 14 | 5,126 |
| Schneider Electric SE (a) | 29 | 4,110 |
| Seagate Technology Holdings plc | 88 | 7,236 |
| ServiceNow, Inc. * | 7 | 3,288 |
| Signature Bank | 9 | 2,067 |
| Snap, Inc., Class A * | 372 | 10,573 |
| SolarEdge Technologies, Inc. * | 13 | 3,130 |
| Southwest Airlines Co. * | 120 | 5,613 |
| Stanley Black & Decker, Inc. | 8 | 969 |
| State Street Corp. | 145 | 9,696 |
| Stellantis NV (a) | 340 | 4,570 |
| Sun Communities, Inc., REIT | 45 | 7,884 |
| SVB Financial Group * | 4 | 2,192 |
| Swiss Re AG | 2 | 196 |
| Synopsys, Inc. * | 11 | 3,131 |
| Sysco Corp. | 18 | 1,550 |
| T. Rowe Price Group, Inc. | 11 | 1,381 |
| Tapestry, Inc. | 39 | 1,292 |
| TD SYNNEX Corp. | 18 | 1,821 |
| Tenaris SA | 4 | 57 |
| Teradyne, Inc. | 18 | 1,931 |
| Terex Corp. | 15 | 501 |
| Tesla, Inc. * | 25 | 22,116 |
| Texas Instruments, Inc. (d) | 112 | 19,015 |
| Texas Roadhouse, Inc. | 7 | 607 |
| Textron, Inc. | 12 | 810 |
| Thermo Fisher Scientific, Inc. | 6 | 3,360 |
| Timken Co. (The) | 11 | 629 |
| T-Mobile US, Inc. * | 128 | 15,779 |
| Trade Desk, Inc. (The), Class A * | 28 | 1,673 |
| Trane Technologies plc | 135 | 18,896 |
| Travelers Cos., Inc. (The) | 31 | 5,386 |
| Truist Financial Corp. | 278 | 13,458 |
| UDR, Inc., REIT | 12 | 628 |
| UnitedHealth Group, Inc. (d) | 65 | 33,121 |
| US Bancorp | 77 | 3,723 |
| US Foods Holding Corp. * | 49 | 1,836 |
| Ventas, Inc., REIT | 16 | 881 |
| Verizon Communications, Inc. (d) | 77 | 3,543 |
| Vertex Pharmaceuticals, Inc. * | 16 | 4,401 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 25 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| Viatris, Inc. | 48 | 499 |
| Walt Disney Co. (The) * | 6 | 626 |
| Wells Fargo & Co. | 419 | 18,260 |
| Welltower, Inc., REIT | 8 | 739 |
| Westrock Co. | 29 | 1,442 |
| Weyerhaeuser Co., REIT | 97 | 4,011 |
| Whiting Petroleum Corp. | 2 | 130 |
| Williams Cos., Inc. (The) | 59 | 2,009 |
| Wolfspeed, Inc. * (a) | 21 | 1,954 |
| Xcel Energy, Inc. | 38 | 2,798 |
| Zebra Technologies Corp., Class A * | 5 | 1,967 |
| Zimmer Biomet Holdings, Inc. | 212 | 25,616 |
| Zoom Video Communications, Inc., Class A * | 24 | 2,374 |
| Zscaler, Inc. * | 7 | 1,465 |
| | | 1,429,215 |
Total Common Stocks
(Cost $1,974,236) | | 2,335,295 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Corporate Bonds — 15.8% |
| Australia — 0.1% |
| FMG Resources August 2006 Pty. Ltd. | | |
| 5.13%, 5/15/2024 (e) | 1,041 | 1,051 |
| 4.50%, 9/15/2027 (e) | 1,620 | 1,535 |
| 4.38%, 4/1/2031 (e) | 3,611 | 3,196 |
| | | 5,782 |
| Canada — 0.9% |
| 1011778 BC ULC | | |
| 5.75%, 4/15/2025 (a) (e) | 798 | 815 |
| 4.38%, 1/15/2028 (e) | 4 | 4 |
| Algonquin Power & Utilities Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.25%), 4.75%, 1/18/2082 (f) | 90 | 82 |
| Baffinland Iron Mines Corp. 8.75%, 7/15/2026 (e) | 490 | 498 |
| Baytex Energy Corp. 8.75%, 4/1/2027 (e) | 140 | 148 |
| Bombardier, Inc. | | |
| 7.50%, 12/1/2024 (e) | 2,069 | 2,059 |
| 7.13%, 6/15/2026 (e) | 1,583 | 1,456 |
| 7.88%, 4/15/2027 (e) | 60 | 56 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Canada — continued |
| 6.00%, 2/15/2028 (e) | 1 | 1 |
| Garda World Security Corp. | | |
| 4.63%, 2/15/2027 (e) | 435 | 392 |
| 9.50%, 11/1/2027 (e) | 160 | 157 |
| 6.00%, 6/1/2029 (e) | 20 | 17 |
| GFL Environmental, Inc. | | |
| 3.75%, 8/1/2025 (e) | 255 | 242 |
| 5.13%, 12/15/2026 (e) | 1,402 | 1,378 |
| 4.00%, 8/1/2028 (e) | 7 | 6 |
| 3.50%, 9/1/2028 (e) | 5,893 | 5,245 |
| MEG Energy Corp. 7.13%, 2/1/2027 (e) | 1,442 | 1,464 |
| Methanex Corp. | | |
| 5.25%, 12/15/2029 | 4,644 | 4,412 |
| 5.65%, 12/1/2044 | 3,092 | 2,705 |
| NOVA Chemicals Corp. 4.88%, 6/1/2024 (e) | 3 | 3 |
| Ontario Teachers' Finance Trust | | |
| 1.10%, 10/19/2027 (e) | CAD 773 | 533 |
| 0.10%, 5/19/2028 (b) | EUR 2,955 | 2,838 |
| 0.05%, 11/25/2030 (b) | EUR 5,225 | 4,731 |
| Open Text Corp. 3.88%, 12/1/2029 (e) | 2,371 | 2,107 |
| Parkland Corp. | | |
| 5.88%, 7/15/2027 (e) | 20 | 19 |
| 4.50%, 10/1/2029 (e) | 3,582 | 3,135 |
| 4.63%, 5/1/2030 (e) | 451 | 395 |
| Titan Acquisition Ltd. 7.75%, 4/15/2026 (e) | 939 | 906 |
| TransAlta Corp. 6.50%, 3/15/2040 | 802 | 803 |
| Videotron Ltd. 5.13%, 4/15/2027 (e) | 155 | 152 |
| | | 36,759 |
| Cayman Islands — 0.0% ^ |
| Global Aircraft Leasing Co. Ltd. 6.50% (Cash), 9/15/2024 (e) (g) | 1,630 | 1,406 |
| Chile — 0.0% ^ |
| Celulosa Arauco y Constitucion SA 5.50%, 11/2/2047 | 355 | 325 |
| Finland — 0.0% ^ |
| Nokia OYJ 6.63%, 5/15/2039 (a) | 493 | 569 |
| France — 0.4% |
| Altice France SA 8.13%, 2/1/2027 (e) | 1,340 | 1,350 |
| Dexia Credit Local SA | | |
| 0.75%, 1/25/2023 (b) | EUR 3,500 | 3,712 |
| 0.50%, 7/22/2023 (b) | GBP 3,500 | 4,324 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| France — continued |
| 1.63%, 12/8/2023 (b) | GBP 2,800 | 3,496 |
| 1.25%, 11/26/2024 (b) | EUR 2,100 | 2,226 |
| | | 15,108 |
| Germany — 0.1% |
| Kreditanstalt fuer Wiederaufbau 0.00%, 12/15/2022 | EUR 3,000 | 3,170 |
| Hong Kong — 0.0% ^ |
| Seaspan Corp. 5.50%, 8/1/2029 (e) | 20 | 18 |
| Italy — 0.3% |
| Telecom Italia Capital SA | | |
| 6.38%, 11/15/2033 | 1,524 | 1,332 |
| 6.00%, 9/30/2034 | 808 | 691 |
| 7.20%, 7/18/2036 | 4,103 | 3,701 |
| 7.72%, 6/4/2038 | 5,205 | 4,886 |
| | | 10,610 |
| Japan — 0.0% ^ |
| Development Bank of Japan, Inc. 3.13%, 9/6/2023 (e) | 1,850 | 1,862 |
| Luxembourg — 0.1% |
| Altice Financing SA 5.00%, 1/15/2028 (e) | 253 | 211 |
| Altice France Holding SA | | |
| 10.50%, 5/15/2027 (a) (e) | 3 | 3 |
| 6.00%, 2/15/2028 (a) (e) | 580 | 479 |
| ArcelorMittal SA | | |
| 7.00%, 10/15/2039 (h) | 476 | 523 |
| 6.75%, 3/1/2041 (h) | 507 | 544 |
| ARD Finance SA 6.50% (Cash), 6/30/2027 (e) (g) | 2,048 | 1,721 |
| Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (e) | 321 | 302 |
| | | 3,783 |
| Macau — 0.1% |
| MGM China Holdings Ltd. 4.75%, 2/1/2027 (a) (e) | 3,148 | 2,644 |
| Studio City Finance Ltd. | | |
| 6.00%, 7/15/2025 (e) | 340 | 288 |
| 5.00%, 1/15/2029 (e) | 604 | 412 |
| Wynn Macau Ltd. 4.88%, 10/1/2024 (e) | 2,862 | 2,558 |
| | | 5,902 |
| Netherlands — 0.2% |
| BNG Bank NV 4.75%, 3/6/2023 (b) | AUD 602 | 434 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Netherlands — continued |
| Nederlandse Waterschapsbank NV 3.50%, 7/20/2027 | AUD 3,120 | 2,179 |
| Trivium Packaging Finance BV 5.50%, 8/15/2026 (e) (h) | 1,111 | 1,073 |
| UPC Broadband Finco BV 4.88%, 7/15/2031 (e) | 5,882 | 5,169 |
| | | 8,855 |
| Saudi Arabia — 0.0% ^ |
| Saudi Arabian Oil Co. 1.25%, 11/24/2023 (e) | 400 | 388 |
| Singapore — 0.2% |
| Temasek Financial I Ltd. | | |
| 3.63%, 8/1/2028 (e) | 6,158 | 6,202 |
| 1.63%, 8/2/2031 (e) | 2,593 | 2,186 |
| 2.38%, 8/2/2041 (a) (e) | 1,558 | 1,246 |
| | | 9,634 |
| South Korea — 0.2% |
| Korea Development Bank (The) | | |
| 1.75%, 12/15/2022 (b) | GBP 2,450 | 3,080 |
| 2.13%, 10/1/2024 | 1,826 | 1,781 |
| Korea Southern Power Co. Ltd. 0.75%, 1/27/2026 (e) | 2,155 | 1,934 |
| | | 6,795 |
| Switzerland — 0.0% ^ |
| VistaJet Malta Finance plc 6.38%, 2/1/2030 (e) | 80 | 70 |
| United Kingdom — 0.3% |
| eG Global Finance plc 6.75%, 2/7/2025 (e) | 1,199 | 1,165 |
| INEOS Quattro Finance 2 plc 3.38%, 1/15/2026 (e) | 468 | 427 |
| Marks & Spencer plc 7.13%, 12/1/2037 (e) | 2,475 | 2,502 |
| Petrofac Ltd. 9.75%, 11/15/2026 (a) (e) | 200 | 187 |
| Rolls-Royce plc 5.75%, 10/15/2027 (e) | 961 | 926 |
| Virgin Media Secured Finance plc | | |
| 5.50%, 5/15/2029 (e) | 5 | 5 |
| 4.50%, 8/15/2030 (e) | 846 | 734 |
| Vmed O2 UK Financing I plc | | |
| 4.25%, 1/31/2031 (e) | 7,106 | 6,007 |
| 4.75%, 7/15/2031 (e) | 1,188 | 1,019 |
| | | 12,972 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 27 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — 12.9% |
| Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (e) | 4 | 4 |
| ACCO Brands Corp. 4.25%, 3/15/2029 (e) | 2,747 | 2,390 |
| Acrisure LLC | | |
| 7.00%, 11/15/2025 (e) | 1,131 | 1,101 |
| 4.25%, 2/15/2029 (e) | 10 | 9 |
| Adtalem Global Education, Inc. 5.50%, 3/1/2028 (e) | 2 | 2 |
| Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (e) | 326 | 296 |
| AECOM 5.13%, 3/15/2027 | 97 | 96 |
| Aethon United BR LP 8.25%, 2/15/2026 (e) | 1,036 | 1,068 |
| Air Methods Corp. 8.00%, 5/15/2025 (a) (e) | 666 | 544 |
| Albertsons Cos., Inc. | | |
| 3.25%, 3/15/2026 (e) | 1,528 | 1,394 |
| 7.50%, 3/15/2026 (e) | 734 | 771 |
| 5.88%, 2/15/2028 (e) | 614 | 596 |
| 3.50%, 3/15/2029 (e) | 6 | 5 |
| 4.88%, 2/15/2030 (e) | 982 | 889 |
| Alcoa Nederland Holding BV 5.50%, 12/15/2027 (e) | 214 | 213 |
| Allegheny Technologies, Inc. 5.88%, 12/1/2027 | 5 | 5 |
| Alliant Holdings Intermediate LLC 6.75%, 10/15/2027 (e) | 4 | 4 |
| Allied Universal Holdco LLC | | |
| 6.63%, 7/15/2026 (e) | 2,147 | 2,075 |
| 9.75%, 7/15/2027 (e) | 9 | 9 |
| Allison Transmission, Inc. | | |
| 4.75%, 10/1/2027 (e) | 8 | 8 |
| 5.88%, 6/1/2029 (e) | 5 | 5 |
| 3.75%, 1/30/2031 (e) | 2 | 2 |
| AMC Entertainment Holdings, Inc. | | |
| 10.00% (Cash), 6/15/2026 (a) (e) (g) | 1,291 | 1,081 |
| 7.50%, 2/15/2029 (e) | 40 | 37 |
| AMC Networks, Inc. 4.75%, 8/1/2025 | 1,079 | 1,042 |
| American Airlines Group, Inc. 3.75%, 3/1/2025 (a) (e) | 1,089 | 972 |
| American Airlines, Inc. | | |
| 11.75%, 7/15/2025 (e) | 320 | 368 |
| 5.50%, 4/20/2026 (e) | 5,032 | 4,988 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 5.75%, 4/20/2029 (e) | 6,727 | 6,482 |
| American Axle & Manufacturing, Inc. | | |
| 6.25%, 3/15/2026 | 28 | 27 |
| 6.50%, 4/1/2027 (a) | 7 | 7 |
| 5.00%, 10/1/2029 (a) | 5 | 4 |
| AmeriGas Partners LP 5.50%, 5/20/2025 | 90 | 89 |
| AMN Healthcare, Inc. 4.63%, 10/1/2027 (e) | 225 | 216 |
| AmWINS Group, Inc. 4.88%, 6/30/2029 (e) | 332 | 304 |
| ANGI Group LLC 3.88%, 8/15/2028 (e) | 40 | 32 |
| Antero Midstream Partners LP 7.88%, 5/15/2026 (e) | 1,295 | 1,355 |
| Antero Resources Corp. | | |
| 8.38%, 7/15/2026 (e) | 95 | 102 |
| 7.63%, 2/1/2029 (e) | 109 | 115 |
| Apollo Commercial Real Estate Finance, Inc. REIT, 4.63%, 6/15/2029 (e) | 2 | 2 |
| APX Group, Inc. 6.75%, 2/15/2027 (e) | 903 | 895 |
| Aramark Services, Inc. | | |
| 5.00%, 4/1/2025 (e) | 3 | 3 |
| 6.38%, 5/1/2025 (e) | 1,303 | 1,327 |
| Arches Buyer, Inc. 4.25%, 6/1/2028 (e) | 5 | 4 |
| Archrock Partners LP 6.88%, 4/1/2027 (e) | 786 | 787 |
| Arconic Corp. | | |
| 6.00%, 5/15/2025 (e) | 1,320 | 1,324 |
| 6.13%, 2/15/2028 (e) | 5 | 5 |
| Ardagh Packaging Finance plc 5.25%, 4/30/2025 (e) | 1,506 | 1,496 |
| Artera Services LLC 9.03%, 12/4/2025 (e) | 270 | 256 |
| Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (e) | 649 | 654 |
| ASGN, Inc. 4.63%, 5/15/2028 (e) | 326 | 303 |
| Ashland LLC 6.88%, 5/15/2043 | 340 | 377 |
| AssuredPartners, Inc. 7.00%, 8/15/2025 (e) | 200 | 197 |
| At Home Group, Inc. 7.13%, 7/15/2029 (a) (e) | 180 | 134 |
| Avantor Funding, Inc. 4.63%, 7/15/2028 (e) | 2 | 2 |
| Avaya, Inc. 6.13%, 9/15/2028 (e) | 4 | 4 |
| Avient Corp. 5.75%, 5/15/2025 (e) | 1,031 | 1,041 |
| B&G Foods, Inc. 5.25%, 4/1/2025 | 326 | 310 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Ball Corp. | | |
| 4.88%, 3/15/2026 | 1,049 | 1,049 |
| 3.13%, 9/15/2031 | 2,595 | 2,171 |
| Bath & Body Works, Inc. | | |
| 5.25%, 2/1/2028 | 150 | 144 |
| 7.50%, 6/15/2029 | 5 | 5 |
| 6.63%, 10/1/2030 (e) | 10 | 10 |
| 6.88%, 11/1/2035 | 4,621 | 4,515 |
| 6.75%, 7/1/2036 | 5,109 | 4,956 |
| Bausch Health Americas, Inc. | | |
| 9.25%, 4/1/2026 (e) | 3,994 | 3,965 |
| 8.50%, 1/31/2027 (e) | 26 | 25 |
| Bausch Health Cos., Inc. | | |
| 5.50%, 11/1/2025 (e) | 2,115 | 2,046 |
| 9.00%, 12/15/2025 (e) | 220 | 221 |
| 6.13%, 2/1/2027 (e) | 10 | 10 |
| 5.00%, 1/30/2028 (e) | 3 | 2 |
| 5.00%, 2/15/2029 (e) | 2 | 1 |
| 5.25%, 1/30/2030 (e) | 2 | 1 |
| 5.25%, 2/15/2031 (e) | 3 | 2 |
| BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (e) | 317 | 297 |
| Block, Inc. | | |
| 2.75%, 6/1/2026 (e) | 1,249 | 1,139 |
| 3.50%, 6/1/2031 (e) | 5 | 4 |
| Booz Allen Hamilton, Inc. 3.88%, 9/1/2028 (e) | 234 | 216 |
| Boxer Parent Co., Inc. 7.13%, 10/2/2025 (e) | 430 | 439 |
| Boyd Gaming Corp. 4.75%, 12/1/2027 | 1 | 1 |
| Brand Industrial Services, Inc. 8.50%, 7/15/2025 (e) | 2,411 | 2,152 |
| Brink's Co. (The) 4.63%, 10/15/2027 (e) | 150 | 142 |
| Brookfield Property REIT, Inc. | | |
| REIT, 5.75%, 5/15/2026 (e) | 877 | 849 |
| REIT, 4.50%, 4/1/2027 (e) | 3 | 3 |
| Buckeye Partners LP | | |
| 4.13%, 3/1/2025 (e) | 289 | 277 |
| 4.50%, 3/1/2028 (e) | 1,377 | 1,256 |
| 5.85%, 11/15/2043 | 2,126 | 1,695 |
| Builders FirstSource, Inc. 4.25%, 2/1/2032 (e) | 1,245 | 1,063 |
| Caesars Entertainment, Inc. | | |
| 6.25%, 7/1/2025 (e) | 3,625 | 3,664 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 8.13%, 7/1/2027 (e) | 1 | 1 |
| Caesars Resort Collection LLC 5.75%, 7/1/2025 (e) | 1,253 | 1,280 |
| Calpine Corp. | | |
| 4.50%, 2/15/2028 (e) | 226 | 209 |
| 5.13%, 3/15/2028 (e) | 5 | 5 |
| 3.75%, 3/1/2031 (e) | 6,267 | 5,280 |
| Calumet Specialty Products Partners LP 11.00%, 4/15/2025 (e) | 852 | 852 |
| Camelot Finance SA 4.50%, 11/1/2026 (e) | 50 | 47 |
| Cargo Aircraft Management, Inc. 4.75%, 2/1/2028 (e) | 230 | 216 |
| Carnival Corp. | | |
| 10.50%, 2/1/2026 (e) | 1,632 | 1,795 |
| 7.63%, 3/1/2026 (e) | 3,527 | 3,452 |
| 9.88%, 8/1/2027 (e) | 5 | 5 |
| 6.00%, 5/1/2029 (e) | 6 | 5 |
| Carvana Co. 5.63%, 10/1/2025 (a) (e) | 1,354 | 1,173 |
| CCO Holdings LLC | | |
| 5.00%, 2/1/2028 (e) | 7 | 7 |
| 4.75%, 3/1/2030 (e) | 7 | 6 |
| 4.25%, 2/1/2031 (e) | 6 | 5 |
| 4.50%, 6/1/2033 (e) | 1,280 | 1,047 |
| 4.25%, 1/15/2034 (e) | 1,443 | 1,147 |
| CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (e) | 992 | 1,010 |
| CDK Global, Inc. 5.25%, 5/15/2029 (e) | 3 | 3 |
| CEC Entertainment LLC 6.75%, 5/1/2026 (e) | 959 | 901 |
| Cedar Fair LP 5.50%, 5/1/2025 (e) | 1,385 | 1,392 |
| Centene Corp. | | |
| 4.25%, 12/15/2027 | 6 | 6 |
| 2.45%, 7/15/2028 | 33 | 29 |
| 4.63%, 12/15/2029 | 8 | 8 |
| Central Garden & Pet Co. 4.13%, 10/15/2030 | 5,871 | 5,075 |
| Century Communities, Inc. 6.75%, 6/1/2027 | 300 | 303 |
| CF Industries, Inc. 5.38%, 3/15/2044 | 866 | 878 |
| Charter Communications Operating LLC 3.85%, 4/1/2061 | 62 | 42 |
| Chemours Co. (The) 5.38%, 5/15/2027 (a) | 5 | 5 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 29 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Cheniere Energy Partners LP 4.00%, 3/1/2031 | 5 | 5 |
| Cheniere Energy, Inc. 4.63%, 10/15/2028 | 4 | 4 |
| Chesapeake Energy Corp. | | |
| 5.50%, 2/1/2026 (e) | 781 | 774 |
| 5.88%, 2/1/2029 (e) | 5 | 5 |
| Chobani LLC 7.50%, 4/15/2025 (a) (e) | 337 | 316 |
| Churchill Downs, Inc. 5.50%, 4/1/2027 (e) | 886 | 870 |
| Cinemark USA, Inc. 8.75%, 5/1/2025 (e) | 150 | 156 |
| Clarios Global LP | | |
| 6.75%, 5/15/2025 (e) | 4 | 4 |
| 6.25%, 5/15/2026 (e) | 1,161 | 1,173 |
| 8.50%, 5/15/2027 (e) | 20 | 20 |
| Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (e) | 5 | 4 |
| Clear Channel Outdoor Holdings, Inc. | | |
| 7.75%, 4/15/2028 (e) | 8 | 8 |
| 7.50%, 6/1/2029 (e) | 307 | 290 |
| Cleveland-Cliffs, Inc. | | |
| 6.75%, 3/15/2026 (e) | 572 | 600 |
| 5.88%, 6/1/2027 | 9 | 9 |
| 4.63%, 3/1/2029 (e) | 3 | 3 |
| CNX Resources Corp. 7.25%, 3/14/2027 (e) | 990 | 1,012 |
| Coinbase Global, Inc. 3.63%, 10/1/2031 (a) (e) | 490 | 362 |
| Colgate Energy Partners III LLC 5.88%, 7/1/2029 (e) | 6 | 6 |
| CommScope, Inc. | | |
| 6.00%, 3/1/2026 (e) | 1,246 | 1,175 |
| 8.25%, 3/1/2027 (e) | 1,158 | 984 |
| 7.13%, 7/1/2028 (a) (e) | 615 | 490 |
| Community Health Systems, Inc. | | |
| 8.00%, 3/15/2026 (e) | 4,112 | 4,251 |
| 5.63%, 3/15/2027 (e) | 6 | 6 |
| 6.13%, 4/1/2030 (a) (e) | 5 | 4 |
| Compass Minerals International, Inc. 6.75%, 12/1/2027 (e) | 298 | 302 |
| Conduent Business Services LLC 6.00%, 11/1/2029 (e) | 2 | 2 |
| Consolidated Communications, Inc. 6.50%, 10/1/2028 (e) | 140 | 122 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Continental Resources, Inc. 5.75%, 1/15/2031 (e) | 3 | 3 |
| CoreCivic, Inc. 8.25%, 4/15/2026 | 1,300 | 1,335 |
| Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (e) | 4 | 3 |
| Coty, Inc. 5.00%, 4/15/2026 (e) | 1,241 | 1,179 |
| Crescent Energy Finance LLC 7.25%, 5/1/2026 (e) | 706 | 695 |
| Crestwood Midstream Partners LP | | |
| 5.75%, 4/1/2025 | 156 | 154 |
| 5.63%, 5/1/2027 (e) | 62 | 60 |
| Crown Americas LLC 4.75%, 2/1/2026 | 1,216 | 1,211 |
| CrownRock LP 5.63%, 10/15/2025 (e) | 1,475 | 1,475 |
| CSC Holdings LLC | | |
| 5.50%, 4/15/2027 (e) | 5 | 5 |
| 6.50%, 2/1/2029 (e) | 215 | 204 |
| 4.13%, 12/1/2030 (e) | 3,190 | 2,632 |
| 3.38%, 2/15/2031 (e) | 3,477 | 2,715 |
| 4.50%, 11/15/2031 (e) | 6,597 | 5,419 |
| Curo Group Holdings Corp. 7.50%, 8/1/2028 (e) | 90 | 75 |
| CVR Energy, Inc. 5.25%, 2/15/2025 (e) | 1,342 | 1,298 |
| CWT Travel Group, Inc. 8.50%, 11/19/2026 (a) (e) | 10 | 10 |
| Dana, Inc. 5.38%, 11/15/2027 | 4 | 4 |
| Darling Ingredients, Inc. 5.25%, 4/15/2027 (e) | 807 | 807 |
| DaVita, Inc. 4.63%, 6/1/2030 (e) | 5 | 4 |
| DCP Midstream Operating LP 5.38%, 7/15/2025 | 1,116 | 1,122 |
| Dell, Inc. 6.50%, 4/15/2038 | 480 | 492 |
| Delta Air Lines, Inc. | | |
| 2.90%, 10/28/2024 | 1,246 | 1,188 |
| 4.50%, 10/20/2025 (e) | 1 | 1 |
| 7.38%, 1/15/2026 | 1,121 | 1,194 |
| 4.75%, 10/20/2028 (e) | — | — |
| 3.75%, 10/28/2029 | 10 | 9 |
| Diamond Sports Group LLC | | |
| 5.38%, 8/15/2026 (b) | 207 | 77 |
| 5.38%, 8/15/2026 (e) | 255 | 94 |
| Diebold Nixdorf, Inc. 9.38%, 7/15/2025 (a) (e) | 1,066 | 943 |
| Directv Financing LLC 5.88%, 8/15/2027 (e) | 5 | 5 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| DISH DBS Corp. | | |
| 7.75%, 7/1/2026 | 489 | 460 |
| 5.25%, 12/1/2026 (e) | 1,785 | 1,639 |
| 7.38%, 7/1/2028 | 662 | 579 |
| Diversified Healthcare Trust | | |
| REIT, 9.75%, 6/15/2025 | 811 | 850 |
| REIT, 4.38%, 3/1/2031 | 2,253 | 1,749 |
| DT Midstream, Inc. 4.38%, 6/15/2031 (e) | 5 | 4 |
| Dycom Industries, Inc. 4.50%, 4/15/2029 (e) | 870 | 794 |
| Eco Material Technologies, Inc. 7.88%, 1/31/2027 (e) | 120 | 116 |
| Edgewell Personal Care Co. 5.50%, 6/1/2028 (e) | 223 | 216 |
| Elanco Animal Health, Inc. 6.40%, 8/28/2028 (h) | 1,166 | 1,197 |
| Element Solutions, Inc. 3.88%, 9/1/2028 (e) | 5 | 4 |
| Embarq Corp. 8.00%, 6/1/2036 | 2,228 | 2,005 |
| Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) (e) | 6,556 | 5,564 |
| Encompass Health Corp. 4.50%, 2/1/2028 | 5 | 5 |
| Endeavor Energy Resources LP 6.63%, 7/15/2025 (e) | 892 | 917 |
| Endo Dac 6.00%, 6/30/2028 (a) (e) | 100 | 43 |
| EnerSys 4.38%, 12/15/2027 (e) | 845 | 784 |
| EnLink Midstream LLC | | |
| 5.63%, 1/15/2028 (e) | 3,766 | 3,732 |
| 5.38%, 6/1/2029 | 6,570 | 6,395 |
| EnLink Midstream Partners LP | | |
| 4.40%, 4/1/2024 | 95 | 94 |
| 5.05%, 4/1/2045 | 3,414 | 2,628 |
| 5.45%, 6/1/2047 | 7,331 | 5,938 |
| Envision Healthcare Corp. 8.75%, 10/15/2026 (e) | 924 | 385 |
| Enviva Partners LP 6.50%, 1/15/2026 (e) | 138 | 141 |
| EQM Midstream Partners LP | | |
| 6.00%, 7/1/2025 (e) | 270 | 268 |
| 6.50%, 7/1/2027 (e) | 29 | 29 |
| 5.50%, 7/15/2028 | 8 | 8 |
| 4.50%, 1/15/2029 (e) | 2 | 2 |
| 4.75%, 1/15/2031 (e) | 2 | 2 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Exela Intermediate LLC 11.50%, 7/15/2026 (e) | 768 | 280 |
| Ferrellgas LP 5.38%, 4/1/2026 (e) | 490 | 443 |
| First Student Bidco, Inc. 4.00%, 7/31/2029 (e) | 347 | 311 |
| FirstEnergy Corp. SeriesC, 5.35%, 7/15/2047 (h) | 1,606 | 1,501 |
| FirstEnergy Transmission LLC 5.45%, 7/15/2044 (e) | 1,472 | 1,446 |
| Fluor Corp. 4.25%, 9/15/2028 (a) | 1,743 | 1,653 |
| Ford Motor Credit Co. LLC | | |
| 3.37%, 11/17/2023 | 4,291 | 4,216 |
| 5.58%, 3/18/2024 | 4,350 | 4,399 |
| 5.13%, 6/16/2025 | 5 | 5 |
| Fortress Transportation and Infrastructure Investors LLC 6.50%, 10/1/2025 (e) | 1,132 | 1,078 |
| Freedom Mortgage Corp. | | |
| 8.25%, 4/15/2025 (e) | 1,870 | 1,795 |
| 6.63%, 1/15/2027 (e) | 960 | 831 |
| Freeport-McMoRan, Inc. | | |
| 4.38%, 8/1/2028 | 5 | 5 |
| 4.25%, 3/1/2030 | 5 | 5 |
| Frontier Communications Holdings LLC | | |
| 5.88%, 10/15/2027 (e) | 2 | 2 |
| 6.75%, 5/1/2029 (e) | 2 | 2 |
| FXI Holdings, Inc. 12.25%, 11/15/2026 (e) | 1,476 | 1,572 |
| Gartner, Inc. 4.50%, 7/1/2028 (e) | 5 | 5 |
| Gates Global LLC 6.25%, 1/15/2026 (e) | 852 | 831 |
| Genesis Energy LP | | |
| 6.50%, 10/1/2025 | 1,295 | 1,230 |
| 8.00%, 1/15/2027 | 633 | 621 |
| 7.75%, 2/1/2028 | 4 | 4 |
| Global Medical Response, Inc. 6.50%, 10/1/2025 (e) | 892 | 864 |
| Global Net Lease, Inc. REIT, 3.75%, 12/15/2027 (e) | 346 | 311 |
| Goodyear Tire & Rubber Co. (The) | | |
| 5.00%, 7/15/2029 | 1,146 | 1,022 |
| 5.25%, 4/30/2031 (a) | 1,050 | 913 |
| 5.25%, 7/15/2031 | 3,507 | 3,025 |
| 5.63%, 4/30/2033 | 5,593 | 4,817 |
| Graphic Packaging International LLC 3.75%, 2/1/2030 (e) | 3,886 | 3,407 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 31 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Gray Television, Inc. 7.00%, 5/15/2027 (e) | 209 | 216 |
| Griffon Corp. 5.75%, 3/1/2028 | 100 | 89 |
| GrubHub Holdings, Inc. 5.50%, 7/1/2027 (e) | 4 | 3 |
| Guitar Center, Inc. 8.50%, 1/15/2026 (e) | 849 | 851 |
| Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 773 | 795 |
| HAT Holdings I LLC REIT, 3.38%, 6/15/2026 (e) | 929 | 853 |
| Hawaiian Brand Intellectual Property Ltd. 5.75%, 1/20/2026 (e) | 1,561 | 1,522 |
| HCA, Inc. | | |
| 5.38%, 9/1/2026 | 1,316 | 1,347 |
| 5.63%, 9/1/2028 | 5 | 5 |
| 5.88%, 2/1/2029 | 5 | 5 |
| 7.50%, 11/15/2095 | 2,000 | 2,317 |
| HealthEquity, Inc. 4.50%, 10/1/2029 (e) | 291 | 266 |
| Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (e) | 886 | 872 |
| Hertz Corp. (The) 4.63%, 12/1/2026 (e) | 1,457 | 1,328 |
| Hess Midstream Operations LP 5.63%, 2/15/2026 (e) | 1,091 | 1,091 |
| Hilton Domestic Operating Co., Inc. | | |
| 5.38%, 5/1/2025 (e) | 782 | 798 |
| 3.75%, 5/1/2029 (e) | 5 | 5 |
| 4.88%, 1/15/2030 | 2 | 2 |
| Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 7 | 7 |
| HLF Financing SARL LLC 4.88%, 6/1/2029 (e) | 20 | 16 |
| Holly Energy Partners LP 5.00%, 2/1/2028 (e) | 326 | 310 |
| Hologic, Inc. 3.25%, 2/15/2029 (e) | 5 | 4 |
| Home Point Capital, Inc. 5.00%, 2/1/2026 (e) | 737 | 582 |
| Horizon Therapeutics USA, Inc. 5.50%, 8/1/2027 (e) | 219 | 219 |
| Howard Hughes Corp. (The) 4.38%, 2/1/2031 (e) | 170 | 151 |
| Howmet Aerospace, Inc. | | |
| 6.88%, 5/1/2025 (a) | 877 | 927 |
| 5.90%, 2/1/2027 | 3 | 3 |
| 3.00%, 1/15/2029 | 2,101 | 1,833 |
| 5.95%, 2/1/2037 (a) | 4,374 | 4,420 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| HUB International Ltd. | | |
| 7.00%, 5/1/2026 (e) | 1,935 | 1,918 |
| 5.63%, 12/1/2029 (e) | 8 | 7 |
| Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 85 | 85 |
| Icahn Enterprises LP | | |
| 4.75%, 9/15/2024 | 1,257 | 1,226 |
| 6.38%, 12/15/2025 | 756 | 750 |
| 6.25%, 5/15/2026 | 2,475 | 2,454 |
| 5.25%, 5/15/2027 | 4 | 4 |
| 4.38%, 2/1/2029 | 1,777 | 1,533 |
| iHeartCommunications, Inc. | | |
| 6.38%, 5/1/2026 | 1,216 | 1,219 |
| 8.38%, 5/1/2027 | 9 | 8 |
| II-VI, Inc. 5.00%, 12/15/2029 (e) | 3 | 3 |
| International Game Technology plc 4.13%, 4/15/2026 (e) | 1,295 | 1,221 |
| Intrado Corp. 8.50%, 10/15/2025 (a) (e) | 160 | 142 |
| IQVIA, Inc. 5.00%, 5/15/2027 (e) | 7 | 7 |
| IRB Holding Corp. 7.00%, 6/15/2025 (e) | 1,060 | 1,091 |
| Iron Mountain, Inc. | | |
| REIT, 4.88%, 9/15/2027 (e) | 5 | 5 |
| REIT, 5.25%, 7/15/2030 (e) | 3,490 | 3,199 |
| REIT, 4.50%, 2/15/2031 (e) | 2,425 | 2,078 |
| REIT, 5.63%, 7/15/2032 (e) | 6,194 | 5,601 |
| iStar, Inc. | | |
| REIT, 4.75%, 10/1/2024 | 40 | 39 |
| REIT, 4.25%, 8/1/2025 | 1,125 | 1,072 |
| ITT Holdings LLC 6.50%, 8/1/2029 (e) | 170 | 150 |
| Jazz Securities DAC 4.38%, 1/15/2029 (e) | 5 | 5 |
| JBS USA LUX SA 6.75%, 2/15/2028 (e) | 9 | 9 |
| Kaiser Aluminum Corp. 4.50%, 6/1/2031 (a) (e) | 6,096 | 5,258 |
| KAR Auction Services, Inc. 5.13%, 6/1/2025 (e) | 1,210 | 1,224 |
| Kennedy-Wilson, Inc. | | |
| 4.75%, 3/1/2029 | 240 | 221 |
| 4.75%, 2/1/2030 | 93 | 84 |
| LABL, Inc. | | |
| 6.75%, 7/15/2026 (e) | 490 | 471 |
| 10.50%, 7/15/2027 (e) | 5 | 5 |
| Ladder Capital Finance Holdings LLLP REIT, 4.25%, 2/1/2027 (e) | 686 | 631 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Lamb Weston Holdings, Inc. | | |
| 4.13%, 1/31/2030 (e) | 2,373 | 2,118 |
| 4.38%, 1/31/2032 (e) | 5,986 | 5,347 |
| Laredo Petroleum, Inc. 9.50%, 1/15/2025 | 890 | 912 |
| LBM Acquisition LLC 6.25%, 1/15/2029 (e) | 170 | 138 |
| LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (e) | 214 | 213 |
| LD Holdings Group LLC | | |
| 6.50%, 11/1/2025 (e) | 561 | 465 |
| 6.13%, 4/1/2028 (e) | 340 | 257 |
| Legacy LifePoint Health LLC 6.75%, 4/15/2025 (e) | 1,460 | 1,489 |
| Level 3 Financing, Inc. | | |
| 4.25%, 7/1/2028 (e) | 60 | 51 |
| 3.63%, 1/15/2029 (e) | 7,177 | 5,825 |
| 3.75%, 7/15/2029 (e) | 1,737 | 1,411 |
| Life Time, Inc. 5.75%, 1/15/2026 (e) | 1,223 | 1,187 |
| Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (e) | 73 | 65 |
| Live Nation Entertainment, Inc. | | |
| 6.50%, 5/15/2027 (e) | 208 | 216 |
| 4.75%, 10/15/2027 (e) | 96 | 90 |
| LPL Holdings, Inc. 4.00%, 3/15/2029 (e) | 10 | 9 |
| LSF9 Atlantis Holdings LLC 7.75%, 2/15/2026 (e) | 550 | 496 |
| Lumen Technologies, Inc. | | |
| Series Y, 7.50%, 4/1/2024 | 5 | 5 |
| 5.63%, 4/1/2025 | 5 | 5 |
| 5.13%, 12/15/2026 (e) | 2,280 | 2,052 |
| 4.00%, 2/15/2027 (e) | 428 | 381 |
| Series G, 6.88%, 1/15/2028 (a) | 884 | 842 |
| 4.50%, 1/15/2029 (e) | 774 | 612 |
| 5.38%, 6/15/2029 (e) | 159 | 129 |
| Series P, 7.60%, 9/15/2039 | 4,187 | 3,654 |
| Series U, 7.65%, 3/15/2042 | 3,819 | 3,418 |
| Macy's Retail Holdings LLC 6.13%, 3/15/2032 (e) | 38 | 35 |
| Masonite International Corp. 5.38%, 2/1/2028 (e) | 320 | 306 |
| MasTec, Inc. 4.50%, 8/15/2028 (a) (e) | 5 | 5 |
| Matador Resources Co. 5.88%, 9/15/2026 | 1,278 | 1,255 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Mattel, Inc. 3.38%, 4/1/2026 (e) | 1,312 | 1,276 |
| Mauser Packaging Solutions Holding Co. | | |
| 5.50%, 4/15/2024 (e) | 1 | 1 |
| 7.25%, 4/15/2025 (e) | 332 | 315 |
| McGraw-Hill Education, Inc. | | |
| 5.75%, 8/1/2028 (e) | 104 | 93 |
| 8.00%, 8/1/2029 (e) | 234 | 209 |
| MGIC Investment Corp. 5.25%, 8/15/2028 | 225 | 211 |
| MGM Resorts International | | |
| 6.75%, 5/1/2025 | 2,375 | 2,431 |
| 5.75%, 6/15/2025 | 4 | 4 |
| 5.50%, 4/15/2027 | 10 | 10 |
| Michaels Cos., Inc. (The) 7.88%, 5/1/2029 (e) | 180 | 142 |
| MicroStrategy, Inc. 6.13%, 6/15/2028 (a) (e) | 3 | 3 |
| Midwest Gaming Borrower LLC 4.88%, 5/1/2029 (e) | 338 | 297 |
| Millennium Escrow Corp. 6.63%, 8/1/2026 (e) | 2,299 | 2,124 |
| Mohegan Gaming & Entertainment 8.00%, 2/1/2026 (e) | 1,044 | 927 |
| Molina Healthcare, Inc. 4.38%, 6/15/2028 (e) | 94 | 88 |
| Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (e) | 2,302 | 2,111 |
| MPT Operating Partnership LP | | |
| REIT, 5.00%, 10/15/2027 | 5 | 5 |
| REIT, 4.63%, 8/1/2029 | 222 | 205 |
| Murphy Oil Corp. | | |
| 5.75%, 8/15/2025 | 570 | 570 |
| 6.37%, 12/1/2042 (h) | 830 | 749 |
| Nabors Industries, Inc. | | |
| 5.75%, 2/1/2025 | 745 | 712 |
| 7.38%, 5/15/2027 (e) | 1 | 1 |
| Nationstar Mortgage Holdings, Inc. | | |
| 6.00%, 1/15/2027 (e) | 1,220 | 1,183 |
| 5.50%, 8/15/2028 (e) | 5 | 5 |
| 5.13%, 12/15/2030 (e) | 69 | 60 |
| 5.75%, 11/15/2031 (e) | 670 | 595 |
| Navient Corp. | | |
| 6.75%, 6/15/2026 | 930 | 914 |
| 5.00%, 3/15/2027 | 2 | 2 |
| 4.88%, 3/15/2028 (a) | 6,135 | 5,383 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 33 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| 5.50%, 3/15/2029 | 6,177 | 5,432 |
| NCL Corp. Ltd. | | |
| 3.63%, 12/15/2024 (a) (e) | 989 | 920 |
| 5.88%, 3/15/2026 (e) | 425 | 393 |
| 5.88%, 2/15/2027 (e) | 1,939 | 1,848 |
| NCR Corp. | | |
| 5.75%, 9/1/2027 (e) | 306 | 295 |
| 5.13%, 4/15/2029 (e) | 8 | 8 |
| Netflix, Inc. | | |
| 3.63%, 6/15/2025 (e) | 270 | 264 |
| 5.38%, 11/15/2029 (e) | 7 | 7 |
| New Fortress Energy, Inc. | | |
| 6.75%, 9/15/2025 (e) | 2,870 | 2,822 |
| 6.50%, 9/30/2026 (e) | 50 | 48 |
| New Residential Investment Corp. REIT, 6.25%, 10/15/2025 (e) | 691 | 658 |
| Newell Brands, Inc. | | |
| 4.88%, 6/1/2025 | 579 | 586 |
| 4.45%, 4/1/2026 (h) | 230 | 228 |
| 5.63%, 4/1/2036 (h) | 1,000 | 956 |
| 5.75%, 4/1/2046 (h) | 4,621 | 4,303 |
| Newmark Group, Inc. 6.13%, 11/15/2023 | 560 | 571 |
| News Corp. 3.88%, 5/15/2029 (e) | 5 | 5 |
| Nexstar Media, Inc. | | |
| 5.63%, 7/15/2027 (e) | 9 | 9 |
| 4.75%, 11/1/2028 (e) | 5 | 5 |
| NextEra Energy Operating Partners LP 4.25%, 7/15/2024 (e) | 1,468 | 1,457 |
| NGL Energy Operating LLC 7.50%, 2/1/2026 (e) | 2,321 | 2,187 |
| NGL Energy Partners LP 7.50%, 11/1/2023 (a) | 10 | 9 |
| Nielsen Finance LLC 5.63%, 10/1/2028 (e) | 4 | 4 |
| NMG Holding Co., Inc. 7.13%, 4/1/2026 (e) | 1,360 | 1,350 |
| Nordstrom, Inc. | | |
| 4.38%, 4/1/2030 (a) | 2,890 | 2,515 |
| 4.25%, 8/1/2031 (a) | 5,749 | 4,873 |
| 5.00%, 1/15/2044 (a) | 2,750 | 2,279 |
| Northern Oil and Gas, Inc. 8.13%, 3/1/2028 (e) | 50 | 50 |
| Novelis Corp. | | |
| 3.25%, 11/15/2026 (e) | 730 | 666 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 4.75%, 1/30/2030 (e) | 5 | 5 |
| NRG Energy, Inc. | | |
| 5.75%, 1/15/2028 | 221 | 216 |
| 3.63%, 2/15/2031 (e) | 7,157 | 5,958 |
| 3.88%, 2/15/2032 (e) | 5,333 | 4,452 |
| NuStar Logistics LP | | |
| 5.75%, 10/1/2025 | 116 | 115 |
| 6.38%, 10/1/2030 | 6,514 | 6,413 |
| Occidental Petroleum Corp. | | |
| 6.95%, 7/1/2024 | 2,601 | 2,728 |
| 8.00%, 7/15/2025 | 2,410 | 2,597 |
| 5.88%, 9/1/2025 | 7 | 7 |
| 6.38%, 9/1/2028 | 7 | 7 |
| 8.88%, 7/15/2030 | 9 | 11 |
| 6.63%, 9/1/2030 | 2 | 2 |
| OneMain Finance Corp. | | |
| 6.13%, 3/15/2024 | 5,661 | 5,683 |
| 6.88%, 3/15/2025 | 5 | 5 |
| 7.13%, 3/15/2026 | 7 | 7 |
| 4.00%, 9/15/2030 (a) | 3 | 2 |
| Outfront Media Capital LLC 5.00%, 8/15/2027 (e) | 2 | 2 |
| Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (e) | 9 | 9 |
| Pacific Gas and Electric Co. | | |
| 4.50%, 7/1/2040 | 270 | 221 |
| 4.60%, 6/15/2043 | 392 | 317 |
| 4.75%, 2/15/2044 | 386 | 317 |
| 4.30%, 3/15/2045 | 400 | 310 |
| 3.95%, 12/1/2047 | 911 | 666 |
| 4.95%, 7/1/2050 | 350 | 292 |
| Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (e) | 1,461 | 1,333 |
| Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (f) | 224 | 217 |
| Party City Holdings, Inc. 8.75%, 2/15/2026 (e) | 1,069 | 982 |
| Patterson-UTI Energy, Inc. 3.95%, 2/1/2028 | 1,511 | 1,392 |
| PBF Holding Co. LLC | | |
| 9.25%, 5/15/2025 (e) | 2,215 | 2,296 |
| 6.00%, 2/15/2028 (a) | 5 | 4 |
| PDC Energy, Inc. 5.75%, 5/15/2026 | 1,045 | 1,017 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| PennyMac Financial Services, Inc. | | |
| 5.38%, 10/15/2025 (e) | 460 | 435 |
| 5.75%, 9/15/2031 (e) | 1,292 | 1,059 |
| Penske Automotive Group, Inc. | | |
| 3.50%, 9/1/2025 | 602 | 581 |
| 3.75%, 6/15/2029 | 5 | 4 |
| Performance Food Group, Inc. 5.50%, 10/15/2027 (e) | 3 | 3 |
| Perrigo Finance Unlimited Co. | | |
| 3.90%, 6/15/2030 (a) (h) | 5,879 | 5,273 |
| 4.90%, 12/15/2044 | 2,476 | 1,978 |
| PG&E Corp. 5.00%, 7/1/2028 (a) | 5 | 5 |
| Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) (e) | 1,103 | 1,020 |
| Pilgrim's Pride Corp. | | |
| 5.88%, 9/30/2027 (e) | 150 | 151 |
| 4.25%, 4/15/2031 (e) | 1,843 | 1,682 |
| Plantronics, Inc. 4.75%, 3/1/2029 (e) | 306 | 310 |
| Post Holdings, Inc. | | |
| 5.63%, 1/15/2028 (e) | 5 | 5 |
| 5.50%, 12/15/2029 (e) | 5 | 5 |
| Premier Entertainment Sub LLC 5.88%, 9/1/2031 (e) | 50 | 39 |
| Presidio Holdings, Inc. 4.88%, 2/1/2027 (e) | 834 | 791 |
| Prestige Brands, Inc. 5.13%, 1/15/2028 (e) | 5 | 5 |
| Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (e) | 70 | 70 |
| Prime Security Services Borrower LLC | | |
| 5.25%, 4/15/2024 (e) | 1,645 | 1,643 |
| 5.75%, 4/15/2026 (e) | 641 | 615 |
| 6.25%, 1/15/2028 (e) | 8 | 7 |
| PTC, Inc. 3.63%, 2/15/2025 (e) | 20 | 19 |
| QVC, Inc. | | |
| 4.75%, 2/15/2027 (a) | 2,752 | 2,463 |
| 4.38%, 9/1/2028 (a) | 5,083 | 4,319 |
| 5.45%, 8/15/2034 | 4,000 | 3,205 |
| 5.95%, 3/15/2043 (a) | 2,770 | 2,157 |
| Rackspace Technology Global, Inc. 5.38%, 12/1/2028 (a) (e) | 120 | 98 |
| Radian Group, Inc. 6.63%, 3/15/2025 | 559 | 569 |
| Radiate Holdco LLC 4.50%, 9/15/2026 (e) | 922 | 849 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Realogy Group LLC 5.75%, 1/15/2029 (e) | 10 | 8 |
| RegionalCare Hospital Partners Holdings, Inc. 9.75%, 12/1/2026 (e) | 1,370 | 1,408 |
| Renewable Energy Group, Inc. 5.88%, 6/1/2028 (e) | 289 | 306 |
| Resorts World Las Vegas LLC 4.63%, 4/16/2029 (a) (e) | 200 | 175 |
| RHP Hotel Properties LP REIT, 4.75%, 10/15/2027 | 217 | 202 |
| Rite Aid Corp. | | |
| 7.50%, 7/1/2025 (e) | 1,571 | 1,345 |
| 8.00%, 11/15/2026 (e) | 48 | 40 |
| RLJ Lodging Trust LP REIT, 3.75%, 7/1/2026 (e) | 808 | 747 |
| Rocket Mortgage LLC 2.88%, 10/15/2026 (e) | 979 | 866 |
| Royal Caribbean Cruises Ltd. | | |
| 9.13%, 6/15/2023 (e) | 94 | 97 |
| 11.50%, 6/1/2025 (e) | 213 | 232 |
| 4.25%, 7/1/2026 (e) | 1,063 | 962 |
| 5.50%, 8/31/2026 (e) | 2,980 | 2,777 |
| RP Escrow Issuer LLC 5.25%, 12/15/2025 (e) | 1,109 | 1,031 |
| Sabre GLBL, Inc. 7.38%, 9/1/2025 (e) | 2,023 | 2,046 |
| SBA Communications Corp. | | |
| REIT, 3.88%, 2/15/2027 | 531 | 504 |
| REIT, 3.13%, 2/1/2029 | 7 | 6 |
| Scientific Games Holdings LP 6.63%, 3/1/2030 (e) | 100 | 95 |
| Scientific Games International, Inc. | | |
| 7.00%, 5/15/2028 (e) | 120 | 123 |
| 7.25%, 11/15/2029 (e) | 1 | 1 |
| SCIL IV LLC 5.38%, 11/1/2026 (e) | 530 | 484 |
| Scripps Escrow II, Inc. 3.88%, 1/15/2029 (e) | 5 | 4 |
| Scripps Escrow, Inc. 5.88%, 7/15/2027 (e) | 309 | 295 |
| Seagate HDD Cayman | | |
| 4.13%, 1/15/2031 | 3,185 | 2,795 |
| 5.75%, 12/1/2034 | 3,832 | 3,602 |
| Select Medical Corp. 6.25%, 8/15/2026 (e) | 1,512 | 1,501 |
| Sensata Technologies, Inc. | | |
| 4.38%, 2/15/2030 (e) | 24 | 22 |
| 3.75%, 2/15/2031 (e) | 5 | 4 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 35 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Service Corp. International 4.63%, 12/15/2027 | 220 | 213 |
| Service Properties Trust | | |
| REIT, 4.35%, 10/1/2024 | 626 | 580 |
| REIT, 7.50%, 9/15/2025 | 1,210 | 1,208 |
| Silgan Holdings, Inc. 4.13%, 2/1/2028 | 55 | 51 |
| Sirius XM Radio, Inc. | | |
| 3.13%, 9/1/2026 (e) | 250 | 230 |
| 5.00%, 8/1/2027 (e) | 974 | 940 |
| 5.50%, 7/1/2029 (e) | 5 | 5 |
| 4.13%, 7/1/2030 (e) | 5 | 4 |
| Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (e) | 1,018 | 1,057 |
| SLM Corp. 4.20%, 10/29/2025 | 620 | 606 |
| Sonic Automotive, Inc. | | |
| 4.63%, 11/15/2029 (e) | 10 | 9 |
| 4.88%, 11/15/2031 (e) | 1,404 | 1,198 |
| Sotheby's 7.38%, 10/15/2027 (a) (e) | 217 | 214 |
| Southwestern Energy Co. 5.95%, 1/23/2025 (h) | 8 | 8 |
| Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (e) | 500 | 487 |
| Spectrum Brands, Inc. 5.00%, 10/1/2029 (e) | 9 | 8 |
| Spirit AeroSystems, Inc. | | |
| 7.50%, 4/15/2025 (e) | 1,420 | 1,438 |
| 4.60%, 6/15/2028 | 4 | 3 |
| Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (e) | 563 | 595 |
| Sprint Capital Corp. 8.75%, 3/15/2032 | 7 | 9 |
| Sprint Corp. 7.63%, 3/1/2026 | 1,812 | 1,968 |
| SPX FLOW, Inc. 8.75%, 4/1/2030 (a) (e) | 246 | 222 |
| SRS Distribution, Inc. | | |
| 4.63%, 7/1/2028 (e) | 10 | 9 |
| 6.00%, 12/1/2029 (e) | 170 | 149 |
| SS&C Technologies, Inc. 5.50%, 9/30/2027 (e) | 6 | 6 |
| Stagwell Global LLC 5.63%, 8/15/2029 (e) | 347 | 306 |
| Standard Industries, Inc. 4.75%, 1/15/2028 (e) | 5 | 5 |
| Staples, Inc. | | |
| 7.50%, 4/15/2026 (e) | 1,220 | 1,165 |
| 10.75%, 4/15/2027 (e) | 2,108 | 1,868 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Starwood Property Trust, Inc. REIT, 4.38%, 1/15/2027 (e) | 400 | 373 |
| Station Casinos LLC 4.50%, 2/15/2028 (e) | 9 | 8 |
| Stericycle, Inc. 5.38%, 7/15/2024 (e) | 636 | 634 |
| Summit Midstream Holdings LLC 8.50%, 10/15/2026 (e) | 1,370 | 1,279 |
| Sunoco LP | | |
| 6.00%, 4/15/2027 | 936 | 943 |
| 4.50%, 4/30/2030 (e) | 502 | 453 |
| Surgery Center Holdings, Inc. 10.00%, 4/15/2027 (e) | 272 | 284 |
| SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (e) | 19 | 15 |
| Talen Energy Supply LLC | | |
| 10.50%, 1/15/2026 (e) | 492 | 182 |
| 7.25%, 5/15/2027 (a) (e) | 17 | 16 |
| Tallgrass Energy Partners LP 7.50%, 10/1/2025 (e) | 1,240 | 1,265 |
| Talos Production, Inc. 12.00%, 1/15/2026 | 650 | 699 |
| Targa Resources Partners LP | | |
| 4.88%, 2/1/2031 | 5 | 5 |
| 4.00%, 1/15/2032 | 1 | 1 |
| TEGNA, Inc. 4.75%, 3/15/2026 (e) | 839 | 832 |
| Tempur Sealy International, Inc. | | |
| 4.00%, 4/15/2029 (e) | 1,013 | 878 |
| 3.88%, 10/15/2031 (e) | 3,888 | 3,222 |
| Tenet Healthcare Corp. | | |
| 4.63%, 7/15/2024 | 2,550 | 2,543 |
| 4.88%, 1/1/2026 (e) | 300 | 294 |
| 6.25%, 2/1/2027 (e) | 1,050 | 1,042 |
| 5.13%, 11/1/2027 (e) | 4 | 4 |
| 6.13%, 10/1/2028 (e) | 317 | 304 |
| Tenneco, Inc. 7.88%, 1/15/2029 (e) | 150 | 152 |
| TerraForm Power Operating LLC 5.00%, 1/31/2028 (e) | 5,652 | 5,278 |
| Terrier Media Buyer, Inc. 8.88%, 12/15/2027 (e) | 100 | 98 |
| T-Mobile USA, Inc. | | |
| 2.25%, 2/15/2026 (a) | 1,421 | 1,307 |
| 2.25%, 2/15/2026 (e) | 624 | 574 |
| 2.63%, 4/15/2026 | 90 | 83 |
| 4.75%, 2/1/2028 | 7 | 7 |
| 3.38%, 4/15/2029 | 10 | 9 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Topaz Solar Farms LLC 5.75%, 9/30/2039 (e) | 696 | 706 |
| TPC Group, Inc. 10.50%, 8/1/2024 (e) | 957 | 311 |
| TransDigm, Inc. | | |
| 8.00%, 12/15/2025 (e) | 4,285 | 4,460 |
| 6.25%, 3/15/2026 (e) | 1,857 | 1,848 |
| 7.50%, 3/15/2027 | 30 | 30 |
| 5.50%, 11/15/2027 | 1 | 1 |
| Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a) (e) | 895 | 861 |
| Transocean, Inc. | | |
| 7.50%, 1/15/2026 (e) | 500 | 409 |
| 11.50%, 1/30/2027 (a) (e) | 857 | 852 |
| 8.00%, 2/1/2027 (e) | 1,224 | 967 |
| Travel + Leisure Co. | | |
| 6.63%, 7/31/2026 (e) | 657 | 673 |
| 6.00%, 4/1/2027 (h) | 7 | 7 |
| 4.50%, 12/1/2029 (e) | 4,062 | 3,595 |
| TripAdvisor, Inc. 7.00%, 7/15/2025 (e) | 795 | 815 |
| Triton Water Holdings, Inc. 6.25%, 4/1/2029 (e) | 151 | 125 |
| Triumph Group, Inc. 8.88%, 6/1/2024 (e) | 999 | 1,034 |
| Tutor Perini Corp. 6.88%, 5/1/2025 (a) (e) | 325 | 304 |
| Twilio, Inc. 3.63%, 3/15/2029 | 9 | 8 |
| Uber Technologies, Inc. | | |
| 7.50%, 5/15/2025 (e) | 245 | 253 |
| 8.00%, 11/1/2026 (e) | 2,420 | 2,535 |
| 7.50%, 9/15/2027 (e) | 50 | 51 |
| 4.50%, 8/15/2029 (e) | 8 | 7 |
| United Airlines, Inc. 4.38%, 4/15/2026 (e) | 1,189 | 1,148 |
| United Natural Foods, Inc. 6.75%, 10/15/2028 (e) | 312 | 312 |
| United Rentals North America, Inc. | | |
| 5.50%, 5/15/2027 | 5 | 5 |
| 3.88%, 2/15/2031 | 4 | 4 |
| United States Cellular Corp. 6.70%, 12/15/2033 | 1,832 | 1,892 |
| United States Steel Corp. 6.88%, 3/1/2029 (a) | 54 | 55 |
| United Wholesale Mortgage LLC 5.50%, 11/15/2025 (a) (e) | 1,092 | 1,003 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Uniti Group LP REIT, 7.88%, 2/15/2025 (e) | 2,505 | 2,549 |
| Univision Communications, Inc. 4.50%, 5/1/2029 (e) | 5 | 4 |
| US Acute Care Solutions LLC 6.38%, 3/1/2026 (e) | 210 | 204 |
| US Foods, Inc. 6.25%, 4/15/2025 (e) | 1,355 | 1,392 |
| USA Compression Partners LP 6.88%, 4/1/2026 | 1,031 | 1,010 |
| Vail Resorts, Inc. 6.25%, 5/15/2025 (e) | 430 | 440 |
| Valvoline, Inc. | | |
| 4.25%, 2/15/2030 (e) | 1,000 | 867 |
| 3.63%, 6/15/2031 (e) | 500 | 406 |
| Vector Group Ltd. | | |
| 10.50%, 11/1/2026 (e) | 822 | 839 |
| 5.75%, 2/1/2029 (e) | 20 | 18 |
| Venture Global Calcasieu Pass LLC 3.88%, 11/1/2033 (e) | 3 | 3 |
| Vericast Corp. 11.00%, 9/15/2026 (e) | 1,088 | 1,034 |
| Veritas US, Inc. 7.50%, 9/1/2025 (a) (e) | 2,163 | 1,906 |
| Verscend Escrow Corp. 9.75%, 8/15/2026 (e) | 90 | 93 |
| Viasat, Inc. 5.63%, 9/15/2025 (e) | 1,563 | 1,434 |
| VICI Properties LP | | |
| REIT, 4.25%, 12/1/2026 (e) | 6 | 6 |
| REIT, 5.75%, 2/1/2027 (e) | 978 | 978 |
| REIT, 4.50%, 1/15/2028 (e) | 350 | 345 |
| REIT, 4.63%, 12/1/2029 (e) | 6 | 6 |
| REIT, 4.13%, 8/15/2030 (e) | 5 | 4 |
| Victoria's Secret & Co. 4.63%, 7/15/2029 (e) | 50 | 41 |
| Vistra Operations Co. LLC | | |
| 5.50%, 9/1/2026 (e) | 662 | 660 |
| 5.63%, 2/15/2027 (e) | 1,870 | 1,842 |
| 5.00%, 7/31/2027 (e) | 5 | 5 |
| 4.38%, 5/1/2029 (e) | 5,280 | 4,791 |
| VOC Escrow Ltd. 5.00%, 2/15/2028 (e) | 90 | 81 |
| W&T Offshore, Inc. 9.75%, 11/1/2023 (e) | 148 | 147 |
| Waste Pro USA, Inc. 5.50%, 2/15/2026 (e) | 1,330 | 1,183 |
| Watco Cos. LLC 6.50%, 6/15/2027 (e) | 15 | 14 |
| Weatherford International Ltd. 8.63%, 4/30/2030 (e) | 110 | 109 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 37 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (e) | 230 | 143 |
| WESCO Distribution, Inc. | | |
| 7.13%, 6/15/2025 (e) | 237 | 246 |
| 7.25%, 6/15/2028 (e) | 7 | 7 |
| Western Digital Corp. 4.75%, 2/15/2026 | 3 | 3 |
| Western Midstream Operating LP | | |
| 3.60%, 2/1/2025 (h) | 1,046 | 1,000 |
| 5.30%, 3/1/2048 | 875 | 759 |
| 5.75%, 2/1/2050 (h) | 6,066 | 5,345 |
| White Cap Buyer LLC 6.88%, 10/15/2028 (e) | 160 | 147 |
| William Carter Co. (The) 5.63%, 3/15/2027 (e) | 1,280 | 1,275 |
| Windstream Escrow LLC 7.75%, 8/15/2028 (e) | 314 | 299 |
| WMG Acquisition Corp. 3.88%, 7/15/2030 (e) | 5 | 4 |
| WR Grace Holdings LLC 5.63%, 8/15/2029 (e) | 8 | 7 |
| WW International, Inc. 4.50%, 4/15/2029 (a) (e) | 190 | 150 |
| Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (e) | 330 | 308 |
| Wynn Las Vegas LLC 5.50%, 3/1/2025 (e) | 8 | 8 |
| Wynn Resorts Finance LLC 7.75%, 4/15/2025 (e) | 897 | 924 |
| Xerox Holdings Corp. | | |
| 5.00%, 8/15/2025 (e) | 1,098 | 1,054 |
| 5.50%, 8/15/2028 (a) (e) | 6,856 | 6,170 |
| XHR LP REIT, 6.38%, 8/15/2025 (e) | 799 | 809 |
| XPO Logistics, Inc. 6.25%, 5/1/2025 (e) | 1,036 | 1,059 |
| Yum! Brands, Inc. | | |
| 4.75%, 1/15/2030 (e) | 5 | 5 |
| 4.63%, 1/31/2032 | 667 | 606 |
| Zayo Group Holdings, Inc. | | |
| 4.00%, 3/1/2027 (e) | 1,626 | 1,415 |
| 6.13%, 3/1/2028 (e) | 10 | 8 |
| Ziff Davis, Inc. 4.63%, 10/15/2030 (e) | 510 | 455 |
| | | 542,617 |
Total Corporate Bonds
(Cost $730,748) | | 666,625 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — 14.9% |
| Australia — 0.2% |
| Commonwealth of Australia | | |
| 2.75%, 4/21/2024 (b) | AUD 1,785 | 1,269 |
| 3.25%, 4/21/2025 (b) | AUD 1,191 | 854 |
| 2.75%, 11/21/2029 (b) | AUD 2,795 | 1,935 |
| 2.75%, 6/21/2035 (b) | AUD 1,676 | 1,123 |
| 2.75%, 5/21/2041 (b) | AUD 720 | 461 |
| 3.00%, 3/21/2047 (b) | AUD 614 | 400 |
| 1.75%, 6/21/2051 (b) | AUD 710 | 345 |
| | | 6,387 |
| Belgium — 0.3% |
| Kingdom of Belgium | | |
| 0.80%, 6/22/2027 (b) | EUR 3,755 | 3,942 |
| 0.10%, 6/22/2030 (b) | EUR 1,187 | 1,141 |
| 1.00%, 6/22/2031 (b) | EUR 2,150 | 2,202 |
| 1.45%, 6/22/2037 (b) | EUR 1,620 | 1,636 |
| 1.90%, 6/22/2038 (b) | EUR 1,835 | 1,972 |
| 3.75%, 6/22/2045 (b) | EUR 705 | 994 |
| 1.60%, 6/22/2047 (b) | EUR 267 | 262 |
| 1.70%, 6/22/2050 (b) | EUR 886 | 879 |
| 2.15%, 6/22/2066 (b) | EUR 942 | 1,028 |
| | | 14,056 |
| Canada — 0.4% |
| Canada Government Bond | | |
| 2.50%, 6/1/2024 | CAD 3,280 | 2,545 |
| 2.25%, 6/1/2029 | CAD 595 | 447 |
| 2.75%, 12/1/2048 | CAD 1,083 | 831 |
| 2.00%, 12/1/2051 | CAD 3,264 | 2,128 |
| 2.75%, 12/1/2064 | CAD 350 | 265 |
| Province of Alberta 2.90%, 12/1/2028 | CAD 410 | 310 |
| Province of British Columbia | | |
| 4.70%, 6/18/2037 | CAD 880 | 757 |
| 2.95%, 6/18/2050 | CAD 505 | 338 |
| Province of Ontario | | |
| 2.30%, 9/8/2024 | CAD 3,210 | 2,462 |
| 0.01%, 11/25/2030 (b) | EUR 5,800 | 5,244 |
| | | 15,327 |
| China — 0.1% |
| Export-Import Bank of China (The) 0.75%, 5/28/2023 (b) | EUR 3,800 | 4,005 |
| Denmark — 0.1% |
| Kingdom of Denmark | | |
| 0.25%, 11/15/2022 | DKK 1,704 | 242 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Denmark — continued |
| 1.75%, 11/15/2025 | DKK 2,373 | 347 |
| 0.50%, 11/15/2027 | DKK 3,009 | 416 |
| 0.50%, 11/15/2029 | DKK 10,080 | 1,361 |
| 4.50%, 11/15/2039 | DKK 5,082 | 1,073 |
| 0.25%, 11/15/2052 | DKK 2,400 | 247 |
| | | 3,686 |
| France — 0.9% |
| French Republic | | |
| 0.75%, 5/25/2028 (b) | EUR 11,870 | 12,331 |
| 1.50%, 5/25/2031 (b) | EUR 2,455 | 2,633 |
| 1.25%, 5/25/2036 (b) | EUR 9,315 | 9,315 |
| 1.75%, 6/25/2039 (b) | EUR 3,048 | 3,254 |
| 3.25%, 5/25/2045 (b) | EUR 1,829 | 2,449 |
| 2.00%, 5/25/2048 (b) | EUR 312 | 339 |
| 1.50%, 5/25/2050 (b) | EUR 5,832 | 5,664 |
| 0.75%, 5/25/2053 (b) | EUR 1,089 | 832 |
| 1.75%, 5/25/2066 (b) | EUR 1,746 | 1,743 |
| | | 38,560 |
| Germany — 0.3% |
| Bundesrepublik Deutschland | | |
| 4.00%, 1/4/2037 (b) | EUR 4,030 | 5,977 |
| 2.50%, 7/4/2044 (b) | EUR 2,325 | 3,175 |
| 1.25%, 8/15/2048 (b) | EUR 1,440 | 1,594 |
| 0.00%, 8/15/2050 (b) | EUR 1,871 | 1,474 |
| | | 12,220 |
| Hungary — 0.0% ^ |
| Hungary Government Bond | | |
| 0.13%, 9/21/2028 (e) | EUR 893 | 786 |
| 2.13%, 9/22/2031 (e) | 1,158 | 929 |
| | | 1,715 |
| Indonesia — 0.1% |
| Republic of Indonesia | | |
| 2.15%, 7/18/2024 (b) | EUR 1,120 | 1,190 |
| 1.30%, 3/23/2034 | EUR 902 | 778 |
| | | 1,968 |
| Italy — 2.6% |
| Buoni Poliennali del Tesoro | | |
| 1.00%, 7/15/2022 (b) | EUR 17,773 | 18,803 |
| 0.90%, 8/1/2022 (b) | EUR 18,050 | 19,105 |
| 0.95%, 3/1/2023 (b) | EUR 2,161 | 2,298 |
| 2.45%, 10/1/2023 (b) | EUR 1,738 | 1,887 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Italy — continued |
| 0.65%, 10/15/2023 (b) | EUR 2,220 | 2,349 |
| 0.00%, 1/15/2024 (b) | EUR 6,940 | 7,231 |
| 0.35%, 2/1/2025 (b) | EUR 4,181 | 4,296 |
| 1.85%, 7/1/2025 (b) | EUR 1,037 | 1,105 |
| 0.00%, 4/1/2026 (b) | EUR 16,565 | 16,343 |
| 0.25%, 3/15/2028 (b) | EUR 12,340 | 11,689 |
| 0.95%, 12/1/2031 (b) | EUR 1,541 | 1,384 |
| 1.65%, 3/1/2032 (b) | EUR 721 | 694 |
| 2.25%, 9/1/2036 (b) | EUR 2,982 | 2,914 |
| 0.95%, 3/1/2037 (b) | EUR 7,530 | 6,080 |
| 1.80%, 3/1/2041 (b) | EUR 553 | 479 |
| 4.75%, 9/1/2044 (b) | EUR 122 | 164 |
| 1.50%, 4/30/2045 (b) | EUR 5,008 | 3,929 |
| 2.70%, 3/1/2047 (b) | EUR 207 | 204 |
| 3.45%, 3/1/2048 (b) | EUR 211 | 235 |
| 2.15%, 9/1/2052 (b) | EUR 1,296 | 1,089 |
| 2.80%, 3/1/2067 (b) | EUR 612 | 574 |
| Italian Republic Government Bond 2.38%, 10/17/2024 | 5,381 | 5,242 |
| | | 108,094 |
| Japan — 6.7% |
| Japan Bank for International Cooperation 1.63%, 1/20/2027 | 974 | 908 |
| Japan Finance Organization for Municipalities 3.25%, 4/24/2023 (e) | 1,890 | 1,901 |
| Japan Government Bond | | |
| 0.10%, 6/20/2022 | JPY 1,772,850 | 13,665 |
| 0.10%, 12/20/2022 | JPY 3,399,300 | 26,224 |
| 0.01%, 6/1/2023 | JPY 4,005,500 | 30,894 |
| 0.80%, 9/20/2023 | JPY 1,154,500 | 9,004 |
| 0.10%, 9/20/2024 | JPY 1,835,600 | 14,193 |
| 0.50%, 9/20/2024 | JPY 393,150 | 3,069 |
| 0.10%, 12/20/2024 | JPY 405,400 | 3,136 |
| 0.10%, 6/20/2026 | JPY 1,192,000 | 9,232 |
| 0.10%, 9/20/2026 | JPY 2,308,150 | 17,872 |
| 0.01%, 12/20/2026 | JPY 2,094,400 | 16,148 |
| 0.10%, 9/20/2027 | JPY 2,713,100 | 20,986 |
| 0.10%, 12/20/2029 | JPY 756,650 | 5,806 |
| 0.10%, 3/20/2030 | JPY 1,256,450 | 9,631 |
| 1.60%, 3/20/2032 | JPY 1,031,450 | 9,014 |
| 1.50%, 6/20/2034 | JPY 642,250 | 5,616 |
| 1.40%, 9/20/2034 | JPY 1,944,050 | 16,834 |
| 0.70%, 3/20/2037 | JPY 721,800 | 5,722 |
| 0.60%, 9/20/2037 | JPY 842,050 | 6,560 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 39 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Japan — continued |
| 0.30%, 12/20/2039 | JPY 1,574,650 | 11,427 |
| 0.40%, 6/20/2040 | JPY 2,072,200 | 15,236 |
| 1.50%, 3/20/2045 | JPY 667,700 | 5,866 |
| 1.40%, 12/20/2045 | JPY 145,750 | 1,258 |
| 0.80%, 12/20/2047 | JPY 628,950 | 4,747 |
| 0.40%, 9/20/2049 | JPY 42,550 | 286 |
| 0.40%, 12/20/2049 | JPY 1,030,350 | 6,911 |
| 0.40%, 3/20/2050 | JPY 1,020,550 | 6,836 |
| 0.90%, 3/20/2057 | JPY 269,150 | 2,019 |
| 0.50%, 3/20/2060 | JPY 279,900 | 1,816 |
| | | 282,817 |
| Netherlands — 0.2% |
| Kingdom of Netherlands | | |
| 2.50%, 1/15/2033 (b) | EUR 2,310 | 2,745 |
| 4.00%, 1/15/2037 (b) | EUR 1,110 | 1,586 |
| 3.75%, 1/15/2042 (b) | EUR 917 | 1,372 |
| 2.75%, 1/15/2047 (b) | EUR 1,160 | 1,618 |
| 0.00%, 1/15/2052 (b) | EUR 520 | 379 |
| | | 7,700 |
| Peru — 0.0% ^ |
| Republic of Peru 1.86%, 12/1/2032 | 487 | 378 |
| Philippines — 0.0% ^ |
| Republic of Philippines 0.25%, 4/28/2025 | EUR 1,303 | 1,307 |
| Qatar — 0.0% ^ |
| State of Qatar 3.88%, 4/23/2023 (e) | 860 | 870 |
| Romania — 0.0% ^ |
| Romania Government Bond 2.00%, 4/14/2033 (e) | EUR 1,470 | 1,129 |
| Saudi Arabia — 0.0% ^ |
| Kingdom of Saudi Arabia 2.25%, 2/2/2033 (e) | 914 | 793 |
| South Korea — 0.4% |
| Export-Import Bank of Korea | | |
| 0.00%, 10/19/2024 (b) | EUR 10,060 | 10,314 |
| 0.75%, 9/21/2025 | 4,217 | 3,856 |
| Republic of Korea 0.00%, 9/16/2025 | EUR 1,276 | 1,291 |
| | | 15,461 |
| Spain — 0.7% |
| Bonos and Obligaciones del Estado | | |
| 1.60%, 4/30/2025 (b) | EUR 680 | 733 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Spain — continued |
| 1.50%, 4/30/2027 (b) | EUR 6,575 | 6,999 |
| 1.40%, 7/30/2028 (b) | EUR 8,252 | 8,683 |
| 2.35%, 7/30/2033 (b) | EUR 1,078 | 1,175 |
| 4.70%, 7/30/2041 (b) | EUR 3,538 | 5,139 |
| 1.00%, 7/30/2042 (b) | EUR 637 | 529 |
| 2.90%, 10/31/2046 (b) | EUR 2,012 | 2,316 |
| 2.70%, 10/31/2048 (b) | EUR 771 | 853 |
| 1.00%, 10/31/2050 (b) | EUR 1,606 | 1,182 |
| 3.45%, 7/30/2066 (b) | EUR 771 | 933 |
| | | 28,542 |
| Sweden — 0.1% |
| Kingdom of Sweden | | |
| 1.50%, 11/13/2023 (b) | SEK 4,690 | 480 |
| 1.00%, 11/12/2026 (b) | SEK 5,010 | 497 |
| 0.75%, 5/12/2028 | SEK 1,985 | 192 |
| 0.75%, 11/12/2029 (b) | SEK 13,515 | 1,285 |
| 3.50%, 3/30/2039 | SEK 1,370 | 174 |
| 0.50%, 11/24/2045 | SEK 470 | 35 |
| Svensk Exportkredit AB 2.88%, 3/14/2023 | 3,300 | 3,317 |
| | | 5,980 |
| United Arab Emirates — 0.0% ^ |
| United Arab Emirates Government Bond 0.75%, 9/2/2023 (e) | 1,569 | 1,526 |
| United Kingdom — 1.8% |
| United Kingdom of Great Britain and Northern Ireland | | |
| 1.00%, 4/22/2024 (b) | GBP 4,360 | 5,421 |
| 0.25%, 1/31/2025 (b) | GBP 870 | 1,051 |
| 0.63%, 6/7/2025 (b) | GBP 12,632 | 15,413 |
| 1.25%, 7/22/2027 (b) | GBP 7,537 | 9,282 |
| 4.25%, 3/7/2036 (b) | GBP 2,922 | 4,640 |
| 1.75%, 9/7/2037 (b) | GBP 5,378 | 6,448 |
| 4.75%, 12/7/2038 (b) | GBP 1,018 | 1,760 |
| 1.25%, 10/22/2041 (b) | GBP 1,150 | 1,247 |
| 0.88%, 1/31/2046 (b) | GBP 5,755 | 5,587 |
| 4.25%, 12/7/2046 (b) | GBP 5,625 | 9,976 |
| 1.50%, 7/22/2047 (b) | GBP 4,357 | 4,855 |
| 1.75%, 7/22/2057 (b) | GBP 4,109 | 4,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| United Kingdom — continued |
| 2.50%, 7/22/2065 (b) | GBP 2,317 | 3,458 |
| 1.63%, 10/22/2071 (b) | GBP 290 | 344 |
| | | 74,385 |
Total Foreign Government Securities
(Cost $734,117) | | 626,906 |
| INVESTMENTS | SHARES
(000) | |
| Investment Companies — 4.4% |
| United States — 4.4% |
| JPMorgan Income Fund, Class R6 Shares (i)(Cost $190,192) | 20,994 | 186,217 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| U.S. Treasury Obligations — 1.5% |
| U.S. Treasury Notes 0.13%, 1/31/2023 (j)(Cost $64,591) | USD 64,812 | 63,977 |
| | NO. OF CONTRACTS | VALUE
($000) |
| Options Purchased — 1.1% |
| Put Options Purchased — 1.1% |
| United States — 1.1% |
| S&P 500 Index | | |
| 9/16/2022 at USD 4,250.00, European Style | | |
| Notional Amount: USD 246,676 | | |
| Counterparty: Exchange-Traded * | 597 | 18,746 |
| S&P 500 Index | | |
| 9/16/2022 at USD 4,350.00, European Style | | |
| Notional Amount: USD 160,732 | | |
| Counterparty: Exchange-Traded * | 389 | 14,006 |
| S&P 500 Index | | |
| 9/16/2022 at USD 4,025.00, European Style | | |
| Notional Amount: USD 257,006 | | |
| Counterparty: Exchange-Traded * | 622 | 13,730 |
| Total Put Options Purchased | | 46,482 |
Total Options Purchased
(Cost $26,377) | | 46,482 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Exchange-Traded Funds — 0.4% |
| United States — 0.4% |
| iShares MSCI India ETF (a)(Cost $10,007) | 372 | 16,222 |
| INVESTMENTS | NO. OF
WARRANTS
(000) | |
| Warrants — 0.2% |
| Netherlands — 0.0% ^ |
| BNP Paribas Issuance BV | | |
| expiring 9/26/2022 * | 34 | 169 |
| expiring 9/26/2022 * | 5 | 111 |
| expiring 9/26/2022 * | 7 | 69 |
| expiring 9/30/2022 * | 2 | 66 |
| expiring 9/30/2022 * | 33 | 107 |
| expiring 9/30/2022 * | 187 | 302 |
| expiring 10/21/2022 * | 4 | 47 |
| | | 871 |
| Switzerland — 0.2% |
| UBS AG | | |
| expiring 7/8/2022 * | 13 | 255 |
| expiring 7/20/2022 * | 27 | 136 |
| expiring 8/9/2022 * | 5 | 155 |
| expiring 8/9/2022 * | 5 | 157 |
| expiring 8/16/2022 * | 55 | 379 |
| expiring 10/3/2022 * | 63 | 549 |
| expiring 12/12/2022 * | 13 | 112 |
| expiring 12/15/2022 * | 88 | 608 |
| expiring 12/23/2022 * | 12 | 340 |
| expiring 12/23/2022 * | 21 | 256 |
| expiring 1/16/2023, price 1.00 USD * | 17 | 291 |
| expiring 1/30/2023 * | 14 | 711 |
| expiring 2/27/2023 * | 1 | 13 |
| expiring 2/27/2023 * | 39 | 398 |
| expiring 2/27/2023 * | 309 | 1,022 |
| expiring 3/17/2023 * | 21 | 425 |
| expiring 4/17/2023, price 1.00 USD * | 253 | 408 |
| expiring 4/25/2023 * | 53 | 370 |
| expiring 5/18/2023 * | 36 | 357 |
| expiring 6/19/2023 * | 77 | 731 |
| | | 7,673 |
| United Kingdom — 0.0% ^ |
| Nmg Research Ltd., expiring 9/24/2027, price 1.00 USD ‡ * | 1 | 51 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 41 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | NO. OF
WARRANTS
(000) | VALUE
($000) |
| Warrants — continued |
| United Kingdom — continued |
| UBS AG | | |
| expiring 8/26/2022, price 1.00 USD * | 17 | 390 |
| expiring 4/17/2023, price 1.00 USD * | 44 | 351 |
| | | 792 |
| United States — 0.0% ^ |
| Windstream Holdings, Inc., expiring 12/31/2049, price 11.00 USD ‡ * | 1 | 8 |
Total Warrants
(Cost $13,288) | | 9,344 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Commercial Mortgage-Backed Securities — 0.2% |
| United States — 0.2% |
| FHLMC, Multi-Family Structured Pass-Through Certificates | | |
| Series K033, Class X1, IO, 0.40%, 7/25/2023 (k) | 101,027 | 314 |
| Series KC03, Class X1, IO, 0.63%, 11/25/2024 (k) | 29,679 | 362 |
| Series K078, Class X1, IO, 0.23%, 6/25/2028 (k) | 63,277 | 450 |
| Series K082, Class X1, IO, 0.15%, 9/25/2028 (k) | 419,560 | 1,535 |
| Series K083, Class X1, IO, 0.18%, 9/25/2028 (k) | 133,664 | 620 |
| FNMA ACES Series 2019-M21, Class X2, IO, 1.43%, 2/25/2031 (k) | 3,289 | 280 |
| FREMF Series 2018-KF46, Class B, 2.40%, 3/25/2028 (e) (k) | 220 | 214 |
| FREMF Mortgage Trust | | |
| Series 2017-KF31, Class B, 3.35%, 4/25/2024 (e) (k) | 141 | 140 |
| Series 2017-KF32, Class B, 3.00%, 5/25/2024 (e) (k) | 298 | 297 |
| Series 2017-KF36, Class B, 3.10%, 8/25/2024 (e) (k) | 258 | 257 |
| Series 2017-KF38, Class B, 2.95%, 9/25/2024 (e) (k) | 194 | 194 |
| Series 2018-KF45, Class B, 2.40%, 3/25/2025 (e) (k) | 398 | 387 |
| Series 2018-KF47, Class B, 2.45%, 5/25/2025 (e) (k) | 226 | 223 |
| Series 2018-KF49, Class B, 2.35%, 6/25/2025 (e) (k) | 198 | 191 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2019-KF63, Class B, 2.80%, 5/25/2029 (e) (k) | 1,215 | 1,204 |
| LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (k) | 923 | 384 |
| Velocity Commercial Capital Loan Trust | | |
| Series 2018-2, Class M2, 4.51%, 10/26/2048 ‡ (e) (k) | 231 | 225 |
| Series 2018-2, Class M3, 4.72%, 10/26/2048 ‡ (e) (k) | 340 | 326 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C52, Class XA, IO, 1.75%, 8/15/2052 (k) | 3,765 | 311 |
Total Commercial Mortgage-Backed Securities
(Cost $8,399) | | 7,914 |
| Supranational — 0.2% |
| Asian Development Bank, 3.40%, 9/10/2027 (b) | AUD 3,030 | 2,119 |
| European Investment Bank, 0.50%, 6/21/2023 | AUD 1,210 | 836 |
| Inter-American Development Bank | | |
| 0.50%, 5/23/2023 | CAD 3,650 | 2,777 |
| 1.70%, 10/10/2024 | CAD 800 | 605 |
| 4.40%, 1/26/2026 | CAD 614 | 500 |
Total Supranational
(Cost $7,165) | | 6,837 |
| Asset-Backed Securities — 0.1% |
| United States — 0.1% |
| OneMain Financial Issuance Trust | | |
| Series 2015-3A, Class C, 5.82%, 11/20/2028 ‡ (e) | 829 | 830 |
| Series 2019-1A, Class B, 3.79%, 2/14/2031 ‡ (e) | 1,045 | 1,046 |
Total Asset-Backed Securities
(Cost $1,874) | | 1,876 |
| Loan Assignments — 0.0% (l) ^ |
| United States — 0.0% ^ |
| FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (f) (m) | 16 | 2 |
| Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.01%, 10/1/2024 (f) | 413 | 289 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.01%, 4/1/2024 ‡ (f) | 603 | 543 |
| Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (f) | 80 | 72 |
Total Loan Assignments
(Cost $867) | | 906 |
| Collateralized Mortgage Obligations — 0.0% ^ |
| United States — 0.0% ^ |
| CHL GMSR Issuer Trust Series 2018-GT1, Class B, 4.17%, 5/25/2023 ‡ (e) (k) | 840 | 830 |
| CHL Mortgage Pass-Through Trust | | |
| Series 2005-31, Class 2A1, 2.44%, 1/25/2036 (k) | — | — |
| Series 2006-21, Class A14, 6.00%, 2/25/2037 | — | — |
| Series 2007-10, Class A4, 5.50%, 7/25/2037 | — | — |
| Deutsche Alt-A Securities Mortgage Loan Trust | | |
| Series 2006-AF1, Class A4, 0.97%, 4/25/2036 (k) | — | — |
| Series 2007-3, Class 2A1, 1.42%, 10/25/2047 (k) | — | — |
| HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 0.91%, 1/25/2047 (k) | — | — |
| JPMorgan Mortgage Trust Series 2005-A8, Class 2A3, 2.66%, 11/25/2035 (k) | — | — |
Total Collateralized Mortgage Obligations
(Cost $840) | | 830 |
| INVESTMENTS | SHARES
(000) | |
| Convertible Preferred Stocks — 0.0% ^ |
| United States — 0.0% ^ |
| Claire's Stores, Inc. ‡ *(Cost $72) | — | 590 |
| Preferred Stocks — 0.0% ^ |
| United States — 0.0% ^ |
| Goodman Networks, Inc. ‡ * | 3 | — |
| MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ * | 40 | 44 |
Total Preferred Stocks
(Cost $49) | | 44 |
| INVESTMENTS | NO. OF
RIGHTS
(000) | VALUE
($000) |
| Rights — 0.0% ^ |
| United States — 0.0% ^ |
| Vistra Corp., expiring 12/31/2049 ‡ *(Cost $—) (n) | 17 | 22 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Short-Term Investments — 7.1% |
| Foreign Government Treasury Bills — 1.1% |
| Canadian Treasury Bills | | |
| 1.58%, 1/5/2023 (o) | CAD 19,513 | 14,969 |
| 1.69%, 2/2/2023 (o) | CAD 19,551 | 14,965 |
| 1.79%, 3/2/2023 (o) | CAD 19,598 | 14,961 |
Total Foreign Government Treasury Bills
(Cost $46,331) | | 44,895 |
| INVESTMENTS | SHARES
(000) | |
| Investment Companies — 3.9% |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (i) (p) (Cost $165,429) | 165,414 | 165,446 |
| Investment of Cash Collateral from Securities Loaned — 2.1% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (i) (p) | 78,788 | 78,733 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (i) (p) | 10,897 | 10,897 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $89,632) | | 89,630 |
Total Short-Term Investments
(Cost $301,392) | | 299,971 |
Total Investments — 101.3%
(Cost $4,064,214) | | 4,270,058 |
| Liabilities in Excess of Other Assets — (1.3)% | | (56,803) |
| NET ASSETS — 100.0% | | 4,213,255 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| Abbreviations | |
| ACES | Alternative Credit Enhancement Securities |
| ADR | American Depositary Receipt |
| APAC | Asia Pacific |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 43 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest |
| CVA | Dutch Certification |
| DKK | Danish Krone |
| ETF | Exchange Traded Fund |
| EUR | Euro |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GBP | British Pound |
| GDR | Global Depositary Receipt |
| ICE | Intercontinental Exchange |
| 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 |
| JSC | Joint Stock Company |
| LIBOR | London Interbank Offered Rate |
| 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. |
| PT | Limited liability company |
| REIT | Real Estate Investment Trust |
| SCA | Limited partnership with share capital |
| SEK | Swedish Krona |
| SGPS | Holding company |
| USD | United States Dollar |
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. | |
| * | Non-income producing security. | |
| (a) | The security or a portion of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 is $83,512. | |
| (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) | Value is zero. | |
| (d) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $5,762. | |
| (e) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| (f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2022. | |
| (g) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| (h) | 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, 2022. | |
| (i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (j) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| (k) | 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, 2022. | |
| (l) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| (m) | Defaulted security. | |
| (n) | Value is zero. | |
| (o) | The rate shown is the effective yield as of April 30, 2022. | |
| (p) | The rate shown is the current yield as of April 30, 2022. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. Morgan Funds | April 30, 2022 |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Foreign Government Securities | 14.7% |
| Banks | 5.4 |
| Oil, Gas & Consumable Fuels | 4.4 |
| Fixed Income Funds | 4.4 |
| Semiconductors & Semiconductor Equipment | 3.8 |
| Software | 2.9 |
| Hotels, Restaurants & Leisure | 2.8 |
| Pharmaceuticals | 2.6 |
| Technology Hardware, Storage & Peripherals | 2.4 |
| Insurance | 2.2 |
| Internet & Direct Marketing Retail | 2.2 |
| Health Care Providers & Services | 2.0 |
| Interactive Media & Services | 1.9 |
| Biotechnology | 1.8 |
| Health Care Equipment & Supplies | 1.8 |
| IT Services | 1.6 |
| Equity Real Estate Investment Trusts (REITs) | 1.6 |
| U.S. Treasury Notes | 1.5 |
| Machinery | 1.5 |
| Capital Markets | 1.4 |
| Electric Utilities | 1.4 |
| Aerospace & Defense | 1.4 |
| Beverages | 1.4 |
| Chemicals | 1.3 |
| Specialty Retail | 1.3 |
| Textiles, Apparel & Luxury Goods | 1.2 |
| Consumer Finance | 1.2 |
| Automobiles | 1.2 |
| Media | 1.1 |
| Food Products | 1.1 |
| Metals & Mining | 1.1 |
| Index Funds | 1.1 |
| Diversified Telecommunication Services | 1.1 |
| Others (each less than 1.0%) | 14.2 |
| Short-Term Investments | 7.0 |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as the respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 45 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2022 (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-Bobl | 203 | 06/08/2022 | EUR | 27,241 | (237) |
| Euro-BTP | 17 | 06/08/2022 | EUR | 2,338 | (260) |
| Euro-Bund | 173 | 06/08/2022 | EUR | 28,060 | (798) |
| Euro-Buxl | 12 | 06/08/2022 | EUR | 2,169 | (232) |
| Euro-OAT | 76 | 06/08/2022 | EUR | 11,709 | (1,028) |
| Japan 10 Year Bond Mini | 93 | 06/10/2022 | JPY | 10,715 | (91) |
| Foreign Exchange AUD / USD | 834 | 06/13/2022 | USD | 58,960 | (2,177) |
| Foreign Exchange EUR / USD | 2,510 | 06/13/2022 | USD | 331,555 | (13,022) |
| Foreign Exchange GBP / USD | 1,183 | 06/13/2022 | USD | 92,984 | (4,183) |
| Foreign Exchange JPY / USD | 2,511 | 06/13/2022 | USD | 242,186 | (29,412) |
| Japan 10 Year Bond | 2 | 06/13/2022 | JPY | 2,304 | (19) |
| Foreign Exchange CAD / USD | 1,536 | 06/14/2022 | USD | 119,539 | (256) |
| Australia 10 Year Bond | 153 | 06/15/2022 | AUD | 13,420 | (379) |
| S&P / TSX 60 Index | 729 | 06/16/2022 | CAD | 142,038 | (3,029) |
| EURO STOXX 50 Index | 403 | 06/17/2022 | EUR | 15,650 | (720) |
| MSCI EAFE E-Mini Index | 8 | 06/17/2022 | USD | 798 | (12) |
| MSCI Emerging Markets E-Mini Index | 110 | 06/17/2022 | USD | 5,808 | 122 |
| S&P 500 E-Mini Index | 1,955 | 06/17/2022 | USD | 403,781 | (12,665) |
| Canada 5 Year Bond | 42 | 06/21/2022 | CAD | 3,777 | (152) |
| Canada 10 Year Bond | 65 | 06/21/2022 | CAD | 6,377 | (72) |
| U.S. Treasury Ultra Bond | 5 | 06/21/2022 | USD | 798 | (62) |
| Long Gilt | 88 | 06/28/2022 | GBP | 13,106 | (493) |
| | | | | | (69,177) |
| Short Contracts | | | | | |
| Euro-Bobl | (1,685) | 06/08/2022 | EUR | (226,110) | 2,042 |
| Euro-Bund | (752) | 06/08/2022 | EUR | (121,973) | 2,597 |
| Euro-Schatz | (121) | 06/08/2022 | EUR | (14,060) | 29 |
| TOPIX Index | (56) | 06/09/2022 | JPY | (8,346) | (819) |
| Japan 10 Year Bond | (263) | 06/13/2022 | JPY | (303,015) | (288) |
| MSCI Emerging Markets E-Mini Index | (2,464) | 06/17/2022 | USD | (130,112) | (3,753) |
| Russell 2000 E-mini Index | (905) | 06/17/2022 | USD | (84,251) | 5,607 |
| U.S. Treasury 10 Year Note | (164) | 06/21/2022 | USD | (19,524) | 846 |
| U.S. Treasury 10 Year Ultra Note | (33) | 06/21/2022 | USD | (4,253) | 359 |
| U.S. Treasury Long Bond | (350) | 06/21/2022 | USD | (49,175) | 1,348 |
| U.S. Treasury 2 Year Note | (142) | 06/30/2022 | USD | (29,925) | 541 |
| U.S. Treasury 5 Year Note | (59) | 06/30/2022 | USD | (6,641) | 31 |
| | | | | | 8,540 |
| | | | | | (60,637) |
| 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 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. Morgan Funds | April 30, 2022 |
| TSX | Toronto Stock Exchange |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 47 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of April 30, 2022 (amounts in thousands):
CURRENCY
PURCHASED | CURRENCY
SOLD | COUNTERPARTY | SETTLEMENT
DATE | UNREALIZED
APPRECIATION
(DEPRECIATION ($) |
| USD | 15,868 | AUD | 21,216 | HSBC Bank, NA | 5/4/2022 | 878 |
| USD | 14,611 | CAD | 18,291 | Royal Bank of Canada | 5/4/2022 | 373 |
| USD | 1,179 | CAD | 1,474 | State Street Corp. | 5/4/2022 | 31 |
| USD | 4,097 | DKK | 27,356 | State Street Corp. | 5/4/2022 | 217 |
| USD | 283,387 | EUR | 254,201 | BNP Paribas | 5/4/2022 | 15,207 |
| USD | 733 | EUR | 674 | Royal Bank of Canada | 5/4/2022 | 22 |
| USD | 1,315 | EUR | 1,208 | State Street Corp. | 5/4/2022 | 40 |
| USD | 84,261 | GBP | 64,279 | Barclays Bank plc | 5/4/2022 | 3,434 |
| USD | 996 | GBP | 760 | Standard Chartered Bank | 5/4/2022 | 40 |
| USD | 2,356 | SEK | 21,927 | BNP Paribas | 5/4/2022 | 123 |
| USD | 4,220 | CNY | 26,995 | State Street Corp.** | 5/5/2022 | 153 |
| USD | 7,722 | JPY | 939,738 | Barclays Bank plc | 5/6/2022 | 480 |
| USD | 259,347 | JPY | 31,608,977 | BNP Paribas | 5/6/2022 | 15,757 |
| USD | 1,535 | JPY | 187,923 | Merrill Lynch International | 5/6/2022 | 87 |
| USD | 34,334 | JPY | 4,210,732 | State Street Corp. | 5/6/2022 | 1,884 |
| USD | 46,000 | CAD | 57,813 | Citibank, NA | 5/18/2022 | 999 |
| EUR | 2,514 | USD | 2,648 | Merrill Lynch International | 6/3/2022 | 7 |
| USD | 13,989 | AUD | 19,528 | Merrill Lynch International | 6/3/2022 | 183 |
| USD | 15,507 | CAD | 19,765 | BNP Paribas | 6/3/2022 | 122 |
| USD | 3,888 | DKK | 27,356 | Citibank, NA | 6/3/2022 | 3 |
| USD | 237,678 | EUR | 224,490 | HSBC Bank, NA | 6/3/2022 | 530 |
| USD | 1,697 | EUR | 1,600 | State Street Corp. | 6/3/2022 | 7 |
| USD | 2,245 | SEK | 21,927 | State Street Corp. | 6/3/2022 | 10 |
| USD | 1,485 | GBP | 1,181 | HSBC Bank, NA | 6/6/2022 | 1 |
| EUR | 837 | GBP | 700 | Royal Bank of Canada | 6/29/2022 | 5 |
| EUR | 5,013 | SEK | 51,655 | Goldman Sachs International | 6/29/2022 | 34 |
| GBP | 33 | EUR | 40 | Merrill Lynch International | 6/29/2022 | —(a) |
| USD | 6 | CHF | 6 | Merrill Lynch International | 6/29/2022 | —(a) |
| USD | 1,602 | CHF | 1,489 | Royal Bank of Canada | 6/29/2022 | 66 |
| USD | 1,357 | DKK | 9,151 | BNP Paribas | 6/29/2022 | 55 |
| USD | 544 | DKK | 3,709 | Merrill Lynch International | 6/29/2022 | 17 |
| USD | 82,844 | EUR | 75,109 | Barclays Bank plc | 6/29/2022 | 3,378 |
| USD | 7,948 | EUR | 7,193 | Royal Bank of Canada | 6/29/2022 | 338 |
| USD | 503 | NOK | 4,409 | BNP Paribas | 6/29/2022 | 32 |
| USD | 1,124 | NOK | 10,062 | Goldman Sachs International | 6/29/2022 | 51 |
| USD | 233 | SEK | 2,227 | Merrill Lynch International | 6/29/2022 | 6 |
| USD | 549 | SEK | 5,170 | Royal Bank of Canada | 6/29/2022 | 21 |
| Total unrealized appreciation | 44,591 |
| AUD | 19,528 | USD | 13,981 | Merrill Lynch International | 5/4/2022 | (183) |
| AUD | 1,688 | USD | 1,263 | Royal Bank of Canada | 5/4/2022 | (70) |
| CAD | 19,765 | USD | 15,507 | BNP Paribas | 5/4/2022 | (121) |
| DKK | 27,356 | USD | 3,883 | Citibank, NA | 5/4/2022 | (3) |
| EUR | 1,776 | USD | 1,933 | BNP Paribas | 5/4/2022 | (59) |
| EUR | 2,171 | USD | 2,424 | Citibank, NA | 5/4/2022 | (134) |
| EUR | 11,271 | USD | 12,540 | Goldman Sachs International | 5/4/2022 | (649) |
| EUR | 224,490 | USD | 237,375 | HSBC Bank, NA | 5/4/2022 | (541) |
| EUR | 1,031 | USD | 1,125 | Royal Bank of Canada | 5/4/2022 | (37) |
| EUR | 2,873 | USD | 3,199 | Standard Chartered Bank | 5/4/2022 | (168) |
| EUR | 10,158 | USD | 11,181 | State Street Corp. | 5/4/2022 | (464) |
| EUR | 2,313 | USD | 2,506 | TD Bank Financial Group | 5/4/2022 | (66) |
| GBP | 864 | USD | 1,125 | Citibank, NA | 5/4/2022 | (39) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. Morgan Funds | April 30, 2022 |
CURRENCY
PURCHASED | CURRENCY
SOLD | COUNTERPARTY | SETTLEMENT
DATE | UNREALIZED
APPRECIATION
(DEPRECIATION ($) |
| GBP | 1,010 | USD | 1,314 | Royal Bank of Canada | 5/4/2022 | (44) |
| SEK | 21,927 | USD | 2,244 | State Street Corp. | 5/4/2022 | (11) |
| JPY | 302,173 | USD | 2,473 | Barclays Bank plc | 5/6/2022 | (144) |
| JPY | 156,724 | USD | 1,265 | BNP Paribas | 5/6/2022 | (57) |
| JPY | 199,775 | USD | 1,629 | Citibank, NA | 5/6/2022 | (90) |
| CAD | 1,415 | USD | 1,115 | Merrill Lynch International | 6/3/2022 | (14) |
| EUR | 1,219 | USD | 1,321 | State Street Corp. | 6/3/2022 | (33) |
| USD | 278,331 | JPY | 36,288,698 | BNP Paribas | 6/3/2022 | (1,586) |
| CNY | 26,953 | USD | 4,079 | HSBC Bank, NA** | 6/6/2022 | (22) |
| CNY | 42 | USD | 6 | State Street Corp.** | 6/6/2022 | —(a) |
| USD | 4,054 | CNY | 26,995 | TD Bank Financial Group** | 6/6/2022 | (10) |
| USD | 79,335 | GBP | 63,166 | Barclays Bank plc | 6/6/2022 | (94) |
| CHF | 8 | USD | 8 | Merrill Lynch International | 6/29/2022 | —(a) |
| CHF | 15,668 | USD | 16,403 | State Street Corp. | 6/29/2022 | (245) |
| DKK | 38,623 | USD | 5,614 | Barclays Bank plc | 6/29/2022 | (120) |
| EUR | 13,286 | CHF | 13,709 | Goldman Sachs International | 6/29/2022 | (82) |
| EUR | 457 | CHF | 471 | Royal Bank of Canada | 6/29/2022 | (3) |
| EUR | 3,462 | DKK | 25,763 | Goldman Sachs International | 6/29/2022 | (1) |
| EUR | 19,966 | GBP | 16,802 | Goldman Sachs International | 6/29/2022 | (6) |
| EUR | 38,773 | USD | 41,915 | Standard Chartered Bank | 6/29/2022 | (893) |
| GBP | 15,463 | USD | 20,361 | Barclays Bank plc | 6/29/2022 | (915) |
| GBP | 752 | USD | 961 | Royal Bank of Canada | 6/29/2022 | (15) |
| GBP | 1,163 | USD | 1,527 | Standard Chartered Bank | 6/29/2022 | (64) |
| NOK | 14,072 | USD | 1,580 | BNP Paribas | 6/29/2022 | (80) |
| NOK | 398 | USD | 45 | Royal Bank of Canada | 6/29/2022 | (2) |
| SEK | 58,533 | USD | 6,201 | BNP Paribas | 6/29/2022 | (230) |
| SEK | 112 | USD | 12 | Goldman Sachs International | 6/29/2022 | —(a) |
| SEK | 406 | USD | 43 | Royal Bank of Canada | 6/29/2022 | (1) |
| Total unrealized depreciation | (7,296) |
| Net unrealized appreciation | 37,295 |
| Abbreviations | |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CNY | China Yuan |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| SEK | Swedish Krona |
| USD | United States Dollar |
| (a) | Amount rounds to less than one thousand. |
| ** | Non-deliverable forward. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 49 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Over-the-Counter (“OTC”) Total Return Basket Swaps Outstanding at April 30, 2022 (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 day ESTR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.19% ), which is denominated in EUR based on the local currencies of the positions within the swaps. | 04/28/2023 | $— | $— | $436 | $436 |
| 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 day SONIA on long positions, plus or minus a specified spread (rates range from 0.00% to 0.15% ), which is denominated in GBP based on the local currencies of the positions within the swaps. | 04/28/2023 | $— | $— | $108 | $108 |
| The following reference rates, and their values as of period-end, are used for security descriptions: | Value |
| ESTR | (0.59) |
| SONIA | 0.69 |
| Abbreviations | |
| ESTR | Euro Short-Term Rate |
| EUR | Euro |
| GBP | British Pound |
| SONIA | Sterling Overnight Index Average |
| (1) | Notional value represents market value as of April 30, 2022 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. |
| (2) | Unrealized appreciation (depreciation) represents the unrealized gain (loss) of the positions subsequent to the swap reset. |
Summary of total OTC swap contracts outstanding as of April 30, 2022 (amounts in thousands):
| | NET UPFRONT
PAYMENTS
RECEIPTS
($) | | VALUE
($) |
| Assets | | | |
| OTC Total return basket swap contracts outstanding | — | | 544 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. Morgan Funds | April 30, 2022 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — 38.7% |
| Australia — 0.9% |
| Adbri Ltd. | 743 | 1,517 |
| AGL Energy Ltd. | 1,711 | 10,401 |
| Alumina Ltd. | 2,568 | 3,233 |
| APA Group | 386 | 3,103 |
| Atlas Arteria Ltd. | 246 | 1,195 |
| Bendigo & Adelaide Bank Ltd. | 481 | 3,589 |
| BHP Group Ltd. | 589 | 19,745 |
| Charter Hall Long Wale, REIT | 1,011 | 3,793 |
| CSR Ltd. | 860 | 3,682 |
| Dexus, REIT | 676 | 5,285 |
| Glencore plc * | 1,269 | 7,818 |
| Goodman Group, REIT | 352 | 5,865 |
| Insignia Financial Ltd. | 1,675 | 4,026 |
| Mirvac Group, REIT | 2,217 | 3,747 |
| Rio Tinto plc | 244 | 17,219 |
| Sonic Healthcare Ltd. | 142 | 3,658 |
| Telstra Corp. Ltd. | 1,009 | 2,865 |
| Woodside Petroleum Ltd. | 217 | 4,717 |
| | | 105,458 |
| Austria — 0.1% |
| ANDRITZ AG | 40 | 1,716 |
| Erste Group Bank AG | 66 | 2,045 |
| Mondi plc | 158 | 2,971 |
| OMV AG | 66 | 3,362 |
| | | 10,094 |
| Belgium — 0.2% |
| Ageas SA | 62 | 2,968 |
| Cofinimmo SA, REIT | 30 | 4,004 |
| Euronav NV | 120 | 1,383 |
| KBC Group NV | 35 | 2,385 |
| Proximus SADP | 142 | 2,482 |
| Shurgard Self Storage SA | 50 | 2,911 |
| Telenet Group Holding NV | 54 | 1,611 |
| Warehouses De Pauw CVA | 107 | 4,134 |
| | | 21,878 |
| Brazil — 0.2% |
| B3 SA - Brasil Bolsa Balcao | 5,057 | 13,603 |
| BB Seguridade Participacoes SA | 705 | 3,602 |
| Itau Unibanco Holding SA (Preference) * | 1,127 | 5,456 |
| Yara International ASA | 78 | 3,971 |
| | | 26,632 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Canada — 2.3% |
| Algonquin Power & Utilities Corp. (a) | 217 | 3,143 |
| Allied Properties, REIT | 149 | 4,836 |
| Atco Ltd., Class I | 80 | 2,838 |
| Bank of Nova Scotia (The) | 94 | 5,925 |
| Barrick Gold Corp. | 361 | 8,058 |
| BCE, Inc. | 219 | 11,637 |
| Canadian Apartment Properties, REIT | 115 | 4,491 |
| Canadian Imperial Bank of Commerce | 71 | 7,872 |
| Canadian National Railway Co. | 131 | 15,444 |
| Canadian Tire Corp. Ltd., Class A | 27 | 3,690 |
| Canadian Utilities Ltd., Class A | 373 | 11,203 |
| Capital Power Corp. (a) | 87 | 2,866 |
| Chartwell Retirement Residences | 186 | 1,769 |
| Emera, Inc. | 69 | 3,335 |
| Enbridge, Inc. | 273 | 11,938 |
| Fortis, Inc. | 243 | 11,833 |
| Gibson Energy, Inc. (a) | 147 | 2,800 |
| Great-West Lifeco, Inc. (a) | 279 | 7,686 |
| Hydro One Ltd. (a) (b) | 431 | 11,656 |
| IGM Financial, Inc. (a) | 194 | 6,143 |
| Keyera Corp. | 137 | 3,388 |
| Manulife Financial Corp. | 409 | 7,999 |
| Northland Power, Inc. | 88 | 2,644 |
| Nutrien Ltd. | 93 | 9,143 |
| Pembina Pipeline Corp. | 343 | 12,988 |
| Power Corp. of Canada (a) | 262 | 7,704 |
| Restaurant Brands International, Inc. (a) | 136 | 7,744 |
| Rogers Communications, Inc., Class B | 162 | 8,849 |
| Shaw Communications, Inc., Class B | 296 | 8,821 |
| Sienna Senior Living, Inc. | 225 | 2,429 |
| Superior Plus Corp. | 287 | 2,530 |
| TC Energy Corp. | 587 | 31,064 |
| TELUS Corp. | 475 | 11,895 |
| Thomson Reuters Corp. | 19 | 1,955 |
| Toronto-Dominion Bank (The) | 206 | 14,877 |
| TransAlta Renewables, Inc. | 182 | 2,527 |
| | | 275,720 |
| Cayman Islands — 0.0% ^ |
| Telford Offshore Holdings Ltd. ‡ * | 58 | — |
| Chile — 0.0% ^ |
| Banco Santander Chile, ADR | 233 | 4,539 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 51 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| China — 1.6% |
| China Construction Bank Corp., Class H | 30,576 | 21,782 |
| China Merchants Bank Co. Ltd., Class H | 2,481 | 14,954 |
| China Pacific Insurance Group Co. Ltd., Class H | 4,012 | 8,894 |
| China Petroleum & Chemical Corp., Class H | 15,844 | 7,755 |
| China Resources Land Ltd. | 2,362 | 10,549 |
| Fuyao Glass Industry Group Co. Ltd., Class A | 379 | 2,009 |
| Fuyao Glass Industry Group Co. Ltd., Class H (b) | 684 | 2,795 |
| Guangdong Investment Ltd. | 3,818 | 4,888 |
| Haier Smart Home Co. Ltd., Class H | 4,464 | 15,770 |
| Huayu Automotive Systems Co. Ltd., Class A | 2,327 | 6,805 |
| Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 2,682 | 15,453 |
| Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 31 | 731 |
| Joyoung Co. Ltd., Class A | 1,049 | 2,364 |
| Midea Group Co. Ltd., Class A | 1,287 | 10,951 |
| NetEase, Inc. | 782 | 14,981 |
| Ping An Insurance Group Co. of China Ltd., Class H | 1,688 | 10,673 |
| Postal Savings Bank of China Co. Ltd., Class H (b) | 13,148 | 9,969 |
| Tingyi Cayman Islands Holding Corp. | 6,470 | 11,809 |
| Topsports International Holdings Ltd. (b) | 4,359 | 3,334 |
| Wilmar International Ltd. | 1,444 | 4,602 |
| Xinyi Solar Holdings Ltd. | 3,256 | 4,840 |
| Yum China Holdings, Inc. | 94 | 3,914 |
| Zhejiang Supor Co. Ltd., Class A | 791 | 6,527 |
| | | 196,349 |
| Denmark — 0.5% |
| AP Moller - Maersk A/S, Class B | 1 | 3,160 |
| Carlsberg A/S, Class B | 119 | 15,139 |
| D/S Norden A/S | 19 | 709 |
| Novo Nordisk A/S, Class B | 313 | 35,705 |
| Topdanmark A/S | 34 | 1,931 |
| | | 56,644 |
| Finland — 0.3% |
| Elisa OYJ | 119 | 6,966 |
| Fortum OYJ | 130 | 2,166 |
| Nordea Bank Abp | 1,748 | 17,425 |
| Orion OYJ, Class B | 172 | 6,769 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Finland — continued |
| Sampo OYJ, Class A | 69 | 3,359 |
| Wartsila OYJ Abp | 492 | 3,948 |
| | | 40,633 |
| France — 1.4% |
| Amundi SA (b) | 30 | 1,806 |
| Atos SE | 46 | 1,123 |
| AXA SA | 204 | 5,388 |
| BNP Paribas SA | 86 | 4,475 |
| Capgemini SE | 41 | 8,411 |
| Carrefour SA | 120 | 2,543 |
| Cie de Saint-Gobain | 81 | 4,703 |
| Covivio, REIT | 45 | 3,200 |
| Credit Agricole SA | 731 | 7,895 |
| Danone SA | 126 | 7,594 |
| Electricite de France SA | 264 | 2,403 |
| Engie SA | 540 | 6,377 |
| Eutelsat Communications SA | 231 | 2,562 |
| Gaztransport Et Technigaz SA | 30 | 3,567 |
| Klepierre SA, REIT * | 376 | 8,990 |
| L'Oreal SA | 24 | 8,737 |
| LVMH Moet Hennessy Louis Vuitton SE | 31 | 20,174 |
| Orange SA | 661 | 7,872 |
| Publicis Groupe SA | 75 | 4,507 |
| Rexel SA * | 132 | 2,702 |
| Rubis SCA | 90 | 2,382 |
| Sanofi | 43 | 4,551 |
| Societe Generale SA | 137 | 3,296 |
| TotalEnergies SE | 329 | 16,140 |
| Vinci SA | 250 | 24,274 |
| Vivendi SE | 385 | 4,428 |
| | | 170,100 |
| Germany — 1.4% |
| Allianz SE (Registered) | 147 | 33,271 |
| Aroundtown SA | 741 | 3,728 |
| BASF SE * | 197 | 10,359 |
| Bayerische Motoren Werke AG | 58 | 4,742 |
| Daimler Truck Holding AG * | 44 | 1,170 |
| Deutsche Post AG (Registered) | 438 | 18,732 |
| Deutsche Telekom AG (Registered) | 782 | 14,407 |
| E.ON SE | 263 | 2,739 |
| Evonik Industries AG | 88 | 2,307 |
| Freenet AG | 245 | 6,776 |
| LEG Immobilien SE | 34 | 3,451 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Germany — continued |
| Mercedes-Benz Group AG * | 97 | 6,804 |
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 75 | 17,741 |
| RWE AG | 68 | 2,808 |
| Siemens AG (Registered) | 69 | 8,442 |
| Telefonica Deutschland Holding AG | 4,056 | 12,198 |
| Uniper SE | 95 | 2,438 |
| Vonovia SE * | 302 | 12,034 |
| | | 164,147 |
| Hong Kong — 0.5% |
| CK Asset Holdings Ltd. | 559 | 3,790 |
| CK Infrastructure Holdings Ltd. | 440 | 2,958 |
| CLP Holdings Ltd. | 323 | 3,152 |
| Hang Seng Bank Ltd. | 395 | 6,994 |
| HK Electric Investments & HK Electric Investments Ltd. (b) | 782 | 772 |
| HKBN Ltd. | 2,050 | 2,395 |
| HKT Trust & HKT Ltd. | 5,366 | 7,700 |
| Hong Kong Exchanges & Clearing Ltd. | 274 | 11,614 |
| New World Development Co. Ltd. | 980 | 3,748 |
| PCCW Ltd. | 5,003 | 2,834 |
| Power Assets Holdings Ltd. | 511 | 3,442 |
| VTech Holdings Ltd. | 454 | 3,210 |
| WH Group Ltd. (b) | 3,477 | 2,401 |
| Xinyi Glass Holdings Ltd. | 3,100 | 6,860 |
| Yue Yuen Industrial Holdings Ltd. * | 1,739 | 2,558 |
| | | 64,428 |
| India — 0.4% |
| Embassy Office Parks, REIT | 952 | 4,780 |
| HCL Technologies Ltd. | 308 | 4,308 |
| Infosys Ltd., ADR | 1,435 | 28,516 |
| Tata Consultancy Services Ltd. | 318 | 14,675 |
| | | 52,279 |
| Indonesia — 0.3% |
| Bank Rakyat Indonesia Persero Tbk. PT | 56,053 | 18,676 |
| Telkom Indonesia Persero Tbk. PT | 57,052 | 18,182 |
| | | 36,858 |
| Ireland — 0.0% ^ |
| Smurfit Kappa Group plc | 72 | 3,039 |
| Italy — 0.6% |
| A2A SpA | 4,512 | 7,710 |
| ACEA SpA | 86 | 1,478 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Italy — continued |
| Assicurazioni Generali SpA | 401 | 7,603 |
| Banca Generali SpA | 79 | 2,600 |
| Banca Mediolanum SpA | 744 | 5,398 |
| Enel SpA | 1,204 | 7,828 |
| Eni SpA | 395 | 5,517 |
| ERG SpA | 32 | 1,098 |
| Hera SpA | 557 | 2,077 |
| Intesa Sanpaolo SpA | 5,132 | 10,458 |
| Iren SpA | 1,040 | 2,689 |
| Italgas SpA | 431 | 2,794 |
| Mediobanca Banca di Credito Finanziario SpA | 259 | 2,596 |
| Poste Italiane SpA (b) | 263 | 2,580 |
| Snam SpA | 562 | 3,081 |
| Terna - Rete Elettrica Nazionale | 424 | 3,457 |
| UniCredit SpA | 316 | 2,926 |
| Unipol Gruppo SpA | 264 | 1,438 |
| | | 73,328 |
| Japan — 1.9% |
| Aozora Bank Ltd. | 260 | 5,201 |
| ARTERIA Networks Corp. | 160 | 1,643 |
| Bridgestone Corp. | 397 | 14,548 |
| Chubu Electric Power Co., Inc. | 282 | 2,844 |
| Chugoku Electric Power Co., Inc. (The) | 351 | 2,313 |
| Dai Nippon Printing Co. Ltd. | 183 | 3,822 |
| Daiwa House Industry Co. Ltd. | 101 | 2,426 |
| Daiwa House REIT Investment Corp., REIT | 1 | 3,215 |
| Electric Power Development Co. Ltd. | 486 | 6,664 |
| ENEOS Holdings, Inc. | 1,009 | 3,551 |
| FANUC Corp. | 67 | 10,205 |
| Frontier Real Estate Investment Corp., REIT | 1 | 2,464 |
| Hokkaido Electric Power Co., Inc. | 545 | 2,023 |
| Honda Motor Co. Ltd. | 371 | 9,772 |
| Idemitsu Kosan Co. Ltd. | 163 | 4,291 |
| Japan Metropolitan Fund Invest, REIT | 12 | 9,481 |
| Japan Post Holdings Co. Ltd. | 865 | 6,069 |
| Japan Tobacco, Inc. | 277 | 4,714 |
| Kansai Electric Power Co., Inc. (The) | 780 | 6,840 |
| KDDI Corp. | 169 | 5,596 |
| Konica Minolta, Inc. | 1,255 | 4,367 |
| Kyushu Railway Co. | 217 | 4,253 |
| Mitsubishi Chemical Holdings Corp. | 1,177 | 7,176 |
| Mitsui Fudosan Logistics Park, Inc., REIT | 1 | 2,637 |
| Nippon Accommodations Fund, Inc., REIT | 1 | 4,067 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 53 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Japan — continued |
| Nippon Building Fund, Inc., REIT | 1 | 4,423 |
| Nippon Prologis REIT, Inc., REIT | 2 | 4,736 |
| Nippon Telegraph & Telephone Corp. | 281 | 8,290 |
| Okinawa Electric Power Co., Inc. (The) | 131 | 1,303 |
| Osaka Gas Co. Ltd. | 43 | 770 |
| Shikoku Electric Power Co., Inc. | 111 | 641 |
| Shin-Etsu Chemical Co. Ltd. | 95 | 13,015 |
| SoftBank Corp. | 845 | 9,833 |
| Sumitomo Forestry Co. Ltd. | 104 | 1,597 |
| Takeda Pharmaceutical Co. Ltd. | 224 | 6,508 |
| Tohoku Electric Power Co., Inc. | 1,072 | 5,964 |
| Tokio Marine Holdings, Inc. | 200 | 10,814 |
| Tokyo Electron Ltd. | 20 | 8,312 |
| Tokyo Gas Co. Ltd. | 100 | 1,910 |
| Toyota Motor Corp. | 664 | 11,372 |
| United Urban Investment Corp., REIT | 2 | 2,078 |
| | | 221,748 |
| Luxembourg — 0.1% |
| APERAM SA | 39 | 1,496 |
| Intelsat SA ‡ * | 270 | 8,430 |
| | | 9,926 |
| Mexico — 0.4% |
| Bolsa Mexicana de Valores SAB de CV | 552 | 1,106 |
| Grupo Financiero Banorte SAB de CV, Class O | 3,034 | 19,999 |
| Kimberly-Clark de Mexico SAB de CV, Class A | 2,171 | 3,021 |
| Wal-Mart de Mexico SAB de CV | 6,447 | 22,850 |
| | | 46,976 |
| Netherlands — 0.5% |
| ASML Holding NV | 22 | 12,655 |
| ASR Nederland NV | 56 | 2,536 |
| BE Semiconductor Industries NV | 39 | 2,387 |
| CTP NV (b) | 279 | 3,951 |
| Eurocommercial Properties NV, REIT | 34 | 823 |
| Flow Traders (b) | 39 | 1,262 |
| ING Groep NV | 370 | 3,503 |
| Koninklijke Ahold Delhaize NV | 152 | 4,477 |
| Koninklijke KPN NV | 1,649 | 5,689 |
| NN Group NV | 59 | 2,878 |
| OCI NV * | 75 | 2,847 |
| PostNL NV | 747 | 2,449 |
| Randstad NV | 56 | 2,989 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Netherlands — continued |
| Shell plc | 260 | 6,978 |
| Signify NV (b) | 48 | 2,023 |
| | | 57,447 |
| New Zealand — 0.1% |
| Contact Energy Ltd. | 1,046 | 5,499 |
| Spark New Zealand Ltd. | 2,549 | 8,061 |
| | | 13,560 |
| Norway — 0.3% |
| Aker BP ASA | 105 | 3,768 |
| DNB Bank ASA | 315 | 6,095 |
| Elmera Group ASA (b) | 408 | 921 |
| Equinor ASA | 157 | 5,318 |
| FLEX LNG Ltd. | 34 | 968 |
| Gjensidige Forsikring ASA | 138 | 2,944 |
| Norsk Hydro ASA | 510 | 4,279 |
| SFL Corp. Ltd. | 313 | 3,109 |
| Telenor ASA | 676 | 9,536 |
| | | 36,938 |
| Poland — 0.1% |
| Powszechny Zaklad Ubezpieczen SA | 848 | 5,863 |
| Portugal — 0.1% |
| EDP - Energias de Portugal SA | 535 | 2,494 |
| Galp Energia SGPS SA | 311 | 3,777 |
| Jeronimo Martins SGPS SA | 175 | 3,646 |
| NOS SGPS SA | 676 | 2,857 |
| REN - Redes Energeticas Nacionais SGPS SA | 445 | 1,358 |
| | | 14,132 |
| Russia — 0.0% ^ |
| Moscow Exchange MICEX-RTS PJSC ‡ | 2,552 | 61 |
| Severstal PAO, GDR ‡ (b) | 10 | 3 |
| Severstal PAO, GDR ‡ (b) | 132 | 42 |
| | | 106 |
| Saudi Arabia — 0.1% |
| Al Rajhi Bank | 243 | 11,387 |
| Singapore — 0.3% |
| Ascendas, REIT | 1,524 | 3,135 |
| BW LPG Ltd. (b) | 536 | 3,373 |
| CapitaLand Integrated Commercial Trust, REIT | 4,859 | 8,142 |
| DBS Group Holdings Ltd. | 474 | 11,492 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| Singapore — continued |
| Digital Core REIT Management Pte. Ltd., REIT * | 2,781 | 2,757 |
| Keppel Infrastructure Trust | 4,647 | 1,856 |
| NetLink NBN Trust (b) | 3,677 | 2,659 |
| Singapore Telecommunications Ltd. | 1,563 | 3,120 |
| StarHub Ltd. | 1,690 | 1,533 |
| | | 38,067 |
| South Africa — 0.2% |
| Anglo American plc | 207 | 9,145 |
| AVI Ltd. | 272 | 1,183 |
| Bid Corp. Ltd. | 159 | 3,324 |
| Sanlam Ltd. | 685 | 2,839 |
| SPAR Group Ltd. (The) | 101 | 1,061 |
| Vodacom Group Ltd. | 663 | 6,384 |
| | | 23,936 |
| South Korea — 0.5% |
| ESR Kendall Square REIT Co. Ltd., REIT | 791 | 4,614 |
| Korea Electric Power Corp. * | 139 | 2,542 |
| Korea Gas Corp. | 80 | 2,625 |
| LG Uplus Corp. | 236 | 2,602 |
| NCSoft Corp. | 9 | 3,107 |
| Samsung Electronics Co. Ltd. | 876 | 46,681 |
| SK Telecom Co. Ltd., ADR | 110 | 2,752 |
| | | 64,923 |
| Spain — 1.1% |
| Acerinox SA | 192 | 2,024 |
| Atlantica Sustainable Infrastructure plc | 76 | 2,351 |
| Banco Bilbao Vizcaya Argentaria SA | 1,113 | 5,840 |
| Banco Santander SA | 1,685 | 4,924 |
| Cellnex Telecom SA (b) | 117 | 5,451 |
| Cia de Distribucion Integral Logista Holdings SA | 120 | 2,204 |
| Enagas SA | 514 | 11,123 |
| Endesa SA | 512 | 10,739 |
| Iberdrola SA | 2,366 | 27,188 |
| Mapfre SA | 886 | 1,617 |
| Merlin Properties Socimi SA, REIT | 247 | 2,682 |
| Naturgy Energy Group SA (a) | 512 | 15,398 |
| Red Electrica Corp. SA | 365 | 7,350 |
| Repsol SA | 1,014 | 15,120 |
| Telefonica SA | 3,009 | 14,639 |
| | | 128,650 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| Sweden — 0.5% |
| Boliden AB | 127 | 5,505 |
| Lundin Energy AB | 90 | 3,723 |
| Skandinaviska Enskilda Banken AB, Class A | 293 | 3,291 |
| SSAB AB, Class B | 452 | 2,655 |
| Svenska Handelsbanken AB, Class A | 313 | 3,157 |
| Tele2 AB, Class B | 957 | 12,679 |
| Telia Co. AB | 1,976 | 8,200 |
| Thule Group AB (b) | 38 | 1,330 |
| Volvo AB, Class B (a) | 1,409 | 22,483 |
| | | 63,023 |
| Switzerland — 1.5% |
| ABB Ltd. (Registered) | 221 | 6,640 |
| Nestle SA (Registered) | 443 | 57,267 |
| Novartis AG (Registered) | 230 | 20,319 |
| OC Oerlikon Corp. AG (Registered) | 615 | 4,383 |
| Roche Holding AG | 166 | 61,428 |
| Swiss Life Holding AG (Registered) | 3 | 1,902 |
| Swisscom AG (Registered) | 5 | 2,915 |
| UBS Group AG (Registered) | 369 | 6,258 |
| Zurich Insurance Group AG | 54 | 24,410 |
| | | 185,522 |
| Taiwan — 1.0% |
| Accton Technology Corp. | 369 | 2,878 |
| ASE Technology Holding Co. Ltd. | 1,977 | 6,307 |
| Chailease Holding Co. Ltd. | 548 | 4,353 |
| Chicony Electronics Co. Ltd. * | 342 | 950 |
| Delta Electronics, Inc. | 506 | 4,226 |
| MediaTek, Inc. | 205 | 5,651 |
| Mega Financial Holding Co. Ltd. | 4,172 | 5,865 |
| Novatek Microelectronics Corp. | 705 | 9,326 |
| President Chain Store Corp. | 808 | 7,476 |
| Quanta Computer, Inc. | 2,441 | 6,875 |
| Realtek Semiconductor Corp. | 468 | 6,351 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 2,686 | 48,570 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 53 | 5,006 |
| Vanguard International Semiconductor Corp. | 1,342 | 4,722 |
| Wiwynn Corp. | 141 | 4,822 |
| | | 123,378 |
| Thailand — 0.1% |
| Siam Cement PCL (The) (Registered) | 500 | 5,373 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 55 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United Kingdom — 2.2% |
| 3i Group plc | 239 | 3,915 |
| Admiral Group plc | 73 | 2,312 |
| Aviva plc | 767 | 4,113 |
| Barclays plc | 2,970 | 5,460 |
| Barratt Developments plc | 1,234 | 7,550 |
| Berkeley Group Holdings plc * | 66 | 3,345 |
| BP plc | 3,506 | 16,926 |
| Centrica plc * | 2,867 | 2,840 |
| Coca-Cola Europacific Partners plc | 88 | 4,387 |
| Diageo plc | 223 | 11,104 |
| Direct Line Insurance Group plc | 2,231 | 7,080 |
| Drax Group plc | 258 | 2,612 |
| Dunelm Group plc | 122 | 1,489 |
| Grafton Group plc | 94 | 1,145 |
| Hays plc | 1,574 | 2,418 |
| Howden Joinery Group plc | 304 | 2,882 |
| HSBC Holdings plc | 1,623 | 10,140 |
| IG Group Holdings plc | 90 | 924 |
| Imperial Brands plc | 375 | 7,805 |
| InterContinental Hotels Group plc | 160 | 10,205 |
| Intermediate Capital Group plc | 118 | 2,266 |
| J Sainsbury plc | 220 | 641 |
| Johnson Matthey plc | 42 | 1,156 |
| Legal & General Group plc | 1,160 | 3,615 |
| Lloyds Banking Group plc | 8,887 | 5,048 |
| LondonMetric Property plc, REIT | 1,024 | 3,460 |
| Man Group plc | 1,358 | 3,957 |
| National Grid plc | 705 | 10,473 |
| NatWest Group plc | 1,178 | 3,161 |
| OSB Group plc | 330 | 2,307 |
| Pagegroup plc | 273 | 1,668 |
| Pennon Group plc | 160 | 2,225 |
| Persimmon plc | 320 | 8,346 |
| QinetiQ Group plc | 496 | 2,103 |
| RELX plc | 740 | 22,038 |
| Safestore Holdings plc, REIT | 250 | 3,933 |
| Sage Group plc (The) | 1,126 | 10,334 |
| Schroders plc | 15 | 546 |
| Severn Trent plc | 85 | 3,336 |
| SSE plc | 727 | 16,886 |
| St James's Place plc | 207 | 3,320 |
| Taylor Wimpey plc | 3,299 | 5,188 |
| Tesco plc | 1,069 | 3,631 |
| Tritax EuroBox plc (b) | 1,566 | 1,999 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United Kingdom — continued |
| Unilever plc | 124 | 5,750 |
| UNITE Group plc (The), REIT | 211 | 2,991 |
| United Utilities Group plc | 391 | 5,621 |
| Vodafone Group plc | 5,495 | 8,319 |
| WPP plc | 643 | 8,012 |
| | | 260,982 |
| United States — 17.0% |
| 3M Co. | 53 | 7,689 |
| Abbott Laboratories | 12 | 1,329 |
| AbbVie, Inc. | 385 | 56,594 |
| Accenture plc, Class A | 6 | 1,646 |
| AGNC Investment Corp., REIT | 599 | 6,572 |
| Air Products and Chemicals, Inc. | 12 | 2,731 |
| Alexandria Real Estate Equities, Inc., REIT | 66 | 12,071 |
| Alliant Energy Corp. | 55 | 3,243 |
| American Electric Power Co., Inc. | 76 | 7,561 |
| American Express Co. | 16 | 2,745 |
| American Tower Corp., REIT | 46 | 11,132 |
| Americold Realty Trust, REIT | 228 | 6,023 |
| Amgen, Inc. | 31 | 7,196 |
| Analog Devices, Inc. | 154 | 23,711 |
| Annaly Capital Management, Inc., REIT | 1,094 | 7,021 |
| Apple, Inc. | 7 | 1,087 |
| Arthur J Gallagher & Co. | 16 | 2,615 |
| AT&T, Inc. | 431 | 8,134 |
| AvalonBay Communities, Inc. | 41 | 9,266 |
| Avangrid, Inc. | 103 | 4,556 |
| Avast plc (b) | 385 | 2,728 |
| Avista Corp. | 69 | 2,801 |
| Baker Hughes Co. | 246 | 7,645 |
| Bank of America Corp. | 559 | 19,944 |
| Battalion Oil Corp. * | 5 | 100 |
| Boston Properties, Inc., REIT | 68 | 7,947 |
| Brandywine Realty Trust, REIT | 480 | 5,598 |
| Bristol-Myers Squibb Co. | 676 | 50,893 |
| Brixmor Property Group, Inc., REIT | 297 | 7,540 |
| Bunge Ltd. | 88 | 9,951 |
| Camden Property Trust, REIT | 55 | 8,567 |
| Campbell Soup Co. | 186 | 8,801 |
| Cardinal Health, Inc. | 158 | 9,178 |
| CenterPoint Energy, Inc. | 533 | 16,300 |
| CF Industries Holdings, Inc. | 97 | 9,382 |
| Chesapeake Energy Corp. (a) | 16 | 1,329 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| Chevron Corp. | 150 | 23,455 |
| Chubb Ltd. | 22 | 4,624 |
| Cisco Systems, Inc. | 146 | 7,147 |
| Citigroup, Inc. | 42 | 2,040 |
| Claire's Stores, Inc. ‡ * | 4 | 1,413 |
| Clear Channel Outdoor Holdings, Inc. * | 287 | 706 |
| Clearway Energy, Inc., Class C | 71 | 2,162 |
| Clorox Co. (The) | 56 | 8,049 |
| CME Group, Inc. | 94 | 20,649 |
| CMS Energy Corp. | 38 | 2,577 |
| Coca-Cola Co. (The) | 946 | 61,142 |
| Cogent Communications Holdings, Inc. | 41 | 2,383 |
| Comcast Corp., Class A | 680 | 27,036 |
| Comerica, Inc. | 97 | 7,944 |
| Conagra Brands, Inc. | 249 | 8,703 |
| ConocoPhillips | 55 | 5,256 |
| Consolidated Edison, Inc. | 104 | 9,636 |
| Crown Castle International Corp., REIT | 16 | 2,931 |
| Cummins, Inc. | 18 | 3,489 |
| CVS Health Corp. | 37 | 3,508 |
| Deere & Co. | 7 | 2,456 |
| Digital Realty Trust, Inc., REIT | 57 | 8,314 |
| Douglas Emmett, Inc., REIT | 219 | 6,443 |
| Dover Corp. | 23 | 3,027 |
| Dow, Inc. | 140 | 9,315 |
| Duke Energy Corp. | 112 | 12,328 |
| Eastman Chemical Co. | 216 | 22,182 |
| Eaton Corp. plc | 122 | 17,687 |
| Edison International | 130 | 8,958 |
| Eli Lilly & Co. | 8 | 2,318 |
| Emerson Electric Co. | 84 | 7,596 |
| Entergy Corp. | 75 | 8,910 |
| EOG Resources, Inc. | 69 | 8,097 |
| EP Energy Corp. * | 141 | 1,164 |
| Equinix, Inc., REIT | 44 | 31,693 |
| Equitrans Midstream Corp. | 337 | 2,650 |
| Equity LifeStyle Properties, Inc. | 101 | 7,781 |
| Essex Property Trust, Inc., REIT | 25 | 8,377 |
| Evergy, Inc. | 174 | 11,780 |
| Exelon Corp. | 136 | 6,381 |
| Exxon Mobil Corp. | 148 | 12,616 |
| Fastenal Co. | 135 | 7,482 |
| Federal Realty Investment Trust, REIT | 125 | 14,654 |
| Fidelity National Information Services, Inc. | 15 | 1,436 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| FirstEnergy Corp. | 77 | 3,317 |
| Frontier Communications Parent, Inc. * | 218 | 5,754 |
| General Dynamics Corp. | 57 | 13,382 |
| General Mills, Inc. | 128 | 9,027 |
| Genuine Parts Co. | 66 | 8,582 |
| Gilead Sciences, Inc. | 116 | 6,875 |
| GlaxoSmithKline plc | 916 | 20,646 |
| Goodman Networks, Inc. ‡ * | 54 | — |
| Gulfport Energy Corp. * | 124 | 11,669 |
| Hasbro, Inc. | 75 | 6,588 |
| Hawaiian Electric Industries, Inc. | 78 | 3,207 |
| Healthpeak Properties, Inc., REIT | 239 | 7,825 |
| Hewlett Packard Enterprise Co. | 540 | 8,328 |
| Home Depot, Inc. (The) | 15 | 4,368 |
| Host Hotels & Resorts, Inc., REIT | 709 | 14,427 |
| HP, Inc. | 231 | 8,461 |
| iHeartMedia, Inc., Class A * | 122 | 1,952 |
| Intel Corp. | 77 | 3,355 |
| International Business Machines Corp. | 81 | 10,712 |
| International Paper Co. | 176 | 8,131 |
| Interpublic Group of Cos., Inc. (The) | 176 | 5,737 |
| Invitation Homes, Inc. | 318 | 12,676 |
| Iron Mountain, Inc., REIT | 185 | 9,917 |
| J M Smucker Co. (The) | 39 | 5,401 |
| Johnson & Johnson | 390 | 70,462 |
| Juniper Networks, Inc. | 261 | 8,221 |
| Kellogg Co. | 130 | 8,916 |
| Kilroy Realty Corp., REIT | 95 | 6,615 |
| Kimberly-Clark Corp. | 65 | 9,085 |
| Kimco Realty Corp., REIT | 559 | 14,155 |
| Kinder Morgan, Inc. | 639 | 11,590 |
| Kraft Heinz Co. (The) | 221 | 9,439 |
| Lumen Technologies, Inc. | 855 | 8,601 |
| LyondellBasell Industries NV, Class A | 85 | 9,021 |
| Marathon Petroleum Corp. | 115 | 10,058 |
| McDonald's Corp. | 169 | 42,216 |
| Medtronic plc | 35 | 3,688 |
| Merck & Co., Inc. | 467 | 41,411 |
| Microsoft Corp. | 11 | 3,181 |
| Mondelez International, Inc., Class A | 62 | 3,976 |
| Moran Foods Backstop Equity ‡ * | 148 | 83 |
| Motorola Solutions, Inc. | 7 | 1,486 |
| MYT Holding Co. ‡ * | 1,342 | 1,331 |
| National HealthCare Corp. | 25 | 1,675 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 57 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Common Stocks — continued |
| United States — continued |
| National Retail Properties, Inc., REIT | 118 | 5,162 |
| Neiman Marcus Group Restricted Equity * | 4 | 855 |
| NetApp, Inc. | 96 | 7,067 |
| Newell Brands, Inc. | 353 | 8,176 |
| Newmont Corp. | 40 | 2,920 |
| NextEra Energy, Inc. | 308 | 21,867 |
| NiSource, Inc. | 63 | 1,825 |
| NMG, Inc. * (a) | 41 | 8,061 |
| Norfolk Southern Corp. | 49 | 12,710 |
| Northern Trust Corp. | 18 | 1,849 |
| Northrop Grumman Corp. | 6 | 2,677 |
| NorthWestern Corp. | 54 | 3,067 |
| NortonLifeLock, Inc. | 218 | 5,452 |
| NRG Energy, Inc. | 73 | 2,619 |
| Oasis Petroleum, Inc. | 96 | 12,746 |
| Omnicom Group, Inc. | 109 | 8,325 |
| ONEOK, Inc. | 179 | 11,341 |
| PACCAR, Inc. | 89 | 7,406 |
| Park Hotels & Resorts, Inc., REIT | 271 | 5,349 |
| Parker-Hannifin Corp. | 9 | 2,509 |
| PepsiCo, Inc. | 128 | 21,909 |
| Pfizer, Inc. | 27 | 1,348 |
| Philip Morris International, Inc. | 162 | 16,241 |
| Phillips 66 | 115 | 9,958 |
| Pinnacle West Capital Corp. | 156 | 11,121 |
| Pioneer Natural Resources Co. | 33 | 7,665 |
| PNC Financial Services Group, Inc. (The) | 26 | 4,312 |
| PPG Industries, Inc. | 21 | 2,746 |
| PPL Corp. | 373 | 10,556 |
| Procter & Gamble Co. (The) | 323 | 51,831 |
| Progressive Corp. (The) | 250 | 26,797 |
| Prologis, Inc., REIT | 256 | 41,089 |
| Public Service Enterprise Group, Inc. | 49 | 3,446 |
| Public Storage, REIT | 52 | 19,252 |
| Raytheon Technologies Corp. | 138 | 13,107 |
| Realty Income Corp. | 118 | 8,201 |
| Regency Centers Corp., REIT | 117 | 8,063 |
| Republic Services, Inc. | 12 | 1,658 |
| Rexford Industrial Realty, Inc., REIT | 74 | 5,798 |
| Schneider Electric SE | 36 | 5,122 |
| Seagate Technology Holdings plc | 275 | 22,561 |
| Shenandoah Telecommunications Co. | 120 | 2,428 |
| Simon Property Group, Inc., REIT | 60 | 7,131 |
| Sirius XM Holdings, Inc. | 1,249 | 7,496 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| Southern Co. (The) | 171 | 12,565 |
| State Street Corp. | 121 | 8,079 |
| Steel Dynamics, Inc. | 109 | 9,378 |
| Stellantis NV (a) | 762 | 10,234 |
| Stellantis NV | 141 | 1,893 |
| Sun Communities, Inc., REIT | 102 | 17,952 |
| Sysco Corp. | 36 | 3,089 |
| T. Rowe Price Group, Inc. | 76 | 9,340 |
| Texas Instruments, Inc. | 218 | 37,064 |
| TJX Cos., Inc. (The) | 383 | 23,469 |
| Trane Technologies plc | 111 | 15,529 |
| Truist Financial Corp. | 332 | 16,067 |
| UGI Corp. | 69 | 2,353 |
| United Parcel Service, Inc., Class B | 16 | 2,941 |
| UnitedHealth Group, Inc. | 33 | 16,762 |
| US Bancorp | 76 | 3,698 |
| Valero Energy Corp. | 102 | 11,377 |
| Ventas, Inc., REIT | 371 | 20,603 |
| Verizon Communications, Inc. | 566 | 26,209 |
| VICI Properties, Inc., REIT | 925 | 27,566 |
| Vistra Corp. | 67 | 1,672 |
| VMware, Inc., Class A | 69 | 7,409 |
| Walgreens Boots Alliance, Inc. | 167 | 7,079 |
| Walmart, Inc. | 20 | 3,063 |
| Warner Bros Discovery, Inc. * | 77 | 1,388 |
| Wells Fargo & Co. | 230 | 10,020 |
| Welltower, Inc., REIT | 202 | 18,338 |
| Western Union Co. (The) | 439 | 7,363 |
| Weyerhaeuser Co., REIT | 198 | 8,151 |
| Whiting Petroleum Corp. | 30 | 2,165 |
| Williams Cos., Inc. (The) | 395 | 13,556 |
| WP Carey, Inc., REIT | 100 | 8,089 |
| Xcel Energy, Inc. | 39 | 2,879 |
| | | 2,044,827 |
Total Common Stocks
(Cost $4,024,900) | | 4,658,890 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — 34.8% |
| 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) | 10,853 | 11,368 |
| FMG Resources August 2006 Pty. Ltd. | | |
| 5.13%, 5/15/2024 (c) | 1,958 | 1,978 |
| 4.50%, 9/15/2027 (c) | 1,982 | 1,878 |
| 4.38%, 4/1/2031 (c) | 2,442 | 2,161 |
| Glencore Funding LLC | | |
| 2.50%, 9/1/2030 (c) | 180 | 151 |
| 2.63%, 9/23/2031 (c) | 63 | 53 |
| Mineral Resources Ltd. 8.13%, 5/1/2027 (c) | 724 | 735 |
| | | 18,324 |
| Austria — 0.0% ^ |
| ams-OSRAM AG 7.00%, 7/31/2025 (a) (c) | 1,280 | 1,296 |
| Azerbaijan — 0.0% ^ |
| Southern Gas Corridor CJSC 6.88%, 3/24/2026 (b) | 950 | 1,006 |
| State Oil Co. of the Azerbaijan Republic | | |
| 4.75%, 3/13/2023 (b) | 686 | 682 |
| 6.95%, 3/18/2030 (b) | 2,180 | 2,354 |
| | | 4,042 |
| Bahrain — 0.0% ^ |
| Oil and Gas Holding Co. BSCC (The) 7.50%, 10/25/2027 (b) | 1,150 | 1,206 |
| Belgium — 0.0% ^ |
| Anheuser-Busch InBev Worldwide, Inc. | | |
| 3.50%, 6/1/2030 | 174 | 165 |
| 4.38%, 4/15/2038 | 420 | 401 |
| KBC Group NV (EUR Swap Annual 5 Year + 4.69%), 4.75%, 3/5/2024 (b) (d) (e) (f) | EUR 1,800 | 1,880 |
| | | 2,446 |
| Brazil — 0.0% ^ |
| Guara Norte SARL 5.20%, 6/15/2034 (c) | 332 | 294 |
| Klabin Austria GmbH 7.00%, 4/3/2049 (b) | 1,150 | 1,109 |
| MV24 Capital BV 6.75%, 6/1/2034 (c) | 614 | 584 |
| Nexa Resources SA 5.38%, 5/4/2027 (b) | 580 | 557 |
| Petrobras Global Finance BV | | |
| 5.50%, 6/10/2051 | 319 | 261 |
| 6.85%, 6/5/2115 | 300 | 263 |
| Suzano Austria GmbH | | |
| 6.00%, 1/15/2029 | 900 | 907 |
| 7.00%, 3/16/2047 (b) | 220 | 221 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Brazil — continued |
| Vale Overseas Ltd. 3.75%, 7/8/2030 | 57 | 51 |
| Votorantim Cimentos International SA 7.25%, 4/5/2041 (b) | 440 | 498 |
| | | 4,745 |
| Canada — 1.4% |
| 1011778 BC ULC | | |
| 3.88%, 1/15/2028 (c) | 2,030 | 1,868 |
| 3.50%, 2/15/2029 (c) | 1,546 | 1,365 |
| 4.00%, 10/15/2030 (c) | 4,185 | 3,578 |
| Athabasca Oil Corp. 9.75%, 11/1/2026 (a) (c) | 359 | 381 |
| ATS Automation Tooling Systems, Inc. 4.13%, 12/15/2028 (c) | 1,373 | 1,239 |
| Bank of Montreal (SOFRINDX + 0.68%), 0.92%, 3/10/2023 (f) | 195 | 195 |
| Bank of Nova Scotia (The) | | |
| (ICE LIBOR USD 3 Month + 2.65%), 4.65%, 10/12/2022 (d) (e) (f) | 1,551 | 1,462 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (d) (e) (f) | 2,497 | 2,450 |
| 1.30%, 9/15/2026 | 280 | 251 |
| Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.62%, 10/27/2081 (f) | 2,670 | 2,132 |
| Baytex Energy Corp. 8.75%, 4/1/2027 (c) | 6,070 | 6,417 |
| Bell Canada (The) Series US-5, 2.15%, 2/15/2032 | 159 | 132 |
| Bombardier, Inc. | | |
| 7.50%, 12/1/2024 (c) | 40 | 40 |
| 7.50%, 3/15/2025 (c) | 1,906 | 1,849 |
| 6.00%, 2/15/2028 (a) (c) | 970 | 839 |
| Brookfield Residential Properties, Inc. | | |
| 6.25%, 9/15/2027 (c) | 1,000 | 938 |
| 4.88%, 2/15/2030 (c) | 467 | 390 |
| Canadian Pacific Railway Co. 2.45%, 12/2/2031 | 105 | 91 |
| Emera US Finance LP 2.64%, 6/15/2031 | 75 | 64 |
| Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (f) | 29,134 | 29,535 |
| Enbridge, Inc. | | |
| Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (f) | 2,730 | 2,742 |
| (ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (f) | 5,351 | 5,396 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 59 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| Canada — continued |
| Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (f) | 13,544 | 13,442 |
| Garda World Security Corp. 4.63%, 2/15/2027 (c) | 2,596 | 2,336 |
| GFL Environmental, Inc. | | |
| 4.25%, 6/1/2025 (c) | 2,670 | 2,590 |
| 3.75%, 8/1/2025 (c) | 3,858 | 3,655 |
| 4.00%, 8/1/2028 (a) (c) | 3,309 | 2,912 |
| 4.75%, 6/15/2029 (a) (c) | 2,895 | 2,627 |
| 4.38%, 8/15/2029 (c) | 2,244 | 1,991 |
| goeasy Ltd. 5.38%, 12/1/2024 (c) | 879 | 861 |
| MEG Energy Corp. 7.13%, 2/1/2027 (c) | 6,109 | 6,204 |
| NOVA Chemicals Corp. | | |
| 4.88%, 6/1/2024 (c) | 6,055 | 5,972 |
| 5.00%, 5/1/2025 (c) | 3,790 | 3,752 |
| 5.25%, 6/1/2027 (c) | 4,811 | 4,558 |
| 4.25%, 5/15/2029 (c) | 3,479 | 3,009 |
| Open Text Corp. 3.88%, 2/15/2028 (c) | 2,165 | 1,972 |
| Open Text Holdings, Inc. 4.13%, 2/15/2030 (c) | 1,000 | 888 |
| Precision Drilling Corp. | | |
| 7.13%, 1/15/2026 (c) | 4,508 | 4,520 |
| 6.88%, 1/15/2029 (c) | 518 | 503 |
| Primo Water Holdings, Inc. 4.38%, 4/30/2029 (c) | 764 | 665 |
| Quebecor Media, Inc. 5.75%, 1/15/2023 | 5,516 | 5,577 |
| Ritchie Bros Auctioneers, Inc. 5.38%, 1/15/2025 (c) | 1,282 | 1,285 |
| Ritchie Bros Holdings, Inc. 4.75%, 12/15/2031 (c) | 1,630 | 1,630 |
| Rogers Communications, Inc. | | |
| 3.80%, 3/15/2032 (c) | 135 | 124 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (c) (f) | 5,065 | 4,754 |
| Royal Bank of Canada (ICE LIBOR USD 3 Month + 0.36%), 1.40%, 1/17/2023 (f) | 100 | 100 |
| Superior Plus LP 4.50%, 3/15/2029 (c) | 3,770 | 3,445 |
| Taseko Mines Ltd. 7.00%, 2/15/2026 (c) | 410 | 407 |
| Tervita Corp. 11.00%, 12/1/2025 (c) | 579 | 646 |
| TransAlta Corp. 6.50%, 3/15/2040 | 305 | 305 |
| TransCanada PipeLines Ltd. 4.75%, 5/15/2038 (a) | 119 | 117 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Canada — continued |
| Transcanada Trust | | |
| Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (f) | 5,204 | 5,216 |
| (SOFR + 4.42%), 5.50%, 9/15/2079 (f) | 9,787 | 9,420 |
| Videotron Ltd. | | |
| 5.38%, 6/15/2024 (c) | 5,053 | 5,104 |
| 5.13%, 4/15/2027 (c) | 4,520 | 4,430 |
| 3.63%, 6/15/2029 (c) | 3,423 | 2,978 |
| | | 171,349 |
| Cayman Islands — 0.0% ^ |
| Global Aircraft Leasing Co. Ltd. 6.50% (Cash), 9/15/2024 (c) (g) | 943 | 814 |
| Chile — 0.0% ^ |
| Corp. Nacional del Cobre de Chile | | |
| 4.88%, 11/4/2044 (b) | 400 | 379 |
| 3.70%, 1/30/2050 (c) | 1,400 | 1,113 |
| Empresa Nacional del Petroleo 3.75%, 8/5/2026 (b) | 1,000 | 953 |
| | | 2,445 |
| China — 0.4% |
| Agile Group Holdings Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%, 3/7/2023 (b) (d) (e) (f) | 2,800 | 630 |
| Central Plaza Development Ltd. | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 8.07%), 5.75%, 11/14/2024 (b) (d) (e) (f) | 300 | 254 |
| 4.65%, 1/19/2026 (b) | 3,400 | 2,994 |
| China Oil & Gas Group Ltd. 4.70%, 6/30/2026 (b) | 600 | 572 |
| Chong Hing Bank Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 5.70%, 7/15/2024 (b) (d) (e) (f) | 1,250 | 1,249 |
| CIFI Holdings Group Co. Ltd. 5.50%, 1/23/2023 (b) | 2,700 | 2,501 |
| Country Garden Holdings Co. Ltd. | | |
| 5.13%, 1/14/2027 (b) | 900 | 585 |
| 3.30%, 1/12/2031 (b) | 1,000 | 600 |
| ENN Clean Energy International Investment Ltd. 3.38%, 5/12/2026 (b) | 400 | 369 |
| Fortune Star BVI Ltd. | | |
| 6.75%, 7/2/2023 (b) | 1,700 | 1,663 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| China — continued |
| 5.00%, 5/18/2026 (b) | 1,800 | 1,557 |
| Gemdale Ever Prosperity Investment Ltd. 4.95%, 7/26/2022 (b) | 1,400 | 1,378 |
| Gemstones International Ltd. 12.00%, 3/10/2023 (b) | 1,500 | 825 |
| Golden Eagle Retail Group Ltd. 4.63%, 5/21/2023 (b) | 2,500 | 2,440 |
| Greenland Global Investment Ltd. 6.75%, 6/25/2022 (b) | 1,500 | 1,400 |
| HBIS Group Hong Kong Co. Ltd. 3.75%, 12/18/2022 (b) | 700 | 692 |
| Hong Kong Red Star Macalline Universal Home Furnishings Ltd. 3.38%, 9/21/2022 (b) | 2,100 | 1,760 |
| Hopson Development Holdings Ltd. 7.00%, 5/18/2024 (b) | 2,300 | 1,833 |
| Huarong Finance 2017 Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.98%), 4.00%, 11/7/2022 (b) (d) (e) (f) | 300 | 299 |
| Huarong Finance 2019 Co. Ltd. 2.50%, 2/24/2023 (b) | 1,600 | 1,574 |
| Huarong Finance II Co. Ltd. 4.63%, 6/3/2026 (b) | 500 | 474 |
| Kunming Traffic Investment Co. Ltd. 6.20%, 6/27/2022 (b) | 1,200 | 1,166 |
| KWG Group Holdings Ltd. 7.88%, 9/1/2023 (b) | 3,000 | 1,395 |
| New Metro Global Ltd. | | |
| 6.50%, 5/20/2022 (b) | 2,000 | 1,960 |
| 4.80%, 12/15/2024 (b) | 1,100 | 731 |
| NXP BV 3.25%, 5/11/2041 (c) | 75 | 59 |
| RKPF Overseas Ltd. | | |
| 6.70%, 9/30/2024 (b) | 2,700 | 2,214 |
| 5.20%, 1/12/2026 (b) | 1,200 | 864 |
| Shandong Iron And Steel Xinheng International Co. Ltd. | | |
| 6.50%, 11/5/2023 (b) | 600 | 617 |
| 4.80%, 7/28/2024 (b) | 700 | 694 |
| Shui On Development Holding Ltd. | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 7.63%), 6.40%, 6/20/2022 (b) (d) (e) (f) | 2,000 | 1,930 |
| 5.50%, 3/3/2025 (b) | 1,200 | 1,080 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| China — continued |
| West China Cement Ltd. 4.95%, 7/8/2026 (b) | 1,200 | 1,074 |
| Yanlord Land HK Co. Ltd. 6.80%, 2/27/2024 (b) | 3,000 | 2,887 |
| | | 42,320 |
| Colombia — 0.0% ^ |
| Ecopetrol SA | | |
| 5.88%, 9/18/2023 | 950 | 960 |
| 5.38%, 6/26/2026 (a) | 529 | 521 |
| 5.38%, 6/26/2026 | 631 | 622 |
| 7.38%, 9/18/2043 | 412 | 374 |
| 5.88%, 5/28/2045 | 730 | 577 |
| | | 3,054 |
| Finland — 0.1% |
| Nokia OYJ | | |
| 4.38%, 6/12/2027 | 1,203 | 1,167 |
| 6.63%, 5/15/2039 (a) | 673 | 777 |
| 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) | 7,250 | 7,341 |
| 1.50%, 9/30/2026 (c) | 200 | 179 |
| | | 9,464 |
| France — 0.7% |
| Altice France SA | | |
| 8.13%, 2/1/2027 (c) | 6,089 | 6,135 |
| 5.13%, 7/15/2029 (c) | 7,415 | 6,277 |
| 5.50%, 10/15/2029 (c) | 3,732 | 3,172 |
| CGG SA 8.75%, 4/1/2027 (a) (c) | 500 | 496 |
| Credit Agricole SA | | |
| (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (c) (d) (e) (f) | 19,545 | 21,011 |
| (GBP Swap Semi 5 Year + 4.81%), 7.50%, 6/23/2026 (c) (d) (e) (f) | GBP 3,130 | 4,074 |
| (EUR Swap Annual 5 Year + 4.37%), 4.00%, 12/23/2027 (b) (d) (e) (f) | EUR 1,000 | 988 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 4.75%, 3/23/2029 (c) (d) (e) (f) | 7,870 | 6,778 |
| Societe Generale SA | | |
| 4.25%, 4/14/2025 (c) | 450 | 445 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 61 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| France — continued |
| (USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (c) (d) (e) (f) | 19,644 | 20,475 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (c) (d) (e) (f) | 10,487 | 9,208 |
| | | 79,059 |
| Germany — 0.0% ^ |
| Bayer US Finance II LLC 4.63%, 6/25/2038 (c) | 200 | 192 |
| Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (h) | 286 | 363 |
| TK Elevator US Newco, Inc. 5.25%, 7/15/2027 (c) | 3,920 | 3,672 |
| Volkswagen Group of America Finance LLC 3.13%, 5/12/2023 (c) | 230 | 230 |
| | | 4,457 |
| Greece — 0.0% ^ |
| Danaos Corp. 8.50%, 3/1/2028 (a) (c) | 305 | 315 |
| Guatemala — 0.0% ^ |
| Energuate Trust 5.88%, 5/3/2027 (b) | 1,147 | 1,094 |
| Hong Kong — 0.1% |
| Bank of East Asia Ltd. (The) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.53%), 5.83%, 10/21/2025 (b) (d) (e) (f) | 1,750 | 1,745 |
| CAS Capital No. 1 Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.64%), 4.00%, 7/12/2026 (b) (d) (e) (f) | 2,500 | 2,334 |
| Elect Global Investments Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.89%), 4.10%, 6/3/2025 (b) (d) (e) (f) | 300 | 289 |
| FWD Group Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.87%), 0.00%, 6/15/2022 (b) (d) (e) (f) | 1,300 | 1,278 |
| FWD Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 5.50%, 2/1/2023 (b) (d) (e) (f) | 1,800 | 1,764 |
| Melco Resorts Finance Ltd. 5.63%, 7/17/2027 (b) | 2,300 | 1,963 |
| NWD MTN Ltd. 4.13%, 7/18/2029 (b) | 1,400 | 1,243 |
| | | 10,616 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| India — 0.3% |
| ABJA Investment Co. Pte. Ltd. 5.45%, 1/24/2028 (b) | 2,400 | 2,364 |
| Azure Power Energy Ltd. 3.58%, 8/19/2026 (c) | 193 | 172 |
| Azure Power Solar Energy Pvt Ltd. 5.65%, 12/24/2024 (b) | 1,700 | 1,700 |
| Continuum Energy Levanter Pte. Ltd. 4.50%, 2/9/2027 (b) | 1,677 | 1,526 |
| Greenko Dutch BV 3.85%, 3/29/2026 (b) | 1,503 | 1,368 |
| Greenko Power II Ltd. | | |
| 4.30%, 12/13/2028 (c) | 924 | 813 |
| 4.30%, 12/13/2028 (b) | 200 | 176 |
| Greenko Wind Projects Mauritius Ltd. 5.50%, 4/6/2025 (c) | 1,000 | 976 |
| HDFC Bank Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.93%), 3.70%, 8/25/2026 (c) (d) (e) (f) | 2,000 | 1,829 |
| HPCL-Mittal Energy Ltd. 5.25%, 4/28/2027 (b) | 2,100 | 1,982 |
| India Green Energy Holdings 5.38%, 4/29/2024 (b) | 2,650 | 2,597 |
| India Green Power Holdings 4.00%, 2/22/2027 (b) | 2,900 | 2,511 |
| JSW Infrastructure Ltd. | | |
| 4.95%, 1/21/2029 (c) | 800 | 716 |
| 4.95%, 1/21/2029 (b) | 900 | 805 |
| JSW Steel Ltd. | | |
| 5.38%, 4/4/2025 (b) | 2,500 | 2,462 |
| 3.95%, 4/5/2027 (c) | 600 | 533 |
| 3.95%, 4/5/2027 (b) | 200 | 178 |
| Network i2i Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%, 1/15/2025 (b) (d) (e) (f) | 2,100 | 2,072 |
| ReNew Power Synthetic 6.67%, 3/12/2024 (b) | 2,200 | 2,228 |
| TML Holdings Pte. Ltd. 4.35%, 6/9/2026 (b) | 1,000 | 914 |
| Vedanta Resources Ltd. 6.38%, 7/30/2022 (b) | 2,900 | 2,887 |
| | | 30,809 |
| Indonesia — 0.2% |
| Adaro Indonesia PT 4.25%, 10/31/2024 (b) | 3,300 | 3,257 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| Indonesia — continued |
| Bank Negara Indonesia Persero Tbk. PT (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.47%), 4.30%, 3/24/2027 (b) (d) (e) (f) | 1,300 | 1,196 |
| Bank Tabungan Negara Persero Tbk. PT 4.20%, 1/23/2025 (b) | 2,200 | 2,123 |
| Indika Energy Capital III Pte. Ltd. 5.88%, 11/9/2024 (b) | 900 | 882 |
| Indika Energy Capital IV Pte. Ltd. 8.25%, 10/22/2025 (b) | 2,250 | 2,242 |
| Indonesia Asahan Aluminium Persero PT | | |
| 5.71%, 11/15/2023 (c) | 990 | 1,020 |
| 6.53%, 11/15/2028 (c) | 2,380 | 2,577 |
| 6.76%, 11/15/2048 (b) | 200 | 210 |
| 6.76%, 11/15/2048 (c) | 250 | 262 |
| Medco Bell Pte. Ltd. 6.38%, 1/30/2027 (b) | 800 | 748 |
| Medco Oak Tree Pte. Ltd. 7.38%, 5/14/2026 (b) | 200 | 198 |
| Medco Platinum Road Pte. Ltd. 6.75%, 1/30/2025 (b) | 2,400 | 2,380 |
| Minejesa Capital BV | | |
| 4.63%, 8/10/2030 (c) | 824 | 742 |
| 5.63%, 8/10/2037 (b) | 1,200 | 1,006 |
| Pertamina Persero PT | | |
| 4.30%, 5/20/2023 (b) | 260 | 262 |
| 3.10%, 1/21/2030 (c) | 450 | 405 |
| 6.00%, 5/3/2042 (b) | 880 | 889 |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | |
| 4.13%, 5/15/2027 (b) | 680 | 665 |
| 6.25%, 1/25/2049 (b) | 810 | 816 |
| 4.88%, 7/17/2049 (b) | 500 | 422 |
| 4.00%, 6/30/2050 (b) | 870 | 666 |
| | | 22,968 |
| Ireland — 0.1% |
| AerCap Global Aviation Trust (ICE LIBOR USD 3 Month + 4.30%), 6.50%, 6/15/2045 (c) (f) | 7,463 | 7,239 |
| AerCap Holdings NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.87%, 10/10/2079 (f) | 7,459 | 6,993 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Ireland — continued |
| Bank of Ireland Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (c) (f) | 200 | 176 |
| Cimpress plc 7.00%, 6/15/2026 (c) | 545 | 508 |
| | | 14,916 |
| Israel — 0.0% ^ |
| Energean Israel Finance Ltd. | | |
| 4.88%, 3/30/2026 (b) | 210 | 194 |
| 5.38%, 3/30/2028 (b) | 220 | 202 |
| Leviathan Bond Ltd. 6.50%, 6/30/2027 (b) | 720 | 706 |
| | | 1,102 |
| Italy — 0.2% |
| Enel SpA (USD Swap Semi 5 Year + 5.88%), 8.75%, 9/24/2073 (c) (f) | 2,430 | 2,570 |
| Intesa Sanpaolo SpA | | |
| 3.13%, 7/14/2022 (c) | 250 | 250 |
| (EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (b) (d) (e) (f) | EUR 2,660 | 2,971 |
| Telecom Italia Capital SA | | |
| 6.38%, 11/15/2033 | 3,907 | 3,414 |
| 6.00%, 9/30/2034 | 4,901 | 4,192 |
| 7.72%, 6/4/2038 | 2,620 | 2,460 |
| Telecom Italia SpA 5.30%, 5/30/2024 (c) | 1,925 | 1,889 |
| UniCredit SpA | | |
| (EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (b) (d) (e) (f) | EUR 1,200 | 1,294 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (c) (f) | 200 | 176 |
| (EURIBOR ICE Swap Rate 5 Year + 4.08%), 3.88%, 6/3/2027 (b) (d) (e) (f) | EUR 202 | 171 |
| | | 19,387 |
| Japan — 0.1% |
| Nippon Life Insurance Co. | | |
| (USD Swap Semi 5 Year + 3.65%), 5.10%, 10/16/2044 (c) (f) | 2,887 | 2,902 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 2.75%, 1/21/2051 (c) (f) | 3,620 | 3,113 |
| Sumitomo Life Insurance Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 3.38%, 4/15/2081 (c) (f) | 2,620 | 2,410 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 63 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| Japan — continued |
| Takeda Pharmaceutical Co. Ltd. 2.05%, 3/31/2030 | 200 | 168 |
| Universal Entertainment Corp. 8.50%, 12/11/2024 (c) | 824 | 830 |
| | | 9,423 |
| Kazakhstan — 0.1% |
| Fund of National Welfare Samruk-Kazyna JSC 2.00%, 10/28/2026 (c) | 478 | 418 |
| Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042 (b) | 1,545 | 1,572 |
| KazMunayGas National Co. JSC | | |
| 4.75%, 4/24/2025 (c) | 550 | 535 |
| 4.75%, 4/19/2027 (b) | 500 | 475 |
| 5.75%, 4/19/2047 (b) | 1,380 | 1,248 |
| 6.38%, 10/24/2048 (b) | 1,040 | 994 |
| Tengizchevroil Finance Co. International Ltd. 4.00%, 8/15/2026 (b) | 800 | 722 |
| | | 5,964 |
| Luxembourg — 0.3% |
| Altice Financing SA 5.75%, 8/15/2029 (c) | 4,556 | 3,838 |
| Altice France Holding SA | | |
| 10.50%, 5/15/2027 (a) (c) | 8,469 | 8,585 |
| 6.00%, 2/15/2028 (c) | 1,845 | 1,524 |
| Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) (c) | 19,096 | 17,979 |
| | | 31,926 |
| Macau — 0.0% ^ |
| Champion Path Holdings Ltd. 4.85%, 1/27/2028 (b) | 700 | 500 |
| Studio City Finance Ltd. 6.00%, 7/15/2025 (b) | 1,200 | 1,016 |
| | | 1,516 |
| Mexico — 0.1% |
| Alfa SAB de CV 6.88%, 3/25/2044 (c) | 712 | 742 |
| Alpek SAB de CV 4.25%, 9/18/2029 (b) | 1,000 | 929 |
| BBVA Bancomer SA 6.75%, 9/30/2022 (b) | 900 | 909 |
| Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026 (c) (d) (e) (f) | 1,052 | 955 |
| Comision Federal de Electricidad 4.68%, 2/9/2051 (b) | 300 | 213 |
| Petroleos Mexicanos | | |
| 6.88%, 8/4/2026 | 1,605 | 1,599 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Mexico — continued |
| 5.35%, 2/12/2028 | 1,900 | 1,681 |
| 6.50%, 1/23/2029 (a) | 420 | 384 |
| 6.70%, 2/16/2032 | 167 | 144 |
| 5.63%, 1/23/2046 | 1,999 | 1,368 |
| 6.75%, 9/21/2047 | 850 | 614 |
| 6.35%, 2/12/2048 | 500 | 348 |
| 7.69%, 1/23/2050 | 2,102 | 1,641 |
| 6.95%, 1/28/2060 (a) | 2,100 | 1,533 |
| | | 13,060 |
| Morocco — 0.0% ^ |
| OCP SA 6.88%, 4/25/2044 (b) | 1,030 | 988 |
| Netherlands — 0.2% |
| ABN AMRO Bank NV (EUR Swap Annual 5 Year + 4.67%), 4.37%, 9/22/2025 (b) (d) (e) (f) | EUR 6,700 | 6,785 |
| Cooperatieve Rabobank UA (EUR Swap Annual 5 Year + 4.68%), 4.37%, 6/29/2027 (b) (d) (e) (f) | EUR 7,200 | 7,292 |
| ING Groep NV | | |
| (USD Swap Semi 5 Year + 4.45%), 6.50%, 4/16/2025 (d) (e) (f) | 600 | 598 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (d) (e) (f) | 2,360 | 2,266 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (d) (e) (f) | 5,500 | 4,455 |
| Shell International Finance BV 2.75%, 4/6/2030 | 85 | 78 |
| Trivium Packaging Finance BV | | |
| 5.50%, 8/15/2026 (c) (h) | 2,741 | 2,648 |
| 8.50%, 8/15/2027 (a) (c) (h) | 2,181 | 2,154 |
| UPC Broadband Finco BV 4.88%, 7/15/2031 (c) | 808 | 710 |
| VZ Secured Financing BV 5.00%, 1/15/2032 (c) | 1,586 | 1,369 |
| | | 28,355 |
| Norway — 0.0% ^ |
| DNB Bank ASA (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (c) (f) | 200 | 176 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| Panama — 0.0% ^ |
| AES Panama Generation Holdings SRL 4.38%, 5/31/2030 (c) | 960 | 855 |
| Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (c) | 580 | 537 |
| | | 1,392 |
| Paraguay — 0.0% ^ |
| Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (c) | 402 | 269 |
| Peru — 0.0% ^ |
| Petroleos del Peru SA | | |
| 4.75%, 6/19/2032 (c) | 900 | 728 |
| 5.63%, 6/19/2047 (b) | 600 | 436 |
| Southern Copper Corp. 5.88%, 4/23/2045 | 185 | 203 |
| | | 1,367 |
| Philippines — 0.1% |
| Globe Telecom, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.53%), 4.20%, 8/2/2026 (b) (d) (e) (f) | 800 | 768 |
| Petron Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.77%), 4.60%, 7/19/2023 (b) (d) (e) (f) | 2,400 | 2,304 |
| Rizal Commercial Banking Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.24%), 6.50%, 8/27/2025 (b) (d) (e) (f) | 2,700 | 2,628 |
| SMC Global Power Holdings Corp. | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.61%), 6.50%, 4/25/2024 (b) (d) (e) (f) | 1,200 | 1,164 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.20%), 7.00%, 10/21/2025 (b) (d) (e) (f) | 1,700 | 1,646 |
| | | 8,510 |
| Saudi Arabia — 0.0% ^ |
| Saudi Arabian Oil Co. | | |
| 1.63%, 11/24/2025 (c) | 200 | 186 |
| 2.25%, 11/24/2030 (c) | 397 | 344 |
| 3.25%, 11/24/2050 (c) | 350 | 274 |
| 3.50%, 11/24/2070 (c) | 1,104 | 842 |
| | | 1,646 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| South Africa — 0.0% ^ |
| Eskom Holdings SOC Ltd. | | |
| 6.75%, 8/6/2023 (b) | 430 | 417 |
| 7.13%, 2/11/2025 (b) | 650 | 619 |
| | | 1,036 |
| South Korea — 0.0% ^ |
| Hana Bank (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.41%), 3.50%, 10/19/2026 (c) (d) (e) (f) | 500 | 466 |
| Heungkuk Life Insurance Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/9/2022 (b) (d) (e) (f) | 1,150 | 1,143 |
| Kia Corp. 3.00%, 4/25/2023 (c) | 200 | 200 |
| | | 1,809 |
| Spain — 0.1% |
| Banco Bilbao Vizcaya Argentaria SA | | |
| (EUR Swap Annual 5 Year + 6.04%), 6.00%, 3/29/2024 (b) (d) (e) (f) | EUR 2,000 | 2,108 |
| (EUR Swap Annual 5 Year + 6.46%), 6.00%, 1/15/2026 (b) (d) (e) (f) | EUR 4,000 | 4,212 |
| Banco Santander SA | | |
| (USD ICE Swap Rate 5 Year + 4.99%), 7.50%, 2/8/2024 (b) (d) (e) (f) | 1,800 | 1,814 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 4.75%, 11/12/2026 (d) (e) (f) | 2,200 | 1,943 |
| Grifols Escrow Issuer SA 4.75%, 10/15/2028 (c) | 1,634 | 1,491 |
| Telefonica Emisiones SA 4.67%, 3/6/2038 | 308 | 286 |
| | | 11,854 |
| Sweden — 0.0% ^ |
| Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (b) (d) (e) (f) | 3,200 | 2,964 |
| Switzerland — 0.7% |
| Cloverie plc for Zurich Insurance Co. Ltd. (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (b) (f) | 2,700 | 2,753 |
| Credit Suisse Group AG | | |
| (USD Swap Semi 5 Year + 5.11%), 7.13%, 7/29/2022 (b) (d) (e) (f) | 4,465 | 4,455 |
| (USD Swap Semi 5 Year + 4.60%), 7.50%, 12/11/2023 (c) (d) (e) (f) | 11,691 | 11,699 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 65 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| Switzerland — continued |
| (USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (c) (d) (e) (f) | 19,875 | 19,274 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.37%, 8/21/2026 (c) (d) (e) (f) | 6,039 | 5,685 |
| (SOFR + 0.98%), 1.31%, 2/2/2027 (c) (f) | 250 | ��� 219 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.89%), 5.25%, 2/11/2027 (c) (d) (e) (f) | 9,486 | 8,336 |
| UBS Group AG | | |
| (USD Swap Semi 5 Year + 4.34%), 7.00%, 1/31/2024 (c) (d) (e) (f) | 13,904 | 14,130 |
| (USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (b) (d) (e) (f) | 8,000 | 8,150 |
| (USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (b) (d) (e) (f) | 7,015 | 7,101 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.86%), 5.12%, 7/29/2026 (b) (d) (e) (f) | 1,577 | 1,514 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.40%), 4.88%, 2/12/2027 (c) (d) (e) (f) | 5,225 | 4,781 |
| | | 88,097 |
| Thailand — 0.1% |
| Bangkok Bank PCL (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.73%), 5.00%, 9/23/2025 (b) (d) (e) (f) | 2,200 | 2,140 |
| Krung Thai Bank PCL (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.53%), 4.40%, 3/25/2026 (b) (d) (e) (f) | 2,700 | 2,481 |
| Thaioil Treasury Center Co. Ltd. | | |
| 4.88%, 1/23/2043 (b) | 500 | 441 |
| 3.50%, 10/17/2049 (b) | 300 | 205 |
| | | 5,267 |
| Trinidad And Tobago — 0.0% ^ |
| Trinidad Petroleum Holdings Ltd. 9.75%, 6/15/2026 (c) | 1,565 | 1,575 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Turkey — 0.0% ^ |
| Turkcell Iletisim Hizmetleri A/S 5.80%, 4/11/2028 (b) | 660 | 590 |
| Ukraine — 0.0% ^ |
| NPC Ukrenergo 6.88%, 11/9/2026 (c) | 628 | 195 |
| United Arab Emirates — 0.0% ^ |
| MDGH GMTN RSC Ltd. 3.70%, 11/7/2049 (b) | 600 | 547 |
| Telford Offshore Ltd. 12.00% (PIK), 12/31/2164 (d) (e) (g) | 1,550 | 11 |
| | | 558 |
| United Kingdom — 0.9% |
| 180 Medical, Inc. 3.88%, 10/15/2029 (c) | 3,079 | 2,740 |
| Ashtead Capital, Inc. 4.38%, 8/15/2027 (c) | 300 | 295 |
| Barclays plc | | |
| (U.K. Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 6.37%, 12/15/2025 (b) (d) (e) (f) | GBP 400 | 505 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (f) | 200 | 167 |
| BAT Capital Corp. 4.39%, 8/15/2037 | 232 | 198 |
| BP Capital Markets plc | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f) | 4,196 | 4,078 |
| (U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.17%), 4.25%, 3/22/2027 (b) (d) (e) (f) | GBP 2,300 | 2,767 |
| (EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (b) (d) (e) (f) | EUR 7,400 | 7,260 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | 16,634 | 15,947 |
| HSBC Holdings plc | | |
| (EUR Swap Annual 5 Year + 5.34%), 6.00%, 9/29/2023 (b) (d) (e) (f) | EUR 3,970 | 4,256 |
| (USD ICE Swap Rate 5 Year + 4.37%), 6.37%, 3/30/2025 (d) (e) (f) | 6,827 | 6,856 |
| (USD ICE Swap Rate 5 Year + 3.75%), 6.00%, 5/22/2027 (d) (e) (f) | 3,310 | 3,177 |
| (USD ICE Swap Rate 5 Year + 3.61%), 6.50%, 3/23/2028 (d) (e) (f) | 7,250 | 7,073 |
| (EUR Swap Annual 5 Year + 3.84%), 4.75%, 7/4/2029 (b) (d) (e) (f) | EUR 1,918 | 1,905 |
| (SOFR + 1.29%), 2.21%, 8/17/2029 (f) | 200 | 172 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United Kingdom — continued |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (d) (e) (f) | 3,820 | 3,238 |
| INEOS Quattro Finance 2 plc 3.38%, 1/15/2026 (c) | 1,685 | 1,538 |
| Ithaca Energy North Sea plc 9.00%, 7/15/2026 (c) | 636 | 649 |
| Jaguar Land Rover Automotive plc | | |
| 7.75%, 10/15/2025 (c) | 1,194 | 1,196 |
| 5.88%, 1/15/2028 (c) | 1,616 | 1,418 |
| Marks & Spencer plc 7.13%, 12/1/2037 (c) | 206 | 208 |
| Nationwide Building Society | | |
| (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.39%), 5.87%, 12/20/2024 (b) (d) (e) (f) | GBP 200 | 250 |
| (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (b) (d) (e) (f) | GBP 4,470 | 5,550 |
| (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (c) (f) | 200 | 186 |
| NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (d) (e) (f) | 2,641 | 2,603 |
| NatWest Markets plc 1.60%, 9/29/2026 (c) | 200 | 179 |
| Rolls-Royce plc 5.75%, 10/15/2027 (c) | 2,232 | 2,151 |
| Standard Chartered plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.66%), 6.00%, 7/26/2025 (c) (d) (e) (f) | 3,525 | 3,503 |
| Virgin Media Finance plc 5.00%, 7/15/2030 (c) | 435 | 378 |
| Virgin Media Secured Finance plc | | |
| 5.50%, 5/15/2029 (c) | 6,525 | 6,036 |
| 4.50%, 8/15/2030 (c) | 1,000 | 868 |
| Vodafone Group plc | | |
| 5.00%, 5/30/2038 | 188 | 187 |
| (USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | 7,333 | 7,744 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (f) | 7,100 | 6,135 |
| | | 101,413 |
| United States — 28.4% |
| 7-Eleven, Inc. 1.80%, 2/10/2031 (c) | 174 | 141 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| AbbVie, Inc. | | |
| 3.20%, 11/21/2029 | 457 | 425 |
| 4.05%, 11/21/2039 | 166 | 152 |
| Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (c) | 450 | 470 |
| Acadia Healthcare Co., Inc. | | |
| 5.50%, 7/1/2028 (c) | 2,824 | 2,750 |
| 5.00%, 4/15/2029 (c) | 2,490 | 2,359 |
| ACCO Brands Corp. 4.25%, 3/15/2029 (c) | 5,180 | 4,507 |
| ACI Worldwide, Inc. 5.75%, 8/15/2026 (c) | 3,105 | 3,136 |
| Activision Blizzard, Inc. 1.35%, 9/15/2030 | 292 | 238 |
| Adient Global Holdings Ltd. 4.88%, 8/15/2026 (c) | 1,876 | 1,673 |
| ADT Security Corp. (The) | | |
| 4.13%, 8/1/2029 (c) | 4,300 | 3,651 |
| 4.88%, 7/15/2032 (c) | 6,428 | 5,440 |
| Adtalem Global Education, Inc. 5.50%, 3/1/2028 (c) | 1,137 | 1,044 |
| Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (c) | 515 | 498 |
| AECOM 5.13%, 3/15/2027 | 1,977 | 1,955 |
| Aetna, Inc. | | |
| 2.75%, 11/15/2022 | 96 | 96 |
| 3.88%, 8/15/2047 | 257 | 222 |
| Air Lease Corp. 3.75%, 6/1/2026 | 70 | 68 |
| Albertsons Cos., Inc. | | |
| 3.25%, 3/15/2026 (c) | 4,739 | 4,324 |
| 7.50%, 3/15/2026 (c) | 3,170 | 3,332 |
| 4.63%, 1/15/2027 (c) | 8,552 | 8,010 |
| 5.88%, 2/15/2028 (c) | 3,316 | 3,221 |
| 3.50%, 3/15/2029 (c) | 7,608 | 6,409 |
| 4.88%, 2/15/2030 (c) | 2,359 | 2,135 |
| Alcoa Nederland Holding BV | | |
| 5.50%, 12/15/2027 (c) | 6,325 | 6,293 |
| 6.13%, 5/15/2028 (c) | 1,000 | 1,018 |
| 4.13%, 3/31/2029 (c) | 809 | 757 |
| Alexandria Real Estate Equities, Inc. | | |
| 2.75%, 12/15/2029 (a) | 80 | 72 |
| 2.95%, 3/15/2034 | 30 | 26 |
| Allegheny Technologies, Inc. | | |
| 5.88%, 12/1/2027 (a) | 1,861 | 1,796 |
| 4.88%, 10/1/2029 (a) | 1,655 | 1,506 |
| 5.13%, 10/1/2031 | 1,240 | 1,120 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 67 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (c) | 407 | 408 |
| Allied Universal Holdco LLC | | |
| 6.63%, 7/15/2026 (c) | 1,996 | 1,929 |
| 9.75%, 7/15/2027 (c) | 907 | 880 |
| 4.63%, 6/1/2028 (c) | 3,840 | 3,386 |
| Allison Transmission, Inc. | | |
| 4.75%, 10/1/2027 (a) (c) | 2,545 | 2,452 |
| 5.88%, 6/1/2029 (c) | 7,583 | 7,486 |
| 3.75%, 1/30/2031 (c) | 5,472 | 4,733 |
| Ally Financial, Inc. | | |
| 5.75%, 11/20/2025 | 4,161 | 4,275 |
| Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (d) (e) (f) | 6,324 | 5,444 |
| Altria Group, Inc. | | |
| 4.80%, 2/14/2029 | 83 | 82 |
| 3.40%, 2/4/2041 | 85 | 62 |
| AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/15/2026 (a) (c) (g) | 2,941 | 2,463 |
| AMC Networks, Inc. | | |
| 4.75%, 8/1/2025 | 2,836 | 2,739 |
| 4.25%, 2/15/2029 | 257 | 224 |
| Ameren Corp. 3.50%, 1/15/2031 | 140 | 131 |
| American Airlines Group, Inc. 3.75%, 3/1/2025 (a) (c) | 182 | 162 |
| American Airlines, Inc. | | |
| 11.75%, 7/15/2025 (c) | 126 | 145 |
| 5.50%, 4/20/2026 (c) | 6,867 | 6,807 |
| 5.75%, 4/20/2029 (c) | 6,285 | 6,056 |
| American Axle & Manufacturing, Inc. | | |
| 6.25%, 3/15/2026 | 3,979 | 3,785 |
| 6.50%, 4/1/2027 (a) | 5,200 | 4,846 |
| 6.88%, 7/1/2028 (a) | 1,349 | 1,271 |
| 5.00%, 10/1/2029 (a) | 2,629 | 2,264 |
| American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (c) | 4,195 | 3,912 |
| American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (f) | 5,173 | 4,635 |
| American Honda Finance Corp. (ICE LIBOR USD 3 Month + 0.47%), 0.93%, 11/16/2022 (f) | 28 | 28 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| American International Group, Inc. Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (f) | 1,908 | 1,845 |
| American Tower Corp. | | |
| 1.45%, 9/15/2026 | 100 | 89 |
| 1.50%, 1/31/2028 | 337 | 285 |
| 2.10%, 6/15/2030 | 125 | 103 |
| American Transmission Systems, Inc. 2.65%, 1/15/2032 (c) | 20 | 17 |
| AmeriGas Partners LP | | |
| 5.63%, 5/20/2024 | 2,121 | 2,118 |
| 5.50%, 5/20/2025 | 5,898 | 5,809 |
| 5.88%, 8/20/2026 | 2,714 | 2,680 |
| 5.75%, 5/20/2027 | 1,424 | 1,399 |
| Amgen, Inc. 2.00%, 1/15/2032 | 298 | 246 |
| Amkor Technology, Inc. 6.63%, 9/15/2027 (c) | 3,941 | 4,010 |
| AMN Healthcare, Inc. 4.63%, 10/1/2027 (c) | 858 | 824 |
| ANGI Group LLC 3.88%, 8/15/2028 (c) | 528 | 418 |
| Antero Midstream Partners LP | | |
| 7.88%, 5/15/2026 (c) | 4,139 | 4,329 |
| 5.75%, 3/1/2027 (c) | 490 | 477 |
| 5.75%, 1/15/2028 (c) | 3,115 | 3,029 |
| 5.38%, 6/15/2029 (c) | 4,467 | 4,187 |
| Antero Resources Corp. | | |
| 8.38%, 7/15/2026 (c) | 2,242 | 2,416 |
| 7.63%, 2/1/2029 (c) | 739 | 783 |
| 5.38%, 3/1/2030 (c) | 1,447 | 1,414 |
| Anthem, Inc. 2.88%, 9/15/2029 | 190 | 174 |
| APi Escrow Corp. 4.75%, 10/15/2029 (c) | 2,037 | 1,833 |
| APi Group DE, Inc. 4.13%, 7/15/2029 (c) | 3,278 | 2,926 |
| Aramark Services, Inc. 5.00%, 2/1/2028 (a) (c) | 7,840 | 7,311 |
| Arches Buyer, Inc. | | |
| 4.25%, 6/1/2028 (c) | 1,780 | 1,582 |
| 6.13%, 12/1/2028 (c) | 634 | 552 |
| Archrock Partners LP | | |
| 6.88%, 4/1/2027 (c) | 472 | 473 |
| 6.25%, 4/1/2028 (c) | 2,420 | 2,347 |
| Arconic Corp. | | |
| 6.00%, 5/15/2025 (c) | 2,269 | 2,277 |
| 6.13%, 2/15/2028 (c) | 7,067 | 6,846 |
| Arcosa, Inc. 4.38%, 4/15/2029 (c) | 408 | 372 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Ardagh Packaging Finance plc | | |
| 4.13%, 8/15/2026 (c) | 1,385 | 1,281 |
| 5.25%, 8/15/2027 (c) | 5,299 | 4,551 |
| 5.25%, 8/15/2027 (a) (c) | 7,346 | 6,308 |
| Asbury Automotive Group, Inc. | | |
| 4.50%, 3/1/2028 (a) | 1,390 | 1,296 |
| 4.63%, 11/15/2029 (c) | 1,924 | 1,732 |
| 4.75%, 3/1/2030 | 385 | 345 |
| 5.00%, 2/15/2032 (c) | 1,343 | 1,192 |
| ASGN, Inc. 4.63%, 5/15/2028 (c) | 500 | 465 |
| Ashland LLC | | |
| 3.38%, 9/1/2031 (c) | 281 | 243 |
| 6.88%, 5/15/2043 | 426 | 473 |
| AT&T, Inc. | | |
| Series B, (EURIBOR ICE Swap Rate 5 Year + 3.14%), 2.87%, 3/2/2025 (d) (e) (f) | EUR 700 | 696 |
| 2.25%, 2/1/2032 | 408 | 340 |
| 3.50%, 6/1/2041 | 124 | 103 |
| Atkore, Inc. 4.25%, 6/1/2031 (c) | 407 | 360 |
| Audacy Capital Corp. 6.50%, 5/1/2027 (a) (c) | 4,439 | 3,818 |
| Avantor Funding, Inc. 4.63%, 7/15/2028 (c) | 6,866 | 6,532 |
| Aviation Capital Group LLC 1.95%, 9/20/2026 (c) | 210 | 184 |
| Avis Budget Car Rental LLC | | |
| 5.75%, 7/15/2027 (a) (c) | 2,503 | 2,453 |
| 5.75%, 7/15/2027 (c) | 2,855 | 2,791 |
| 4.75%, 4/1/2028 (c) | 5,455 | 5,060 |
| 5.38%, 3/1/2029 (a) (c) | 2,711 | 2,542 |
| Axalta Coating Systems LLC | | |
| 4.75%, 6/15/2027 (a) (c) | 4,423 | 4,202 |
| 3.38%, 2/15/2029 (c) | 3,894 | 3,369 |
| B&G Foods, Inc. 5.25%, 4/1/2025 | 5,294 | 5,041 |
| Baker Hughes Holdings LLC 3.14%, 11/7/2029 | 165 | 153 |
| Bank of America Corp. | | |
| Series U, (ICE LIBOR USD 3 Month + 3.14%), 5.20%, 6/1/2023 (d) (e) (f) | 6,649 | 6,549 |
| Series JJ, (ICE LIBOR USD 3 Month + 3.29%), 5.12%, 6/20/2024 (d) (e) (f) | 2,314 | 2,256 |
| Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (d) (e) (f) | 15,732 | 15,926 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (d) (e) (f) | 7,182 | 7,321 |
| Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (d) (e) (f) | 7,783 | 7,865 |
| Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (d) (e) (f) | 1,250 | 1,263 |
| Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (d) (e) (f) | 21,045 | 21,519 |
| Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (d) (e) (f) | 1,305 | 1,155 |
| Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (d) (e) (f) | 7,865 | 7,865 |
| (SOFR + 0.96%), 1.73%, 7/22/2027 (f) | 778 | 698 |
| Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (d) (e) (f) | 9,756 | 9,339 |
| (SOFR + 1.21%), 2.57%, 10/20/2032 (f) | 320 | 270 |
| Bank of New York Mellon Corp. (The) | | |
| Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (d) (e) (f) | 3,007 | 2,909 |
| Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.36%), 4.70%, 9/20/2025 (d) (e) (f) | 2,095 | 2,090 |
| Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 3.70%, 3/20/2026 (d) (e) (f) | 2,910 | 2,692 |
| Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (d) (e) (f) | 11,948 | 11,171 |
| Bath & Body Works, Inc. | | |
| 9.38%, 7/1/2025 (c) | 264 | 297 |
| 7.50%, 6/15/2029 | 2,347 | 2,426 |
| 6.88%, 11/1/2035 | 1,032 | 1,008 |
| 6.75%, 7/1/2036 | 2,350 | 2,280 |
| Bausch Health Americas, Inc. | | |
| 9.25%, 4/1/2026 (c) | 4,876 | 4,840 |
| 8.50%, 1/31/2027 (a) (c) | 5,791 | 5,480 |
| Bausch Health Cos., Inc. | | |
| 6.13%, 4/15/2025 (a) (c) | 18,991 | 19,047 |
| 5.50%, 11/1/2025 (c) | 12,156 | 11,761 |
| 9.00%, 12/15/2025 (c) | 23,732 | 23,821 |
| 5.75%, 8/15/2027 (c) | 965 | 902 |
| 7.00%, 1/15/2028 (c) | 3,489 | 2,878 |
| 4.88%, 6/1/2028 (c) | 5,057 | 4,487 |
| 5.00%, 2/15/2029 (c) | 4,668 | 3,283 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 69 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| 6.25%, 2/15/2029 (c) | 2,065 | 1,503 |
| 7.25%, 5/30/2029 (c) | 1,679 | 1,270 |
| 5.25%, 1/30/2030 (c) | 3,476 | 2,413 |
| 5.25%, 2/15/2031 (a) (c) | 3,262 | 2,267 |
| Beacon Roofing Supply, Inc. 4.50%, 11/15/2026 (c) | 656 | 639 |
| Becton Dickinson and Co. 2.82%, 5/20/2030 | 356 | 319 |
| Bed Bath & Beyond, Inc. 5.17%, 8/1/2044 | 338 | 187 |
| Berry Global, Inc. 4.88%, 7/15/2026 (c) | 6,914 | 6,871 |
| Berry Petroleum Co. LLC 7.00%, 2/15/2026 (c) | 407 | 395 |
| Big River Steel LLC 6.63%, 1/31/2029 (c) | 1,672 | 1,710 |
| Biogen, Inc. 2.25%, 5/1/2030 | 107 | 89 |
| Black Knight InfoServ LLC 3.63%, 9/1/2028 (c) | 2,862 | 2,654 |
| Bloomin' Brands, Inc. 5.13%, 4/15/2029 (a) (c) | 1,113 | 1,035 |
| Blue Racer Midstream LLC | | |
| 7.63%, 12/15/2025 (c) | 1,522 | 1,568 |
| 6.63%, 7/15/2026 (c) | 1,510 | 1,512 |
| BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (c) | 308 | 279 |
| Boise Cascade Co. 4.88%, 7/1/2030 (c) | 852 | 801 |
| Booz Allen Hamilton, Inc. | | |
| 3.88%, 9/1/2028 (a) (c) | 2,882 | 2,655 |
| 4.00%, 7/1/2029 (a) (c) | 3,568 | 3,291 |
| Boston Properties LP, REIT 2.45%, 10/1/2033 | 160 | 130 |
| Boyd Gaming Corp. | | |
| 4.75%, 12/1/2027 | 1,164 | 1,100 |
| 4.75%, 6/15/2031 (c) | 1,209 | 1,093 |
| Boyne USA, Inc. 4.75%, 5/15/2029 (c) | 2,786 | 2,584 |
| BP Capital Markets America, Inc. 3.63%, 4/6/2030 (a) | 176 | 170 |
| Brightsphere Investment Group, Inc. 4.80%, 7/27/2026 | 289 | 269 |
| Brink's Co. (The) | | |
| 5.50%, 7/15/2025 (c) | 1,890 | 1,895 |
| 4.63%, 10/15/2027 (c) | 5,525 | 5,235 |
| Bristol-Myers Squibb Co. 2.35%, 11/13/2040 | 70 | 53 |
| Bristow Group, Inc. 6.88%, 3/1/2028 (c) | 408 | 400 |
| Broadcom, Inc. 4.30%, 11/15/2032 | 145 | 136 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Brookfield Property REIT, Inc., REIT 5.75%, 5/15/2026 (c) | 1,609 | 1,558 |
| Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (c) | 382 | 357 |
| Buckeye Partners LP | | |
| 4.13%, 3/1/2025 (c) | 3,620 | 3,470 |
| 3.95%, 12/1/2026 | 200 | 189 |
| 4.13%, 12/1/2027 | 2,207 | 2,036 |
| 4.50%, 3/1/2028 (c) | 4,360 | 3,979 |
| Builders FirstSource, Inc. | | |
| 5.00%, 3/1/2030 (c) | 3,130 | 2,895 |
| 4.25%, 2/1/2032 (c) | 3,999 | 3,414 |
| Burlington Northern Santa Fe LLC 3.30%, 9/15/2051 | 35 | 29 |
| BWX Technologies, Inc. | | |
| 4.13%, 6/30/2028 (c) | 2,674 | 2,480 |
| 4.13%, 4/15/2029 (c) | 4,624 | 4,277 |
| Cable One, Inc. 4.00%, 11/15/2030 (c) | 2,214 | 1,900 |
| Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a) (c) | 2,530 | 2,169 |
| California Resources Corp. 7.13%, 2/1/2026 (c) | 5,668 | 5,765 |
| Callon Petroleum Co. 8.00%, 8/1/2028 (a) (c) | 204 | 211 |
| Calpine Corp. | | |
| 5.25%, 6/1/2026 (c) | 2,595 | 2,563 |
| 4.63%, 2/1/2029 (c) | 1,622 | 1,418 |
| 5.00%, 2/1/2031 (c) | 2,214 | 1,888 |
| 3.75%, 3/1/2031 (c) | 50 | 42 |
| Calumet Specialty Products Partners LP 11.00%, 4/15/2025 (c) | 576 | 576 |
| Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (d) (e) (f) | 7,699 | 6,679 |
| Carnival Corp. | | |
| 10.50%, 2/1/2026 (c) | 742 | 816 |
| 5.75%, 3/1/2027 (c) | 2,270 | 2,056 |
| 4.00%, 8/1/2028 (c) | 3,156 | 2,841 |
| 6.00%, 5/1/2029 (c) | 3,326 | 2,985 |
| Carpenter Technology Corp. | | |
| 6.38%, 7/15/2028 | 1,466 | 1,461 |
| 7.63%, 3/15/2030 | 870 | 886 |
| Carriage Services, Inc. 4.25%, 5/15/2029 (c) | 408 | 355 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Cars.com, Inc. 6.38%, 11/1/2028 (c) | 407 | 381 |
| Catalent Pharma Solutions, Inc. | | |
| 5.00%, 7/15/2027 (c) | 2,038 | 1,974 |
| 3.13%, 2/15/2029 (c) | 940 | 816 |
| CCO Holdings LLC | | |
| 5.50%, 5/1/2026 (c) | 4,668 | 4,680 |
| 5.13%, 5/1/2027 (c) | 36,915 | 35,984 |
| 5.00%, 2/1/2028 (c) | 17,749 | 16,906 |
| 5.38%, 6/1/2029 (a) (c) | 10,053 | 9,525 |
| 4.75%, 3/1/2030 (a) (c) | 11,296 | 10,096 |
| 4.50%, 8/15/2030 (c) | 6,415 | 5,597 |
| 4.25%, 2/1/2031 (c) | 10,261 | 8,648 |
| 4.75%, 2/1/2032 (c) | 1,610 | 1,384 |
| 4.25%, 1/15/2034 (c) | 5,030 | 3,999 |
| CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (c) | 4,976 | 5,064 |
| CDK Global, Inc. 5.25%, 5/15/2029 (c) | 7,151 | 7,207 |
| CDW LLC | | |
| 5.50%, 12/1/2024 | 635 | 650 |
| 4.25%, 4/1/2028 | 7,836 | 7,301 |
| 3.25%, 2/15/2029 | 1,372 | 1,207 |
| Cedar Fair LP | | |
| 5.50%, 5/1/2025 (c) | 1,455 | 1,462 |
| 5.38%, 4/15/2027 | 160 | 156 |
| 5.25%, 7/15/2029 (a) | 1,395 | 1,320 |
| Cengage Learning, Inc. 9.50%, 6/15/2024 (c) | 2,132 | 2,089 |
| Centene Corp. | | |
| 4.25%, 12/15/2027 | 10,139 | 9,835 |
| 4.63%, 12/15/2029 (a) | 19,757 | 19,135 |
| 3.38%, 2/15/2030 | 5,040 | 4,503 |
| Centennial Resource Production LLC 5.38%, 1/15/2026 (a) (c) | 540 | 527 |
| CenterPoint Energy Resources Corp. (ICE LIBOR USD 3 Month + 0.50%), 1.00%, 3/2/2023 (f) | 50 | 50 |
| CenterPoint Energy, Inc. (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (d) (e) (f) | 5,558 | 5,348 |
| Central Garden & Pet Co. | | |
| 5.13%, 2/1/2028 | 6,555 | 6,326 |
| 4.13%, 10/15/2030 | 2,842 | 2,457 |
| Charles River Laboratories International, Inc. | | |
| 3.75%, 3/15/2029 (c) | 1,604 | 1,452 |
| 4.00%, 3/15/2031 (c) | 580 | 518 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Charles Schwab Corp. (The) | | |
| Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (d) (e) (f) | 16,951 | 17,079 |
| Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (e) (f) | 25,078 | 21,257 |
| Chemours Co. (The) | | |
| 5.38%, 5/15/2027 (a) | 1,500 | 1,448 |
| 5.75%, 11/15/2028 (c) | 8,862 | 8,308 |
| Cheniere Corpus Christi Holdings LLC 2.74%, 12/31/2039 | 50 | 41 |
| Cheniere Energy Partners LP | | |
| 4.50%, 10/1/2029 | 4,325 | 4,141 |
| 4.00%, 3/1/2031 | 2,666 | 2,413 |
| 3.25%, 1/31/2032 (c) | 2,253 | 1,926 |
| Cheniere Energy, Inc. 4.63%, 10/15/2028 | 7,525 | 7,280 |
| Chesapeake Energy Corp. | | |
| 5.50%, 2/1/2026 (c) | 1,916 | 1,900 |
| 5.88%, 2/1/2029 (c) | 941 | 930 |
| 6.75%, 4/15/2029 (c) | 8,910 | 8,966 |
| Chevron Corp. 2.24%, 5/11/2030 | 80 | 71 |
| Chubb INA Holdings, Inc. 2.88%, 11/3/2022 | 52 | 52 |
| Churchill Downs, Inc. | | |
| 5.50%, 4/1/2027 (c) | 325 | 319 |
| 4.75%, 1/15/2028 (c) | 1,000 | 936 |
| Ciena Corp. 4.00%, 1/31/2030 (c) | 4,011 | 3,658 |
| Cigna Corp. 4.38%, 10/15/2028 | 387 | 388 |
| Cinemark USA, Inc. | | |
| 8.75%, 5/1/2025 (c) | 1,000 | 1,039 |
| 5.25%, 7/15/2028 (a) (c) | 2,165 | 1,924 |
| Citigroup, Inc. | | |
| (ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (a) (d) (e) (f) | 5,183 | 5,183 |
| (ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (d) (e) (f) | 4,000 | 4,000 |
| (ICE LIBOR USD 3 Month + 4.23%), 5.90%, 2/15/2023 (d) (e) (f) | 1,548 | 1,574 |
| Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (d) (e) (f) | 20,542 | 20,311 |
| Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (f) | 15,165 | 14,350 |
| Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (d) (e) (f) | 2,596 | 2,357 |
| Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (d) (e) (f) | 9,333 | 9,123 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 71 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (f) | 12,954 | 11,756 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | 8,855 | 7,999 |
| Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (d) (e) (f) | 9,744 | 9,738 |
| (SOFR + 0.77%), 1.46%, 6/9/2027 (a) (f) | 815 | 725 |
| (SOFR + 1.18%), 2.52%, 11/3/2032 (f) | 55 | 46 |
| Citizens Bank NA (ICE LIBOR USD 3 Month + 0.95%), 1.93%, 3/29/2023 (f) | 250 | 251 |
| Citizens Financial Group, Inc. | | |
| Series B, (ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023 (d) (e) (f) | 3,001 | 2,862 |
| Series C, (ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (d) (e) (f) | 5,409 | 5,233 |
| Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (d) (e) (f) | 6,650 | 5,902 |
| Civitas Resources, Inc. 5.00%, 10/15/2026 (c) | 407 | 387 |
| Clarios Global LP | | |
| 6.75%, 5/15/2025 (c) | 1,595 | 1,627 |
| 6.25%, 5/15/2026 (a) (c) | 3,670 | 3,707 |
| Clarivate Science Holdings Corp. | | |
| 3.88%, 7/1/2028 (c) | 2,626 | 2,337 |
| 4.88%, 7/1/2029 (c) | 2,958 | 2,607 |
| Clean Harbors, Inc. 4.88%, 7/15/2027 (c) | 785 | 769 |
| Clear Channel Outdoor Holdings, Inc. | | |
| 5.13%, 8/15/2027 (a) (c) | 9,798 | 9,207 |
| 7.75%, 4/15/2028 (c) | 4,638 | 4,371 |
| 7.50%, 6/1/2029 (c) | 8,147 | 7,688 |
| Cleveland-Cliffs, Inc. | | |
| 4.63%, 3/1/2029 (a) (c) | 3,158 | 2,960 |
| 4.88%, 3/1/2031 (a) (c) | 2,257 | 2,088 |
| Clorox Co. (The) 3.05%, 9/15/2022 | 62 | 62 |
| CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (f) | 4,749 | 4,559 |
| CNX Midstream Partners LP 4.75%, 4/15/2030 (c) | 1,242 | 1,143 |
| CNX Resources Corp. | | |
| 7.25%, 3/14/2027 (c) | 1,217 | 1,244 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 6.00%, 1/15/2029 (c) | 1,670 | 1,648 |
| Cogent Communications Group, Inc. 3.50%, 5/1/2026 (c) | 700 | 661 |
| Coinbase Global, Inc. | | |
| 3.38%, 10/1/2028 (a) (c) | 1,942 | 1,508 |
| 3.63%, 10/1/2031 (a) (c) | 2,645 | 1,954 |
| Comcast Corp. | | |
| 4.15%, 10/15/2028 | 205 | 206 |
| 1.50%, 2/15/2031 (a) | 240 | 195 |
| CommScope Technologies LLC | | |
| 6.00%, 6/15/2025 (c) | 7,185 | 6,287 |
| 5.00%, 3/15/2027 (c) | 2,405 | 1,888 |
| CommScope, Inc. | | |
| 6.00%, 3/1/2026 (c) | 9,090 | 8,574 |
| 8.25%, 3/1/2027 (a) (c) | 10,160 | 8,636 |
| 4.75%, 9/1/2029 (c) | 4,740 | 3,963 |
| Community Health Systems, Inc. | | |
| 8.00%, 3/15/2026 (c) | 3,292 | 3,403 |
| 5.63%, 3/15/2027 (c) | 3,918 | 3,735 |
| 8.00%, 12/15/2027 (c) | 150 | 155 |
| 6.88%, 4/1/2028 (c) | 649 | 509 |
| 6.00%, 1/15/2029 (c) | 2,684 | 2,537 |
| 6.13%, 4/1/2030 (a) (c) | 342 | 281 |
| 5.25%, 5/15/2030 (c) | 4,389 | 3,848 |
| 4.75%, 2/15/2031 (c) | 2,890 | 2,449 |
| Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (c) | 2,112 | 1,896 |
| Comstock Resources, Inc. | | |
| 7.50%, 5/15/2025 (c) | 1,478 | 1,508 |
| 6.75%, 3/1/2029 (c) | 8,241 | 8,333 |
| 5.88%, 1/15/2030 (c) | 2,222 | 2,138 |
| Conduent Business Services LLC 6.00%, 11/1/2029 (c) | 4,650 | 4,278 |
| Consensus Cloud Solutions, Inc. 6.50%, 10/15/2028 (c) | 844 | 793 |
| Constellation Brands, Inc. 2.25%, 8/1/2031 | 333 | 276 |
| Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (c) | 1,592 | 1,481 |
| Cooper-Standard Automotive, Inc. | | |
| 13.00%, 6/1/2024 (a) (c) | 6,658 | 6,725 |
| 5.63%, 11/15/2026 (a) (c) | 7,311 | 3,441 |
| CoreCivic, Inc. | | |
| 8.25%, 4/15/2026 | 4,988 | 5,124 |
| 4.75%, 10/15/2027 | 662 | 589 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| CoreLogic, Inc. 4.50%, 5/1/2028 (c) | 776 | 688 |
| Coty, Inc. | | |
| 5.00%, 4/15/2026 (c) | 4,278 | 4,063 |
| 6.50%, 4/15/2026 (a) (c) | 1,332 | 1,295 |
| 4.75%, 1/15/2029 (c) | 2,340 | 2,083 |
| Cox Communications, Inc. 4.80%, 2/1/2035 (c) | 190 | 186 |
| CPI CG, Inc. 8.63%, 3/15/2026 (c) | 295 | 285 |
| CQP Holdco LP 5.50%, 6/15/2031 (c) | 1,052 | 970 |
| Credit Acceptance Corp. 6.63%, 3/15/2026 (a) | 810 | 818 |
| Crestwood Midstream Partners LP | | |
| 5.75%, 4/1/2025 | 5,514 | 5,448 |
| 5.63%, 5/1/2027 (c) | 2,355 | 2,293 |
| 8.00%, 4/1/2029 (c) | 4,797 | 5,001 |
| Crocs, Inc. | | |
| 4.25%, 3/15/2029 (c) | 516 | 439 |
| 4.13%, 8/15/2031 (c) | 197 | 157 |
| Crown Americas LLC 4.75%, 2/1/2026 | 681 | 678 |
| Crown Castle International Corp. | | |
| 3.65%, 9/1/2027 | 250 | 240 |
| 2.10%, 4/1/2031 | 170 | 138 |
| CSC Holdings LLC | | |
| 5.88%, 9/15/2022 | 1,585 | 1,593 |
| 5.25%, 6/1/2024 | 1,349 | 1,318 |
| 5.50%, 4/15/2027 (c) | 5,420 | 5,233 |
| 5.38%, 2/1/2028 (c) | 2,010 | 1,845 |
| 7.50%, 4/1/2028 (c) | 2,260 | 2,083 |
| 6.50%, 2/1/2029 (c) | 8,969 | 8,521 |
| 4.50%, 11/15/2031 (c) | 4,903 | 4,027 |
| CSX Corp. 2.40%, 2/15/2030 (a) | 75 | 67 |
| CTR Partnership LP, REIT 3.88%, 6/30/2028 (c) | 420 | 380 |
| Curo Group Holdings Corp. 7.50%, 8/1/2028 (c) | 1,028 | 856 |
| CVR Partners LP 6.13%, 6/15/2028 (c) | 3,401 | 3,333 |
| CVS Health Corp. | | |
| 4.30%, 3/25/2028 | 100 | 100 |
| 2.13%, 9/15/2031 | 174 | 145 |
| 4.78%, 3/25/2038 | 255 | 252 |
| 5.30%, 12/5/2043 | 86 | 89 |
| Dana, Inc. | | |
| 5.38%, 11/15/2027 | 895 | 846 |
| 5.63%, 6/15/2028 | 3,421 | 3,263 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Dave & Buster's, Inc. 7.63%, 11/1/2025 (c) | 170 | 176 |
| DaVita, Inc. | | |
| 4.63%, 6/1/2030 (c) | 9,180 | 7,987 |
| 3.75%, 2/15/2031 (c) | 7,626 | 6,215 |
| DCP Midstream Operating LP | | |
| 3.88%, 3/15/2023 | 2,613 | 2,604 |
| 5.38%, 7/15/2025 | 1,919 | 1,929 |
| 5.63%, 7/15/2027 | 2,481 | 2,517 |
| 6.75%, 9/15/2037 (c) | 1,740 | 1,954 |
| 5.60%, 4/1/2044 | 525 | 502 |
| Del Monte Foods, Inc. 11.88%, 5/15/2025 (c) | 1,926 | 2,103 |
| Delek Logistics Partners LP 7.13%, 6/1/2028 (c) | 647 | 618 |
| Dell International LLC 4.90%, 10/1/2026 | 65 | 66 |
| Deluxe Corp. 8.00%, 6/1/2029���(c) | 2,100 | 1,993 |
| Diamond Sports Group LLC 5.38%, 8/15/2026 (a) (c) | 5,398 | 1,997 |
| Directv Financing LLC 5.88%, 8/15/2027 (c) | 4,658 | 4,384 |
| Discovery Communications LLC 3.63%, 5/15/2030 (a) | 190 | 174 |
| DISH DBS Corp. | | |
| 5.88%, 7/15/2022 | 2,197 | 2,200 |
| 5.00%, 3/15/2023 | 12,579 | 12,462 |
| 5.88%, 11/15/2024 | 30,567 | 29,650 |
| 7.75%, 7/1/2026 | 12,076 | 11,359 |
| 5.25%, 12/1/2026 (c) | 14,585 | 13,391 |
| 7.38%, 7/1/2028 | 573 | 501 |
| 5.75%, 12/1/2028 (c) | 2,915 | 2,607 |
| 5.13%, 6/1/2029 | 750 | 586 |
| Dominion Energy, Inc. | | |
| Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (d) (e) (f) | 3,636 | 3,472 |
| Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.35%, 1/15/2027 (d) (e) (f) | 5,175 | 4,726 |
| Series C, 2.25%, 8/15/2031 | 54 | 45 |
| Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) (c) | 3,736 | 3,064 |
| DT Midstream, Inc. | | |
| 4.13%, 6/15/2029 (c) | 4,356 | 3,964 |
| 4.38%, 6/15/2031 (c) | 2,677 | 2,398 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 73 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Duke Energy Corp. | | |
| 3.05%, 8/15/2022 | 84 | 84 |
| 3.75%, 9/1/2046 | 112 | 93 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (f) | 5,838 | 4,966 |
| Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (c) | 1,250 | 1,163 |
| Dycom Industries, Inc. 4.50%, 4/15/2029 (c) | 5,624 | 5,132 |
| Edgewell Personal Care Co. | | |
| 5.50%, 6/1/2028 (c) | 1,815 | 1,756 |
| 4.13%, 4/1/2029 (c) | 3,338 | 2,962 |
| Edison International Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.90%), 5.00%, 12/15/2026 (d) (e) (f) | 4,770 | 4,317 |
| Elastic NV 4.13%, 7/15/2029 (c) | 585 | 524 |
| Element Solutions, Inc. 3.88%, 9/1/2028 (c) | 2,883 | 2,577 |
| Embarq Corp. 8.00%, 6/1/2036 | 5,823 | 5,241 |
| Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) (c) | 4,324 | 3,670 |
| Enact Holdings, Inc. 6.50%, 8/15/2025 (c) | 1,620 | 1,612 |
| Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (c) | 5,594 | 5,608 |
| Encompass Health Corp. | | |
| 5.75%, 9/15/2025 | 4,690 | 4,772 |
| 4.50%, 2/1/2028 | 5,822 | 5,383 |
| 4.75%, 2/1/2030 | 2,675 | 2,418 |
| 4.63%, 4/1/2031 | 3,400 | 3,001 |
| Endeavor Energy Resources LP 6.63%, 7/15/2025 (c) | 1,197 | 1,230 |
| Endo Dac | | |
| 5.88%, 10/15/2024 (c) | 1,925 | 1,776 |
| 9.50%, 7/31/2027 (a) (c) | 4,357 | 3,438 |
| 6.00%, 6/30/2028 (a) (c) | 2,563 | 1,102 |
| Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029 (c) | 2,305 | 2,005 |
| Energizer Holdings, Inc. | | |
| 6.50%, 12/31/2027 (c) | 1,978 | 1,899 |
| 4.75%, 6/15/2028 (c) | 3,222 | 2,833 |
| 4.38%, 3/31/2029 (c) | 4,611 | 3,840 |
| Energy Transfer LP | | |
| Series A, (ICE LIBOR USD 3 Month + 4.03%), 6.25%, 2/15/2023 (d) (e) (f) | 1,328 | 1,129 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 4.20%, 4/15/2027 | 115 | 113 |
| Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (d) (e) (f) | 8,894 | 7,693 |
| Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (d) (e) (f) | 4,455 | 4,204 |
| EnerSys 4.38%, 12/15/2027 (c) | 200 | 186 |
| EnLink Midstream LLC 5.38%, 6/1/2029 (a) | 803 | 782 |
| EnLink Midstream Partners LP | | |
| Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (d) (e) (f) | 210 | 155 |
| 4.40%, 4/1/2024 | 4,495 | 4,438 |
| 4.15%, 6/1/2025 | 1,600 | 1,556 |
| 4.85%, 7/15/2026 | 2,940 | 2,859 |
| 5.60%, 4/1/2044 | 522 | 431 |
| Enova International, Inc. | | |
| 8.50%, 9/1/2024 (c) | 135 | 135 |
| 8.50%, 9/15/2025 (c) | 500 | 498 |
| EnPro Industries, Inc. 5.75%, 10/15/2026 | 162 | 162 |
| Entegris Escrow Corp. 4.75%, 4/15/2029 (c) | 3,813 | 3,675 |
| Entegris, Inc. | | |
| 4.38%, 4/15/2028 (c) | 2,891 | 2,681 |
| 3.63%, 5/1/2029 (a) (c) | 2,434 | 2,141 |
| Entergy Corp. 4.00%, 7/15/2022 | 98 | 98 |
| Entergy Texas, Inc. 1.75%, 3/15/2031 | 200 | 165 |
| Enterprise Products Operating LLC Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (f) | 4,380 | 4,002 |
| Envision Healthcare Corp. 8.75%, 10/15/2026 (c) | 7,419 | 3,090 |
| Enviva Partners LP 6.50%, 1/15/2026 (c) | 764 | 778 |
| EOG Resources, Inc. 5.10%, 1/15/2036 | 180 | 183 |
| EQM Midstream Partners LP | | |
| 6.00%, 7/1/2025 (c) | 2,170 | 2,151 |
| 6.50%, 7/1/2027 (c) | 2,550 | 2,576 |
| 4.50%, 1/15/2029 (c) | 4,301 | 3,872 |
| 4.75%, 1/15/2031 (c) | 5,576 | 4,972 |
| EQT Corp. | | |
| 6.63%, 2/1/2025 (h) | 895 | 932 |
| 3.13%, 5/15/2026 (c) | 1,789 | 1,687 |
| 5.00%, 1/15/2029 | 1,855 | 1,849 |
| 7.50%, 2/1/2030 (h) | 1,165 | 1,290 |
| 3.63%, 5/15/2031 (c) | 1,382 | 1,251 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Equitable Holdings, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), 4.95%, 9/15/2025 (d) (e) (f) | 786 | 784 |
| ESC Co., Intelsat Jackson Holdings, Ltd. | | |
| 5.50%, 8/1/2023 ‡ (i) | 10,554 | 1 |
| 8.50%, 10/15/2024 ‡ (i) | 16,148 | 2 |
| 9.75%, 7/15/2025 ‡ (i) | 1,585 | — |
| ESC GCBREGS EXIDE TECH | | |
| 7.13%, 8/1/2026 (i) | 5,505 | ��� 303 |
| 6.00%, 1/15/2028 (i) | 5,450 | 300 |
| Escrow Texas Competit | | |
| 8.50%, 12/1/2021 ‡ (i) | 12,478 | 12 |
| 8.50%, 10/1/2022 ‡ (i) | 16,772 | 25 |
| Evergy, Inc. 2.90%, 9/15/2029 | 152 | 139 |
| Exela Intermediate LLC 11.50%, 7/15/2026 (c) | 3,525 | 1,287 |
| Exxon Mobil Corp. 4.23%, 3/19/2040 | 219 | 214 |
| Ferrellgas LP | | |
| 5.38%, 4/1/2026 (c) | 449 | 406 |
| 5.88%, 4/1/2029 (c) | 1,000 | 873 |
| Fertitta Entertainment LLC 4.63%, 1/15/2029 (c) | 1,159 | 1,051 |
| Fidelity National Information Services, Inc. 2.25%, 3/1/2031 | 200 | 168 |
| Fiserv, Inc. 3.50%, 7/1/2029 | 193 | 180 |
| Fluor Corp. 3.50%, 12/15/2024 (a) | 161 | 158 |
| Foot Locker, Inc. 4.00%, 10/1/2029 (c) | 407 | 339 |
| Ford Motor Credit Co. LLC | | |
| 4.06%, 11/1/2024 | 5,620 | 5,497 |
| 4.69%, 6/9/2025 | 7,630 | 7,481 |
| 5.13%, 6/16/2025 | 6,000 | 5,985 |
| 4.13%, 8/4/2025 | 4,442 | 4,264 |
| 3.38%, 11/13/2025 | 6,405 | 6,150 |
| 4.39%, 1/8/2026 | 6,475 | 6,248 |
| 4.54%, 8/1/2026 | 2,252 | 2,153 |
| 2.70%, 8/10/2026 | 1,714 | 1,528 |
| 4.27%, 1/9/2027 | 9,413 | 8,872 |
| 4.13%, 8/17/2027 | 5,525 | 5,122 |
| 3.82%, 11/2/2027 | 1,935 | 1,761 |
| 4.00%, 11/13/2030 | 5,909 | 5,111 |
| Foundation Building Materials, Inc. 6.00%, 3/1/2029 (c) | 407 | 331 |
| Freeport-McMoRan, Inc. | | |
| 5.00%, 9/1/2027 | 1,000 | 1,012 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 4.13%, 3/1/2028 | 5,265 | 5,091 |
| 4.38%, 8/1/2028 | 3,530 | 3,418 |
| 5.45%, 3/15/2043 | 120 | 120 |
| Frontier Communications Holdings LLC | | |
| 5.88%, 10/15/2027 (c) | 3,844 | 3,681 |
| 5.00%, 5/1/2028 (c) | 11,290 | 10,303 |
| 6.75%, 5/1/2029 (c) | 2,468 | 2,224 |
| 5.88%, 11/1/2029 | 1,149 | 997 |
| 6.00%, 1/15/2030 (a) (c) | 1,380 | 1,201 |
| Gannett Holdings LLC 6.00%, 11/1/2026 (a) (c) | 1,624 | 1,478 |
| Gap, Inc. (The) | | |
| 3.63%, 10/1/2029 (c) | 1,220 | 992 |
| 3.88%, 10/1/2031 (c) | 975 | 777 |
| Gartner, Inc. | | |
| 4.50%, 7/1/2028 (c) | 3,884 | 3,722 |
| 3.63%, 6/15/2029 (c) | 1,937 | 1,734 |
| 3.75%, 10/1/2030 (c) | 869 | 775 |
| Gates Global LLC 6.25%, 1/15/2026 (c) | 2,064 | 2,012 |
| GCI LLC 4.75%, 10/15/2028 (c) | 7,965 | 7,388 |
| GCP Applied Technologies, Inc. 5.50%, 4/15/2026 (c) | 6,986 | 7,047 |
| General Electric Co. Series D, (ICE LIBOR USD 3 Month + 3.33%), 4.16%, 6/15/2022 (d) (e) (f) | 38,293 | 36,182 |
| General Motors Financial Co., Inc. 4.30%, 4/6/2029 | 70 | 67 |
| Genesis Energy LP | | |
| 6.50%, 10/1/2025 | 180 | 171 |
| 6.25%, 5/15/2026 | 1,933 | 1,803 |
| 8.00%, 1/15/2027 | 1,353 | 1,327 |
| 7.75%, 2/1/2028 | 3,721 | 3,581 |
| Genting New York LLC 3.30%, 2/15/2026 (c) | 535 | 489 |
| GEO Group, Inc. (The) | | |
| 5.88%, 10/15/2024 | 2,215 | 1,971 |
| 6.00%, 4/15/2026 | 899 | 725 |
| Gilead Sciences, Inc. | | |
| 3.25%, 9/1/2022 (a) | 91 | 91 |
| 1.65%, 10/1/2030 | 491 | 407 |
| Glatfelter Corp. 4.75%, 11/15/2029 (c) | 2,320 | 1,856 |
| Global Infrastructure Solutions, Inc. | | |
| 5.63%, 6/1/2029 (c) | 3,370 | 3,071 |
| 7.50%, 4/15/2032 (c) | 2,580 | 2,403 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 75 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Global Medical Response, Inc. 6.50%, 10/1/2025 (c) | 2,285 | 2,214 |
| Global Payments, Inc. | | |
| 3.20%, 8/15/2029 | 195 | 177 |
| 2.90%, 11/15/2031 | 55 | 47 |
| GLP Capital LP, REIT 5.25%, 6/1/2025 | 618 | 629 |
| Go Daddy Operating Co. LLC | | |
| 5.25%, 12/1/2027 (c) | 1,581 | 1,564 |
| 3.50%, 3/1/2029 (c) | 1,500 | 1,331 |
| Golden Entertainment, Inc. 7.63%, 4/15/2026 (c) | 394 | 403 |
| Goldman Sachs Capital II (ICE LIBOR USD 3 Month + 0.77%), 4.00%, 5/31/2022 (d) (e) (f) | 2,351 | 1,809 |
| Goldman Sachs Group, Inc. (The) | | |
| (ICE LIBOR USD 3 Month + 0.75%), 1.21%, 2/23/2023 (f) | 100 | 100 |
| Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 4.40%, 2/10/2025 (d) (e) (f) | 1,733 | 1,620 |
| Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (f) | 931 | 896 |
| Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (e) (f) | 6,520 | 5,737 |
| Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (d) (e) (f) | 5,383 | 4,670 |
| Series V, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.95%), 4.12%, 11/10/2026 (d) (e) (f) | 2,770 | 2,484 |
| Series O, (ICE LIBOR USD 3 Month + 3.83%), 5.30%, 11/10/2026 (d) (e) (f) | 2,755 | 2,719 |
| (SOFR + 0.82%), 1.54%, 9/10/2027 (f) | 298 | 263 |
| (SOFR + 0.91%), 1.95%, 10/21/2027 (f) | 85 | 76 |
| (SOFR + 1.11%), 2.64%, 2/24/2028 (f) | 70 | 64 |
| (SOFR + 1.26%), 2.65%, 10/21/2032 (f) | 75 | 63 |
| Goodyear Tire & Rubber Co. (The) | | |
| 5.00%, 5/31/2026 (a) | 4,195 | 4,043 |
| 5.00%, 7/15/2029 | 2,982 | 2,659 |
| 5.25%, 4/30/2031 (a) | 2,965 | 2,578 |
| 5.25%, 7/15/2031 | 999 | 862 |
| GrafTech Finance, Inc. 4.63%, 12/15/2028 (c) | 2,127 | 1,941 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Graham Holdings Co. 5.75%, 6/1/2026 (c) | 450 | 453 |
| Graham Packaging Co., Inc. 7.13%, 8/15/2028 (c) | 676 | 610 |
| Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) (c) | 3,066 | 2,643 |
| Gray Television, Inc. | | |
| 5.88%, 7/15/2026 (c) | 2,102 | 2,115 |
| 7.00%, 5/15/2027 (c) | 6,085 | 6,290 |
| 4.75%, 10/15/2030 (a) (c) | 2,335 | 2,031 |
| Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (c) | 331 | 309 |
| Griffon Corp. 5.75%, 3/1/2028 | 3,475 | 3,101 |
| Gulfport Energy Corp. | | |
| 8.00%, 5/17/2026 (a) | 703 | 723 |
| 8.00%, 5/17/2026 (c) | 3,215 | 3,307 |
| Gulfport Energy Operating Corp. | | |
| 6.63%, 5/1/2023 ‡ (i) | 745 | — |
| 6.00%, 10/15/2024 ‡ (i) | 4,620 | — |
| 6.38%, 5/15/2025 ‡ (i) | 1,458 | — |
| 6.38%, 1/15/2026 ‡ (i) | 4,130 | — |
| GYP Holdings III Corp. 4.63%, 5/1/2029 (c) | 356 | 316 |
| H&E Equipment Services, Inc. 3.88%, 12/15/2028 (c) | 1,000 | 871 |
| Hanesbrands, Inc. 4.88%, 5/15/2026 (c) | 2,359 | 2,306 |
| Harsco Corp. 5.75%, 7/31/2027 (c) | 757 | 681 |
| HAT Holdings I LLC | | |
| 6.00%, 4/15/2025 (a) (c) | 788 | 800 |
| 3.38%, 6/15/2026 (c) | 1,000 | 919 |
| HCA, Inc. | | |
| 5.38%, 2/1/2025 | 31,659 | 32,569 |
| 5.88%, 2/15/2026 | 24,150 | 25,007 |
| 5.38%, 9/1/2026 | 7,986 | 8,174 |
| 5.63%, 9/1/2028 | 10,285 | 10,629 |
| 3.50%, 9/1/2030 | 7,926 | 7,100 |
| 2.38%, 7/15/2031 | 329 | 271 |
| HealthEquity, Inc. 4.50%, 10/1/2029 (c) | 1,316 | 1,202 |
| Hecla Mining Co. 7.25%, 2/15/2028 (a) | 484 | 489 |
| Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (c) | 970 | 954 |
| Herc Holdings, Inc. 5.50%, 7/15/2027 (a) (c) | 10,623 | 10,407 |
| Hertz Corp. (The) | | |
| 6.25%, 10/15/2022 (i) | 1,106 | 6 |
| 5.50%, 10/15/2024 (i) | 11,828 | 59 |
| 4.63%, 12/1/2026 (c) | 4,630 | 4,220 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| 5.00%, 12/1/2029 (c) | 2,195 | 1,921 |
| Hess Midstream Operations LP | | |
| 5.63%, 2/15/2026 (c) | 4,115 | 4,115 |
| 4.25%, 2/15/2030 (c) | 2,718 | 2,493 |
| H-Food Holdings LLC 8.50%, 6/1/2026 (c) | 450 | 422 |
| Hilcorp Energy I LP | | |
| 6.25%, 11/1/2028 (c) | 640 | 637 |
| 6.00%, 4/15/2030 (c) | 1,506 | 1,495 |
| 6.25%, 4/15/2032 (c) | 1,255 | 1,223 |
| Hilton Domestic Operating Co., Inc. | | |
| 5.38%, 5/1/2025 (c) | 584 | 596 |
| 5.75%, 5/1/2028 (c) | 1,536 | 1,558 |
| 3.75%, 5/1/2029 (c) | 2,650 | 2,401 |
| 4.88%, 1/15/2030 | 1,923 | 1,855 |
| 4.00%, 5/1/2031 (c) | 1,990 | 1,780 |
| 3.63%, 2/15/2032 (c) | 856 | 725 |
| Hilton Grand Vacations Borrower Escrow LLC | | |
| 5.00%, 6/1/2029 (c) | 696 | 628 |
| 4.88%, 7/1/2031 (c) | 1,000 | 873 |
| Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 4,204 | 4,162 |
| HLF Financing SARL LLC 4.88%, 6/1/2029 (c) | 1,000 | 805 |
| Holly Energy Partners LP | | |
| 6.38%, 4/15/2027 (c) | 1,720 | 1,754 |
| 5.00%, 2/1/2028 (c) | 2,795 | 2,659 |
| Hologic, Inc. | | |
| 4.63%, 2/1/2028 (c) | 1,638 | 1,602 |
| 3.25%, 2/15/2029 (c) | 5,498 | 4,898 |
| Home Point Capital, Inc. 5.00%, 2/1/2026 (c) | 500 | 395 |
| Horizon Therapeutics USA, Inc. 5.50%, 8/1/2027 (c) | 612 | 612 |
| Howard Hughes Corp. (The) 4.38%, 2/1/2031 (c) | 368 | 327 |
| Howmet Aerospace, Inc. | | |
| 5.13%, 10/1/2024 | 3,601 | 3,664 |
| 5.90%, 2/1/2027 | 4,185 | 4,295 |
| 6.75%, 1/15/2028 | 145 | 154 |
| Hughes Satellite Systems Corp. | | |
| 5.25%, 8/1/2026 | 1,126 | 1,095 |
| 6.63%, 8/1/2026 (a) | 4,459 | 4,437 |
| Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023 (d) (e) (f) | 3,742 | 3,526 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Hyundai Capital America | | |
| 0.80%, 4/3/2023 (c) | 80 | 78 |
| 1.65%, 9/17/2026 (c) | 165 | 147 |
| 2.10%, 9/15/2028 (c) | 83 | 71 |
| IAA, Inc. 5.50%, 6/15/2027 (c) | 450 | 440 |
| Icahn Enterprises LP | | |
| 6.25%, 5/15/2026 | 1,427 | 1,415 |
| 5.25%, 5/15/2027 | 1,000 | 934 |
| 4.38%, 2/1/2029 | 2,383 | 2,056 |
| IEA Energy Services LLC 6.63%, 8/15/2029 (c) | 305 | 279 |
| iHeartCommunications, Inc. | | |
| 6.38%, 5/1/2026 | 2,920 | 2,928 |
| 8.38%, 5/1/2027 | 6,548 | 6,482 |
| 5.25%, 8/15/2027 (c) | 5,555 | 5,194 |
| II-VI, Inc. 5.00%, 12/15/2029 (c) | 2,599 | 2,437 |
| ILFC E-Capital Trust I 4.05%, 12/21/2065 (a) (c) (j) | 7,148 | 5,575 |
| ILFC E-Capital Trust II 4.30%, 12/21/2065 (c) (j) | 2,205 | 1,764 |
| Imola Merger Corp. 4.75%, 5/15/2029 (c) | 11,541 | 10,733 |
| Ingles Markets, Inc. 4.00%, 6/15/2031 (a) (c) | 356 | 320 |
| Installed Building Products, Inc. 5.75%, 2/1/2028 (c) | 306 | 290 |
| Intel Corp. 2.00%, 8/12/2031 (a) | 64 | 54 |
| International Game Technology plc | | |
| 6.50%, 2/15/2025 (c) | 9,488 | 9,654 |
| 6.25%, 1/15/2027 (c) | 4,104 | 4,167 |
| 5.25%, 1/15/2029 (c) | 442 | 419 |
| IQVIA, Inc. | | |
| 5.00%, 10/15/2026 (c) | 7,463 | 7,426 |
| 5.00%, 5/15/2027 (c) | 2,790 | 2,764 |
| IRB Holding Corp. 7.00%, 6/15/2025 (c) | 1,040 | 1,070 |
| Iron Mountain, Inc. | | |
| 4.88%, 9/15/2027 (c) | 4,756 | 4,542 |
| 5.25%, 3/15/2028 (c) | 2,013 | 1,917 |
| 4.50%, 2/15/2031 (c) | 2,140 | 1,834 |
| ITC Holdings Corp. 2.95%, 5/14/2030 (c) | 155 | 140 |
| ITT Holdings LLC 6.50%, 8/1/2029 (c) | 474 | 419 |
| James Hardie International Finance DAC 5.00%, 1/15/2028 (c) | 450 | 434 |
| Jazz Securities DAC 4.38%, 1/15/2029 (c) | 4,875 | 4,491 |
| JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (c) | 1,631 | 1,634 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 77 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| JBS USA LUX SA 6.75%, 2/15/2028 (c) | 1,722 | 1,778 |
| JELD-WEN, Inc. | | |
| 6.25%, 5/15/2025 (c) | 1,197 | 1,222 |
| 4.63%, 12/15/2025 (c) | 2,505 | 2,361 |
| 4.88%, 12/15/2027 (c) | 1,760 | 1,596 |
| Joseph T Ryerson & Son, Inc. 8.50%, 8/1/2028 (c) | 100 | 108 |
| Kaiser Aluminum Corp. | | |
| 4.63%, 3/1/2028 (c) | 1,500 | 1,376 |
| 4.50%, 6/1/2031 (a) (c) | 2,065 | 1,781 |
| Kansas City Southern 3.50%, 5/1/2050 | 35 | 28 |
| Kennedy-Wilson, Inc. | | |
| 4.75%, 3/1/2029 | 1,545 | 1,425 |
| 5.00%, 3/1/2031 | 3,674 | 3,316 |
| Keurig Dr Pepper, Inc. | | |
| 3.20%, 5/1/2030 | 253 | 231 |
| 4.50%, 4/15/2052 | 35 | 33 |
| KFC Holding Co. 4.75%, 6/1/2027 (c) | 1,000 | 998 |
| Kimco Realty Corp., REIT 2.25%, 12/1/2031 | 46 | 39 |
| Kinder Morgan Energy Partners LP 4.70%, 11/1/2042 | 80 | 72 |
| Kontoor Brands, Inc. 4.13%, 11/15/2029 (c) | 410 | 356 |
| Korn Ferry 4.63%, 12/15/2027 (c) | 450 | 426 |
| Kraft Heinz Foods Co. 3.75%, 4/1/2030 (a) | 155 | 147 |
| Kroger Co. (The) 1.70%, 1/15/2031 (a) | 176 | 144 |
| L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 185 | 152 |
| LABL, Inc. | | |
| 6.75%, 7/15/2026 (c) | 8,760 | 8,429 |
| 10.50%, 7/15/2027 (c) | 2,020 | 1,949 |
| Lamar Media Corp. | | |
| 3.75%, 2/15/2028 | 1,215 | 1,112 |
| 4.00%, 2/15/2030 | 630 | 565 |
| 3.63%, 1/15/2031 | 361 | 314 |
| Lamb Weston Holdings, Inc. | | |
| 4.88%, 5/15/2028 (a) (c) | 1,115 | 1,084 |
| 4.13%, 1/31/2030 (c) | 8,032 | 7,168 |
| 4.38%, 1/31/2032 (c) | 1,728 | 1,544 |
| Laredo Petroleum, Inc. 9.50%, 1/15/2025 | 2,212 | 2,267 |
| LD Holdings Group LLC 6.50%, 11/1/2025 (c) | 1,101 | 912 |
| Lear Corp. 2.60%, 1/15/2032 | 25 | 21 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Level 3 Financing, Inc. | | |
| 5.38%, 5/1/2025 | 10,443 | 10,352 |
| 5.25%, 3/15/2026 | 1,599 | 1,555 |
| 4.63%, 9/15/2027 (c) | 4,657 | 4,185 |
| 3.63%, 1/15/2029 (c) | 1,404 | 1,139 |
| Levi Strauss & Co. 3.50%, 3/1/2031 (a) (c) | 509 | 440 |
| LGI Homes, Inc. 4.00%, 7/15/2029 (c) | 305 | 252 |
| Liberty Interactive LLC 8.25%, 2/1/2030 (a) | 2,370 | 2,093 |
| Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (c) | 2,113 | 1,873 |
| Lithia Motors, Inc. 4.38%, 1/15/2031 (c) | 1,668 | 1,530 |
| Live Nation Entertainment, Inc. | | |
| 4.88%, 11/1/2024 (c) | 2,560 | 2,528 |
| 5.63%, 3/15/2026 (c) | 5,302 | 5,236 |
| 6.50%, 5/15/2027 (c) | 6,460 | 6,701 |
| 4.75%, 10/15/2027 (a) (c) | 6,631 | 6,230 |
| 3.75%, 1/15/2028 (c) | 903 | 817 |
| Louisiana-Pacific Corp. 3.63%, 3/15/2029 (c) | 520 | 447 |
| Lowe's Cos., Inc. | | |
| 1.70%, 9/15/2028 | 75 | 66 |
| 2.63%, 4/1/2031 | 166 | 146 |
| 3.70%, 4/15/2046 (a) | 122 | 102 |
| LPL Holdings, Inc. | | |
| 4.63%, 11/15/2027 (c) | 1,900 | 1,803 |
| 4.00%, 3/15/2029 (c) | 1,681 | 1,530 |
| Lumen Technologies, Inc. | | |
| Series Y, 7.50%, 4/1/2024 | 6,646 | 6,825 |
| 5.63%, 4/1/2025 | 3,267 | 3,185 |
| 5.13%, 12/15/2026 (a) (c) | 12,528 | 11,275 |
| 4.00%, 2/15/2027 (a) (c) | 6,160 | 5,478 |
| Series G, 6.88%, 1/15/2028 | 799 | 761 |
| 4.50%, 1/15/2029 (c) | 1,780 | 1,406 |
| 5.38%, 6/15/2029 (c) | 5,016 | 4,085 |
| Series P, 7.60%, 9/15/2039 | 100 | 87 |
| Series U, 7.65%, 3/15/2042 (a) | 772 | 691 |
| Macy's Retail Holdings LLC | | |
| 5.88%, 4/1/2029 (c) | 157 | 149 |
| 5.88%, 3/15/2030 (a) (c) | 771 | 723 |
| 5.13%, 1/15/2042 (a) | 2,150 | 1,596 |
| 4.30%, 2/15/2043 | 819 | 563 |
| Madison IAQ LLC | | |
| 4.13%, 6/30/2028 (c) | 750 | 658 |
| 5.88%, 6/30/2029 (c) | 4,290 | 3,496 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Magallanes, Inc. | | |
| 3.76%, 3/15/2027 (c) | 60 | 58 |
| 4.28%, 3/15/2032 (c) | 135 | 125 |
| Magnolia Oil & Gas Operating LLC 6.00%, 8/1/2026 (c) | 500 | 500 |
| Mallinckrodt International Finance SA | | |
| 5.63%, 10/15/2023 (c) (i) | 2,615 | 1,373 |
| 5.50%, 4/15/2025 (c) (i) | 5,555 | 2,889 |
| Marriott Ownership Resorts, Inc. | | |
| 6.13%, 9/15/2025 (c) | 973 | 996 |
| 4.75%, 1/15/2028 | 36 | 33 |
| 4.50%, 6/15/2029 (c) | 656 | 577 |
| Masonite International Corp. | | |
| 5.38%, 2/1/2028 (c) | 1,582 | 1,515 |
| 3.50%, 2/15/2030 (c) | 935 | 788 |
| MasTec, Inc. 4.50%, 8/15/2028 (a) (c) | 5,891 | 5,648 |
| Matador Resources Co. 5.88%, 9/15/2026 | 3,555 | 3,490 |
| Match Group Holdings II LLC | | |
| 5.00%, 12/15/2027 (c) | 545 | 531 |
| 4.63%, 6/1/2028 (c) | 200 | 186 |
| 4.13%, 8/1/2030 (c) | 1,397 | 1,249 |
| Mattel, Inc. | | |
| 3.15%, 3/15/2023 | 1,000 | 995 |
| 3.38%, 4/1/2026 (c) | 1,297 | 1,261 |
| 5.88%, 12/15/2027 (c) | 1,034 | 1,058 |
| 3.75%, 4/1/2029 (c) | 1,624 | 1,547 |
| Mauser Packaging Solutions Holding Co. | | |
| 5.50%, 4/15/2024 (c) | 7,447 | 7,270 |
| 7.25%, 4/15/2025 (c) | 2,610 | 2,473 |
| McDonald's Corp. 3.70%, 2/15/2042 | 137 | 120 |
| McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (c) | 4,120 | 3,677 |
| MDC Holdings, Inc. 2.50%, 1/15/2031 | 190 | 153 |
| Mellon Capital IV Series 1, (ICE LIBOR USD 3 Month + 0.57%), 4.00%, 5/31/2022 (d) (e) (f) | 2,027 | 1,707 |
| Meritage Homes Corp. 3.88%, 4/15/2029 (c) | 1,226 | 1,097 |
| Meritor, Inc. 6.25%, 6/1/2025 (a) (c) | 571 | 591 |
| MetLife Capital Trust IV 7.88%, 12/15/2037 (c) | 7,703 | 8,743 |
| MetLife, Inc. | | |
| Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 3.85%, 9/15/2025 (d) (e) (f) | 11,895 | 11,328 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (d) (e) (f) | 4,741 | 4,688 |
| 6.40%, 12/15/2036 | 14,937 | 15,493 |
| 9.25%, 4/8/2038 (c) | 3,109 | 3,842 |
| MGM Resorts International | | |
| 6.00%, 3/15/2023 | 6,330 | 6,401 |
| 6.75%, 5/1/2025 | 1,495 | 1,530 |
| 5.75%, 6/15/2025 | 6,942 | 6,897 |
| 4.63%, 9/1/2026 | 2,640 | 2,486 |
| 5.50%, 4/15/2027 | 1,468 | 1,430 |
| Microchip Technology, Inc. 4.25%, 9/1/2025 (a) | 1,091 | 1,082 |
| Midcontinent Communications 5.38%, 8/15/2027 (c) | 2,488 | 2,432 |
| Midwest Gaming Borrower LLC 4.88%, 5/1/2029 (c) | 764 | 670 |
| Mileage Plus Holdings LLC 6.50%, 6/20/2027 (c) | 4,455 | 4,544 |
| Minerals Technologies, Inc. 5.00%, 7/1/2028 (c) | 450 | 420 |
| Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 (a) | 128 | 115 |
| MIWD Holdco II LLC 5.50%, 2/1/2030 (c) | 1,208 | 1,045 |
| Mohegan Gaming & Entertainment 8.00%, 2/1/2026 (c) | 1,717 | 1,524 |
| Molina Healthcare, Inc. | | |
| 4.38%, 6/15/2028 (c) | 2,202 | 2,058 |
| 3.88%, 11/15/2030 (c) | 3,655 | 3,297 |
| Mondelez International, Inc. 1.50%, 2/4/2031 | 174 | 141 |
| Moog, Inc. 4.25%, 12/15/2027 (c) | 450 | 419 |
| Morgan Stanley | | |
| Series N, (ICE LIBOR USD 3 Month + 3.16%), 5.30%, 12/15/2025 (d) (e) (f) | 914 | 879 |
| Series M, (ICE LIBOR USD 3 Month + 4.44%), 5.87%, 9/15/2026 (d) (e) (f) | 1,997 | 2,035 |
| (SOFR + 0.86%), 1.51%, 7/20/2027 (f) | 182 | 162 |
| (SOFR + 1.61%), 4.21%, 4/20/2028 (f) | 90 | 89 |
| (SOFR + 1.02%), 1.93%, 4/28/2032 (f) | 80 | 64 |
| (SOFR + 1.20%), 2.51%, 10/20/2032 (f) | 30 | 25 |
| (SOFR + 1.49%), 3.22%, 4/22/2042 (f) | 25 | 21 |
| Moss Creek Resources Holdings, Inc. | | |
| 7.50%, 1/15/2026 (c) | 2,234 | 2,049 |
| 10.50%, 5/15/2027 (c) | 168 | 164 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 79 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Mozart Debt Merger Sub, Inc. | | |
| 3.88%, 4/1/2029 (c) | 6,809 | 5,949 |
| 5.25%, 10/1/2029 (a) (c) | 5,302 | 4,613 |
| MPH Acquisition Holdings LLC 5.50%, 9/1/2028 (c) | 100 | 93 |
| MPLX LP 4.50%, 4/15/2038 | 141 | 130 |
| MSCI, Inc. | | |
| 4.00%, 11/15/2029 (c) | 2,662 | 2,452 |
| 3.63%, 9/1/2030 (c) | 145 | 128 |
| 3.63%, 11/1/2031 (c) | 389 | 341 |
| Mueller Water Products, Inc. 4.00%, 6/15/2029 (c) | 458 | 410 |
| Murphy Oil Corp. 6.37%, 12/1/2042 (h) | 1,325 | 1,196 |
| Murphy Oil USA, Inc. 3.75%, 2/15/2031 (c) | 2,234 | 1,962 |
| Nabors Industries Ltd. 7.25%, 1/15/2026 (c) | 1,376 | 1,345 |
| Nabors Industries, Inc. 5.75%, 2/1/2025 | 4,145 | 3,962 |
| National CineMedia LLC 5.88%, 4/15/2028 (a) (c) | 1,745 | 1,500 |
| National Rural Utilities Cooperative Finance Corp. (ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (f) | 3,053 | 2,958 |
| Nationstar Mortgage Holdings, Inc. | | |
| 6.00%, 1/15/2027 (c) | 450 | 437 |
| 5.50%, 8/15/2028 (c) | 5,136 | 4,674 |
| 5.13%, 12/15/2030 (c) | 2,280 | 1,983 |
| 5.75%, 11/15/2031 (c) | 4,085 | 3,625 |
| Natural Resource Partners LP 9.13%, 6/30/2025 (c) | 283 | 288 |
| Navient Corp. 5.00%, 3/15/2027 (a) | 1,330 | 1,211 |
| NCR Corp. | | |
| 5.75%, 9/1/2027 (c) | 6,319 | 6,082 |
| 5.00%, 10/1/2028 (c) | 2,390 | 2,282 |
| 5.13%, 4/15/2029 (c) | 4,509 | 4,295 |
| 6.13%, 9/1/2029 (c) | 5,370 | 5,142 |
| NESCO Holdings II, Inc. 5.50%, 4/15/2029 (c) | 1,187 | 1,119 |
| Netflix, Inc. | | |
| 5.88%, 2/15/2025 | 969 | 1,005 |
| 4.88%, 4/15/2028 | 140 | 137 |
| 5.88%, 11/15/2028 | 7,453 | 7,677 |
| 5.38%, 11/15/2029 (c) | 1,238 | 1,239 |
| 4.88%, 6/15/2030 (a) (c) | 1,885 | 1,838 |
| New Albertsons LP | | |
| 7.75%, 6/15/2026 | 1,535 | 1,621 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 6.63%, 6/1/2028 | 613 | 651 |
| 7.45%, 8/1/2029 | 392 | 412 |
| 8.00%, 5/1/2031 | 2,108 | 2,269 |
| Newell Brands, Inc. | | |
| 4.45%, 4/1/2026 (h) | 8,050 | 7,981 |
| 5.63%, 4/1/2036 (h) | 4,455 | 4,258 |
| News Corp. | | |
| 3.88%, 5/15/2029 (c) | 5,359 | 4,846 |
| 5.13%, 2/15/2032 (c) | 2,090 | 1,996 |
| Nexstar Media, Inc. | | |
| 5.63%, 7/15/2027 (c) | 13,007 | 12,658 |
| 4.75%, 11/1/2028 (c) | 4,557 | 4,135 |
| NextEra Energy Capital Holdings, Inc. | | |
| (ICE LIBOR USD 3 Month + 2.07%), 3.03%, 10/1/2066 (f) | 5,650 | 4,803 |
| (ICE LIBOR USD 3 Month + 2.13%), 2.95%, 6/15/2067 (f) | 2,514 | 2,190 |
| (ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079 (f) | 4,282 | 4,210 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (f) | 3,938 | 3,427 |
| NextEra Energy Operating Partners LP | | |
| 4.25%, 7/15/2024 (c) | 1,811 | 1,798 |
| 4.25%, 9/15/2024 (c) | 57 | 56 |
| 4.50%, 9/15/2027 (c) | 986 | 934 |
| NGL Energy Operating LLC 7.50%, 2/1/2026 (c) | 2,272 | 2,140 |
| Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (c) | 914 | 915 |
| Nielsen Finance LLC | | |
| 5.63%, 10/1/2028 (c) | 2,818 | 2,731 |
| 4.75%, 7/15/2031 (c) | 280 | 265 |
| NiSource, Inc. | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (d) (e) (f) | 8,367 | 8,074 |
| 1.70%, 2/15/2031 | 190 | 150 |
| Nissan Motor Acceptance Co. LLC | | |
| 1.85%, 9/16/2026 (c) | 260 | 225 |
| 2.45%, 9/15/2028 (c) | 122 | 104 |
| NMG Holding Co., Inc. 7.13%, 4/1/2026 (c) | 8,290 | 8,230 |
| NMI Holdings, Inc. 7.38%, 6/1/2025 (c) | 411 | 428 |
| Norfolk Southern Corp. 2.30%, 5/15/2031 | 132 | 114 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Northern Oil and Gas, Inc. 8.13%, 3/1/2028 (c) | 764 | 760 |
| NortonLifeLock, Inc. 5.00%, 4/15/2025 (c) | 1,378 | 1,376 |
| Novelis Corp. | | |
| 3.25%, 11/15/2026 (c) | 2,573 | 2,348 |
| 4.75%, 1/30/2030 (c) | 4,705 | 4,327 |
| 3.88%, 8/15/2031 (c) | 1,286 | 1,103 |
| NRG Energy, Inc. | | |
| 6.63%, 1/15/2027 | 2,341 | 2,370 |
| 5.75%, 1/15/2028 | 805 | 787 |
| 3.38%, 2/15/2029 (c) | 1,950 | 1,653 |
| 5.25%, 6/15/2029 (c) | 3,187 | 3,002 |
| 3.63%, 2/15/2031 (c) | 3,605 | 3,001 |
| 3.88%, 2/15/2032 (c) | 3,504 | 2,925 |
| NuStar Logistics LP | | |
| 5.75%, 10/1/2025 | 1,615 | 1,607 |
| 6.00%, 6/1/2026 | 2,167 | 2,162 |
| 5.63%, 4/28/2027 | 3,035 | 2,910 |
| 6.38%, 10/1/2030 | 2,025 | 1,994 |
| Oasis Petroleum, Inc. 6.38%, 6/1/2026 (c) | 2,095 | 2,105 |
| Occidental Petroleum Corp. | | |
| 8.00%, 7/15/2025 | 5,030 | 5,420 |
| 5.88%, 9/1/2025 | 2,940 | 3,020 |
| 5.50%, 12/1/2025 | 2,313 | 2,353 |
| 8.50%, 7/15/2027 | 6,264 | 7,063 |
| 6.38%, 9/1/2028 | 2,425 | 2,546 |
| 8.88%, 7/15/2030 | 6,661 | 8,000 |
| 6.63%, 9/1/2030 | 2,425 | 2,628 |
| 6.13%, 1/1/2031 (a) | 3,981 | 4,184 |
| Oceaneering International, Inc. | | |
| 4.65%, 11/15/2024 | 2,194 | 2,123 |
| 6.00%, 2/1/2028 | 1,175 | 1,093 |
| ON Semiconductor Corp. 3.88%, 9/1/2028 (c) | 3,751 | 3,480 |
| ONE Gas, Inc. (ICE LIBOR USD 3 Month + 0.61%), 1.36%, 3/11/2023 (f) | 38 | 38 |
| OneMain Finance Corp. | | |
| 5.63%, 3/15/2023 | 3,088 | 3,119 |
| 6.88%, 3/15/2025 | 2,110 | 2,121 |
| 7.13%, 3/15/2026 | 502 | 508 |
| 3.50%, 1/15/2027 | 1,267 | 1,113 |
| 6.63%, 1/15/2028 | 4,188 | 4,136 |
| 5.38%, 11/15/2029 | 1,405 | 1,261 |
| 4.00%, 9/15/2030 (a) | 1,550 | 1,269 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Option Care Health, Inc. 4.38%, 10/31/2029 (c) | 513 | 461 |
| Oracle Corp. 3.80%, 11/15/2037 | 279 | 229 |
| Organon & Co. | | |
| 4.13%, 4/30/2028 (c) | 10,125 | 9,419 |
| 5.13%, 4/30/2031 (c) | 5,943 | 5,371 |
| Outfront Media Capital LLC 5.00%, 8/15/2027 (c) | 2,492 | 2,371 |
| Ovintiv, Inc. 8.13%, 9/15/2030 | 250 | 298 |
| Owens & Minor, Inc. | | |
| 4.50%, 3/31/2029 (c) | 4,018 | 3,614 |
| 6.63%, 4/1/2030 (c) | 1,716 | 1,680 |
| Owens-Brockway Glass Container, Inc. | | |
| 6.38%, 8/15/2025 (a) (c) | 1,084 | 1,081 |
| 6.63%, 5/13/2027 (a) (c) | 2,358 | 2,323 |
| Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (c) | 4,802 | 4,190 |
| Papa John's International, Inc. 3.88%, 9/15/2029 (c) | 407 | 356 |
| Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) | 8,148 | 7,434 |
| Paramount Global | | |
| 4.20%, 5/19/2032 | 145 | 134 |
| (ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (f) | 12,291 | 11,863 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (f) | 8,290 | 8,034 |
| Patrick Industries, Inc. 4.75%, 5/1/2029 (c) | 247 | 212 |
| Patterson-UTI Energy, Inc. | | |
| 3.95%, 2/1/2028 | 1,984 | 1,827 |
| 5.15%, 11/15/2029 | 200 | 190 |
| PBF Holding Co. LLC 9.25%, 5/15/2025 (c) | 2,871 | 2,976 |
| PBF Logistics LP 6.88%, 5/15/2023 | 770 | 768 |
| Penske Truck Leasing Co. LP 4.88%, 7/11/2022 (c) | 45 | 45 |
| Performance Food Group, Inc. | | |
| 6.88%, 5/1/2025 (c) | 400 | 410 |
| 5.50%, 10/15/2027 (c) | 4,211 | 4,086 |
| 4.25%, 8/1/2029 (c) | 6,332 | 5,627 |
| PetSmart, Inc. | | |
| 4.75%, 2/15/2028 (c) | 2,606 | 2,424 |
| 7.75%, 2/15/2029 (c) | 2,226 | 2,215 |
| PG&E Corp. | | |
| 5.00%, 7/1/2028 (a) | 6,052 | 5,569 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 81 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| 5.25%, 7/1/2030 | 503 | 457 |
| PGT Innovations, Inc. 4.38%, 10/1/2029 (c) | 2,099 | 1,842 |
| Philip Morris International, Inc. 3.38%, 8/15/2029 | 195 | 183 |
| Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) (c) | 10,815 | 10,004 |
| Physicians Realty LP | | |
| 3.95%, 1/15/2028 | 60 | 58 |
| 2.63%, 11/1/2031 | 20 | 17 |
| Pike Corp. 5.50%, 9/1/2028 (c) | 2,448 | 2,222 |
| Pilgrim's Pride Corp. 5.88%, 9/30/2027 (c) | 2,410 | 2,428 |
| Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (d) (e) (f) | 3,773 | 3,141 |
| Plantronics, Inc. 4.75%, 3/1/2029 (c) | 2,758 | 2,795 |
| Playtika Holding Corp. 4.25%, 3/15/2029 (c) | 499 | 450 |
| PM General Purchaser LLC 9.50%, 10/1/2028 (c) | 2,098 | 2,025 |
| PNC Financial Services Group, Inc. (The) | | |
| Series O, (ICE LIBOR USD 3 Month + 3.68%), 3.99%, 8/1/2022 (d) (e) (f) | 10,102 | 10,014 |
| Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023 (d) (e) (f) | 8,712 | 8,527 |
| Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (d) (e) (f) | 12,810 | 11,017 |
| Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/1/2026 (d) (e) (f) | 3,591 | 3,447 |
| Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 6.00%, 5/15/2027 (d) (e) (f) | 3,530 | 3,521 |
| Post Holdings, Inc. | | |
| 5.75%, 3/1/2027 (c) | 1,886 | 1,860 |
| 5.63%, 1/15/2028 (a) (c) | 4,711 | 4,454 |
| 5.50%, 12/15/2029 (c) | 7,221 | 6,571 |
| 4.63%, 4/15/2030 (c) | 3,100 | 2,651 |
| PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 3.66%, 3/30/2067 (f) | 12,547 | 10,941 |
| PRA Group, Inc. 5.00%, 10/1/2029 (c) | 689 | 637 |
| Presidio Holdings, Inc. 4.88%, 2/1/2027 (c) | 2,415 | 2,292 |
| Prestige Brands, Inc. | | |
| 5.13%, 1/15/2028 (c) | 900 | 855 |
| 3.75%, 4/1/2031 (c) | 2,119 | 1,796 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Prime Security Services Borrower LLC | | |
| 5.75%, 4/15/2026 (c) | 9,707 | 9,307 |
| 3.38%, 8/31/2027 (c) | 3,986 | 3,402 |
| PROG Holdings, Inc. 6.00%, 11/15/2029 (c) | 616 | 544 |
| Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (d) (e) (f) | 7,704 | 7,357 |
| Prudential Financial, Inc. | | |
| (ICE LIBOR USD 3 Month + 4.18%), 5.87%, 9/15/2042 (f) | 4,231 | 4,220 |
| (ICE LIBOR USD 3 Month + 3.92%), 5.63%, 6/15/2043 (f) | 19,489 | 19,486 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.12%, 3/1/2052 (f) | 3,685 | 3,584 |
| PTC, Inc. | | |
| 3.63%, 2/15/2025 (c) | 434 | 420 |
| 4.00%, 2/15/2028 (c) | 820 | 760 |
| Public Service Co. of Oklahoma Series J, 2.20%, 8/15/2031 | 248 | 209 |
| QVC, Inc. 4.38%, 3/15/2023 | 587 | 587 |
| Qwest Corp. 7.25%, 9/15/2025 | 325 | 353 |
| Rain CII Carbon LLC 7.25%, 4/1/2025 (c) | 4,785 | 4,606 |
| Range Resources Corp. | | |
| 4.88%, 5/15/2025 | 3,485 | 3,450 |
| 8.25%, 1/15/2029 | 2,764 | 2,964 |
| 4.75%, 2/15/2030 (a) (c) | 1,227 | 1,170 |
| Raytheon Technologies Corp. | | |
| 1.90%, 9/1/2031 | 329 | 270 |
| 4.15%, 5/15/2045 | 236 | 220 |
| Realogy Group LLC | | |
| 5.75%, 1/15/2029 (c) | 1,500 | 1,257 |
| 5.25%, 4/15/2030 (c) | 5,768 | 4,673 |
| Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 385 | 313 |
| Renewable Energy Group, Inc. 5.88%, 6/1/2028 (c) | 560 | 593 |
| Rent-A-Center, Inc. 6.38%, 2/15/2029 (a) (c) | 474 | 409 |
| Resolute Forest Products, Inc. 4.88%, 3/1/2026 (a) (c) | 245 | 234 |
| RHP Hotel Properties LP | | |
| 4.75%, 10/15/2027 | 12,200 | 11,376 |
| 4.50%, 2/15/2029 (c) | 2,463 | 2,225 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Rite Aid Corp. | | |
| 7.50%, 7/1/2025 (c) | 5,077 | 4,347 |
| 8.00%, 11/15/2026 (a) (c) | 8,786 | 7,384 |
| Rockcliff Energy II LLC 5.50%, 10/15/2029 (c) | 1,475 | 1,431 |
| Rocket Mortgage LLC | | |
| 2.88%, 10/15/2026 (c) | 2,844 | 2,517 |
| 3.63%, 3/1/2029 (c) | 3,148 | 2,692 |
| 4.00%, 10/15/2033 (c) | 486 | 389 |
| Roper Technologies, Inc. 3.13%, 11/15/2022 | 93 | 93 |
| Royal Caribbean Cruises Ltd. | | |
| 10.88%, 6/1/2023 (c) | 2,590 | 2,710 |
| 9.13%, 6/15/2023 (c) | 447 | 461 |
| 11.50%, 6/1/2025 (c) | 4,466 | 4,855 |
| Royalty Pharma plc 2.15%, 9/2/2031 | 86 | 69 |
| RP Escrow Issuer LLC 5.25%, 12/15/2025 (c) | 1,927 | 1,792 |
| RR Donnelley & Sons Co. 8.25%, 7/1/2027 (a) | 450 | 502 |
| Ryder System, Inc. 2.50%, 9/1/2022 | 100 | 100 |
| S&P Global, Inc. 2.90%, 3/1/2032 (c) | 130 | 117 |
| Sabre GLBL, Inc. | | |
| 9.25%, 4/15/2025 (c) | 1,432 | 1,527 |
| 7.38%, 9/1/2025 (c) | 2,875 | 2,908 |
| Sagicor Financial Co. Ltd. 5.30%, 5/13/2028 (c) | 569 | 555 |
| Sally Holdings LLC 5.63%, 12/1/2025 | 1,047 | 1,051 |
| SBA Communications Corp., REIT 3.13%, 2/1/2029 | 1,050 | 901 |
| Scotts Miracle-Gro Co. (The) | | |
| 5.25%, 12/15/2026 (a) | 2,180 | 2,158 |
| 4.50%, 10/15/2029 (a) | 1,140 | 1,000 |
| 4.00%, 4/1/2031 (a) | 2,754 | 2,265 |
| 4.38%, 2/1/2032 | 3,297 | 2,753 |
| Scripps Escrow II, Inc. | | |
| 3.88%, 1/15/2029 (c) | 1,359 | 1,208 |
| 5.38%, 1/15/2031 (a) (c) | 1,315 | 1,171 |
| Scripps Escrow, Inc. 5.88%, 7/15/2027 (c) | 880 | 840 |
| Sealed Air Corp. 5.13%, 12/1/2024 (c) | 155 | 158 |
| SeaWorld Parks & Entertainment, Inc. 5.25%, 8/15/2029 (c) | 905 | 823 |
| SEG Holding LLC 5.63%, 10/15/2028 (c) | 331 | 323 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Sempra Energy | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (d) (e) (f) | 12,275 | 12,091 |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052 (f) | 8,262 | 7,261 |
| Sensata Technologies BV | | |
| 4.88%, 10/15/2023 (c) | 4,531 | 4,543 |
| 5.63%, 11/1/2024 (c) | 731 | 739 |
| 5.00%, 10/1/2025 (c) | 172 | 171 |
| 4.00%, 4/15/2029 (c) | 5,290 | 4,716 |
| Sensata Technologies, Inc. 3.75%, 2/15/2031 (c) | 878 | 742 |
| Service Corp. International | | |
| 7.50%, 4/1/2027 | 2,735 | 2,974 |
| 4.63%, 12/15/2027 | 825 | 800 |
| 5.13%, 6/1/2029 | 3,005 | 2,964 |
| 3.38%, 8/15/2030 | 1,412 | 1,214 |
| 4.00%, 5/15/2031 | 2,700 | 2,430 |
| Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 300 | 289 |
| Silgan Holdings, Inc. 4.13%, 2/1/2028 | 928 | 865 |
| Sinclair Television Group, Inc. | | |
| 5.13%, 2/15/2027 (a) (c) | 2,890 | 2,532 |
| 5.50%, 3/1/2030 (c) | 2,164 | 1,769 |
| 4.13%, 12/1/2030 (c) | 2,735 | 2,269 |
| Sirius XM Radio, Inc. | | |
| 3.13%, 9/1/2026 (c) | 744 | 685 |
| 5.00%, 8/1/2027 (c) | 23,245 | 22,431 |
| 4.00%, 7/15/2028 (c) | 4,395 | 3,972 |
| 5.50%, 7/1/2029 (c) | 4,617 | 4,440 |
| 4.13%, 7/1/2030 (c) | 680 | 597 |
| Six Flags Entertainment Corp. | | |
| 4.88%, 7/31/2024 (c) | 9,141 | 9,104 |
| 5.50%, 4/15/2027 (a) (c) | 2,114 | 2,072 |
| Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (c) | 1,390 | 1,444 |
| SM Energy Co. | | |
| 5.63%, 6/1/2025 | 3,980 | 3,890 |
| 6.75%, 9/15/2026 | 968 | 963 |
| 6.50%, 7/15/2028 (a) | 1,006 | 992 |
| Sonic Automotive, Inc. 4.63%, 11/15/2029 (c) | 2,821 | 2,427 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 83 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Southern California Edison Co. Series E, (ICE LIBOR USD 3 Month + 4.20%), 4.52%, 5/31/2022 (d) (e) (f) | 2,040 | 2,009 |
| Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 60 | 48 |
| Southwestern Energy Co. | | |
| 7.75%, 10/1/2027 | 1,705 | 1,779 |
| 5.38%, 3/15/2030 | 4,399 | 4,343 |
| 4.75%, 2/1/2032 | 928 | 878 |
| Spanish Broadcasting System, Inc. 9.75%, 3/1/2026 (c) | 315 | 308 |
| Spectrum Brands, Inc. | | |
| 5.75%, 7/15/2025 | 91 | 92 |
| 5.00%, 10/1/2029 (c) | 2,486 | 2,312 |
| 5.50%, 7/15/2030 (c) | 5,413 | 5,037 |
| 3.88%, 3/15/2031 (c) | 1,561 | 1,307 |
| Spirit AeroSystems, Inc. | | |
| 5.50%, 1/15/2025 (c) | 1,147 | 1,136 |
| 7.50%, 4/15/2025 (c) | 4,150 | 4,202 |
| Sprint Capital Corp. | | |
| 6.88%, 11/15/2028 | 6,265 | 6,876 |
| 8.75%, 3/15/2032 | 18,554 | 23,579 |
| Sprint Corp. | | |
| 7.88%, 9/15/2023 | 10,601 | 11,131 |
| 7.13%, 6/15/2024 | 6,327 | 6,659 |
| 7.63%, 2/15/2025 | 22,072 | 23,479 |
| 7.63%, 3/1/2026 | 29,453 | 31,991 |
| SRS Distribution, Inc. 4.63%, 7/1/2028 (c) | 5,500 | 5,035 |
| SS&C Technologies, Inc. 5.50%, 9/30/2027 (c) | 10,123 | 9,921 |
| Stagwell Global LLC 5.63%, 8/15/2029 (c) | 3,411 | 3,011 |
| Standard Industries, Inc. | | |
| 5.00%, 2/15/2027 (c) | 1,647 | 1,561 |
| 4.75%, 1/15/2028 (c) | 9,295 | 8,551 |
| 4.38%, 7/15/2030 (c) | 225 | 188 |
| 3.38%, 1/15/2031 (c) | 1,408 | 1,125 |
| Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (f) | 670 | 640 |
| Staples, Inc. | | |
| 7.50%, 4/15/2026 (c) | 15,693 | 14,987 |
| 10.75%, 4/15/2027 (c) | 7,739 | 6,857 |
| State Street Corp. | | |
| Series F, (ICE LIBOR USD 3 Month + 3.60%), 4.42%, 6/15/2022 (d) (e) (f) | 1,960 | 1,950 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series H, (ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (d) (e) (f) | 4,393 | 4,198 |
| (SOFR + 0.73%), 2.20%, 2/7/2028 (f) | 290 | 269 |
| Station Casinos LLC 4.50%, 2/15/2028 (c) | 6,494 | 5,894 |
| Stericycle, Inc. 3.88%, 1/15/2029 (c) | 1,821 | 1,606 |
| Stevens Holding Co., Inc. 6.13%, 10/1/2026 (c) | 1,940 | 1,945 |
| Summit Materials LLC 5.25%, 1/15/2029 (c) | 952 | 893 |
| Summit Midstream Holdings LLC 8.50%, 10/15/2026 (c) | 2,093 | 1,954 |
| Sunoco LP | | |
| 5.88%, 3/15/2028 | 423 | 417 |
| 4.50%, 5/15/2029 | 2,780 | 2,500 |
| 4.50%, 4/30/2030 (c) | 4,242 | 3,828 |
| SVB Financial Group | | |
| Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (d) (e) (f) | 11,860 | 10,315 |
| Series D, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.07%), 4.25%, 11/15/2026 (d) (e) (f) | 4,135 | 3,579 |
| Switch Ltd. | | |
| 3.75%, 9/15/2028 (c) | 845 | 792 |
| 4.13%, 6/15/2029 (c) | 1,447 | 1,382 |
| Synaptics, Inc. 4.00%, 6/15/2029 (c) | 1,991 | 1,755 |
| Syneos Health, Inc. 3.63%, 1/15/2029 (a) (c) | 911 | 806 |
| Sysco Corp. | | |
| 3.25%, 7/15/2027 | 265 | 255 |
| 2.40%, 2/15/2030 | 186 | 163 |
| Take-Two Interactive Software, Inc. | | |
| 3.70%, 4/14/2027 | 100 | 98 |
| 4.00%, 4/14/2032 | 30 | 29 |
| Tallgrass Energy Partners LP | | |
| 7.50%, 10/1/2025 (c) | 7,631 | 7,788 |
| 6.00%, 3/1/2027 (c) | 1,000 | 960 |
| 5.50%, 1/15/2028 (c) | 710 | 662 |
| 6.00%, 12/31/2030 (c) | 2,053 | 1,899 |
| 6.00%, 9/1/2031 (c) | 4,277 | 3,903 |
| Targa Resources Partners LP | | |
| 6.50%, 7/15/2027 | 3,538 | 3,645 |
| 5.00%, 1/15/2028 | 1,745 | 1,716 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| 6.88%, 1/15/2029 | 1,906 | 2,010 |
| 4.88%, 2/1/2031 | 4,010 | 3,855 |
| 4.00%, 1/15/2032 | 3,301 | 2,993 |
| TEGNA, Inc. | | |
| 4.75%, 3/15/2026 (c) | 1,547 | 1,533 |
| 4.63%, 3/15/2028 | 3,389 | 3,261 |
| Teleflex, Inc. 4.63%, 11/15/2027 | 1,031 | 1,010 |
| Tempur Sealy International, Inc. | | |
| 4.00%, 4/15/2029 (c) | 8,623 | 7,470 |
| 3.88%, 10/15/2031 (c) | 1,890 | 1,566 |
| Tenet Healthcare Corp. | | |
| 4.63%, 7/15/2024 | 2,244 | 2,238 |
| 4.63%, 9/1/2024 (c) | 1,018 | 1,009 |
| 4.88%, 1/1/2026 (c) | 22,644 | 22,172 |
| 6.25%, 2/1/2027 (c) | 17,904 | 17,770 |
| 5.13%, 11/1/2027 (c) | 11,231 | 10,905 |
| 4.63%, 6/15/2028 (c) | 450 | 424 |
| 4.25%, 6/1/2029 (c) | 3,354 | 3,030 |
| Tenneco, Inc. | | |
| 5.00%, 7/15/2026 (a) | 4,090 | 3,921 |
| 7.88%, 1/15/2029 (c) | 2,336 | 2,360 |
| 5.13%, 4/15/2029 (c) | 2,780 | 2,710 |
| Terex Corp. 5.00%, 5/15/2029 (c) | 6,511 | 5,983 |
| TerraForm Power Operating LLC 4.25%, 1/31/2023 (c) | 1,671 | 1,673 |
| Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 230 | 193 |
| Thor Industries, Inc. 4.00%, 10/15/2029 (c) | 510 | 431 |
| Titan International, Inc. 7.00%, 4/30/2028 | 419 | 411 |
| T-Mobile USA, Inc. | | |
| 4.75%, 2/1/2028 | 21,452 | 21,166 |
| 2.25%, 11/15/2031 | 542 | 443 |
| 3.00%, 2/15/2041 | 170 | 130 |
| Topaz Solar Farms LLC 5.75%, 9/30/2039 (c) | 374 | 379 |
| TopBuild Corp. 3.63%, 3/15/2029 (c) | 920 | 802 |
| TransDigm, Inc. 6.25%, 3/15/2026 (c) | 9,380 | 9,333 |
| Transocean Guardian Ltd. 5.88%, 1/15/2024 (c) | 2,104 | 2,013 |
| Transocean Pontus Ltd. 6.13%, 8/1/2025 (a) (c) | 3,570 | 3,507 |
| Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a) (c) | 2,633 | 2,534 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Transocean Proteus Ltd. 6.25%, 12/1/2024 (c) | 308 | 303 |
| Transocean, Inc. 11.50%, 1/30/2027 (a) (c) | 500 | 497 |
| TreeHouse Foods, Inc. 4.00%, 9/1/2028 (a) | 742 | 605 |
| Tri Pointe Homes, Inc. | | |
| 5.25%, 6/1/2027 | 1,000 | 966 |
| 5.70%, 6/15/2028 | 128 | 123 |
| TriMas Corp. 4.13%, 4/15/2029 (c) | 4,555 | 4,065 |
| TriNet Group, Inc. 3.50%, 3/1/2029 (c) | 882 | 799 |
| Trinseo Materials Operating SCA | | |
| 5.38%, 9/1/2025 (c) | 9,060 | 8,743 |
| 5.13%, 4/1/2029 (c) | 2,568 | 2,264 |
| TripAdvisor, Inc. 7.00%, 7/15/2025 (c) | 1,640 | 1,681 |
| Triton Water Holdings, Inc. 6.25%, 4/1/2029 (c) | 2,758 | 2,283 |
| Triumph Group, Inc. | | |
| 8.88%, 6/1/2024 (c) | 221 | 229 |
| 6.25%, 9/15/2024 (c) | 1,545 | 1,487 |
| 7.75%, 8/15/2025 (a) | 2,337 | 2,273 |
| Truist Financial Corp. | | |
| Series P, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.61%), 4.95%, 9/1/2025 (d) (e) (f) | 2,005 | 2,002 |
| Series M, (ICE LIBOR USD 3 Month + 2.79%), 5.12%, 12/15/2027 (d) (e) (f) | 2,346 | 2,159 |
| Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (e) (f) | 15,904 | 15,844 |
| TTM Technologies, Inc. 4.00%, 3/1/2029 (a) (c) | 725 | 634 |
| Twilio, Inc. | | |
| 3.63%, 3/15/2029 (a) | 1,586 | 1,400 |
| 3.88%, 3/15/2031 (a) | 1,586 | 1,363 |
| Uber Technologies, Inc. 4.50%, 8/15/2029 (c) | 3,800 | 3,273 |
| UDR, Inc. | | |
| 3.20%, 1/15/2030 | 160 | 148 |
| 3.00%, 8/15/2031 | 41 | 36 |
| Under Armour, Inc. 3.25%, 6/15/2026 | 2,136 | 1,966 |
| Unisys Corp. 6.88%, 11/1/2027 (c) | 222 | 223 |
| United Airlines Holdings, Inc. | | |
| 5.00%, 2/1/2024 | 2,404 | 2,386 |
| 4.88%, 1/15/2025 (a) | 2,345 | 2,263 |
| United Airlines, Inc. 4.38%, 4/15/2026 (c) | 4,662 | 4,501 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 85 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| United Natural Foods, Inc. 6.75%, 10/15/2028 (c) | 509 | 509 |
| United Rentals North America, Inc. | | |
| 5.50%, 5/15/2027 | 10,010 | 10,185 |
| 4.88%, 1/15/2028 | 3,315 | 3,226 |
| 5.25%, 1/15/2030 | 2,500 | 2,425 |
| 3.88%, 2/15/2031 | 5,089 | 4,487 |
| United States Cellular Corp. 6.70%, 12/15/2033 | 4,296 | 4,438 |
| United States Steel Corp. | | |
| 6.88%, 3/1/2029 (a) | 2,747 | 2,795 |
| 6.65%, 6/1/2037 | 341 | 334 |
| UnitedHealth Group, Inc. 3.05%, 5/15/2041 | 75 | 62 |
| Uniti Group LP | | |
| 7.88%, 2/15/2025 (c) | 1,000 | 1,018 |
| 4.75%, 4/15/2028 (c) | 1,000 | 893 |
| 6.50%, 2/15/2029 (c) | 328 | 283 |
| 6.00%, 1/15/2030 (c) | 1,000 | 834 |
| Universal Health Services, Inc. 2.65%, 1/15/2032 (a) (c) | 166 | 136 |
| Univision Communications, Inc. 4.50%, 5/1/2029 (c) | 1,489 | 1,336 |
| Urban One, Inc. 7.38%, 2/1/2028 (c) | 444 | 430 |
| US Bancorp | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027 (d) (e) (f) | 6,765 | 5,779 |
| Series J, (ICE LIBOR USD 3 Month + 2.91%), 5.30%, 4/15/2027 (d) (e) (f) | 1,414 | 1,372 |
| US Foods, Inc. 4.63%, 6/1/2030 (c) | 2,017 | 1,805 |
| Vail Resorts, Inc. 6.25%, 5/15/2025 (c) | 1,642 | 1,679 |
| Valvoline, Inc. | | |
| 4.25%, 2/15/2030 (c) | 3,267 | 2,834 |
| 3.63%, 6/15/2031 (c) | 300 | 244 |
| Varex Imaging Corp. 7.88%, 10/15/2027 (c) | 247 | 254 |
| Vector Group Ltd. | | |
| 10.50%, 11/1/2026 (c) | 464 | 474 |
| 5.75%, 2/1/2029 (c) | 1,662 | 1,458 |
| Venator Finance SARL 5.75%, 7/15/2025 (a) (c) | 3,375 | 2,768 |
| Ventas Realty LP, REIT 4.00%, 3/1/2028 | 100 | 98 |
| Verizon Communications, Inc. | | |
| 4.40%, 11/1/2034 | 246 | 242 |
| 4.27%, 1/15/2036 | 150 | 145 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 3.40%, 3/22/2041 | 112 | 94 |
| Viavi Solutions, Inc. 3.75%, 10/1/2029 (c) | 1,738 | 1,564 |
| VICI Properties LP | | |
| 5.63%, 5/1/2024 (c) | 1,490 | 1,502 |
| 3.50%, 2/15/2025 (c) | 527 | 506 |
| 4.63%, 6/15/2025 (c) | 2,251 | 2,210 |
| 4.50%, 9/1/2026 (c) | 995 | 956 |
| 4.25%, 12/1/2026 (c) | 8,012 | 7,592 |
| 5.75%, 2/1/2027 (c) | 4,882 | 4,882 |
| 3.75%, 2/15/2027 (c) | 1,875 | 1,729 |
| 4.50%, 1/15/2028 (c) | 555 | 547 |
| 3.88%, 2/15/2029 (c) | 3,853 | 3,503 |
| 4.63%, 12/1/2029 (c) | 4,688 | 4,402 |
| 4.13%, 8/15/2030 (c) | 1,620 | 1,455 |
| Victoria's Secret & Co. 4.63%, 7/15/2029 (c) | 630 | 517 |
| Victors Merger Corp. 6.38%, 5/15/2029 (c) | 569 | 341 |
| Viper Energy Partners LP 5.38%, 11/1/2027 (c) | 489 | 487 |
| Virtusa Corp. 7.13%, 12/15/2028 (a) (c) | 310 | 279 |
| Vista Outdoor, Inc. 4.50%, 3/15/2029 (c) | 8,140 | 7,285 |
| Vistra Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.74%), 7.00%, 12/15/2026 (c) (d) (e) (f) | 1,712 | 1,665 |
| Vistra Operations Co. LLC | | |
| 5.50%, 9/1/2026 (c) | 1,952 | 1,945 |
| 5.63%, 2/15/2027 (c) | 6,875 | 6,772 |
| 5.00%, 7/31/2027 (c) | 1,266 | 1,206 |
| 4.38%, 5/1/2029 (c) | 1,498 | 1,359 |
| VM Consolidated, Inc. 5.50%, 4/15/2029 (c) | 357 | 319 |
| VMware, Inc. 2.20%, 8/15/2031 | 286 | 233 |
| W&T Offshore, Inc. 9.75%, 11/1/2023 (c) | 571 | 567 |
| Wabash National Corp. 4.50%, 10/15/2028 (c) | 3,221 | 2,696 |
| Warrior Met Coal, Inc. 7.88%, 12/1/2028 (c) | 362 | 379 |
| Weatherford International Ltd. 11.00%, 12/1/2024 (c) | 996 | 1,026 |
| WEC Energy Group, Inc. 1.80%, 10/15/2030 | 100 | 82 |
| Weekley Homes LLC 4.88%, 9/15/2028 (c) | 599 | 529 |
| Welbilt, Inc. 9.50%, 2/15/2024 | 940 | 944 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Corporate Bonds — continued |
| United States — continued |
| Wells Fargo & Co. | | |
| Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (d) (e) (f) | 7,127 | 6,976 |
| Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (d) (e) (f) | 2,207 | 2,224 |
| Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (f) | 25,317 | 23,100 |
| Wesco Aircraft Holdings, Inc. | | |
| 8.50%, 11/15/2024 (c) | 1,046 | 582 |
| 9.00%, 11/15/2026 (a) (c) | 10,989 | 6,825 |
| 13.13%, 11/15/2027 (c) | 444 | 167 |
| WESCO Distribution, Inc. | | |
| 7.13%, 6/15/2025 (c) | 5,708 | 5,929 |
| 7.25%, 6/15/2028 (c) | 5,708 | 5,894 |
| William Carter Co. (The) 5.63%, 3/15/2027 (c) | 9,312 | 9,279 |
| Windstream Escrow LLC 7.75%, 8/15/2028 (a) (c) | 2,115 | 2,015 |
| Winnebago Industries, Inc. 6.25%, 7/15/2028 (c) | 305 | 303 |
| WMG Acquisition Corp. | | |
| 3.75%, 12/1/2029 (c) | 5,431 | 4,868 |
| 3.00%, 2/15/2031 (c) | 3,119 | 2,602 |
| Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) (c) | 560 | 476 |
| World Acceptance Corp. 7.00%, 11/1/2026 (c) | 305 | 265 |
| WP Carey, Inc. | | |
| 2.40%, 2/1/2031 | 150 | 127 |
| 2.45%, 2/1/2032 | 30 | 25 |
| WR Grace Holdings LLC | | |
| 5.63%, 10/1/2024 (c) | 1,010 | 1,013 |
| 4.88%, 6/15/2027 (c) | 250 | 235 |
| 5.63%, 8/15/2029 (c) | 1,596 | 1,360 |
| WW International, Inc. 4.50%, 4/15/2029 (a) (c) | 509 | 403 |
| Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (c) | 525 | 489 |
| Wynn Las Vegas LLC 5.50%, 3/1/2025 (c) | 11,657 | 11,278 |
| Wynn Resorts Finance LLC 5.13%, 10/1/2029 (c) | 6,555 | 5,740 |
| Xerox Holdings Corp. 5.00%, 8/15/2025 (c) | 1,412 | 1,356 |
| Yum! Brands, Inc. | | |
| 4.75%, 1/15/2030 (c) | 1,834 | 1,745 |
| 3.63%, 3/15/2031 | 4,332 | 3,722 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| 4.63%, 1/31/2032 | 3,567 | 3,242 |
| Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (c) | 4,071 | 3,542 |
| Ziff Davis, Inc. 4.63%, 10/15/2030 (c) | 1,870 | 1,667 |
| Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | 95 | 81 |
| ZipRecruiter, Inc. 5.00%, 1/15/2030 (c) | 578 | 540 |
| Zoetis, Inc. 2.00%, 5/15/2030 | 182 | 157 |
| ZoomInfo Technologies LLC 3.88%, 2/1/2029 (c) | 1,242 | 1,099 |
| | | 3,428,183 |
| Uzbekistan — 0.0% ^ |
| Uzbekneftegaz JSC 4.75%, 11/16/2028 (c) | 1,350 | 1,100 |
Total Corporate Bonds
(Cost $4,480,787) | | 4,195,461 |
| Equity Linked Notes — 7.1% |
| Canada — 1.1% |
| Royal Bank of Canada, ELN, 7.50%, 5/11/2022, (linked to Russell 2000 Index) (b) | 68 | 126,519 |
| France — 4.0% |
| BNP Paribas SA, ELN, 7.00%, 5/18/2022, (linked to Russell 2000 Index) (c) | 66 | 122,386 |
| BNP Paribas SA, ELN, 7.00%, 7/27/2022, (linked to Russell 2000 Index) (c) | 64 | 120,568 |
| Societe Generale SA, ELN, 7.00%, 5/25/2022, (linked to Russell 2000 Index) (b) | 64 | 119,827 |
| Societe Generale SA, ELN, 7.50%, 8/10/2022, (linked to Russell 2000 Index) (b) | 64 | 121,356 |
| | | 484,137 |
| United Kingdom — 2.0% |
| Barclays Bank plc, ELN, 7.00%, 7/20/2022, (linked to Russell 2000 Index) (b) | 64 | 120,498 |
| Barclays Bank plc, ELN, 7.00%, 8/3/2022, (linked to Russell 2000 Index) (b) | 64 | 120,631 |
| | | 241,129 |
Total Equity Linked Notes
(Cost $881,500) | | 851,785 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 87 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Commercial Mortgage-Backed Securities — 4.0% |
| United States — 4.0% |
| BANK | | |
| Series 2019-BN16, Class D, 3.00%, 2/15/2052 ‡ (c) | 2,500 | 2,006 |
| Series 2019-BN16, Class F, 3.85%, 2/15/2052 ‡ (c) (j) | 2,000 | 1,358 |
| Series 2019-BN21, Class F, 2.68%, 10/17/2052 ‡ (c) | 4,000 | 2,551 |
| Series 2019-BN23, Class D, 2.50%, 12/15/2052 ‡ (c) | 4,000 | 3,099 |
| Series 2020-BN30, Class F, 2.00%, 12/15/2053 ‡ (c) (j) | 3,000 | 1,747 |
| Series 2021-BN31, Class E, 2.50%, 2/15/2054 ‡ (c) (j) | 2,500 | 1,793 |
| Series 2017-BNK5, Class D, 3.08%, 6/15/2060 ‡ (c) (j) | 8,500 | 6,951 |
| Series 2018-BN14, Class F, 3.94%, 9/15/2060 ‡ (c) | 1,534 | 929 |
| Series 2018-BN15, Class E, 3.00%, 11/15/2061 ‡ (c) | 1,000 | 721 |
| Series 2019-BN18, Class F, 3.33%, 5/15/2062 ‡ (c) | 9,699 | 6,498 |
| Series 2019-BN24, Class D, 2.50%, 11/15/2062 ‡ (c) | 1,000 | 730 |
| Series 2020-BN25, Class D, 2.50%, 1/15/2063 ‡ (c) | 1,000 | 753 |
| Series 2020-BN26, Class D, 2.50%, 3/15/2063 ‡ (c) | 1,350 | 1,027 |
| Series 2020-BN28, Class E, 2.50%, 3/15/2063 ‡ (c) | 3,000 | 2,135 |
| BBCMS MORTGAGE TRUST Series 2017-C1, Class D, 3.66%, 2/15/2050 ‡ (c) (j) | 2,887 | 2,438 |
| Benchmark Mortgage Trust | | |
| Series 2018-B1, Class D, 2.75%, 1/15/2051 ‡ (c) | 975 | 753 |
| Series 2019-B9, Class F, 3.92%, 3/15/2052 ‡ (c) (j) | 6,590 | 4,520 |
| Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (c) | 4,000 | 3,159 |
| Series 2020-B21, Class E, 2.00%, 12/17/2053 ‡ (c) | 2,500 | 1,653 |
| Series 2020-B21, Class F, 2.00%, 12/17/2053 ‡ (c) | 3,000 | 1,734 |
| Series 2021-B26, Class F, 1.98%, 6/15/2054 ‡ (c) (j) | 10,000 | 5,577 |
| Series 2019-B14, Class E, 2.50%, 12/15/2062 ‡ (c) | 1,415 | 1,009 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2019-B15, Class E, 2.75%, 12/15/2072 ‡ (c) | 4,391 | 3,308 |
| Series 2019-B15, Class F, 2.75%, 12/15/2072 ‡ (c) (j) | 5,000 | 3,168 |
| BX Series 2021-MFM1, Class G, 4.45%, 1/15/2034 ‡ (c) (j) | 750 | 722 |
| BX Commercial Mortgage Trust Series 2020-VIV2, Class C, 3.66%, 3/9/2044 ‡ (c) (j) | 30,590 | 27,097 |
| CAMB Commercial Mortgage Trust Series 2019-LIFE, Class E, 2.70%, 12/15/2037 ‡ (c) (j) | 2,690 | 2,637 |
| CD Mortgage Trust | | |
| Series 2016-CD2, Class C, 4.11%, 11/10/2049 (j) | 750 | 673 |
| Series 2017-CD4, Class D, 3.30%, 5/10/2050 ‡ (c) | 1,000 | 834 |
| Series 2017-CD5, Class D, 3.35%, 8/15/2050 ‡ (c) | 1,831 | 1,472 |
| Series 2017-CD6, Class C, 4.41%, 11/13/2050 ‡ (j) | 1,371 | 1,289 |
| Series 2018-CD7, Class D, 3.26%, 8/15/2051 ‡ (c) (j) | 2,000 | 1,641 |
| Series 2019-CD8, Class E, 3.00%, 8/15/2057 ‡ (c) | 2,000 | 1,423 |
| Series 2019-CD8, Class F, 3.00%, 8/15/2057 ‡ (c) | 1,500 | 891 |
| CFCRE Commercial Mortgage Trust Series 2016-C6, Class D, 4.34%, 11/10/2049 ‡ (c) (j) | 1,000 | 832 |
| CGMS Commercial Mortgage Trust Series 2017-B1, Class E, 3.30%, 8/15/2050 ‡ (c) (j) | 3,000 | 2,058 |
| Citigroup Commercial Mortgage Trust | | |
| Series 2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (c) (j) | 2,750 | 2,813 |
| Series 2015-GC27, Class D, 4.57%, 2/10/2048 ‡ (c) (j) | 3,756 | 3,424 |
| Series 2015-P1, Class D, 3.23%, 9/15/2048 ‡ (c) | 2,500 | 2,176 |
| Series 2016-C1, Class D, 5.11%, 5/10/2049 ‡ (c) (j) | 2,225 | 2,045 |
| Series 2016-C2, Class D, 3.25%, 8/10/2049 ‡ (c) (j) | 1,000 | 832 |
| Series 2016-P6, Class D, 3.25%, 12/10/2049 ‡ (c) | 1,325 | 1,080 |
| Series 2017-P7, Class D, 3.25%, 4/14/2050 ‡ (c) | 3,000 | 2,299 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Commercial Mortgage-Backed Securities — continued |
| United States — continued |
| Series 2017-P7, Class B, 4.14%, 4/14/2050 ‡ (j) | 910 | 866 |
| Series 2020-GC46, Class E, 2.60%, 2/15/2053 ‡ (c) | 4,500 | 3,204 |
| Commercial Mortgage Trust | | |
| Series 2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (c) (j) | 2,750 | 2,456 |
| Series 2014-CR15, Class C, 4.82%, 2/10/2047 (j) | 3,375 | 3,387 |
| Series 2014-LC15, Class D, 5.17%, 4/10/2047 ‡ (c) (j) | 1,500 | 1,431 |
| Series 2014-CR19, Class D, 4.85%, 8/10/2047 ‡ (c) (j) | 400 | 372 |
| Series 2014-UBS5, Class D, 3.50%, 9/10/2047 ‡ (c) | 5,100 | 4,391 |
| Series 2014-LC17, Class D, 3.69%, 10/10/2047 ‡ (c) | 3,250 | 3,015 |
| Series 2014-CR20, Class D, 3.22%, 11/10/2047 ‡ (c) | 3,275 | 2,754 |
| Series 2015-CR22, Class E, 3.00%, 3/10/2048 ‡ (c) | 2,500 | 2,092 |
| Series 2015-CR22, Class D, 4.21%, 3/10/2048 ‡ (c) (j) | 1,000 | 927 |
| Series 2015-LC21, Class D, 4.48%, 7/10/2048 ‡ (j) | 450 | 409 |
| Series 2015-CR24, Class D, 3.46%, 8/10/2048 ‡ (j) | 2,134 | 1,888 |
| Series 2015-CR25, Class D, 3.93%, 8/10/2048 ‡ (j) | 2,000 | 1,727 |
| Series 2015-CR27, Class D, 3.60%, 10/10/2048 ‡ (c) (j) | 500 | 441 |
| Series 2015-CR26, Class D, 3.63%, 10/10/2048 ‡ (j) | 2,500 | 2,206 |
| Series 2015-LC23, Class D, 3.76%, 10/10/2048 ‡ (c) (j) | 2,750 | 2,512 |
| Series 2015-LC23, Class E, 3.76%, 10/10/2048 ‡ (c) (j) | 1,500 | 1,289 |
| Series 2016-CR28, Class D, 4.02%, 2/10/2049 ‡ (j) | 1,350 | 1,245 |
| Credit Suisse Commercial Mortgage Trust Series 2007-C1, Class AM, 5.42%, 2/15/2040 | 25 | 26 |
| CSAIL Commercial Mortgage Trust | | |
| Series 2019-C15, Class C, 5.15%, 3/15/2052 ‡ (j) | 3,835 | 3,684 |
| Series 2015-C2, Class B, 4.21%, 6/15/2057 ‡ (j) | 1,000 | 958 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| DBJPM Mortgage Trust | | |
| Series 2016-C3, Class D, 3.62%, 8/10/2049 ‡ (c) (j) | 1,170 | 931 |
| Series 2016-C3, Class E, 4.37%, 8/10/2049 ‡ (c) (j) | 1,250 | 940 |
| FHLMC, Multiclass Certificates Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | 17,110 | 1,938 |
| FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 2.29%, 1/25/2051 (c) (j) | 546 | 531 |
| FHLMC, Multi-Family Structured Pass-Through Certificates | | |
| Series K033, Class X1, IO, 0.40%, 7/25/2023 (j) | 103,480 | 321 |
| Series KC03, Class X1, IO, 0.63%, 11/25/2024 (j) | 64,737 | 790 |
| Series K734, Class X3, IO, 2.24%, 7/25/2026 (j) | 13,025 | 967 |
| Series KC04, Class X1, IO, 1.41%, 12/25/2026 (j) | 14,949 | 551 |
| Series K084, Class X3, IO, 2.31%, 11/25/2028 (j) | 6,000 | 713 |
| Series K090, Class X3, IO, 2.39%, 10/25/2029 (j) | 1,750 | 232 |
| Series K723, Class X3, IO, 1.97%, 10/25/2034 (j) | 6,544 | 172 |
| Series Q012, Class X, IO, 4.16%, 9/25/2035 (j) | 24,349 | 5,207 |
| Series 2021-MN2, Class B1, 5.79%, 7/25/2041 (c) (j) | 2,000 | 1,917 |
| Series K054, Class X3, IO, 1.65%, 4/25/2043 (j) | 17,000 | 883 |
| Series K067, Class X3, IO, 2.19%, 9/25/2044 (j) | 34,106 | 3,199 |
| Series K727, Class X3, IO, 2.07%, 10/25/2044 (j) | 33,818 | 1,399 |
| Series K068, Class X3, IO, 2.13%, 10/25/2044 (j) | 11,050 | 1,019 |
| Series K059, Class X3, IO, 1.98%, 11/25/2044 (j) | 24,693 | 1,828 |
| Series K729, Class X3, IO, 2.03%, 11/25/2044 (j) | 37,637 | 1,620 |
| Series K060, Class X3, IO, 1.96%, 12/25/2044 (j) | 1,000 | 73 |
| Series K061, Class X3, IO, 2.04%, 12/25/2044 (j) | 1,544 | 121 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 89 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Commercial Mortgage-Backed Securities — continued |
| United States — continued |
| Series K066, Class X3, IO, 2.24%, 8/25/2045 (j) | 20,000 | 1,900 |
| Series K728, Class X3, IO, 2.02%, 11/25/2045 (j) | 8,120 | 372 |
| Series K071, Class X3, IO, 2.08%, 11/25/2045 (j) | 5,000 | 477 |
| Series K089, Class X3, IO, 2.37%, 1/25/2046 (j) | 22,283 | 2,863 |
| Series K087, Class X3, IO, 2.40%, 1/25/2046 (j) | 18,300 | 2,291 |
| Series K082, Class X3, IO, 2.29%, 10/25/2046 (j) | 11,750 | 1,354 |
| Series K102, Class X3, IO, 1.96%, 12/25/2046 (j) | 1,180 | 135 |
| Series K088, Class X3, IO, 2.43%, 2/25/2047 (j) | 11,130 | 1,467 |
| Series K093, Class X3, IO, 2.28%, 5/25/2047 (j) | 15,000 | 1,899 |
| Series K116, Class X3, IO, 3.12%, 9/25/2047 (j) | 10,500 | 2,050 |
| Series K108, Class X3, IO, 3.61%, 4/25/2048 (j) | 19,600 | 4,228 |
| Series 2021-MN1, Class M2, 4.04%, 1/25/2051 (c) (j) | 11,750 | 11,154 |
| Series 2021-MN1, Class B1, 8.04%, 1/25/2051 (c) (j) | 2,650 | 2,833 |
| FNMA ACES | | |
| Series 2019-M21, Class X2, IO, 1.43%, 2/25/2031 (j) | 5,769 | 491 |
| Series 2016-M4, Class X2, IO, 2.69%, 1/25/2039 (j) | 10,664 | 135 |
| FNMA, Multi-Family REMIC Trust Series 2020-M37, Class X, IO, 1.19%, 4/25/2032 (j) | 27,617 | 1,846 |
| FREMF Mortgage Trust | | |
| Series 2017-KF31, Class B, 3.35%, 4/25/2024 (c) (j) | 1,322 | 1,310 |
| Series 2017-KF32, Class B, 3.00%, 5/25/2024 (c) (j) | 1,581 | 1,576 |
| Series 2017-KF38, Class B, 2.95%, 9/25/2024 (c) (j) | 632 | 629 |
| Series 2018-KF47, Class B, 2.45%, 5/25/2025 (c) (j) | 1,348 | 1,327 |
| Series 2018-KF49, Class B, 2.35%, 6/25/2025 (c) (j) | 188 | 181 |
| Series 2018-KF51, Class C, 6.45%, 8/25/2025 (c) (j) | 2,802 | 2,798 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2019-KF58, Class B, 2.60%, 1/25/2026 (c) (j) | 906 | 900 |
| Series 2019-KC03, Class B, 4.51%, 1/25/2026 (c) (j) | 2,304 | 2,256 |
| Series 2019-KF62, Class B, 2.50%, 4/25/2026 (c) (j) | 964 | 941 |
| Series 2017-KL1E, Class BE, 4.04%, 2/25/2027 (c) (j) | 186 | 155 |
| Series 2017-KF33, Class B, 3.00%, 6/25/2027 (c) (j) | 566 | 557 |
| Series 2017-KF40, Class B, 3.15%, 11/25/2027 (c) (j) | 978 | 968 |
| Series 2018-KF43, Class B, 2.60%, 1/25/2028 (c) (j) | 1,623 | 1,567 |
| Series 21K-F116, Class CS, 6.56%, 6/25/2028 (c) (j) | 10,890 | 11,018 |
| Series 2018-KF50, Class B, 2.35%, 7/25/2028 (c) (j) | 326 | 320 |
| Series 2018-K82, Class B, 4.27%, 9/25/2028 (c) (j) | 1,460 | 1,447 |
| Series 2018-KSW4, Class C, 5.45%, 10/25/2028 (j) | 4,525 | 4,358 |
| Series 2019-KF59, Class B, 2.80%, 2/25/2029 (c) (j) | 2,716 | 2,669 |
| Series 2019-KG01, Class B, 4.31%, 4/25/2029 (c) (j) | 3,090 | 2,894 |
| Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (c) | 283,727 | 1,338 |
| Series 2019-KF63, Class B, 2.80%, 5/25/2029 (c) (j) | 3,019 | 2,993 |
| Series 2019-KW09, Class C, PO, 6/25/2029 (c) | 24,011 | 14,856 |
| Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (c) | 32,681 | 173 |
| Series 21K-F102, Class CS, 6.16%, 1/25/2031 (c) (j) | 11,408 | 11,618 |
| Series 2017-K153, Class B, PO, 4/25/2032 (c) | 10,281 | 5,233 |
| Series 2017-K729, Class B, 3.80%, 11/25/2049 (c) (j) | 1,400 | 1,387 |
| Series 2017-K724, Class D, PO, 12/25/2049 (c) | 20,000 | 17,671 |
| Series 2017-K724, Class X2A, IO, 0.10%, 12/25/2049 (c) | 165,879 | 165 |
| Series 2017-K724, Class X2B, IO, 0.10%, 12/25/2049 (c) | 52,000 | 62 |
| Series 2019-K103, Class B, 3.57%, 12/25/2051 (c) (j) | 970 | 893 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Commercial Mortgage-Backed Securities — continued |
| United States — continued |
| GNMA | | |
| Series 2012-44, IO, 0.03%, 3/16/2049 (j) | 4,756 | 2 |
| Series 2015-86, IO, 0.40%, 5/16/2052 (j) | 8,181 | 166 |
| Series 2013-7, IO, 0.29%, 5/16/2053 (j) | 40,762 | 374 |
| Series 2012-89, IO, 0.19%, 12/16/2053 (j) | 7,557 | 17 |
| Series 2014-186, IO, 0.39%, 8/16/2054 (j) | 4,258 | 59 |
| Series 2015-33, IO, 0.66%, 2/16/2056 (j) | 5,610 | 111 |
| Series 2015-59, IO, 0.90%, 6/16/2056 (j) | 3,745 | 121 |
| Series 2016-40, IO, 0.62%, 7/16/2057 (j) | 8,393 | 227 |
| Series 2016-157, IO, 0.91%, 11/16/2057 (j) | 12,829 | 624 |
| Series 2016-71, Class QI, IO, 0.92%, 11/16/2057 (j) | 48,928 | 2,215 |
| Series 2016-151, IO, 0.89%, 6/16/2058 (j) | 41,494 | 1,844 |
| Series 2017-54, IO, 0.65%, 12/16/2058 (j) | 6,871 | 301 |
| Series 2017-86, IO, 0.73%, 5/16/2059 (j) | 2,037 | 89 |
| Series 2017-148, IO, 0.57%, 7/16/2059 (j) | 9,771 | 389 |
| Series 2019-53, Class IA, IO, 0.78%, 6/16/2061 (j) | 6,141 | 381 |
| Series 2020-145, IO, 0.73%, 3/16/2063 (j) | 56,437 | 3,476 |
| GS Mortgage Securities Trust | | |
| Series 2012-GCJ9, Class D, 4.90%, 11/10/2045 ‡ (c) (j) | 500 | 495 |
| Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (c) | 800 | 730 |
| Series 2013-GC12, Class D, 4.59%, 6/10/2046 ‡ (c) (j) | 750 | 724 |
| Series 2015-GC28, Class D, 4.46%, 2/10/2048 ‡ (c) (j) | 2,500 | 2,310 |
| Series 2015-GC32, Class E, 4.57%, 7/10/2048 ‡ (c) (j) | 2,500 | 1,900 |
| Series 2015-GC34, Class D, 2.98%, 10/10/2048 ‡ | 1,380 | 1,146 |
| Series 2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (c) (j) | 2,900 | 2,435 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2017-GS6, Class D, 3.24%, 5/10/2050 ‡ (c) | 1,750 | 1,499 |
| Series 2015-GC30, Class D, 3.38%, 5/10/2050 ‡ | 1,250 | 1,124 |
| Series 2019-GC40, Class E, 3.00%, 7/10/2052 ‡ (c) | 2,250 | 1,660 |
| Series 2019-GC42, Class D, 2.80%, 9/1/2052 ‡ (c) | 2,000 | 1,555 |
| Jackson Park Trust | | |
| Series 2019-LIC, Class E, 3.35%, 10/14/2039 ‡ (c) (j) | 3,625 | 2,845 |
| Series 2019-LIC, Class F, 3.35%, 10/14/2039 ‡ (c) (j) | 4,170 | 3,152 |
| JPMBB Commercial Mortgage Securities Trust | | |
| Series 2013-C15, Class E, 3.50%, 11/15/2045 ‡ (c) | 2,000 | 1,843 |
| Series 2013-C17, Class D, 5.05%, 1/15/2047 ‡ (c) (j) | 1,250 | 1,176 |
| Series 2014-C21, Class D, 4.80%, 8/15/2047 ‡ (c) (j) | 2,049 | 1,911 |
| Series 2014-C26, Class D, 4.02%, 1/15/2048 ‡ (c) (j) | 1,000 | 911 |
| Series 2016-C1, Class D2, 4.39%, 3/17/2049 ‡ (c) (j) | 1,465 | 1,300 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.69%, 3/15/2050 (c) (j) | 7,577 | 6,660 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4, Class D, 3.20%, 12/15/2049 ‡ (c) (j) | 2,514 | 2,095 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP3, Class D, 3.57%, 8/15/2049 ‡ (c) (j) | 4,500 | 3,590 |
| KNDL Mortgage Trust Series 2019-KNSQ, Class E, 2.35%, 5/15/2036 ‡ (c) (j) | 2,040 | 2,004 |
| LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (j) | 3,353 | 1,395 |
| MHC Commercial Mortgage Trust Series 2021-MHC, Class G, 3.75%, 4/15/2038 ‡ (c) (j) | 14,400 | 13,874 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | |
| Series 2012-C5, Class G, 4.50%, 8/15/2045 ‡ (c) | 1,500 | 1,470 |
| Series 2012-C5, Class E, 4.84%, 8/15/2045 ‡ (c) (j) | 2,500 | 2,495 |
| Series 2014-C14, Class D, 5.22%, 2/15/2047 ‡ (c) (j) | 3,750 | 3,736 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 91 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Commercial Mortgage-Backed Securities — continued |
| United States — continued |
| Series 2014-C15, Class D, 5.06%, 4/15/2047 ‡ (c) (j) | 365 | 356 |
| Series 2014-C16, Class C, 4.91%, 6/15/2047 ‡ (j) | 2,000 | 1,878 |
| Series 2015-C24, Class D, 3.26%, 5/15/2048 ‡ (c) | 6,000 | 5,302 |
| Morgan Stanley Capital I Trust | | |
| Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (c) (j) | 730 | 643 |
| Series 2018-L1, Class E, 3.00%, 10/15/2051 ‡ (c) | 5,486 | 4,172 |
| Series 2019-L2, Class D, 3.00%, 3/15/2052 ‡ (c) | 7,075 | 5,494 |
| Series 2019-L2, Class E, 3.00%, 3/15/2052 ‡ (c) | 2,575 | 1,886 |
| Series 2021-L5, Class E, 2.50%, 5/15/2054 ‡ (c) | 2,885 | 2,012 |
| MRCD MARK Mortgage Trust | | |
| Series 2019-PARK, Class F, 2.72%, 12/15/2036 ‡ (c) | 10,000 | 8,971 |
| Series 2019-PARK, Class G, 2.72%, 12/15/2036 ‡ (c) | 4,000 | 3,523 |
| Series 2019-PARK, Class J, 4.25%, 12/15/2036 ‡ (c) | 17,000 | 15,316 |
| Multi-Family Connecticut Avenue Securities Trust | | |
| Series 2019-01, Class M7, 2.37%, 10/15/2049 ‡ (c) (j) | 142 | 140 |
| Series 2019-01, Class M10, 3.92%, 10/15/2049 (c) (j) | 4,900 | 4,659 |
| Series 2020-01, Class M10, 4.42%, 3/25/2050 (c) (j) | 7,836 | 7,501 |
| NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.31%, 4/10/2043 ‡ (c) (j) | 5,000 | 3,649 |
| VASA Trust Series 2021-VASA, Class G, 5.55%, 7/15/2039 ‡ (c) (j) | 1,360 | 1,330 |
| Velocity Commercial Capital Loan Trust | | |
| Series 2018-2, Class A, 4.05%, 10/26/2048 (c) (j) | 3,060 | 3,042 |
| Series 2018-2, Class M2, 4.51%, 10/26/2048 ‡ (c) (j) | 218 | 213 |
| Series 2018-2, Class M3, 4.72%, 10/26/2048 ‡ (c) (j) | 320 | 307 |
| Wells Fargo Commercial Mortgage Trust | | |
| Series 2021-SAVE, Class E, 4.20%, 2/15/2040 ‡ (c) (j) | 1,818 | 1,778 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2015-NXS1, Class E, 2.88%, 5/15/2048 ‡ (c) (j) | 1,500 | 1,237 |
| Series 2015-C28, Class D, 4.22%, 5/15/2048 ‡ (j) | 7,740 | 7,029 |
| Series 2016-C35, Class D, 3.14%, 7/15/2048 ‡ (c) | 5,000 | 3,885 |
| Series 2018-C43, Class D, 3.00%, 3/15/2051 ‡ (c) | 1,250 | 996 |
| Series 2018-C44, Class D, 3.00%, 5/15/2051 ‡ (c) | 1,517 | 1,185 |
| Series 2019-C52, Class XA, IO, 1.75%, 8/15/2052 (j) | 3,765 | 311 |
| Series 2022-C62, Class C, 4.35%, 4/15/2055 (j) | 4,074 | 3,688 |
| Series 2015-NXS3, Class D, 3.15%, 9/15/2057 ‡ (c) | 1,000 | 896 |
| WFRBS Commercial Mortgage Trust | | |
| Series 2014-C19, Class D, 4.23%, 3/15/2047 ‡ (c) | 1,500 | 1,406 |
| Series 2014-C22, Class D, 4.05%, 9/15/2057 ‡ (c) (j) | 5,505 | 4,919 |
Total Commercial Mortgage-Backed Securities
(Cost $527,799) | | 486,397 |
| Collateralized Mortgage Obligations — 3.9% |
| Bermuda — 0.0% ^ |
| Bellemeade Re Ltd. Series 2019-1A, Class M2, 3.37%, 3/25/2029 ‡ (c) (j) | 1,000 | 990 |
| Eagle RE Ltd. Series 2019-1, Class M2, 3.97%, 4/25/2029 ‡ (c) (j) | 1,980 | 1,982 |
| | | 2,972 |
| United States — 3.9% |
| Adjustable Rate Mortgage Trust | | |
| Series 2004-2, Class 6A1, 2.55%, 2/25/2035 (j) | 830 | 846 |
| Series 2005-2, Class 3A1, 2.76%, 6/25/2035 (j) | 678 | 671 |
| Alternative Loan Trust | | |
| Series 2004-28CB, Class 4A1, 5.00%, 1/25/2020 | 6 | 5 |
| Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | 2 | 2 |
| Series 2005-85CB, Class 3A2, 5.25%, 2/25/2021 | 78 | 73 |
| Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | 47 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2006-J3, Class 4A1, 5.75%, 5/25/2026 | 348 | 333 |
| Series 2005-J1, Class 3A1, 6.50%, 8/25/2032 | 12 | 12 |
| Series 2004-12CB, Class 2A1, 6.00%, 6/25/2034 | 150 | 150 |
| Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 3,269 | 3,100 |
| Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035 | 319 | 303 |
| Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035 | 466 | 448 |
| Series 2004-32CB, Class 2A5, 5.50%, 2/25/2035 | 1,975 | 1,877 |
| Series 2005-3CB, Class 1A13, 5.50%, 3/25/2035 | 6,182 | 5,756 |
| Series 2005-J2, Class 1A5, 1.17%, 4/25/2035 (j) | 4,063 | 3,381 |
| Series 2005-6CB, Class 1A4, 5.50%, 4/25/2035 | 2,495 | 2,325 |
| Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | 299 | 279 |
| Series 2005-10CB, Class 1A5, 5.50%, 5/25/2035 | 2,581 | 2,279 |
| Series 2005-10CB, Class 1A8, 5.50%, 5/25/2035 | 1,493 | 1,349 |
| Series 2005-13CB, Class A4, 5.50%, 5/25/2035 | 1,008 | 947 |
| Series 2005-21CB, Class A4, 5.25%, 6/25/2035 | 546 | 477 |
| Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | 2,429 | 2,191 |
| Series 2005-20CB, Class 1A1, 5.50%, 7/25/2035 | 106 | 92 |
| Series 2005-23CB, Class A15, 5.50%, 7/25/2035 | 1,193 | 1,061 |
| Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035 | 436 | 413 |
| Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035 | 1,104 | 1,045 |
| Series 2005-J14, Class A3, 5.50%, 12/25/2035 | 235 | 176 |
| Series 2005-J14, Class A7, 5.50%, 12/25/2035 | 1,242 | 930 |
| Series 2005-J14, Class A8, 5.50%, 12/25/2035 | 1,038 | 777 |
| Series 2005-86CB, Class A4, 5.50%, 2/25/2036 | 308 | 223 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2006-J1, Class 1A13, 5.50%, 2/25/2036 | 105 | 85 |
| Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | 3,026 | 2,974 |
| Series 2006-4CB, Class 2A5, 5.50%, 4/25/2036 | 567 | 499 |
| Series 2006-14CB, Class A1, 6.00%, 6/25/2036 | 1,222 | 829 |
| Series 2006-19CB, Class A15, 6.00%, 8/25/2036 | 444 | 314 |
| Series 2006-25CB, Class A2, 6.00%, 10/25/2036 | 213 | 137 |
| Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037 | 2,304 | 1,491 |
| Series 2007-8CB, Class A9, 6.00%, 5/25/2037 | 152 | 105 |
| Series 2007-19, Class 1A8, 6.00%, 8/25/2037 | 140 | 89 |
| American Home Mortgage Investment Trust Series 2007-2, Class 12A1, 1.21%, 3/25/2037 (j) | 4,376 | 1,929 |
| Angel Oak Mortgage Trust | | |
| Series 2019-5, Class B1, 3.96%, 10/25/2049 ‡ (c) (j) | 2,250 | 2,149 |
| Series 2019-6, Class B1, 3.94%, 11/25/2059 (c) (j) | 4,000 | 3,974 |
| Series 2019-6, Class B3, 5.98%, 11/25/2059 ‡ (c) (j) | 1,285 | 1,272 |
| Angel Oak Mortgage Trust I LLC | | |
| Series 2019-2, Class B1, 5.02%, 3/25/2049 ‡ (c) (j) | 4,000 | 3,852 |
| Series 2019-4, Class B1, 4.41%, 7/26/2049 (c) (j) | 5,000 | 4,706 |
| Banc of America Alternative Loan Trust | | |
| Series 2006-4, Class 2A1, 6.00%, 5/25/2021 | 2 | 2 |
| Series 2005-11, Class 4A5, 5.75%, 12/25/2035 | 356 | 326 |
| Series 2006-4, Class 3CB4, 6.00%, 5/25/2046 | 485 | 447 |
| Series 2006-4, Class 4CB1, 6.50%, 5/25/2046 | 1,073 | 1,001 |
| Series 2006-5, Class CB7, 6.00%, 6/25/2046 | 285 | 265 |
| Banc of America Funding Trust | | |
| Series 2007-4, Class 8A1, 5.50%, 11/25/2034 | 53 | 42 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 93 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2005-6, Class 1A2, 5.50%, 10/25/2035 | 1,460 | 1,296 |
| Series 2005-7, Class 4A7, 6.00%, 11/25/2035 | 86 | 83 |
| Series 2006-A, Class 1A1, 2.61%, 2/20/2036 (j) | 415 | 412 |
| Series 2006-2, Class 2A20, 5.75%, 3/25/2036 | 213 | 191 |
| Series 2007-5, Class 4A1, 1.04%, 7/25/2037 (j) | 2,674 | 1,941 |
| Banc of America Mortgage Trust | | |
| Series 2004-A, Class 2A2, 2.63%, 2/25/2034 (j) | 248 | 251 |
| Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | 152 | 142 |
| Bear Stearns ALT-A Trust Series 2006-8, Class 3A1, 0.99%, 2/25/2034 (j) | 214 | 205 |
| Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class M1, 1.67%, 10/25/2034 ‡ (j) | 318 | 234 |
| Chase Mortgage Finance Trust | | |
| Series 2007-A2, Class 3A1, 2.43%, 6/25/2035 (j) | — | — |
| Series 2006-S3, Class 1A2, 6.00%, 11/25/2036 | 1,093 | 613 |
| Series 2006-S4, Class A5, 6.00%, 12/25/2036 | 819 | 473 |
| Series 2007-S2, Class 1A8, 6.00%, 3/25/2037 | 198 | 121 |
| CHL GMSR Issuer Trust | | |
| Series 2018-GT1, Class A, 3.42%, 5/25/2023 (c) (j) | 4,530 | 4,492 |
| Series 2018-GT1, Class B, 4.17%, 5/25/2023 ‡ (c) (j) | 795 | 786 |
| CHL Mortgage Pass-Through Trust | | |
| Series 2005-20, Class A7, 5.25%, 12/25/2027 | 89 | 67 |
| Series 2004-25, Class 2A1, 1.35%, 2/25/2035 (j) | 2,012 | 1,835 |
| Series 2005-26, Class 1A11, 5.50%, 11/25/2035 | 1,321 | 937 |
| Series 2005-31, Class 2A1, 2.44%, 1/25/2036 (j) | 579 | 530 |
| Series 2005-30, Class A5, 5.50%, 1/25/2036 | 127 | 95 |
| Series 2006-HYB1, Class 2A2C, 2.68%, 3/20/2036 (j) | 1,881 | 1,796 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2006-HYB2, Class 2A1B, 2.92%, 4/20/2036 (j) | 544 | 519 |
| Series 2006-J2, Class 1A1, 6.00%, 4/25/2036 | 92 | 64 |
| Series 2006-10, Class 1A16, 6.00%, 5/25/2036 | 1,035 | 602 |
| Series 2006-17, Class A2, 6.00%, 12/25/2036 | 303 | 164 |
| Series 2006-18, Class 2A4, 6.00%, 12/25/2036 | 1,784 | 1,223 |
| Series 2007-2, Class A2, 6.00%, 3/25/2037 | 106 | 62 |
| Series 2007-3, Class A18, 6.00%, 4/25/2037 | 831 | 512 |
| Series 2007-10, Class A4, 5.50%, 7/25/2037 | 106 | 61 |
| Series 2007-13, Class A4, 6.00%, 8/25/2037 | 211 | 132 |
| Series 2007-16, Class A1, 6.50%, 10/25/2037 | 2,001 | 1,161 |
| Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | 429 | 205 |
| Citicorp Mortgage Securities Trust Series 2007-4, Class 1A9, 6.00%, 5/25/2037 | 339 | 319 |
| Citigroup Mortgage Loan Trust | | |
| Series 2006-AR3, Class 1A1A, 3.16%, 6/25/2036 (j) | 976 | 968 |
| Series 2006-AR5, Class 1A5A, 2.92%, 7/25/2036 (j) | 400 | 383 |
| Citigroup Mortgage Loan Trust, Inc. | | |
| Series 2005-6, Class A1, 2.19%, 9/25/2035 (j) | 276 | 282 |
| Series 2006-8, Class A3, 1.02%, 10/25/2035 (c) (j) | 524 | 297 |
| Series 2005-9, Class 2A2, 5.50%, 11/25/2035 | 74 | 57 |
| COLT Mortgage Loan Trust | | |
| Series 2021-3, Class B1, 3.06%, 9/27/2066 ‡ (c) (j) | 2,500 | 2,134 |
| Series 2021-5, Class B1, 4.16%, 11/26/2066 ‡ (c) (j) | 3,903 | 3,423 |
| Series 2021-5, Class B2, 4.16%, 11/26/2066 ‡ (c) (j) | 2,247 | 1,898 |
| Series 2022-1, Class B1, 4.10%, 12/27/2066 ‡ (c) (j) | 2,038 | 1,777 |
| Series 2022-1, Class B2, 4.10%, 12/27/2066 ‡ (c) (j) | 2,581 | 2,165 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Connecticut Avenue Securities Trust | | |
| Series 2019-R05, Class 1B1, 4.77%, 7/25/2039 ‡ (c) (j) | 2,545 | 2,545 |
| Series 2019-R07, Class 1B1, 4.07%, 10/25/2039 ‡ (c) (j) | 8,500 | 8,232 |
| Series 2020-R02, Class 2B1, 3.67%, 1/25/2040 ‡ (c) (j) | 19,158 | 17,578 |
| Series 2021-R01, Class 1B1, 3.39%, 10/25/2041 ‡ (c) (j) | 5,200 | 4,871 |
| Series 2021-R03, Class 1B1, 3.04%, 12/25/2041 ‡ (c) (j) | 2,000 | 1,810 |
| Series 2021-R03, Class 1B2, 5.79%, 12/25/2041 ‡ (c) (j) | 9,100 | 8,148 |
| Series 2022-R01, Class 1B2, 6.29%, 12/25/2041 ‡ (c) (j) | 11,437 | 10,368 |
| CSFB Mortgage-Backed Pass-Through Certificates | | |
| Series 2005-10, Class 11A1, 5.50%, 11/25/2020 | 572 | 93 |
| Series 2003-29, Class 3A1, 5.50%, 12/25/2033 | 191 | 187 |
| Series 2004-AR4, Class 4A1, 2.64%, 5/25/2034 (j) | 926 | 949 |
| Series 2004-AR4, Class 2A1, 3.08%, 5/25/2034 (j) | 158 | 162 |
| Series 2004-AR5, Class 6A1, 2.41%, 6/25/2034 (j) | 264 | 273 |
| Series 2004-4, Class 4A1, 5.50%, 8/25/2034 | 1,278 | 1,278 |
| Series 2004-8, Class 4A3, 5.50%, 12/25/2034 | 91 | 87 |
| Series 2005-4, Class 2A5, 1.22%, 6/25/2035 (j) | 2,467 | 1,804 |
| Series 2005-10, Class 5A3, 5.50%, 11/25/2035 | 288 | 244 |
| CSFB Mortgage-Backed Trust Series 2004-AR6, Class 7A1, 2.55%, 10/25/2034 (j) | 574 | 580 |
| CSMC Mortgage-Backed Trust | | |
| Series 2006-8, Class 5A1, 5.54%, 10/25/2026 (j) | 37 | 35 |
| Series 2007-2, Class 3A13, 5.50%, 3/25/2037 | 360 | 234 |
| Deephaven Residential Mortgage Trust | | |
| Series 2021-3, Class B1, 3.27%, 8/25/2066 ‡ (c) (j) | 5,000 | 4,244 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2021-3, Class B2, 4.13%, 8/25/2066 ‡ (c) (j) | 4,502 | 3,815 |
| Series 2021-4, Class B1, 4.16%, 11/25/2066 ‡ (c) (j) | 6,000 | 5,272 |
| Series 2021-4, Class B2, 4.51%, 11/25/2066 ‡ (c) (j) | 6,508 | 5,578 |
| Series 2022-1, Class B1, 4.32%, 1/25/2067 ‡ (c) (j) | 3,000 | 2,638 |
| Series 2022-1, Class B2, 4.32%, 1/25/2067 ‡ (c) (j) | 5,640 | 4,773 |
| Series 2022-2, Class A3, 4.30%, 3/25/2067 (c) (j) | 4,880 | 4,798 |
| Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | | |
| Series 2005-1, Class 2A1, 4.36%, 2/25/2020 (j) | 20 | 20 |
| Series 2005-2, Class 2A1, 0.97%, 3/25/2020 (j) | 4 | 4 |
| DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 1.07%, 8/19/2045 (j) | 1,290 | 1,222 |
| FHLMC STACR Series 2019-HQA3, Class B1, 3.67%, 9/25/2049 (c) (j) | 3,000 | 2,899 |
| FHLMC STACR REMIC Trust | | |
| Series 2021-DNA5, Class B2, 5.79%, 1/25/2034 (c) (j) | 3,400 | 3,226 |
| Series 2021-DNA6, Class B1, 3.69%, 10/25/2041 (c) (j) | 8,500 | 7,973 |
| Series 2020-HQA1, Class B2, 5.77%, 1/25/2050 (c) (j) | 4,000 | 3,714 |
| Series 2021-DNA1, Class B2, 5.04%, 1/25/2051 ‡ (c) (j) | 8,000 | 7,121 |
| FHLMC Structured Agency Credit Risk Debt Notes | | |
| Series 2015-HQ1, Class B, 11.42%, 3/25/2025 (j) | 2,905 | 2,939 |
| Series 2017-DNA3, Class B1, 5.12%, 3/25/2030 (j) | 3,000 | 3,120 |
| Series 2021-DNA2, Class B2, 6.29%, 8/25/2033 (c) (j) | 18,050 | 17,164 |
| FHLMC, REMIC | | |
| Series 4068, Class DS, IF, IO, 5.45%, 6/15/2042 (j) | 1,999 | 314 |
| Series 4097, Class ES, IF, IO, 5.55%, 8/15/2042 (j) | 2,954 | 453 |
| Series 4103, Class SB, IF, IO, 5.50%, 9/15/2042 (j) | 3,286 | 633 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 95 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 4425, Class SA, IF, IO, 5.50%, 1/15/2045 (j) | 3,475 | 481 |
| Series 4594, Class SG, IF, IO, 5.45%, 6/15/2046 (j) | 3,493 | 597 |
| Series 4606, Class SB, IF, IO, 5.45%, 8/15/2046 (j) | 6,606 | 1,041 |
| Series 4614, Class SK, IF, IO, 5.45%, 9/15/2046 (j) | 11,511 | 1,941 |
| Series 4616, Class HS, IF, IO, 5.45%, 9/15/2046 (j) | 3,886 | 607 |
| Series 4703, Class SA, IF, IO, 5.60%, 7/15/2047 (j) | 5,993 | 977 |
| Series 4718, Class SD, IF, IO, 5.60%, 9/15/2047 (j) | 3,108 | 414 |
| Series 4768, Class SG, IF, IO, 5.65%, 3/15/2048 (j) | 2,407 | 402 |
| Series 4820, Class ES, IF, IO, 5.65%, 3/15/2048 (j) | 1,393 | 195 |
| Series 4834, Class SA, IF, IO, 5.60%, 10/15/2048 (j) | 3,696 | 515 |
| Series 4937, Class MS, IF, IO, 5.38%, 12/25/2049 (j) | 5,886 | 832 |
| Series 4839, Class WS, IF, IO, 5.55%, 8/15/2056 (j) | 7,335 | 1,276 |
| FHLMC, STRIPS | | |
| Series 264, Class S1, IF, IO, 5.40%, 7/15/2042 (j) | 1,920 | 293 |
| Series 274, Class S1, IF, IO, 5.45%, 8/15/2042 (j) | 2,607 | 396 |
| Series 278, Class S1, IF, IO, 5.50%, 9/15/2042 (j) | 2,243 | 361 |
| Series 279, Class S6, IF, IO, 5.50%, 9/15/2042 (j) | 1,716 | 266 |
| Series 300, Class S1, IF, IO, 5.55%, 1/15/2043 (j) | 2,290 | 447 |
| Series 311, Class S1, IF, IO, 5.40%, 8/15/2043 (j) | 1,389 | 215 |
| Series 316, Class S7, IF, IO, 5.55%, 11/15/2043 (j) | 2,218 | 283 |
| Series 326, Class S2, IF, IO, 5.40%, 3/15/2044 (j) | 2,627 | 429 |
| Series 336, Class S1, IF, IO, 5.50%, 8/15/2044 (j) | 1,855 | 285 |
| Series 337, Class S1, IF, IO, 5.50%, 9/15/2044 (j) | 1,464 | 232 |
| Series 356, Class S5, IF, IO, 5.45%, 9/15/2047 (j) | 8,850 | 1,474 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| First Horizon Alternative Mortgage Securities Trust Series 2006-FA6, Class 3A1, 5.75%, 11/25/2021 | 14 | 11 |
| FNMA, Connecticut Avenue Securities | | |
| Series 2017-C01, Class 1B1, 6.42%, 7/25/2029 (j) | 1,820 | 2,012 |
| Series 2021-R02, Class 2B1, 3.59%, 11/25/2041 (c) (j) | 3,153 | 2,936 |
| Series 2021-R02, Class 2B2, 6.49%, 11/25/2041 (c) (j) | 5,142 | 4,805 |
| FNMA, REMIC | | |
| Series 2011-126, Class SM, IF, IO, 5.28%, 12/25/2041 (j) | 2,139 | 279 |
| Series 2012-20, Class SL, IF, IO, 5.78%, 3/25/2042 (j) | 2,679 | 465 |
| Series 2012-35, Class SN, IF, IO, 5.78%, 4/25/2042 (j) | 2,967 | 493 |
| Series 2012-75, Class DS, IF, IO, 5.28%, 7/25/2042 (j) | 3,056 | 432 |
| Series 2012-128, Class MS, IF, IO, 5.48%, 11/25/2042 (j) | 1,403 | 227 |
| Series 2013-124, Class SB, IF, IO, 5.28%, 12/25/2043 (j) | 3,401 | 473 |
| Series 2013-136, Class SB, IF, IO, 5.23%, 1/25/2044 (j) | 3,103 | 480 |
| Series 2015-35, Class SA, IF, IO, 4.93%, 6/25/2045 (j) | 3,323 | 344 |
| Series 2015-37, Class ST, IF, IO, 4.95%, 6/25/2045 (j) | 3,224 | 427 |
| Series 2016-1, Class SJ, IF, IO, 5.48%, 2/25/2046 (j) | 6,992 | 1,306 |
| Series 2016-77, Class SA, IF, IO, 5.33%, 10/25/2046 (j) | 2,690 | 429 |
| Series 2017-1, Class SA, IF, IO, 5.38%, 2/25/2047 (j) | 3,163 | 491 |
| Series 2017-16, Class SM, IF, IO, 5.38%, 3/25/2047 (j) | 1,812 | 298 |
| Series 2017-37, Class AS, IF, IO, 5.43%, 5/25/2047 (j) | 8,450 | 1,286 |
| Series 2018-14, Class SA, IF, IO, 5.53%, 3/25/2048 (j) | 5,278 | 1,019 |
| Series 2018-15, Class JS, IF, IO, 5.53%, 3/25/2048 (j) | 3,299 | 565 |
| Series 2018-16, Class SN, IF, IO, 5.58%, 3/25/2048 (j) | 1,272 | 243 |
| Series 2018-27, Class SE, IF, IO, 5.53%, 5/25/2048 (j) | 2,536 | 437 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2018-60, Class SK, IF, IO, 5.03%, 8/25/2048 (j) | 2,295 | 228 |
| Series 2018-73, Class SC, IF, IO, 5.53%, 10/25/2048 (j) | 5,335 | 788 |
| Series 2019-9, Class SM, IF, IO, 5.38%, 3/25/2049 (j) | 2,850 | 424 |
| Series 2019-20, Class BS, IF, IO, 5.38%, 5/25/2049 (j) | 917 | 128 |
| GCAT Trust Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 ‡ (c) (j) | 3,000 | 2,774 |
| GMACM Mortgage Loan Trust | | |
| Series 2004-AR2, Class 3A, 3.14%, 8/19/2034 (j) | 302 | 286 |
| Series 2005-AR1, Class 3A, 3.22%, 3/18/2035 (j) | 54 | 51 |
| GNMA | | |
| Series 2014-25, Class HS, IF, IO, 5.51%, 2/20/2044 (j) | 2,338 | 420 |
| Series 2015-124, Class SB, IF, IO, 5.66%, 9/20/2045 (j) | 4,089 | 560 |
| Series 2015-149, Class GS, IF, IO, 5.66%, 10/20/2045 (j) | 4,115 | 788 |
| Series 2016-111, Class SA, IF, IO, 5.51%, 8/20/2046 (j) | 2,008 | 300 |
| Series 2016-120, Class NS, IF, IO, 5.51%, 9/20/2046 (j) | 5,741 | 911 |
| Series 2017-11, Class AS, IF, IO, 5.51%, 1/20/2047 (j) | 2,271 | 311 |
| Series 2017-55, Class AS, IF, IO, 5.56%, 4/20/2047 (j) | 1,391 | 185 |
| Series 2017-56, Class SC, IF, IO, 5.56%, 4/20/2047 (j) | 3,099 | 402 |
| Series 2017-68, Class SA, IF, IO, 5.56%, 5/20/2047 (j) | 3,183 | 447 |
| Series 2017-67, Class ST, IF, IO, 5.61%, 5/20/2047 (j) | 6,046 | 979 |
| Series 2017-75, Class SD, IF, IO, 5.61%, 5/20/2047 (j) | 1,210 | 161 |
| Series 2017-80, Class AS, IF, IO, 5.61%, 5/20/2047 (j) | 3,074 | 423 |
| Series 2017-93, Class SE, IF, IO, 5.61%, 6/20/2047 (j) | 2,187 | 296 |
| Series 2017-107, Class SL, IF, IO, 5.61%, 7/20/2047 (j) | 6,688 | 941 |
| Series 2017-112, Class S, IF, IO, 5.61%, 7/20/2047 (j) | 4,585 | 627 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2017-120, Class QS, IF, IO, 5.61%, 8/20/2047 (j) | 2,553 | 346 |
| Series 2017-134, Class SB, IF, IO, 5.61%, 9/20/2047 (j) | 2,557 | 319 |
| Series 2017-141, Class QS, IF, IO, 5.61%, 9/20/2047 (j) | 5,687 | 697 |
| Series 2017-149, Class QS, IF, IO, 5.61%, 10/20/2047 (j) | 2,826 | 389 |
| Series 2018-1, Class ST, IF, IO, 5.61%, 1/20/2048 (j) | 6,466 | 911 |
| Series 2018-11, Class SA, IF, IO, 5.61%, 1/20/2048 (j) | 2,470 | 327 |
| Series 2018-6, Class CS, IF, IO, 5.61%, 1/20/2048 (j) | 2,155 | 306 |
| Series 2018-36, Class SG, IF, IO, 5.61%, 3/20/2048 (j) | 6,240 | 894 |
| Series 2018-63, Class SB, IF, IO, 5.61%, 4/20/2048 (j) | 1,107 | 148 |
| Series 2018-64, Class GS, IF, IO, 5.61%, 5/20/2048 (j) | 3,655 | 435 |
| Series 2018-65, Class SE, IF, IO, 5.61%, 5/20/2048 (j) | 4,494 | 606 |
| Series 2018-92, Class SH, IF, IO, 5.61%, 7/20/2048 (j) | 2,373 | 299 |
| Series 2018-115, Class DS, IF, IO, 5.61%, 8/20/2048 (j) | 5,753 | 702 |
| Series 2018-126, Class CS, IF, IO, 5.61%, 9/20/2048 (j) | 3,549 | 435 |
| Series 2018-146, Class S, IF, IO, 5.56%, 10/20/2048 (j) | 2,469 | 287 |
| Series 2018-147, Class SD, IF, IO, 5.56%, 10/20/2048 (j) | 6,983 | 841 |
| Series 2018-168, Class SA, IF, IO, 5.51%, 12/20/2048 (j) | 2,901 | 365 |
| Series 2019-16, Class SB, IF, IO, 5.46%, 2/20/2049 (j) | 4,137 | 494 |
| Series 2019-22, Class SM, IF, IO, 5.46%, 2/20/2049 (j) | 12,332 | 1,566 |
| Series 2019-23, Class JS, IF, IO, 5.46%, 2/20/2049 (j) | 3,452 | 460 |
| Series 2019-30, Class SA, IF, IO, 5.46%, 3/20/2049 (j) | 4,924 | 594 |
| Series 2019-38, Class SN, IF, IO, 5.46%, 3/20/2049 (j) | 6,087 | 823 |
| Series 2019-41, Class CS, IF, IO, 5.46%, 3/20/2049 (j) | 4,046 | 472 |
| Series 2019-42, Class SJ, IF, IO, 5.46%, 4/20/2049 (j) | 4,444 | 535 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 97 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2019-56, Class GS, IF, IO, 5.56%, 5/20/2049 (j) | 2,431 | 288 |
| Series 2019-69, Class DS, IF, IO, 5.51%, 6/20/2049 (j) | 2,601 | 301 |
| Series 2019-70, Class SM, IF, IO, 5.51%, 6/20/2049 (j) | 2,498 | 294 |
| Series 2020-76, Class SL, IF, IO, 5.56%, 5/20/2050 (j) | 5,718 | 798 |
| GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (c) (j) | 1,265 | 428 |
| GSR Mortgage Loan Trust | | |
| Series 2004-15F, Class 1A2, 5.50%, 12/25/2034 | 195 | 171 |
| Series 2005-1F, Class 2A3, 6.00%, 2/25/2035 | 146 | 123 |
| Series 2005-AR3, Class 6A1, 3.00%, 5/25/2035 (j) | 66 | 60 |
| Series 2005-AR4, Class 3A5, 2.76%, 7/25/2035 (j) | 1,238 | 1,019 |
| Series 2005-6F, Class 3A18, 5.50%, 7/25/2035 | 712 | 698 |
| Series 2005-AR7, Class 6A1, 2.67%, 11/25/2035 (j) | 631 | 621 |
| Series 2006-1F, Class 2A16, 6.00%, 2/25/2036 | 547 | 332 |
| Series 2006-1F, Class 2A9, 6.00%, 2/25/2036 | 886 | 537 |
| Series 2006-9F, Class 3A1, 6.25%, 10/25/2036 | 453 | 430 |
| Series 2007-1F, Class 3A13, 6.00%, 1/25/2037 | 228 | 178 |
| HarborView Mortgage Loan Trust Series 2005-11, Class 2A1A, 1.17%, 8/19/2045 (j) | 146 | 142 |
| Impac CMB Trust | | |
| Series 2004-5, Class 1A1, 1.39%, 10/25/2034 (j) | 271 | 269 |
| Series 2004-6, Class 1A2, 1.45%, 10/25/2034 (j) | — | — |
| Series 2004-5, Class 1M2, 1.54%, 10/25/2034 ‡ (j) | 99 | 95 |
| Series 2004-7, Class 1A2, 1.59%, 11/25/2034 (j) | 304 | 307 |
| Series 2004-9, Class 1A1, 1.43%, 1/25/2035 (j) | — | — |
| Series 2004-10, Class 2A, 1.31%, 3/25/2035 (j) | 460 | 436 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2004-10, Class 3A1, 1.37%, 3/25/2035 (j) | — | — |
| Series 2005-1, Class 1A1, 1.19%, 4/25/2035 (j) | 261 | 253 |
| Series 2005-1, Class 1A2, 1.29%, 4/25/2035 (j) | 319 | 309 |
| Series 2005-2, Class 1A2, 1.29%, 4/25/2035 (j) | 316 | 310 |
| Impac Secured Assets CMN Owner Trust Series 2003-2, Class A4, 3.75%, 8/25/2033 | 182 | 157 |
| Impac Secured Assets Trust | | |
| Series 2007-3, Class A1B, 1.15%, 9/25/2037 (j) | 1,787 | 1,552 |
| Series 2007-3, Class A1C, 1.39%, 9/25/2037 (j) | 2,994 | 2,552 |
| IndyMac INDX Mortgage Loan Trust | | |
| Series 2005-AR3, Class 3A1, 2.55%, 4/25/2035 (j) | 184 | 184 |
| Series 2005-AR14, Class 2A1A, 1.27%, 7/25/2035 (j) | 746 | 665 |
| Series 2007-AR21, Class 6A1, 2.66%, 9/25/2037 (j) | 4,601 | 3,775 |
| JPMorgan Alternative Loan Trust Series 2006-A2, Class 1A1, 1.03%, 5/25/2036 (j) | 2,582 | 2,401 |
| JPMorgan Mortgage Trust | | |
| Series 2006-S3, Class 2A4, 5.50%, 8/25/2021 | 8 | 7 |
| Series 2004-A6, Class 1A1, 2.59%, 12/25/2034 (j) | 67 | 65 |
| Series 2005-A3, Class 6A6, 2.90%, 6/25/2035 (j) | 154 | 156 |
| Series 2005-A6, Class 1A2, 2.60%, 9/25/2035 (j) | 168 | 166 |
| Series 2005-A8, Class 1A1, 2.74%, 11/25/2035 (j) | 91 | 81 |
| Series 2005-A8, Class 4A1, 2.82%, 11/25/2035 (j) | 1,378 | 1,259 |
| Series 2006-A7, Class 2A4, 3.10%, 1/25/2037 (j) | 424 | 390 |
| Series 2007-S1, Class 2A17, 1.00%, 3/25/2037 (j) | 3,709 | 1,090 |
| Legacy Mortgage Asset Trust | | |
| Series 2021-GS3, Class A2, 3.25%, 7/25/2061 (c) (h) | 2,800 | 2,597 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2021-GS1, Class A2, 3.84%, 10/25/2066 (c) (h) | 2,000 | 1,924 |
| Lehman Mortgage Trust | | |
| Series 2005-2, Class 2A5, 5.50%, 12/25/2035 | 708 | 513 |
| Series 2007-7, Class 5A7, 6.50%, 8/25/2037 | 7,067 | 4,311 |
| MASTR Alternative Loan Trust | | |
| Series 2004-8, Class 1A1, 6.50%, 9/25/2034 | 162 | 162 |
| Series 2004-12, Class 3A1, 6.00%, 12/25/2034 | 586 | 579 |
| Series 2005-3, Class 1A1, 5.50%, 4/25/2035 | 164 | 155 |
| Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | 212 | 135 |
| Series 2005-6, Class 1A2, 5.50%, 12/25/2035 | 429 | 346 |
| Merrill Lynch Mortgage Investors Trust | | |
| Series 2005-1, Class 2A2, 2.01%, 4/25/2035 (j) | 144 | 137 |
| Series 2006-1, Class 2A1, 1.98%, 2/25/2036 (j) | 811 | 826 |
| Series 2006-AF2, Class AF2, 6.25%, 10/25/2036 | 180 | 99 |
| METLIFE SECURITIZATION TRUST Series 2017-1A, Class A, 3.00%, 4/25/2055 (c) (j) | 2,817 | 2,772 |
| Morgan Stanley Mortgage Loan Trust | | |
| Series 2006-2, Class 1A, 5.25%, 2/25/2021 | 273 | 253 |
| Series 2004-8AR, Class 4A1, 2.47%, 10/25/2034 (j) | 409 | 414 |
| Series 2004-9, Class 1A, 5.36%, 11/25/2034 (j) | 443 | 455 |
| Series 2005-4, Class 1A, 5.00%, 8/25/2035 | 20 | 19 |
| MortgageIT Trust Series 2005-3, Class A1, 1.27%, 8/25/2035 (j) | — | — |
| New Residential Mortgage Loan Trust | | |
| Series 2019-NQM4, Class B1, 3.74%, 9/25/2059 ‡ (c) (j) | 2,500 | 2,336 |
| Series 2019-NQM4, Class B2, 4.96%, 9/25/2059 ‡ (c) (j) | 4,000 | 3,707 |
| Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 ‡ (c) (j) | 2,041 | 1,908 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-WF1, Class 2A5, 5.66%, 3/25/2035 (h) | 4 | 4 |
| PNMAC GMSR ISSUER TRUST Series 2018-GT1, Class A, 3.52%, 2/25/2023 (c) (j) | 3,715 | 3,700 |
| PRPM FRN 3.77% 03/26 3.77%, 3/25/2026 | 4,987 | 4,711 |
| PRPM LLC | | |
| Series 2020-4, Class A2, 3.44%, 10/25/2025 ‡ (c) (h) | 7,000 | 6,764 |
| Series 2020-6, Class A2, 4.70%, 11/25/2025 (c) (h) | 2,350 | 2,275 |
| Series 2021-1, Class A2, 3.72%, 1/25/2026 (c) (j) | 5,000 | 4,700 |
| Series 2021-3, Class A2, 3.72%, 4/25/2026 (c) (h) | 5,500 | 5,142 |
| Series 2021-5, Class A2, 3.72%, 6/25/2026 (c) (h) | 4,000 | 3,728 |
| Series 2021-6, Class A2, 3.47%, 7/25/2026 (c) (h) | 3,447 | 3,204 |
| Series 2021-7, Class A2, 3.67%, 8/25/2026 (c) (h) | 5,030 | 4,618 |
| Series 2021-8, Class A2, 3.60%, 9/25/2026 (c) (j) | 5,000 | 4,640 |
| Series 2021-10, Class A2, 4.83%, 10/25/2026 (c) (h) | 9,000 | 8,501 |
| Series 2021-11, Class A2, 4.58%, 11/25/2026 (c) (h) | 5,269 | 4,922 |
| RALI Trust | | |
| Series 2003-QS20, Class CB, 5.00%, 11/25/2018 | 3 | 2 |
| Series 2005-QA5, Class A2, 4.34%, 4/25/2035 (j) | 830 | 788 |
| Series 2005-QS17, Class A3, 6.00%, 12/25/2035 | 622 | 583 |
| Series 2006-QS3, Class 1A10, 6.00%, 3/25/2036 | 988 | 910 |
| Series 2006-QS4, Class A2, 6.00%, 4/25/2036 | 1,110 | 1,018 |
| Series 2006-QS17, Class A5, 6.00%, 12/25/2036 | 1,644 | 1,490 |
| Residential Asset Securitization Trust | | |
| Series 2005-A3, Class A2, 5.50%, 4/25/2035 | — | — |
| Series 2005-A8CB, Class A11, 6.00%, 7/25/2035 | 1,538 | 1,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 99 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Series 2005-A14, Class A1, 5.50%, 12/25/2035 | 132 | 81 |
| Series 2006-A8, Class 3A1, 6.00%, 8/25/2036 | 2,594 | 1,586 |
| Series 2007-A5, Class 2A2, 6.00%, 5/25/2037 | 6,465 | 4,496 |
| RFMSI Trust | | |
| Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 | — | — |
| Series 2005-S7, Class A6, 5.50%, 11/25/2035 | 61 | 54 |
| Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | 1,260 | 1,163 |
| Series 2006-SA4, Class 2A1, 4.75%, 11/25/2036 (j) | 1,006 | 950 |
| Seasoned Credit Risk Transfer Trust Series 2017-3, Class AIO, IO, 0.00%, 7/25/2056 (j) | 202,722 | 120 |
| Sequoia Mortgage Trust Series 2007-3, Class 1A1, 0.99%, 7/20/2036 (j) | 422 | 385 |
| Starwood Mortgage Residential Trust | | |
| Series 2020-1, Class B1, 3.73%, 2/25/2050 ‡ (c) (j) | 5,410 | 5,131 |
| Series 2020-INV1, Class B2, 4.26%, 11/25/2055 ‡ (c) | 1,600 | 1,553 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 1A1, 2.81%, 2/25/2035 (j) | 266 | 263 |
| Structured Asset Mortgage Investments II Trust | | |
| Series 2005-AR3, Class 1A1, 1.21%, 8/25/2035 (j) | 2,126 | 1,998 |
| Series 2007-AR7, Class 1A1, 1.52%, 5/25/2047 (j) | 2,838 | 2,473 |
| Verus Securitization Trust | | |
| Series 2019-INV2, Class B1, 4.45%, 7/25/2059 ‡ (c) (j) | 2,000 | 2,001 |
| Series 2019-INV3, Class B1, 3.73%, 11/25/2059 ‡ (c) (j) | 5,000 | 4,928 |
| Series 2021-R1, Class B1, 3.20%, 10/25/2063 ‡ (c) (j) | 2,000 | 1,943 |
| Series 2021-R1, Class B2, 4.20%, 10/25/2063 ‡ (c) (j) | 1,322 | 1,224 |
| Series 2021-R3, Class B1, 3.07%, 4/25/2064 ‡ (c) (j) | 2,500 | 2,388 |
| Series 2021-R3, Class B2, 4.07%, 4/25/2064 ‡ (c) (j) | 1,776 | 1,709 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2020-5, Class B1, 3.71%, 5/25/2065 ‡ (c) (j) | 2,400 | 2,256 |
| Series 2020-5, Class B2, 4.71%, 5/25/2065 ‡ (c) (j) | 1,400 | 1,317 |
| Series 2021-1, Class B1, 2.98%, 1/25/2066 ‡ (c) (j) | 3,150 | 2,878 |
| Series 2021-4, Class M1, 2.19%, 7/25/2066 (c) (j) | 1,121 | 972 |
| Series 2021-5, Class B1, 3.04%, 9/25/2066 ‡ (c) (j) | 3,826 | 3,343 |
| Series 2021-5, Class B2, 3.94%, 9/25/2066 ‡ (c) (j) | 3,750 | 3,262 |
| WaMu Mortgage Pass-Through Certificates Trust | | |
| Series 2004-AR11, Class A, 2.40%, 10/25/2034 (j) | 564 | 549 |
| Series 2005-AR5, Class A6, 2.93%, 5/25/2035 (j) | 1,262 | 1,255 |
| Series 2005-AR16, Class 1A1, 2.69%, 12/25/2035 (j) | 413 | 414 |
| Series 2005-AR14, Class 1A3, 2.86%, 12/25/2035 (j) | 945 | 944 |
| Series 2005-AR14, Class 1A4, 2.86%, 12/25/2035 (j) | 631 | 629 |
| Series 2005-AR18, Class 1A3A, 2.82%, 1/25/2036 (j) | 44 | 45 |
| Series 2006-AR2, Class 1A1, 3.08%, 3/25/2036 (j) | 150 | 149 |
| Series 2004-AR10, Class A1B, 1.51%, 7/25/2044 (j) | 517 | 503 |
| Series 2005-AR15, Class A1A1, 1.19%, 11/25/2045 (j) | 28 | 27 |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | | |
| Series 2005-1, Class 1A3, 5.50%, 3/25/2035 | 516 | 483 |
| Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 357 | 342 |
| Series 2005-10, Class 2A5, 5.75%, 11/25/2035 | 1,861 | 1,801 |
| Series 2005-10, Class 4CB1, 5.75%, 12/25/2035 | 573 | 554 |
| Series 2006-5, Class 2CB5, 6.50%, 7/25/2036 | 160 | 136 |
| Series 2007-1, Class 1A7, 1.27%, 2/25/2037 (j) | 2,584 | 1,845 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Collateralized Mortgage Obligations — continued |
| United States — continued |
| Wells Fargo Mortgage-Backed Securities Trust | | |
| Series 2006-AR19, Class A3, 2.74%, 12/25/2036 (j) | 122 | 116 |
| Series 2007-15, Class A1, 6.00%, 11/25/2037 | 147 | 135 |
| | | 461,261 |
Total Collateralized Mortgage Obligations
(Cost $511,211) | | 464,233 |
| INVESTMENTS | SHARES
(000) | |
| Exchange-Traded Funds — 2.6% |
| United States — 2.6% |
| JPMorgan Equity Premium Income ETF, (k)(Cost $332,142) | 5,366 | 314,304 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Loan Assignments — 2.4% (l) |
| Canada — 0.0% ^ |
| 1011778 BC ULC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 11/19/2026 (f) (l) | 660 | 646 |
| West Jet, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/2026 (f) (l) | 645 | 623 |
| | | 1,269 |
| France — 0.0% ^ |
| Altice France, 1st Lien Term Loan B-13 (ICE LIBOR USD 3 Month + 4.00%), 4.51%, 8/14/2026 (f) (l) | 2,661 | 2,638 |
| Numericable US LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.69%), 4.73%, 1/31/2026 (f) (l) | 544 | 538 |
| | | 3,176 |
| Ireland — 0.0% ^ |
| ICON, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 3.31%, 7/3/2028 (f) (l) | 119 | 118 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Luxembourg — 0.1% |
| ICON, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 3.31%, 7/3/2028 (f) (l) | 478 | 475 |
| Nestle Skin Health, Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.76%, 10/1/2026 (f) (l) | 9,809 | 9,713 |
| | | 10,188 |
| Netherlands — 0.0% ^ |
| Commscope, Inc., 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 4/6/2026 (f) (l) | 1,221 | 1,173 |
| United Kingdom — 0.0% ^ |
| Cineworld Finance US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 4.00%, 2/28/2025 (f) (l) | 432 | 329 |
| Delta 2 Lux SARL, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 2/1/2024 (f) (l) | 467 | 464 |
| | | 793 |
| United States — 2.3% |
| Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 4/10/2028 (f) (l) | 5,320 | 5,274 |
| Advanced Drainage Systems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.75%, 7/31/2026 (f) (l) | 310 | 309 |
| Air Medical Group, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 5.25%, 10/2/2025 (f) (l) | 449 | 445 |
| Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 4.99%, 8/30/2026 (f) (l) | 1,072 | 1,065 |
| Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), 4.52%, 10/8/2027 (f) (l) | 1,043 | 1,036 |
| Allied Universal Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 5/12/2028 (f) (l) | 816 | 794 |
| Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 3.79%, 7/15/2025 (f) (l) | 884 | 867 |
| Altium Packaging LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.52%, 2/3/2028 (f) (l) | 707 | 680 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 101 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/6/2024 (f) (l) | 1,047 | 1,041 |
| Ancestry.com, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 12/6/2027 (f) (l) | 1,010 | 985 |
| API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.26%, 10/1/2026 (f) (l) | 819 | 813 |
| AppleCaramel Buyer LLC, 1st Lien Term Loan B (3-MONTH PRIME + 3.75%), 4.45%, 10/19/2027 (f) (l) | 8,052 | 7,853 |
| Asplundh Tree Expert LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 9/7/2027 (f) (l) | 808 | 799 |
| Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.51%, 12/10/2027 (f) (l) (m) | 494 | 486 |
| Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 7/31/2027 (f) (l) | 268 | 261 |
| Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 6.01%, 1/31/2028 (f) (l) | 325 | 315 |
| Asurion LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 3.13%), 3.89%, 11/3/2023 (f) (l) | 541 | 539 |
| Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 11/3/2024 (f) (l) | 242 | 239 |
| Atkins Nutritionals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.90%, 7/7/2024 (f) (l) | 323 | 322 |
| Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.01%, 11/8/2027 (f) (l) | 916 | 910 |
| Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 2.76%, 6/1/2024 (f) (l) | 348 | 345 |
| B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.26%, 10/10/2026 (f) (l) | 476 | 466 |
| Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.20%, 3/1/2025 (f) (l) | 542 | 538 |
| Bausch Health Cos., Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.25%), 5.75%, 1/27/2027 (f) (l) (m) | 710 | 686 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 3.25%), 5.10%, 4/28/2028 (f) (l) | 730 | 707 |
| BJ's Wholesale Club, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.52%, 2/3/2024 (f) (l) | 361 | 361 |
| Bombardier Recreational Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.49%, 5/24/2027 (f) (l) | 503 | 494 |
| Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 8/1/2025 (f) (l) | 1,384 | 1,358 |
| Brooks Automation, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.35%), 3.85%, 2/1/2029 (f) (l) (m) | 851 | 839 |
| Brooks Automation, 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 5.60%), 6.10%, 2/1/2030 (f) (l) | 169 | 166 |
| Buckeye Partners, 1st Lien Term Loan B1 (ICE LIBOR USD 1 Month + 2.25%), 2.71%, 11/1/2026 (f) (l) | 558 | 553 |
| Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.71%, 4/3/2024 (f) (l) | 7,152 | 7,004 |
| Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.75%, 5/17/2028 (f) (l) | 5,806 | 4,819 |
| Caesars Resort Collection, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 12/23/2024 (f) (l) (m) | 1,246 | 1,240 |
| Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.76%, 1/15/2025 (f) (l) | 985 | 972 |
| Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 10/30/2026 (f) (l) | 691 | 685 |
| Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.51%, 2/16/2026 (f) (l) | 738 | 711 |
| CBS Radio, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.25%, 11/18/2024 (f) (l) | 244 | 238 |
| CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.01%, 3/15/2027 (f) (l) | 832 | 795 |
| Chamberlain Group, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.51%, 11/3/2028 (f) (l) | 655 | 642 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| Charter Communications Operating LLC, 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 1.75%), 2.52%, 2/1/2027 (f) (l) | 1,728 | 1,705 |
| Cincinnati Bell, 1st Lien Term Loan B-2 (ICE LIBOR USD 3 Month + 3.25%), 4.05%, 11/22/2028 (f) (l) | 2,250 | 2,237 |
| Cineworld Finance US, Inc., 1st Lien Term Loan B (3-MONTH FIXED + 7.00%), 15.25%, 5/23/2024 (f) (l) | 57 | 65 |
| CITGO Holding, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 7.00%), 7.76%, 8/1/2023 (f) (l) | 326 | 322 |
| Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 7.26%, 12/18/2026 (f) (l) (n) | 1,814 | 1,775 |
| Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.74%, 8/21/2026 (f) (l) | 2,492 | 2,429 |
| Club Car, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 4.56%, 6/1/2028 (f) (l) | 485 | 476 |
| Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.76%, 5/17/2028 (f) (l) | 1,071 | 1,047 |
| Conservice, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 5.01%, 5/13/2027 (f) (l) | 660 | 653 |
| Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 5/12/2028 (f) (l) | 786 | 773 |
| Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.20%, 3/2/2027 (f) (l) | 1,015 | 986 |
| CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.80%, 7/17/2025 (f) (l) | 1,340 | 1,312 |
| CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.80%, 1/15/2026 (f) (l) | 946 | 927 |
| CVS Holdings I LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 5.01%, 8/31/2026 (f) (l) | 587 | 575 |
| DaVita, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 8/12/2026 (f) (l) | 637 | 627 |
| DexKo Global, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.72%, 10/4/2028 (f) (l) | 4,957 | 4,829 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| DexKo Global, Inc., Delayed Draw Term Loan B-1 (3-MONTH UNFND + 3.75%), 4.76%, 10/4/2028 (f) (l) | 944 | 920 |
| Diamond Sports Group LLC, 2nd Lien Term Loan (1-MONTH SOFR + 3.25%), 4.09%, 8/24/2026 (f) (l) | 338 | 112 |
| DigiCert, 1st Lien Term Loan | | |
| (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 10/16/2026 (f) (l) | 480 | 477 |
| (ICE LIBOR USD 1 Month + 7.00%), 7.76%, 2/19/2029 (f) (l) | 145 | 143 |
| Directv Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 5.76%, 8/2/2027 (f) (l) | 7,443 | 7,405 |
| Duff & Phelps Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 4/9/2027 (f) (l) | 535 | 533 |
| E.W. Scripps Co., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 1/7/2028 (f) (l) | 565 | 562 |
| EIF Channelview Cogeneration LLC, Term Loan (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 5/3/2025 (f) (l) | 123 | 122 |
| Elanco Animal Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.21%, 8/1/2027 (f) (l) | 369 | 361 |
| Endo Pharmaceutical, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.81%, 3/27/2028 (f) (l) | 197 | 183 |
| Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 4.99%, 8/3/2026 (f) (l) (m) | 355 | 354 |
| Entegris, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 2.75%), 2.75%, 3/2/2029 (f) (l) (m) | 250 | 250 |
| Enterprise Development Authority (The), 1st lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.01%, 2/28/2028 (f) (l) | 571 | 568 |
| Envision, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 10/10/2025 (f) (l) | 883 | 536 |
| EPIC Crude Services LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 5.51%, 3/2/2026 (f) (l) | 10,016 | 8,617 |
| Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.50%, 12/15/2027 (f) (l) | 772 | 769 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 103 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022 ‡ (f) (i) (l) | 151 | 16 |
| First Student Bidco, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.98%, 7/21/2028 (f) (l) | 4,620 | 4,528 |
| First Student Bidco, 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.00%), 3.98%, 7/21/2028 (f) (l) | 1,710 | 1,675 |
| Garda World Security, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.92%, 10/30/2026 (f) (l) | 500 | 495 |
| Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.26%, 3/31/2027 (f) (l) | 1,055 | 1,034 |
| Gemini HDPE LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.50%, 12/31/2027 (f) (l) | 608 | 605 |
| Genesee & Wyoming, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 3.01%, 12/30/2026 (f) (l) | 1,022 | 1,012 |
| Geneys Telecom Holdings, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 12/1/2027 (f) (l) (m) | 6,173 | 6,150 |
| Getty Images, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 5.06%, 2/19/2026 (f) (l) | 570 | 567 |
| Go Daddy Group, Inc. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 2/15/2024 (f) (l) | 331 | 328 |
| GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 10/10/2025 (f) (l) | 946 | 936 |
| Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 8/4/2027 (f) (l) | 3,738 | 3,657 |
| Gray Television, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.96%, 1/2/2026 (f) (l) | 862 | 855 |
| Gray TV, 1st Lien Term Loan D (ICE LIBOR USD 1 Month + 3.00%), 3.46%, 12/1/2028 (f) (l) | 214 | 212 |
| Griffon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.27%, 1/24/2029 (f) (l) (m) | 866 | 857 |
| Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.22%, 10/1/2025 (f) (l) | 312 | 310 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Harsco Corp., Term Loan B-3 (ICE LIBOR USD 1 Month + 2.25%), 3.13%, 3/10/2028 (f) (l) | 531 | 517 |
| Hearthside Group Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.69%), 4.45%, 5/23/2025 (f) (l) | 348 | 332 |
| Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 6/30/2028 (f) (l) | 886 | 882 |
| Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 6/30/2028 (f) (l) | 168 | 167 |
| Holley, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 11/17/2028 (f) (l) | 425 | 416 |
| Holley, Inc., Delayed Draw Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.58%, 11/17/2028 (f) (l) (m) | 21 | 21 |
| Hostess Brands LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.36%, 8/3/2025 (f) (l) | 682 | 672 |
| HUB International, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.21%, 4/25/2025 (f) (l) | 613 | 604 |
| Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 7/1/2024 (f) (l) | 478 | 476 |
| iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 5/1/2026 (f) (l) (m) | 4,297 | 4,257 |
| iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 5/1/2026 (f) (l) | 150 | 149 |
| INEOS Enterprises, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 8/28/2026 (f) (l) | 530 | 526 |
| Ineos US Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.00%, 11/8/2028 (f) (l) (m) | 500 | 496 |
| INEOS US Petrochem LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 1/29/2026 (f) (l) | 347 | 343 |
| Ingram Micro, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.51%, 6/30/2028 (f) (l) | 570 | 568 |
| Insulet, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 5/4/2028 (f) (l) (m) | 1,188 | 1,186 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| Intelsat Jackson Holding, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.92%, 2/1/2029 (f) (l) (m) | 933 | 905 |
| Interior Logic Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 4/3/2028 (f) (l) | 705 | 601 |
| Invenergy, Term Loan (1-MONTH SOFR + 3.75%), 4.56%, 8/28/2025 (f) (l) | 282 | 275 |
| ION Corporates, 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 4.62%, 3/11/2028 (f) (l) | 389 | 386 |
| IRB Holding Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.76%, 2/5/2025 (f) (l) | 1,115 | 1,104 |
| Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 5/5/2028 (f) (l) | 844 | 843 |
| JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.00%), 2.80%, 5/1/2026 (f) (l) | 3,601 | 3,586 |
| KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 12/22/2025 (f) (l) | 1,027 | 1,012 |
| LABL, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.76%, 10/29/2028 (f) (l) | 4,976 | 4,880 |
| LegalShield, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 4.25%, 12/15/2028 (f) (l) | 330 | 326 |
| Leslie's Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.02%, 3/9/2028 (f) (l) | 1,230 | 1,213 |
| LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 11/16/2025 (f) (l) | 590 | 582 |
| LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 5.30%, 8/31/2027 (f) (l) | 696 | 668 |
| Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.52%, 6/21/2028 (f) (l) | 5,076 | 4,917 |
| Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 10/18/2028 (f) (l) | 448 | 447 |
| Medline, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 10/23/2028 (f) (l) (m) | 3,743 | 3,677 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| MetroNet Systems Holdings LLC, 1st Lien Term Loan B (1-MONTH SOFR + 3.75%), 4.50%, 6/2/2028 (f) (l) | 471 | 467 |
| MH Sub I LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 9/13/2024 (f) (l) | 723 | 719 |
| MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH SOFR + 3.50%), 4.20%, 12/18/2027 (f) (l) | 302 | 299 |
| Mirion Technologies, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 3.25%, 10/20/2028 (f) (l) | 499 | 492 |
| Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 (f) (l) | 449 | 404 |
| Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.01%, 4/1/2024 ‡ (f) (l) | 3,373 | 3,036 |
| Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.01%, 10/1/2024 (f) (l) | 2,639 | 1,848 |
| NAI Entertainment Holdings, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 5/8/2025 (f) (l) | 292 | 287 |
| Naked Juice LLC, Delayed Draw 1st Liend Term Loan 0.00%, 1/24/2029 (f) (l) | 16 | 15 |
| Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 10/1/2027 (f) (l) | 451 | 449 |
| Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.96%, 9/18/2026 (f) (l) | 943 | 934 |
| Nielsen Finance LLC, 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 2.00%), 2.49%, 10/4/2023 (f) (l) | 282 | 282 |
| Nielsen Holdings plc, Term Loan B3 (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 3/6/2028 (f) (l) | 465 | 462 |
| Option Care Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 10/27/2028 (f) (l) | 608 | 606 |
| Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 6/23/2028 (f) (l) | 562 | 553 |
| Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 9/24/2028 (f) (l) | 2,375 | 2,314 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 105 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| Parexel International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 11/15/2028 (f) (l) (m) | 5,180 | 5,140 |
| Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 4.76%, 3/31/2027 (f) (l) | 735 | 728 |
| PCI Pharma, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 4.76%, 11/30/2027 (f) (l) | 833 | 827 |
| Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 2/14/2025 (f) (l) | 786 | 781 |
| Petco Health & Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.26%, 3/3/2028 (f) (l) | 6,624 | 6,553 |
| PetVet Care Centers, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 2/14/2025 (f) (l) | 545 | 539 |
| PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.81%, 6/23/2025 (f) (l) | 806 | 795 |
| Pike Corp., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.77%, 1/21/2028 (f) (l) (m) | 881 | 875 |
| Plantronics, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.26%, 7/2/2025 (f) (l) | 1,749 | 1,733 |
| PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.74%, 6/9/2028 (f) (l) | 486 | 480 |
| Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 9/23/2026 (f) (l) | 1,238 | 1,222 |
| PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.22%, 12/28/2027 (f) (l) | 2,595 | 2,458 |
| Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 6/1/2026 (f) (l) | 400 | 393 |
| Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 3.76%, 8/31/2028 (f) (l) | 489 | 480 |
| Pure Fishing, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 5.26%, 12/22/2025 (f) (l) | 11,570 | 10,789 |
| Qlik Technologies, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.77%, 4/26/2024 (f) (l) | 400 | 398 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 4.25%), 4.75%, 2/1/2029 (f) (l) | 795 | 780 |
| Quidditch Acquisition, Inc., 1st Lien Cov-Lite Term Loan (ICE LIBOR USD 1 Month + 7.00%), 8.00%, 3/21/2025 (f) (l) | 144 | 138 |
| Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 6/11/2028 (f) (l) | 674 | 656 |
| Radiology Partners, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.85%, 7/9/2025 (f) (l) | 550 | 541 |
| RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 4/24/2028 (f) (l) | 542 | 533 |
| Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.26%, 11/8/2024 (f) (l) | 329 | 324 |
| Reynolds Consumer Products, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 2/4/2027 (f) (l) | 816 | 802 |
| Reynolds Group Holdings, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 2/5/2026 (f) (l) | 671 | 652 |
| Ring Container Technologies LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 4.27%, 8/12/2028 (f) (l) | 429 | 426 |
| Sabre Holdings Corp., 1st Lien Term Loan B | | |
| (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 12/17/2027 (f) (l) | 2,140 | 2,119 |
| (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 12/17/2027 (f) (l) | 1,343 | 1,330 |
| Samsonite International SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 4/25/2025 (f) (l) | 400 | 392 |
| Shearer's Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.26%, 9/23/2027 (f) (l) | 325 | 314 |
| Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.76%, 9/25/2026 (f) (l) | 3,505 | 3,237 |
| Solenis International LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.81%, 11/9/2028 (f) (l) | 2,956 | 2,894 |
| Spin Holdco, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 3/4/2028 (f) (l) | 544 | 542 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| Spirit AeroSystems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 1/15/2025 (f) (l) | 1,520 | 1,515 |
| SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH SOFR + 4.50%), 5.30%, 4/5/2029 (f) (l) (m) | 3,485 | 3,392 |
| SRS Distribution, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%; 3 Month SOFR + 3.50%), 4.00%, 6/2/2028 (f) (l) | 476 | 458 |
| SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 4/16/2025 (f) (l) | 316 | 311 |
| SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 1.75%), 2.51%, 4/16/2025 (f) (l) | 257 | 253 |
| St. George's University Scholastic Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 2/10/2029 (f) (l) | 717 | 708 |
| Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 5.32%, 4/16/2026 (f) (l) | 1,167 | 1,117 |
| Star Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.92%, 2/6/2026 (f) (l) | 722 | 716 |
| Summer BC Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 5.51%, 12/4/2026 (f) (l) (m) | 1,906 | 1,897 |
| Summit Materials LLC, Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.76%, 11/21/2024 (f) (l) | 459 | 459 |
| Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 3/17/2027 (f) (l) | 712 | 705 |
| Synaptics, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 2.75%, 12/2/2028 (f) (l) | 703 | 699 |
| Team Health Holdings, 1st Lien Term Loan B (1-MONTH SOFR + 5.25%), 3.75%, 2/6/2024 (f) (l) | 416 | 386 |
| Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 9/15/2028 (f) (l) | 415 | 410 |
| Tekni-Plex, Inc., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 9/15/2028 (f) (l) (m) | 37 | 37 |
| Tenneco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 10/1/2025 (f) (l) | 663 | 653 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.51%, 3/24/2028 (f) (l) | 284 | 281 |
| Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (ICE LIBOR USD 6 Month + 3.50%), 4.02%, 7/30/2027 (f) (l) | 2,893 | 2,863 |
| Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.35%, 3/28/2025 (f) (l) | 7,095 | 6,925 |
| Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 6/29/2028 (f) (l) | 619 | 586 |
| Traeger Grills, Delayed Draw Term Loan (3-MONTH UNFND + 3.25%), 4.24%, 6/29/2028 (f) (l) (m) | 20 | 19 |
| Trans Union LLC, Term Loan B6 (ICE LIBOR USD 1 Month + 2.25%), 3.01%, 12/1/2028 (f) (l) | 737 | 729 |
| TransDigm Group, Inc., 1st Lien Term Loan E (ICE LIBOR USD 1 Month + 2.25%), 3.01%, 5/30/2025 (f) (l) | 1,066 | 1,046 |
| TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.25%), 3.01%, 12/9/2025 (f) (l) | 1,742 | 1,707 |
| Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.76%, 9/6/2024 (f) (l) | 336 | 332 |
| Triton Water Holdings, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.51%, 3/31/2028 (f) (l) | 4,349 | 4,218 |
| Tropicana, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 1/24/2029 (f) (l) | 298 | 292 |
| Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 1/31/2028 (f) (l) | 1,849 | 1,723 |
| U.S. Renal Care, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.50%, 6/26/2026 (f) (l) | 4,085 | 3,605 |
| UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 4/29/2026 (f) (l) | 2,760 | 2,717 |
| Ultimate Software Group, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.21%, 5/4/2026 (f) (l) | 1,147 | 1,134 |
| Ultra Resources, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 3.75%, 11/17/2028 (f) (l) (m) | 596 | 591 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 107 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Loan Assignments — continued |
| United States — continued |
| United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 10/22/2025 (f) (l) | 1,351 | 1,341 |
| Univision Communications Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 3/15/2026 (f) (l) (m) | 788 | 780 |
| USI, Inc., Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.01%, 5/16/2024 (f) (l) | 537 | 532 |
| Utz Quality Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 1/20/2028 (f) (l) | 405 | 401 |
| Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 6/2/2025 (f) (l) | 9,633 | 9,575 |
| Vertex Aerospace, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.76%, 12/6/2028 (f) (l) | 474 | 472 |
| Virtusa Corp., 1st Lien Term Loan B | | |
| (ICE LIBOR USD 1 Month + 3.75%), 4.51%, 2/11/2028 (f) (l) | 144 | 142 |
| (3-MONTH SOFR + 3.75%), 4.55%, 2/15/2029 (f) (l) | 323 | 319 |
| Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.01%, 8/3/2028 (f) (l) (m) | 898 | 888 |
| Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 5.25%, 5/11/2028 (f) (l) | 636 | 592 |
| WIRB Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.01%, 1/8/2027 (f) (l) | 1,417 | 1,413 |
| WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 2.89%, 1/20/2028 (f) (l) | 1,249 | 1,237 |
| Zayo Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.76%, 3/9/2027 (f) (l) | 421 | 399 |
| Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.63%, 1/24/2027 (f) (l) | 662 | 651 |
| | | 275,837 |
Total Loan Assignments
(Cost $299,036) | | 292,554 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Asset-Backed Securities — 1.3% |
| Cayman Islands — 0.0% ^ |
| BlueMountain CLO Ltd. Series 2018-3A, Class D, 4.43%, 10/25/2030 ‡ (c) (j) | 685 | 670 |
| Voya CLO Ltd. Series 2016-3A, Class CR, 4.29%, 10/18/2031 ‡ (c) (j) | 550 | 514 |
| | | 1,184 |
| United States — 1.3% |
| ABFC Trust | | |
| Series 2003-OPT1, Class A1A, 1.49%, 4/25/2033 ‡ (j) | 154 | 150 |
| Series 2004-OPT3, Class M1, 1.42%, 9/25/2033 ‡ (j) | 511 | 506 |
| Series 2004-HE1, Class M1, 1.57%, 3/25/2034 (j) | 734 | 718 |
| ACC Trust Series 2019-1, Class C, 6.41%, 2/20/2024 (c) | 1,448 | 1,454 |
| Accredited Mortgage Loan Trust Series 2004-4, Class M1, 1.54%, 1/25/2035 ‡ (j) | 487 | 459 |
| ACE Securities Corp. Home Equity Loan Trust | | |
| Series 2003-FM1, Class M1, 1.96%, 11/25/2032 ‡ (j) | 483 | 496 |
| Series 2004-OP1, Class M2, 2.24%, 4/25/2034 ‡ (j) | 1,921 | 1,900 |
| American Credit Acceptance Receivables Trust | | |
| Series 2019-1, Class F, 6.06%, 12/12/2025 (c) | 1,630 | 1,656 |
| Series 2019-3, Class F, 5.42%, 5/12/2026 (c) | 1,210 | 1,215 |
| Series 2020-2, Class D, 5.65%, 5/13/2026 (c) | 900 | 918 |
| Series 2019-2, Class F, 5.81%, 6/12/2026 (c) | 510 | 515 |
| Series 2021-2, Class E, 2.54%, 7/13/2027 (c) | 1,400 | 1,325 |
| Series 2021-3, Class D, 1.34%, 11/15/2027 (c) | 700 | 658 |
| Series 2022-1, Class E, 3.64%, 3/13/2028 (c) | 1,473 | 1,363 |
| Ameriquest Mortgage Securities, Inc. Series 2004-R1, Class A2, 1.27%, 2/25/2034 ‡ (j) | 571 | 551 |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2002-AR1, Class M1, 1.73%, 9/25/2032 ‡ (j) | 196 | 204 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 108 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Asset-Backed Securities — continued |
| United States — continued |
| Asset-Backed Securities Corp. Home Equity Loan Trust | | |
| Series 2004-HE2, Class M2, 2.54%, 4/25/2034 ‡ (j) | 752 | 730 |
| Series 2004-HE7, Class M2, 2.24%, 10/25/2034 ‡ (j) | 694 | 719 |
| Series 2005-HE6, Class M4, 1.63%, 7/25/2035 ‡ (j) | 158 | 158 |
| Bear Stearns Asset-Backed Securities I Trust Series 2004-HE11, Class M2, 2.24%, 12/25/2034 ‡ (j) | — | — |
| Bear Stearns Asset-Backed Securities Trust | | |
| Series 2003-SD1, Class M1, 1.94%, 12/25/2033 ‡ (j) | 388 | 385 |
| Series 2004-HE2, Class M2, 2.47%, 3/25/2034 ‡ (j) | 129 | 143 |
| Series 2003-1, Class M1, 2.32%, 11/25/2042 ‡ (j) | 126 | 137 |
| Series 2004-SD4, Class A1, 1.57%, 8/25/2044 ‡ (j) | 671 | 668 |
| Centex Home Equity Loan Trust | | |
| Series 2004-C, Class M2, 1.46%, 6/25/2034 ‡ (j) | 398 | 379 |
| Series 2004-D, Class MV2, 1.70%, 9/25/2034 ‡ (j) | 134 | 136 |
| Series 2004-D, Class MF2, 6.06%, 9/25/2034 ‡ (h) | 603 | 588 |
| Series 2004-D, Class MF3, 6.26%, 9/25/2034 ‡ (h) | 1,640 | 1,550 |
| Chase Funding Trust | | |
| Series 2003-5, Class 1M2, 5.64%, 9/25/2032 ‡ (j) | 116 | 102 |
| Series 2004-1, Class 1M1, 4.73%, 5/25/2033 ‡ | 841 | 816 |
| Series 2003-4, Class 1A5, 4.96%, 5/25/2033 ‡ (h) | 619 | 582 |
| Series 2004-1, Class 2M1, 1.42%, 9/25/2033 ‡ (j) | 30 | 30 |
| Series 2004-2, Class 1M1, 5.70%, 2/26/2035 ‡ (j) | 1,803 | 1,695 |
| CHEC Loan Trust Series 2004-1, Class M1, 1.57%, 7/25/2034 ‡ (c) (j) | 632 | 622 |
| Citigroup Mortgage Loan Trust, Inc. | | |
| Series 2005-OPT1, Class M4, 1.72%, 2/25/2035 ‡ (j) | 147 | 145 |
| Series 2005-WF2, Class AF7, 5.75%, 8/25/2035 ‡ (h) | 27 | 25 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2020-9, Class PT, 8.37%, 4/15/2045 (c) (j) | 2,116 | 2,065 |
| Countrywide Asset-Backed Certificates | | |
| Series 2004-3, Class M1, 1.42%, 6/25/2034 (j) | 427 | 416 |
| Series 2004-3, Class M2, 1.49%, 6/25/2034 ‡ (j) | 397 | 393 |
| Series 2004-BC4, Class M1, 1.72%, 11/25/2034 ‡ (j) | 67 | 67 |
| Series 2004-ECC2, Class M2, 1.64%, 12/25/2034 ‡ (j) | 247 | 243 |
| Series 2005-AB4, Class 2A1, 1.21%, 3/25/2036 ‡ (j) | 1,241 | 1,158 |
| Countrywide Partnership Trust Series 2004-EC1, Class M2, 1.61%, 1/25/2035 ‡ (j) | 290 | 288 |
| CWABS Asset-Backed Certificates Trust Series 2005-11, Class AF6, 5.05%, 2/25/2036 ‡ (j) | 101 | 100 |
| CWABS, Inc., Asset-Backed Certificates | | |
| Series 2004-1, Class M3, 1.64%, 2/25/2034 ‡ (j) | 513 | 512 |
| Series 2004-1, Class M2, 1.49%, 3/25/2034 ‡ (j) | 404 | 401 |
| Series 2004-5, Class M2, 1.67%, 7/25/2034 ‡ (j) | 852 | 850 |
| Drive Auto Receivables Trust Series 2021-2, Class A2, 0.36%, 5/15/2024 | 44 | 44 |
| DT Auto Owner Trust | | |
| Series 2019-1A, Class E, 4.94%, 2/17/2026 (c) | 3,690 | 3,741 |
| Series 2019-2A, Class E, 4.46%, 5/15/2026 (c) | 4,167 | 4,169 |
| Series 2019-3A, Class E, 3.85%, 8/17/2026 (c) | 3,900 | 3,904 |
| Series 2021-3A, Class D, 1.31%, 5/17/2027 (c) | 600 | 549 |
| Series 2021-2A, Class E, 2.97%, 7/17/2028 (c) | 1,235 | 1,145 |
| Exeter Automobile Receivables Trust | | |
| Series 2019-1A, Class E, 5.20%, 1/15/2026 (c) | 4,340 | 4,412 |
| Series 2019-3A, Class E, 4.00%, 8/17/2026 (c) | 2,333 | 2,323 |
| Series 2020-1A, Class E, 3.74%, 1/15/2027 (c) | 2,690 | 2,644 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 109 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Asset-Backed Securities — continued |
| United States — continued |
| Series 2021-4A, Class E, 4.02%, 1/17/2028 (c) | 1,070 | 999 |
| Finance America Mortgage Loan Trust Series 2004-3, Class M2, 1.61%, 11/25/2034 ‡ (j) | 139 | 135 |
| First Franklin Mortgage Loan Asset-Backed Certificates Series 2004-FF3, Class M1, 1.49%, 5/25/2034 ‡ (j) | 406 | 397 |
| Ford Credit Auto Owner Trust | | |
| Series 2020-C, Class A2, 0.25%, 9/15/2023 | 16 | 16 |
| Series 2019-B, Class A3, 2.23%, 10/15/2023 | 24 | 24 |
| FREED ABS Trust Series 2019-1, Class C, 5.39%, 6/18/2026 ‡ (c) | 862 | 862 |
| Fremont Home Loan Trust | | |
| Series 2002-1, Class M1, 1.92%, 8/25/2033 ‡ (j) | 765 | 772 |
| Series 2004-B, Class M2, 1.61%, 5/25/2034 ‡ (j) | 319 | 318 |
| Series 2004-C, Class M1, 1.64%, 8/25/2034 ‡ (j) | 523 | 509 |
| Series 2004-D, Class M1, 1.54%, 11/25/2034 (j) | 1,356 | 1,257 |
| Series 2004-D, Class M2, 1.57%, 11/25/2034 (j) | 226 | 211 |
| GLS Auto Receivables Issuer Trust | | |
| Series 2019-1A, Class D, 4.94%, 12/15/2025 (c) | 540 | 546 |
| Series 2019-2A, Class D, 4.52%, 2/17/2026 (c) | 1,000 | 1,002 |
| GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3, 2.18%, 4/16/2024 | 19 | 19 |
| GSAMP Trust | | |
| Series 2003-SEA, Class A1, 1.47%, 2/25/2033 ‡ (j) | 532 | 515 |
| Series 2003-HE1, Class M1, 1.84%, 6/20/2033 ‡ (j) | 1,070 | 1,054 |
| Series 2005-NC1, Class M1, 1.34%, 2/25/2035 ‡ (j) | 232 | 237 |
| Series 2006-FM1, Class A2C, 0.99%, 4/25/2036 ‡ (j) | 2,126 | 1,632 |
| Home Equity Mortgage Loan Asset-Backed Trust SPMD | | |
| Series 2004-B, Class M2, 1.79%, 11/25/2034 ‡ (j) | 353 | 350 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Series 2004-C, Class M2, 1.57%, 3/25/2035 ‡ (j) | 636 | 581 |
| Hyundai Auto Receivables Trust Series 2020-C, Class A2, 0.26%, 9/15/2023 | 18 | 18 |
| LendingClub Loan Certificate Issuer Trust | | |
| Series 2022-NP3, Class CERT, 0.00%, 5/15/2037 ‡ (c) | 125 | 4,178 |
| Series 2022-P3, Class CERT, 0.00%, 5/15/2037 ‡ (c) | 125 | 3,359 |
| Lendingpoint Asset Securitization Trust Series 2021-B, Class B, 1.68%, 2/15/2029 (c) | 750 | 706 |
| Lendmark Funding Trust Series 2021-1A, Class D, 5.05%, 11/20/2031 (c) | 1,100 | 966 |
| Long Beach Mortgage Loan Trust Series 2003-4, Class M1, 1.69%, 8/25/2033 ‡ (j) | 48 | 47 |
| Marlette Funding Trust Series 2017-3A, Class D, 5.03%, 12/15/2024 ‡ (c) | 72 | 72 |
| Mastr Asset-Backed Securities Trust | | |
| Series 2003-OPT1, Class M3, 4.79%, 12/25/2032 ‡ (j) | 1,632 | 1,608 |
| Series 2004-OPT2, Class M2, 1.64%, 9/25/2034 ‡ (j) | 554 | 538 |
| Series 2005-NC1, Class M4, 1.81%, 12/25/2034 ‡ (j) | 554 | 560 |
| ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (c) | 2,395 | 2,405 |
| Merrill Lynch Mortgage Investors Trust | | |
| Series 2003-OPT1, Class M1, 1.64%, 7/25/2034 (j) | 185 | 180 |
| Series 2004-HE2, Class M1, 1.87%, 8/25/2035 ‡ (j) | 85 | 83 |
| Morgan Stanley ABS Capital I, Inc. Trust | | |
| Series 2003-NC10, Class M1, 1.69%, 10/25/2033 (j) | 354 | 350 |
| Series 2004-HE1, Class M1, 1.52%, 1/25/2034 (j) | 321 | 319 |
| Series 2004-NC3, Class M1, 1.46%, 3/25/2034 ‡ (j) | 1,308 | 1,281 |
| Series 2004-NC5, Class M1, 1.57%, 5/25/2034 ‡ (j) | 3,100 | 2,971 |
| Series 2004-WMC2, Class M1, 1.58%, 7/25/2034 ‡ (j) | 977 | 959 |
| Series 2004-WMC2, Class M2, 2.47%, 7/25/2034 ‡ (j) | 186 | 190 |
| Series 2004-HE6, Class M2, 1.57%, 8/25/2034 (j) | 631 | 607 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 110 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Asset-Backed Securities — continued |
| United States — continued |
| Series 2004-HE7, Class M2, 1.61%, 8/25/2034 ‡ (j) | 168 | 164 |
| Series 2004-HE6, Class M3, 1.64%, 8/25/2034 (j) | 417 | 398 |
| Series 2004-HE7, Class M3, 1.69%, 8/25/2034 ‡ (j) | 35 | 34 |
| Series 2004-HE8, Class M2, 1.69%, 9/25/2034 ‡ (j) | 236 | 229 |
| Series 2004-NC8, Class M3, 1.78%, 9/25/2034 ‡ (j) | 315 | 312 |
| Series 2004-HE8, Class M3, 1.79%, 9/25/2034 ‡ (j) | 415 | 401 |
| Series 2005-HE1, Class M2, 1.37%, 12/25/2034 ‡ (j) | 256 | 245 |
| Series 2005-NC1, Class M3, 1.43%, 1/25/2035 ‡ (j) | 263 | 254 |
| Morgan Stanley Mortgage Loan Trust Series 2007-5AX, Class 2A2, 0.97%, 2/25/2037 ‡ (j) | 3,075 | 988 |
| New Century Home Equity Loan Trust | | |
| Series 2004-1, Class M1, 1.55%, 5/25/2034 (j) | 1,462 | 1,432 |
| Series 2004-2, Class M2, 1.60%, 8/25/2034 ‡ (j) | 102 | 101 |
| Series 2004-2, Class M4, 2.47%, 8/25/2034 ‡ (j) | 180 | 179 |
| Series 2004-3, Class M2, 1.64%, 11/25/2034 ‡ (j) | 320 | 317 |
| Series 2004-3, Class M3, 1.73%, 11/25/2034 ‡ (j) | 201 | 202 |
| Series 2004-4, Class M2, 1.46%, 2/25/2035 ‡ (j) | 286 | 281 |
| NovaStar Mortgage Funding Trust Series 2003-2, Class M2, 3.44%, 9/25/2033 ‡ (j) | 1,127 | 1,149 |
| Oak Street Investment Grade Net Lease Fund | | |
| Series 2021-1A, Class A3, 2.80%, 1/20/2051 (c) | 2,500 | 2,351 |
| Series 2021-1A, Class B1, 4.23%, 1/20/2051 ‡ (c) | 1,250 | 1,187 |
| OneMain Financial Issuance Trust | | |
| Series 2015-3A, Class C, 5.82%, 11/20/2028 ‡ (c) | 786 | 787 |
| Series 2019-1A, Class B, 3.79%, 2/14/2031 ‡ (c) | 990 | 991 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Option One Mortgage Accept Corp. Asset-Backed Certificates | | |
| Series 2003-5, Class A2, 1.31%, 8/25/2033 ‡ (j) | 277 | 268 |
| Series 2003-5, Class M2, 2.99%, 8/25/2033 ‡ (j) | 33 | 39 |
| Option One Mortgage Loan Trust Series 2004-3, Class M2, 1.52%, 11/25/2034 ‡ (j) | 366 | 356 |
| People's Choice Home Loan Securities Trust Series 2004-2, Class M3, 2.39%, 10/25/2034 ‡ (j) | 1,910 | 1,868 |
| PNMAC FMSR ISSUER TRUST Series 2018-FT1, Class A, 3.02%, 4/25/2023 (c) (j) | 2,878 | 2,843 |
| PRET LLC | | |
| Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (c) (h) | 3,234 | 3,068 |
| Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (c) (h) | 3,333 | 3,067 |
| Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 ‡ (c) (h) | 6,250 | 5,879 |
| Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (c) (j) | 5,000 | 4,820 |
| Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (c) (h) | 4,000 | 3,803 |
| Pretium Mortgage Credit Partners LLC Series 2021-RN1, Class A2, 3.60%, 2/25/2061 (c) (h) | 5,000 | 4,684 |
| Progress Residential Trust | | |
| Series 2021-SFR8, Class G, 4.01%, 10/17/2038 ‡ (c) | 6,080 | 5,376 |
| Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (c) | 1,250 | 1,213 |
| RAMP Trust Series 2002-RS2, Class AI5, 6.03%, 3/25/2032 ‡ (j) | 227 | 216 |
| RASC Trust Series 2005-KS2, Class M1, 1.31%, 3/25/2035 ‡ (j) | 185 | 184 |
| RCO VII Mortgage LLC Series 2021-1, Class A1, 1.87%, 5/26/2026 (c) (h) | 2,387 | 2,266 |
| Renaissance Home Equity Loan Trust | | |
| Series 2002-3, Class M1, 2.17%, 12/25/2032 ‡ (j) | 356 | 342 |
| Series 2003-1, Class M1, 2.17%, 6/25/2033 ‡ (j) | 155 | 151 |
| Series 2003-4, Class M1, 1.94%, 3/25/2034 ‡ (j) | 1,185 | 1,146 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 111 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Asset-Backed Securities — continued |
| United States — continued |
| Series 2003-4, Class M2F, 6.24%, 3/25/2034 ‡ (h) | 637 | 631 |
| Santander Drive Auto Receivables Trust Series 2021-2, Class A3, 0.34%, 2/18/2025 | 158 | 158 |
| Santander Prime Auto Issuance Notes Trust | | |
| Series 2018-A, Class E, 5.04%, 9/15/2025 (c) | 291 | 293 |
| Series 2018-A, Class F, 6.80%, 9/15/2025 (c) | 441 | 442 |
| SASCO Mortgage Loan Trust Series 2004-GEL3, Class M1, 2.24%, 8/25/2034 (j) | 649 | 641 |
| Saxon Asset Securities Trust Series 2004-2, Class MV2, 2.47%, 8/25/2035 ‡ (j) | 260 | 254 |
| Securitized Asset-Backed Receivables LLC Trust | | |
| Series 2004-NC1, Class M1, 1.45%, 2/25/2034 ‡ (j) | 1,202 | 1,181 |
| Series 2005-OP1, Class M2, 1.34%, 1/25/2035 ‡ (j) | 397 | 376 |
| Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (c) (h) | 5,500 | 5,158 |
| Structured Asset Investment Loan Trust Series 2004-5, Class M3, 1.60%, 5/25/2034 ‡ (j) | 2 | 2 |
| Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡ | 1,151 | 749 |
| Upstart Pass-Through Trust | | |
| Series 2022-PT3, Class A, HB, 20.27%, 4/20/2030 (c) (j) | 2,922 | 2,958 |
| Series 2022-PT4, Class A, 19.72%, 5/20/2030 (c) (j) | 5,000 | 5,080 |
| Upstart Securitization Trust Series 2022-1, Class C, 5.71%, 3/20/2032 (c) | 1,200 | 1,132 |
| Wells Fargo Home Equity Asset-Backed Securities Trust | | |
| Series 2004-2, Class M1, 1.57%, 10/25/2034 ‡ (j) | 390 | 384 |
| Series 2004-2, Class M8B, 5.00%, 10/25/2034 ‡ (c) (j) | 290 | 275 |
| Series 2004-2, Class M8A, 5.17%, 10/25/2034 ‡ (c) (j) | 290 | 296 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| United States — continued |
| Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1, Class M2, 1.61%, 4/25/2034 ‡ (j) | 74 | 74 |
| Westlake Automobile Receivables Trust Series 2019-2A, Class F, 5.00%, 3/16/2026 (c) | 1,880 | 1,888 |
| | | 161,518 |
Total Asset-Backed Securities
(Cost $163,719) | | 162,702 |
| Foreign Government Securities — 1.2% |
| Angola — 0.1% |
| Republic of Angola | | |
| 9.50%, 11/12/2025 (b) | 970 | 1,032 |
| 8.00%, 11/26/2029 (b) | 780 | 727 |
| 8.00%, 11/26/2029 (c) | 1,550 | 1,445 |
| 9.13%, 11/26/2049 (b) | 1,840 | 1,625 |
| | | 4,829 |
| Argentina — 0.0% ^ |
| Argentine Republic | | |
| 1.00%, 7/9/2029 | 354 | 113 |
| 0.50%, 7/9/2030 (h) | 1,853 | 582 |
| 1.13%, 7/09/2035 (h) | 5,116 | 1,450 |
| 2.00%, 1/9/2038 (h) | 1,486 | 531 |
| 2.50%, 7/9/2041 (h) | 450 | 150 |
| | | 2,826 |
| Bahrain — 0.1% |
| Kingdom of Bahrain | | |
| 7.00%, 1/26/2026 (b) | 970 | 1,032 |
| 7.00%, 10/12/2028 (b) | 1,400 | 1,469 |
| 6.75%, 9/20/2029 (b) | 200 | 202 |
| 5.45%, 9/16/2032 (c) | 481 | 431 |
| 6.00%, 9/19/2044 (b) | 1,500 | 1,241 |
| 7.50%, 9/20/2047 (b) | 970 | 899 |
| | | 5,274 |
| Brazil — 0.0% ^ |
| Federative Republic of Brazil | | |
| 4.25%, 1/07/2025 | 880 | 889 |
| 4.50%, 5/30/2029 | 1,130 | 1,066 |
| 8.25%, 1/20/2034 | 585 | 680 |
| 5.63%, 1/7/2041 | 950 | 846 |
| 5.00%, 1/27/2045 | 1,230 | 991 |
| | | 4,472 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 112 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Colombia — 0.0% ^ |
| Republic of Colombia | | |
| 4.50%, 1/28/2026 | 350 | 336 |
| 3.88%, 4/25/2027 | 690 | 630 |
| 7.38%, 9/18/2037 | 1,000 | 1,037 |
| 6.13%, 1/18/2041 | 950 | 844 |
| 5.00%, 6/15/2045 | 1,370 | 1,023 |
| 5.20%, 5/15/2049 | 420 | 319 |
| | | 4,189 |
| Costa Rica — 0.0% ^ |
| Republic of Costa Rica | | |
| 4.38%, 4/30/2025 (b) | 200 | 200 |
| 7.00%, 4/4/2044 (b) | 1,100 | 1,044 |
| | | 1,244 |
| Cote D'Ivoire — 0.0% ^ |
| Republic of Cote d'Ivoire | | |
| 5.75%, 12/31/2032 (b) (h) | 854 | 806 |
| 6.13%, 6/15/2033 (b) | 3,430 | 3,130 |
| | | 3,936 |
| Croatia — 0.0% ^ |
| Republic of Croatia 6.00%, 1/26/2024 (b) | 1,290 | 1,337 |
| Dominican Republic — 0.1% |
| Dominican Republic Government Bond | | |
| 5.50%, 1/27/2025 (b) | 510 | 523 |
| 6.88%, 1/29/2026 (b) | 1,200 | 1,264 |
| 5.95%, 1/25/2027 (b) | 1,020 | 1,024 |
| 4.50%, 1/30/2030 (c) | 790 | 679 |
| 4.88%, 9/23/2032 (c) | 1,090 | 915 |
| 5.30%, 1/21/2041 (c) | 285 | 225 |
| 7.45%, 4/30/2044 (b) | 1,580 | 1,528 |
| 6.85%, 1/27/2045 (b) | 500 | 448 |
| 6.50%, 2/15/2048 (b) | 1,250 | 1,075 |
| 5.88%, 1/30/2060 (c) | 880 | 667 |
| | | 8,348 |
| Ecuador — 0.1% |
| Republic of Ecuador | | |
| 5.00%, 7/31/2030 (b) (h) | 2,570 | 2,080 |
| 5.00%, 7/31/2030 (c) (h) | 650 | 526 |
| 1.00%, 7/31/2035 (b) (h) | 3,110 | 1,943 |
| 0.50%, 7/31/2040 (b) (h) | 1,200 | 649 |
| | | 5,198 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Egypt — 0.1% |
| Arab Republic of Egypt | | |
| 3.88%, 2/16/2026 (c) | 665 | 540 |
| 7.50%, 1/31/2027 (b) | 1,720 | 1,531 |
| 5.88%, 2/16/2031 (a) (c) | 482 | 352 |
| 7.05%, 1/15/2032 (a) (c) | 880 | 678 |
| 7.63%, 5/29/2032 (c) | 750 | 584 |
| 8.50%, 1/31/2047 (b) | 1,049 | 758 |
| 8.70%, 3/01/2049 (c) | 1,520 | 1,106 |
| 8.88%, 5/29/2050 (b) | 250 | 183 |
| 8.15%, 11/20/2059 (c) | 1,050 | 725 |
| | | 6,457 |
| El Salvador — 0.0% ^ |
| Republic of El Salvador | | |
| 5.88%, 1/30/2025 (b) | 650 | 309 |
| 6.38%, 1/18/2027 (b) | 950 | 389 |
| 7.12%, 1/20/2050 (b) | 1,437 | 532 |
| | | 1,230 |
| Ethiopia — 0.0% ^ |
| Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (b) | 437 | 300 |
| Gabon — 0.0% ^ |
| Gabonese Republic 6.95%, 6/16/2025 (b) | 300 | 298 |
| Ghana — 0.0% ^ |
| Republic of Ghana | | |
| 7.88%, 3/26/2027 (b) | 360 | 251 |
| 7.63%, 5/16/2029 (b) | 1,310 | 819 |
| 10.75%, 10/14/2030 (b) | 1,120 | 1,103 |
| 8.63%, 6/16/2049 (b) | 1,890 | 1,081 |
| | | 3,254 |
| Guatemala — 0.0% ^ |
| Republic of Guatemala | | |
| 4.50%, 5/3/2026 (b) | 655 | 650 |
| 6.13%, 6/1/2050 (c) | 720 | 689 |
| | | 1,339 |
| Hungary — 0.0% ^ |
| Hungary Government Bond 7.63%, 3/29/2041 | 952 | 1,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 113 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Indonesia — 0.0% ^ |
| Republic of Indonesia | | |
| 3.50%, 1/11/2028 | 670 | 654 |
| 6.75%, 1/15/2044 (b) | 650 | 774 |
| | | 1,428 |
| Iraq — 0.0% ^ |
| Republic of Iraq | | |
| 6.75%, 3/9/2023 (b) | 950 | 949 |
| 5.80%, 1/15/2028 (b) | 1,852 | 1,776 |
| | | 2,725 |
| Israel — 0.0% ^ |
| Israel Government AID Bond | | |
| 4.50%, 1/30/2043 | 873 | 911 |
| 4.13%, 1/17/2048 | 1,966 | 1,934 |
| | | 2,845 |
| Jamaica — 0.0% ^ |
| Jamaica Government Bond | | |
| 8.00%, 3/15/2039 | 1,243 | 1,541 |
| 7.88%, 7/28/2045 | 550 | 674 |
| | | 2,215 |
| Jordan — 0.0% ^ |
| Hashemite Kingdom of Jordan 5.85%, 7/7/2030 (c) | 1,810 | 1,587 |
| Kazakhstan — 0.0% ^ |
| Republic of Kazakhstan 6.50%, 7/21/2045 (b) | 560 | 633 |
| Kenya — 0.0% ^ |
| Republic of Kenya | | |
| 6.88%, 6/24/2024 (b) | 2,663 | 2,557 |
| 8.00%, 5/22/2032 (c) | 1,360 | 1,163 |
| 6.30%, 1/23/2034 (a) (c) | 483 | 362 |
| | | 4,082 |
| Lebanon — 0.0% ^ |
| Lebanese Republic | | |
| 6.00%, 1/27/2023 (b) (i) | 1,250 | 147 |
| 6.65%, 4/22/2024 (b) (i) | 625 | 74 |
| 6.85%, 3/23/2027 (b) (i) | 2,639 | 297 |
| 6.65%, 11/3/2028 (b) (i) | 2,215 | 250 |
| 7.25%, 3/23/2037 (b) (i) | 492 | 55 |
| | | 823 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Mexico — 0.0% ^ |
| United Mexican States | | |
| 5.55%, 1/21/2045 | 650 | 633 |
| 4.60%, 1/23/2046 | 610 | 517 |
| 4.50%, 1/31/2050 | 500 | 414 |
| 3.77%, 5/24/2061 | 1,198 | 829 |
| | | 2,393 |
| Morocco — 0.0% ^ |
| Kingdom of Morocco | | |
| 3.00%, 12/15/2032 (c) | 690 | 545 |
| 4.00%, 12/15/2050 (c) | 650 | 449 |
| | | 994 |
| Nigeria — 0.1% |
| Federal Republic of Nigeria | | |
| 7.63%, 11/21/2025 (b) | 1,000 | 990 |
| 6.50%, 11/28/2027 (c) | 1,220 | 1,080 |
| 6.50%, 11/28/2027 (b) | 920 | 814 |
| 8.75%, 1/21/2031 (b) | 780 | 707 |
| 7.88%, 2/16/2032 (b) | 710 | 595 |
| 7.63%, 11/28/2047 (b) | 600 | 424 |
| 7.63%, 11/28/2047 (c) | 1,290 | 913 |
| | | 5,523 |
| Oman — 0.1% |
| Sultanate of Oman Government Bond | | |
| 4.88%, 2/1/2025 (c) | 320 | 322 |
| 4.75%, 6/15/2026 (b) | 1,550 | 1,519 |
| 5.38%, 3/08/2027 (b) | 1,320 | 1,323 |
| 6.00%, 8/1/2029 (b) | 1,180 | 1,192 |
| 6.25%, 1/25/2031 (c) | 264 | 268 |
| 7.38%, 10/28/2032 (c) | 625 | 685 |
| 6.50%, 3/08/2047 (b) | 340 | 310 |
| 6.75%, 1/17/2048 (b) | 1,170 | 1,091 |
| 7.00%, 1/25/2051 (c) | 301 | 289 |
| | | 6,999 |
| Pakistan — 0.0% ^ |
| Islamic Republic of Pakistan | | |
| 8.25%, 4/15/2024 (b) | 730 | 652 |
| 8.25%, 9/30/2025 (b) | 550 | 465 |
| 6.00%, 4/8/2026 (c) | 471 | 384 |
| 7.38%, 4/8/2031 (c) | 554 | 424 |
| 8.88%, 4/8/2051 (b) | 767 | 548 |
| | | 2,473 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 114 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Panama — 0.1% |
| Republic of Panama | | |
| 3.75%, 3/16/2025 | 1,050 | 1,046 |
| 3.88%, 3/17/2028 | 1,750 | 1,694 |
| 6.70%, 1/26/2036 | 1,150 | 1,294 |
| 4.50%, 4/1/2056 | 810 | 688 |
| 3.87%, 7/23/2060 | 380 | 284 |
| | | 5,006 |
| Paraguay — 0.1% |
| Republic of Paraguay | | |
| 4.70%, 3/27/2027 (b) | 2,020 | 2,003 |
| 6.10%, 8/11/2044 (b) | 2,130 | 2,089 |
| 5.60%, 3/13/2048 (b) | 350 | 313 |
| 5.40%, 3/30/2050 (c) | 950 | 839 |
| | | 5,244 |
| Peru — 0.0% ^ |
| Republic of Peru | | |
| 4.13%, 8/25/2027 | 760 | 753 |
| 5.63%, 11/18/2050 | 750 | 823 |
| | | 1,576 |
| Philippines — 0.0% ^ |
| Republic of Philippines | | |
| 3.00%, 2/1/2028 | 1,100 | 1,052 |
| 3.70%, 2/2/2042 | 1,430 | 1,237 |
| | | 2,289 |
| Qatar — 0.0% ^ |
| State of Qatar | | |
| 4.00%, 3/14/2029 (c) | 540 | 553 |
| 5.10%, 4/23/2048 (b) | 1,200 | 1,335 |
| 4.82%, 3/14/2049 (b) | 1,570 | 1,686 |
| 4.82%, 3/14/2049 (c) | 430 | 461 |
| | | 4,035 |
| Romania — 0.0% ^ |
| Romania Government Bond | | |
| 4.38%, 8/22/2023 (b) | 1,010 | 1,023 |
| 6.13%, 1/22/2044 (b) | 810 | 836 |
| 5.13%, 6/15/2048 (b) | 730 | 662 |
| | | 2,521 |
| Saudi Arabia — 0.1% |
| Kingdom of Saudi Arabia | | |
| 3.25%, 10/26/2026 (b) | 1,000 | 995 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Saudi Arabia—continued |
| 3.63%, 3/4/2028 (b) | 1,980 | 1,967 |
| 2.25%, 2/2/2033 (c) | 480 | 416 |
| 4.63%, 10/4/2047 (b) | 1,050 | 1,024 |
| 5.00%, 4/17/2049 (b) | 650 | 673 |
| 3.45%, 2/2/2061 (c) | 468 | 374 |
| | | 5,449 |
| Senegal — 0.0% ^ |
| Republic of Senegal | | |
| 6.75%, 3/13/2048 (b) | 650 | 514 |
| 6.75%, 3/13/2048 (c) | 460 | 364 |
| | | 878 |
| Serbia, Republic Of — 0.0% ^ |
| Republic of Serbia 2.13%, 12/1/2030 (c) | 797 | 590 |
| South Africa — 0.1% |
| Republic of South Africa | | |
| 4.88%, 4/14/2026 (a) | 220 | 217 |
| 4.30%, 10/12/2028 | 2,380 | 2,169 |
| 6.25%, 3/08/2041 | 2,500 | 2,264 |
| 5.00%, 10/12/2046 (a) | 700 | 526 |
| 5.75%, 9/30/2049 | 1,550 | 1,225 |
| | | 6,401 |
| Sri Lanka — 0.0% ^ |
| Democratic Socialist Republic of Sri Lanka | | |
| 5.75%, 4/18/2023 (b) | 850 | 366 |
| 6.85%, 11/3/2025 (b) | 596 | 259 |
| 6.20%, 5/11/2027 (b) | 1,050 | 446 |
| 6.75%, 4/18/2028 (b) | 1,540 | 655 |
| 7.55%, 3/28/2030 (c) | 660 | 279 |
| | | 2,005 |
| Tajikistan — 0.0% ^ |
| Republic of Tajikistan 7.13%, 9/14/2027 (b) | 600 | 432 |
| Tunisia — 0.0% ^ |
| Tunisian Republic 5.75%, 1/30/2025 (b) | 330 | 224 |
| Turkey — 0.0% ^ |
| Republic of Turkey | | |
| 5.60%, 11/14/2024 | 950 | 909 |
| 4.88%, 10/9/2026 | 900 | 791 |
| 5.13%, 2/17/2028 | 940 | 803 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 115 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Foreign Government Securities — continued |
| Turkey—continued |
| 6.00%, 1/14/2041 | 1,040 | 777 |
| 4.88%, 4/16/2043 | 510 | 345 |
| | | 3,625 |
| Ukraine — 0.0% ^ |
| Ukraine Government Bond | | |
| 7.75%, 9/1/2023 (b) | 1,413 | 558 |
| 7.75%, 9/1/2024 (b) | 700 | 236 |
| 7.75%, 9/1/2025 (b) | 970 | 316 |
| 7.75%, 9/1/2026 (b) | 500 | 164 |
| 7.75%, 9/1/2027 (b) | 1,080 | 354 |
| 9.75%, 11/1/2028 (b) | 840 | 275 |
| 7.38%, 9/25/2032 (b) | 1,560 | 484 |
| 7.25%, 3/15/2033 (b) | 1,530 | 474 |
| | | 2,861 |
| United Arab Emirates — 0.0% ^ |
| United Arab Emirates Government Bond | | |
| 2.88%, 10/19/2041 (c) | 840 | 702 |
| 4.13%, 10/11/2047 (b) | 1,900 | 1,860 |
| 3.13%, 9/30/2049 (b) | 930 | 764 |
| | | 3,326 |
| Uruguay — 0.1% |
| Oriental Republic of Uruguay | | |
| 7.88%, 1/15/2033 | 440 | 567 |
| 7.63%, 3/21/2036 | 790 | 1,033 |
| 5.10%, 6/18/2050 | 2,420 | 2,541 |
| 4.98%, 4/20/2055 | 440 | 454 |
| | | 4,595 |
| Zambia — 0.0% ^ |
| Republic of Zambia 8.97%, 7/30/2027 (b) | 1,050 | 777 |
Total Foreign Government Securities
(Cost $176,786) | | 142,285 |
| INVESTMENTS | SHARES
(000) | |
| Preferred Stocks — 0.6% |
| United States — 0.6% |
| Allstate Corp. (The) Series H, 5.10%, 10/15/2024 ($25 par value) (o) | 49 | 1,100 |
| Bank of America Corp., | | |
Series GG, 6.00%, 5/16/2023
($25 par value) (o) | 145 | 3,628 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| Series HH, 5.88%, 7/24/2023 ($25 par value) (o) | 121 | 2,970 |
Series KK, 5.38%, 6/25/2024
($25 par value) (o) | 92 | 2,074 |
Series LL, 5.00%, 9/17/2024
($25 par value) (o) | 35 | 744 |
| Energy Transfer LP Series E, (ICE LIBOR USD 3 Month + 5.16%), 7.60%, 5/15/2024 (f) (o) | 255 | 6,179 |
| Goodman Networks, Inc. ‡ * | 64 | 1 |
| MetLife, Inc. Series F, 4.75%, 3/15/2025 ($25 par value) (o) | 99 | 2,235 |
| Morgan Stanley, | | |
Series I, (ICE LIBOR USD 3 Month + 3.71%), 6.38%, 10/15/2024
($25 par value) (f) (o) | 72 | 1,868 |
Series L, 4.88%, 1/15/2025
($25 par value) (o) | 25 | 524 |
Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 4/15/2027
($25 par value) (f) (o) | 419 | 10,564 |
| MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ * | 2,316 | 2,536 |
| NextEra Energy Capital Holdings, Inc. Series N, 5.65%, 3/1/2079 ($25 par value) | 115 | 2,880 |
| Northern Trust Corp. Series E, 4.70%, 1/1/2025 ($25 par value) (o) | 62 | 1,416 |
| Public Storage Series L, REIT, 4.63%, 6/17/2025 ($25 par value) (o) | 77 | 1,692 |
| SCE Trust VI 5.00%, 6/26/2022 ($25 par value) (o) | 453 | 9,125 |
| Sempra Energy 5.75%, 7/1/2079 ($25 par value) | 18 | 427 |
| Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value) | 160 | 3,379 |
| State Street Corp. Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 3/15/2026 ($25 par value) (f) (o) | 43 | 1,099 |
| Truist Financial Corp. Series R, 4.75%, 9/1/2025 ($25 par value) (o) | 104 | 2,112 |
| US Bancorp Series K, 5.50%, 10/15/2023 ($25 par value) (o) | 58 | 1,398 |
| Wells Fargo & Co., | | |
Series Y, 5.63%, 6/15/2022
($25 par value) (o) | 152 | 3,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 116 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| Preferred Stocks — continued |
| United States — continued |
Series Z, 4.75%, 3/15/2025
($25 par value) (o) | 776 | 15,086 |
Series AA, 4.70%, 12/15/2025
($25 par value) (o) | 19 | 361 |
Total Preferred Stocks
(Cost $85,237) | | 76,998 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| U.S. Treasury Obligations — 0.6% |
| United States — 0.6% |
| U.S. Treasury Notes , 0.13%, 1/31/2023 (p)(Cost $68,022) | 68,308 | 67,428 |
| Convertible Bonds — 0.4% |
| Australia — 0.0% ^ |
| DEXUS Finance Pty. Ltd. REIT, 2.30%, 6/19/2026 (b) | AUD 1,600 | 1,126 |
| Glencore Funding LLC Zero Coupon, 3/27/2025 (b) | 1,000 | 1,149 |
| | | 2,275 |
| Canada — 0.0% ^ |
| Shopify, Inc. 0.13%, 11/1/2025 | 681 | 591 |
| China — 0.1% |
| Hansoh Pharmaceutical Group Co. Ltd. Zero Coupon, 1/22/2026 (b) | 600 | 539 |
| Hello Group, Inc. 1.25%, 7/1/2025 | 1,149 | 1,046 |
| Meituan Zero Coupon, 4/27/2028 (b) | 1,000 | 821 |
| Pharmaron Beijing Co. Ltd. Zero Coupon,6/18/2026 (b) | 1,000 | 860 |
| Pinduoduo, Inc. Zero Coupon, 12/1/2025 | 1,120 | 986 |
| Smart Insight International Ltd. 4.50%, 12/5/2023 (b) | HKD 4,000 | 426 |
| Weibo Corp. 1.25%, 11/15/2022 | 1,124 | 1,096 |
| | | 5,774 |
| Germany — 0.0% ^ |
| MTU Aero Engines AG Series MTX, 0.05%, 3/18/2027 (b) | EUR 800 | 819 |
| Israel — 0.0% ^ |
| Wix.com Ltd. Zero Coupon, 8/15/2025 | 1,673 | 1,447 |
| New Zealand — 0.0% ^ |
| Xero Investments Ltd. Zero Coupon, 12/2/2025 (b) | 916 | 782 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| South Korea — 0.0% ^ |
| Delivery Hero SE Series A, 1.00%, 4/30/2026 (b) | EUR 300 | 229 |
| Spain — 0.0% ^ |
| Cellnex Telecom SA 0.75%, 11/20/2031 (b) | EUR 1,200 | 1,063 |
| Taiwan — 0.0% ^ |
| Sea Ltd. 0.25%, 9/15/2026 | 1,027 | 773 |
| United Kingdom — 0.0% ^ |
| Barclays Bank plc | | |
| Zero Coupon, 2/4/2025 | 490 | 713 |
| Series VUN, Zero Coupon, 2/18/2025 | 508 | 558 |
| Capital & Counties Properties plc REIT, 2.00%, 3/30/2026 | GBP 500 | 635 |
| Cornwall Jersey Ltd. 0.75%, 4/16/2026 (b) | GBP 500 | 491 |
| Just Eat Takeaway.com NV Series B, 0.63%, 2/9/2028 (b) | EUR 600 | 472 |
| Ocado Group plc 0.75%, 1/18/2027 (b) | GBP 300 | 281 |
| Trainline plc 1.00%, 1/14/2026 (b) | GBP 600 | 647 |
| WH Smith plc 1.63%, 5/7/2026 (b) | GBP 500 | 586 |
| | | 4,383 |
| United States — 0.3% |
| Affirm Holdings, Inc. Zero Coupon, 11/15/2026 (c) | 1,508 | 997 |
| Airbnb, Inc. Zero Coupon, 3/15/2026 | 693 | 635 |
| Alteryx, Inc. 1.00%, 8/1/2026 | 1,137 | 968 |
| Avalara, Inc. 0.25%, 8/1/2026 (c) | 687 | 549 |
| Beyond Meat, Inc. Zero Coupon, 3/15/2027 | 473 | 247 |
| BigCommerce Holdings, Inc. 0.25%, 10/1/2026 (c) | 389 | 288 |
| BofA Finance LLC 0.25%, 5/1/2023 | 615 | 641 |
| Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026 | 366 | 312 |
| Chegg, Inc. Zero Coupon, 9/1/2026 | 1,646 | 1,277 |
| Confluent, Inc. Zero Coupon, 1/15/2027 (c) | 395 | 303 |
| DigitalBridge Group, Inc. REIT, 5.00%, 4/15/2023 | 853 | 852 |
| DISH Network Corp. | | |
| 2.38%,3/15/2024 | 2,092 | 1,945 |
| 3.38%, 8/15/2026 | 4,533 | 3,887 |
| DocuSign, Inc. Zero Coupon, 1/15/2024 | 970 | 901 |
| Dropbox, Inc. Zero Coupon, 3/1/2026 | 999 | 904 |
| Gulfport Energy Corp. 15.00% (PIK), 5/31/2022 ‡ (g) | — | 2,141 |
| Halozyme Therapeutics, Inc. 0.25%, 3/1/2027 | 469 | 402 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 117 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Convertible Bonds — continued |
| United States — continued |
| LendingTree, Inc. 0.50%, 7/15/2025 | 1,331 | 1,065 |
| Liberty Interactive LLC | | |
| 4.00%, 11/15/2029 | 3,709 | 2,504 |
| 3.75%, 2/15/2030 | 320 | 220 |
| Meritor, Inc. 3.25%, 10/15/2037 | 564 | 618 |
| MFA Financial, Inc. REIT, 6.25%, 6/15/2024 | 882 | 869 |
| Peloton Interactive, Inc. Zero Coupon, 2/15/2026 | 1,133 | 922 |
| Redwood Trust, Inc. REIT, 4.75%, 8/15/2023 | 716 | 707 |
| Repay Holdings Corp. Zero Coupon, 2/1/2026 (c) | 855 | 693 |
| RingCentral, Inc. | | |
| Zero Coupon, 3/1/2025 | 1,093 | 916 |
| Zero Coupon, 3/15/2026 | 1,704 | 1,350 |
| RWT Holdings, Inc. 5.75%, 10/1/2025 | 313 | 290 |
| Shift4 Payments, Inc. 0.50%, 8/1/2027 (c) | 544 | 443 |
| Snap, Inc. Zero Coupon, 5/1/2027 (c) | 919 | 729 |
| Splunk, Inc. 1.13%, 6/15/2027 | 657 | 589 |
| Spotify USA, Inc. Zero Coupon, 3/15/2026 | 654 | 532 |
| Supernus Pharmaceuticals, Inc. 0.63%, 4/1/2023 | 636 | 616 |
| TripAdvisor, Inc. 0.25%, 4/1/2026 | 672 | 554 |
| Twitter, Inc. Zero Coupon, 3/15/2026 | 1,630 | 1,539 |
| Uber Technologies, Inc. Zero Coupon, 12/15/2025 | 1,071 | 925 |
| Unity Software, Inc. Zero Coupon, 11/15/2026 (c) | 384 | 297 |
| Vishay Intertechnology, Inc. 2.25%, 6/15/2025 | 756 | 738 |
| | | 34,365 |
| Vietnam — 0.0% ^ |
| No. Va Land Investment Group Corp. 5.25%, 7/16/2026 (b) | 1,200 | 1,212 |
Total Convertible Bonds
(Cost $57,156) | | 53,713 |
| INVESTMENTS | SHARES
(000) | |
| Convertible Preferred Stocks — 0.2% |
| United States — 0.2% |
| AMG Capital Trust II 5.15%, 10/15/2037 ($50 par value) | 20 | 1,089 |
| Bank of America Corp. Series L, 7.25% ($1,000 par value) | 2 | 2,621 |
| INVESTMENTS | SHARES
(000) | VALUE
($000) |
| |
| United States — continued |
| Broadcom, Inc. Series A, 8.00%, 9/30/2022 ($1,000 par value) | 1 | 2,467 |
| Claire's Stores, Inc. ‡ * | 3 | 7,506 |
| Danaher Corp. Series B, 5.00%, 4/15/2023 ($1,000 par value) | — | 670 |
| Dominion Energy, Inc. Series A, 7.25%, 6/1/2022 ($100 par value) | 10 | 963 |
| KKR & Co., Inc., Series C, 6.00%, 9/15/2023 ($50 par value) | 26 | 1,705 |
| NextEra Energy, Inc. 6.22%, 9/1/2023 ($50 par value) | 30 | 1,425 |
| Stanley Black & Decker, Inc. 5.25%, 11/15/2022 ($100 par value) | 9 | 711 |
| Wells Fargo & Co. Series L, 7.50% ($1,000 par value) | 2 | 2,341 |
Total Convertible Preferred Stocks
(Cost $13,628) | | 21,498 |
| INVESTMENTS | NO. OF WARRANTS
(000) | |
| Warrants — 0.0% ^ |
| United Kingdom — 0.0% ^ |
| Cineworld Group expiring 12/31/2049, price 4,149.00 GBP * | 17 | — |
| Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD ‡ * | 47 | 2,614 |
| | | 2,614 |
| United States — 0.0% ^ |
| Chesapeake Energy Corp. | | |
| expiring 2/9/2026, price 35.00 USD * | 10 | 552 |
| expiring 2/9/2026, price 26.00 USD * | 17 | 997 |
| expiring 2/9/2026, price 31.00 USD * | 19 | 1,027 |
| Windstream Holdings, Inc. expiring 12/31/2049, price 11.00 USD ‡ * | 4 | 67 |
| | | 2,643 |
Total Warrants
(Cost $—) | | 5,257 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Mortgage-Backed Securities — 0.0% ^ |
| United States — 0.0% ^ |
| FNMA UMBS, 20 Year Pool # CA1231, 3.50%, 2/1/2038 | 274 | 275 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 118 | J.P. Morgan Funds | April 30, 2022 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| Mortgage-Backed Securities — continued |
| United States — continued |
| FNMA UMBS, 30 Year | | |
| Pool # MA4398, 2.00%, 8/1/2051 | 602 | 532 |
| Pool # MA4465, 2.00%, 11/1/2051 | 53 | 47 |
| Pool # MA4548, 2.50%, 2/1/2052 | 20 | 18 |
| Pool # MA4563, 2.50%, 3/1/2052 | 59 | 54 |
| Pool # MA4564, 3.00%, 3/1/2052 | 18 | 17 |
Total Mortgage-Backed Securities
(Cost $1,036) | | 943 |
| INVESTMENTS | NO. OF RIGHTS
(000) | |
| Rights — 0.0% ^ |
| Luxembourg — 0.0% ^ |
| Intelsat Jackson Holdings SA, expiring 12/5/2025‡ * | 56 | — |
| United States — 0.0% ^ |
| Vistra Corp., expiring 12/31/2049 ‡ * | 488 | 622 |
Total Rights
(Cost $1) | | 622 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | |
| Short-Term Investments — 6.6% |
| Certificates of Deposits — 0.0% ^ |
| Bank of Nova Scotia (The), (SOFR + 0.87%), 0.86%, 3/24/2023 (f) | 325 | 325 |
| Lloyds Bank Corporate Markets plc, (SOFR + 0.96%), 0.95%, 3/22/2023 (f) | 249 | 250 |
| Shinhan Bank, 0.80%, 8/12/2022 | 58 | 58 |
Total Certificates of Deposits
(Cost $632) | | 633 |
| Commercial Paper — 0.0% ^ |
| CDP Financial, Inc., 0.61%, 8/1/2022 (c) (q) | 178 | 177 |
| Enel Finance America LLC, 1.01%, 1/20/2023 (c) (q) | 250 | 245 |
| Toronto-Dominion Bank (The), 0.40%, 11/22/2022 (c) (q) | 250 | 247 |
| Volvo Group Treasury U.S., Inc., 1.36%, 9/1/2022 (c) (q) | 250 | 249 |
| Waste Management, Inc., 0.31%, 9/8/2022 (c) (q) | 250 | 249 |
| INVESTMENTS | PRINCIPAL
AMOUNT
($000) | VALUE
($000) |
| |
| Commercial Paper — continued |
| Westpac Securities NZ Ltd., 0.52%, 11/25/2022 (c) (q) | 250 | 247 |
Total Commercial Paper
(Cost $1,423) | | 1,414 |
| INVESTMENTS | SHARES
(000) | |
| Investment Companies — 4.7% |
| JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (k) (r) | 80,057 | 80,081 |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (k) (r) | 486,793 | 486,890 |
Total Investment Companies
(Cost $566,950) | | 566,971 |
| Investment of Cash Collateral from Securities Loaned — 1.9% |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (k) (r) | 197,993 | 197,855 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (k) (r) | 24,748 | 24,748 |
Total Investment of Cash Collateral from Securities Loaned
(Cost $222,643) | | 222,603 |
Total Short-Term Investments
(Cost $791,648) | | 791,621 |
Total Investments — 104.4%
(Cost $12,414,608) | | 12,586,691 |
| Liabilities in Excess of Other Assets — (4.4)% | | (532,915) |
| NET ASSETS — 100.0% | | 12,053,776 |
Percentages indicated are based on net assets. |
Amounts presented as a dash (“-“) represent amounts that round to less than a thousand. |
| Abbreviations | |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ADR | American Depositary Receipt |
| AUD | Australian Dollar |
| CJSC | Closed Joint Stock Company |
| CLO | Collateralized Loan Obligations |
| CSMC | Credit Suisse Mortgage Trust |
| CVA | Dutch Certification |
| ELN | Equity-Linked Note |
| ETF | Exchange Traded Fund |
| EUR | Euro |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 119 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
| EURIBOR | Euro Interbank Offered Rate |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GBP | British Pound |
| GDR | Global Depositary Receipt |
| GMTN | Global Medium Term Note |
| 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, 2022. 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 |
| PJSC | Public Joint Stock Company |
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
| 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 |
| SGPS | Holding company |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the 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 |
| UNFND | Unfunded |
| USD | United States Dollar |
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. | |
| * | Non-income producing security. | |
| (a) | The security or a portion of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 is $211,753. | |
| (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) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| (d) | Security is an interest bearing note with preferred security characteristics. | |
| (e) | 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, 2022. | |
| (f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2022. | |
| (g) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| (h) | 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, 2022. | |
| (i) | Defaulted security. | |
| (j) | 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, 2022. | |
| (k) | 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. | |
| (l) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| (m) | All or a portion of this security is unsettled as of April 30, 2022. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
| (n) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
| (o) | 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 reporting date (e.g. March 31, 2021.) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 120 | J.P. Morgan Funds | April 30, 2022 |
| (p) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| (q) | The rate shown is the effective yield as of April 30, 2022. | |
| (r) | The rate shown is the current yield as of April 30, 2022. | |
Summary of Investments by Industry, April 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF
TOTAL
INVESTMENTS |
| Banks | 6.8% |
| Convertible Bonds | 6.8 |
| Oil, Gas & Consumable Fuels | 6.5 |
| Equity Real Estate Investment Trusts (REITs) | 4.8 |
| Diversified Telecommunication Services | 4.2 |
| Commercial Mortgage-Backed Securities | 3.9 |
| Collateralized Mortgage Obligations | 3.7 |
| Pharmaceuticals | 3.7 |
| Electric Utilities | 3.3 |
| Media | 3.3 |
| Insurance | 2.7 |
| Exchange-Traded Fund | 2.5 |
| Capital Markets | 2.5 |
| Health Care Providers & Services | 2.4 |
| Hotels, Restaurants & Leisure | 1.7 |
| Food Products | 1.7 |
| Semiconductors & Semiconductor Equipment | 1.6 |
| Wireless Telecommunication Services | 1.6 |
| Chemicals | 1.6 |
| Metals & Mining | 1.4 |
| Asset-Backed Securities | 1.3 |
| Multi-Utilities | 1.2 |
| Foreign Government Securities | 1.1 |
| Specialty Retail | 1.0 |
| Food & Staples Retailing | 1.0 |
| Beverages | 1.0 |
| Others (each less than 1.0%) | 20.4 |
| Short-Term Investments | 6.3 |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as the respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 121 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2022 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2022 (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 | 65 | 06/17/2022 | EUR | 2,524 | (61) |
| FTSE 100 Index | 15 | 06/17/2022 | GBP | 1,399 | 38 |
| S&P 500 E-Mini Index | 3,059 | 06/17/2022 | USD | 631,798 | (21,156) |
| U.S. Treasury 10 Year Note | 14,709 | 06/21/2022 | USD | 1,751,061 | (110,693) |
| | | | | | (131,872) |
| Short Contracts | | | | | |
| EURO STOXX 50 Index | (4,085) | 06/17/2022 | EUR | (158,632) | (2,504) |
| Russell 2000 E-mini Index | (5,021) | 06/17/2022 | USD | (467,430) | 24,760 |
| | | | | | 22,256 |
| | | | | | (109,616) |
| Abbreviations | |
| EUR | Euro |
| FTSE | Financial Times and the London Stock Exchange |
| GBP | British Pound |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 122 | J.P. Morgan Funds | April 30, 2022 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited)
(Amounts in thousands, except per share amounts)
| | JPMorgan
Global
Allocation Fund | | JPMorgan
Income
Builder Fund |
| ASSETS: | | | |
| Investments in non-affiliates, at value | $3,782,283 | | $11,482,813 |
| Investments in affiliates, at value | 351,663 | | 881,275 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.F) | 89,630 | | 222,603 |
| Options purchased, at value | 46,482 | | — |
| Cash | 2,301 | | 2,355 |
| Foreign currency, at value | 3,450 | | 705 |
| Deposits at broker for futures contracts | 3,526 | | 426 |
| Receivables: | | | |
| Investment securities sold | 31,897 | | 125,248 |
| Fund shares sold | 1,965 | | 7,978 |
| Interest from non-affiliates | 11,442 | | 70,394 |
| Dividends from non-affiliates | 3,384 | | 13,010 |
| Dividends from affiliates | 684 | | 105 |
| Tax reclaims | 2,479 | | 8,723 |
| Securities lending income (See Note 2.F) | 69 | | 174 |
| Unrealized appreciation on forward foreign currency exchange contracts | 44,591 | | — |
| Outstanding OTC swap contracts, at value | 544 | | — |
| Total Assets | 4,376,390 | | 12,815,809 |
| LIABILITIES: | | | |
| Payables: | | | |
| Investment securities purchased | 54,540 | | 507,312 |
| Collateral received on securities loaned (See Note 2.F) | 89,630 | | 222,603 |
| Fund shares redeemed | 3,602 | | 15,811 |
| Variation margin on futures contracts | 4,775 | | 7,033 |
| Unrealized depreciation on forward foreign currency exchange contracts | 7,296 | | — |
| Unrealized depreciation on unfunded commitments | — | | 6 |
| Accrued liabilities: | | | |
| Investment advisory fees | 1,924 | | 4,172 |
| Administration fees | 264 | | 717 |
| Distribution fees | 421 | | 2,139 |
| Service fees | 370 | | 347 |
| Custodian and accounting fees | 117 | | 290 |
| Deferred foreign capital gains tax | — | | 1,039 |
| Other | 196 | | 564 |
| Total Liabilities | 163,135 | | 762,033 |
| Net Assets | $4,213,255 | | $12,053,776 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 123 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2022 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| | JPMorgan
Global
Allocation Fund | | JPMorgan
Income
Builder Fund |
| NET ASSETS: | | | |
| Paid-in-Capital | $4,118,834 | | $12,102,124 |
| Total distributable earnings (loss) | 94,421 | | (48,348) |
| Total Net Assets: | $4,213,255 | | $12,053,776 |
| Net Assets: | | | |
| Class A | $ 690,735 | | $ 4,901,476 |
| Class C | 416,076 | | 1,701,969 |
| Class I | 2,210,640 | | 5,012,509 |
| Class R2 | 5,883 | | — |
| Class R3 | 893 | | — |
| Class R4 | 1,316 | | — |
| Class R5 | 69 | | — |
| Class R6 | 887,643 | | 437,822 |
| Total | $4,213,255 | | $12,053,776 |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| Class A | 36,602 | | 487,104 |
| Class C | 22,494 | | 169,644 |
| Class I | 116,341 | | 497,272 |
| Class R2 | 314 | | — |
| Class R3 | 47 | | — |
| Class R4 | 70 | | — |
| Class R5 | 4 | | — |
| Class R6 | 46,734 | | 43,430 |
| Net Asset Value (a): | | | |
| Class A — Redemption price per share | $ 18.87 | | $ 10.06 |
| Class C — Offering price per share (b) | 18.50 | | 10.03 |
| Class I — Offering and redemption price per share | 19.00 | | 10.08 |
| Class R2 — Offering and redemption price per share | 18.72 | | — |
| Class R3 — Offering and redemption price per share | 18.94 | | — |
| Class R4 — Offering and redemption price per share | 18.87 | | — |
| Class R5 — Offering and redemption price per share | 19.01 | | — |
| Class R6 — Offering and redemption price per share | 18.99 | | 10.08 |
| Class A maximum sales charge | 4.50% | | 4.50% |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | $ 19.76 | | $ 10.53 |
| Cost of investments in non-affiliates | $3,592,584 | | $11,292,873 |
| Cost of investments in affiliates | 355,621 | | 899,092 |
| Cost of options purchased | 26,377 | | — |
| Cost of foreign currency | 2,216 | | 776 |
| Investment securities on loan, at value (See Note 2.F) | 83,512 | | 211,753 |
| Cost of investment of cash collateral (See Note 2.F) | 89,632 | | 222,643 |
| (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.
| 124 | J.P. Morgan Funds | April 30, 2022 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited)
(Amounts in thousands)
| | JPMorgan
Global
Allocation Fund | | JPMorgan
Income
Builder Fund |
| INVESTMENT INCOME: | | | |
| Interest income from non-affiliates | $ 16,805 | | $ 192,577 |
| Interest income from affiliates | —(a) | | — |
| Dividend income from non-affiliates | 28,216 | | 87,465 |
| Dividend income from affiliates | 826 | | 7,783 |
| Income from securities lending (net) (See Note 2.F) | 209 | | 594 |
| Foreign taxes withheld (net) | (1,686) | | (5,970) |
| Total investment income | 44,370 | | 282,449 |
| EXPENSES: | | | |
| Investment advisory fees | 13,230 | | 27,351 |
| Administration fees | 1,804 | | 4,476 |
| Distribution fees: | | | |
| Class A | 942 | | 6,468 |
| Class C | 1,791 | | 7,291 |
| Class R2 | 16 | | — |
| Class R3 | 2 | | — |
| Service fees: | | | |
| Class A | 942 | | 6,468 |
| Class C | 597 | | 2,430 |
| Class I | 3,198 | | 6,809 |
| Class R2 | 8 | | — |
| Class R3 | 2 | | — |
| Class R4 | 2 | | — |
| Class R5 | —(a) | | — |
| Custodian and accounting fees | 417 | | 857 |
| Interest expense to affiliates | 13 | | 3 |
| Professional fees | 92 | | 119 |
| Trustees’ and Chief Compliance Officer’s fees | 20 | | 32 |
| Printing and mailing costs | 79 | | 260 |
| Registration and filing fees | 128 | | 159 |
| Transfer agency fees (See Note 2.M) | 43 | | 135 |
| Dividend expense to non-affiliates on securities sold short | 271 | | — |
| Interest expense to non-affiliates on securities sold short | 47 | | — |
| Other | 240 | | 314 |
| Total expenses | 23,884 | | 63,172 |
| Less fees waived | (2,677) | | (13,564) |
| Less expense reimbursements | (3) | | (460) |
| Net expenses | 21,204 | | 49,148 |
| Net investment income (loss) | $ 23,166 | | $ 233,301
(a) Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 125 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2022 (Unaudited) (continued)
(Amounts in thousands)
| | JPMorgan
Global
Allocation Fund | | JPMorgan
Income
Builder Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): | | | |
| Net realized gain (loss) on transactions from: | | | |
| Investments in non-affiliates | $ 95,251 | | $ 119,793(a) |
| Investments in affiliates | (103) | | (102) |
| Options purchased | 4,112 | | — |
| Futures contracts | (77,926) | | (113,348) |
| Securities sold short | (2,812) | | — |
| Foreign currency transactions | (3,173) | | (800) |
| Forward foreign currency exchange contracts | 50,056 | | — |
| Swaps | 2,206 | | — |
| Net realized gain (loss) | 67,611 | | 5,543 |
| Change in net unrealized appreciation/depreciation on: | | | |
| Investments in non-affiliates | (686,179) | | (1,141,985)(b) |
| Investments in affiliates | (4,008) | | (17,895) |
| Options purchased | 17,688 | | — |
| Futures contracts | (49,529) | | (72,831) |
| Securities sold short | (10) | | — |
| Foreign currency translations | 1,737 | | (1,110) |
| Forward foreign currency exchange contracts | 30,171 | | — |
| Swaps | (1,706) | | — |
| Unfunded commitments | — | | (10) |
| Change in net unrealized appreciation/depreciation | (691,836) | | (1,233,831) |
| Net realized/unrealized gains (losses) | (624,225) | | (1,228,288) |
| Change in net assets resulting from operations | $(601,059) | | $ (994,987) |
| (a) | Net of foreign capital gains tax of $(792). |
| (b) | Net of change in foreign capital gains tax of $840. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 126 | J.P. Morgan Funds | April 30, 2022 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED
(Amounts in thousands)
| | JPMorgan Global Allocation Fund | | JPMorgan Income Builder Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | |
| Net investment income (loss) | $ 23,166 | | $ 53,504 | | $ 233,301 | | $ 458,527 |
| Net realized gain (loss) | 67,611 | | 371,128 | | 5,543 | | 691,837 |
| Change in net unrealized appreciation/depreciation | (691,836) | | 508,200 | | (1,233,831) | | 962,131 |
| Change in net assets resulting from operations | (601,059) | | 932,832 | | (994,987) | | 2,112,495 |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | |
| Class A | (69,829) | | (11,389) | | (340,225) | | (175,523) |
| Class C | (44,839) | | (7,511) | | (126,592) | | (72,722) |
| Class I | (241,983) | | (52,958) | | (365,002) | | (205,129) |
| Class R2 | (579) | | (100) | | — | | — |
| Class R3 | (116) | | (15) | | — | | — |
| Class R4 | (127) | | (20) | | — | | — |
| Class R5 | (7) | | (4) | | — | | — |
| Class R6 | (95,366) | | (18,956) | | (30,650) | | (18,942) |
| Total distributions to shareholders | (452,846) | | (90,953) | | (862,469) | | (472,316) |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Change in net assets resulting from capital transactions | 144,563 | | 651,552 | | 232,268 | | (30,633) |
| NET ASSETS: | | | | | | | |
| Change in net assets | (909,342) | | 1,493,431 | | (1,625,188) | | 1,609,546 |
| Beginning of period | 5,122,597 | | 3,629,166 | | 13,678,964 | | 12,069,418 |
| End of period | $4,213,255 | | $5,122,597 | | $12,053,776 | | $13,678,964 |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 127 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Global Allocation Fund | | JPMorgan Income Builder Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Proceeds from shares issued | $ 132,972 | | $ 343,717 | | $ 610,966 | | $ 1,470,545 |
| Distributions reinvested | 64,220 | | 10,397 | | 312,321 | | 160,549 |
| Cost of shares redeemed | (113,624) | | (165,771) | | (611,053) | | (1,007,091) |
| Change in net assets resulting from Class A capital transactions | 83,568 | | 188,343 | | 312,234 | | 624,003 |
| Class C | | | | | | | |
| Proceeds from shares issued | 22,448 | | 58,369 | | 72,788 | | 192,408 |
| Distributions reinvested | 40,451 | | 6,657 | | 120,824 | | 69,488 |
| Cost of shares redeemed | (59,819) | | (110,453) | | (361,443) | | (941,440) |
| Change in net assets resulting from Class C capital transactions | 3,080 | | (45,427) | | (167,831) | | (679,544) |
| Class I | | | | | | | |
| Proceeds from shares issued | 259,209 | | 596,114 | | 441,227 | | 991,794 |
| Distributions reinvested | 204,489 | | 43,953 | | 328,487 | | 183,235 |
| Cost of shares redeemed | (455,032) | | (447,625) | | (709,222) | | (1,052,204) |
| Change in net assets resulting from Class I capital transactions | 8,666 | | 192,442 | | 60,492 | | 122,825 |
| Class R2 | | | | | | | |
| Proceeds from shares issued | 409 | | 741 | | — | | — |
| Distributions reinvested | 579 | | 100 | | — | | — |
| Cost of shares redeemed | (640) | | (886) | | — | | — |
| Change in net assets resulting from Class R2 capital transactions | 348 | | (45) | | — | | — |
| Class R3 | | | | | | | |
| Proceeds from shares issued | 690 | | 95 | | — | | — |
| Distributions reinvested | 4 | | 1 | | — | | — |
| Cost of shares redeemed | (450) | | (47) | | — | | — |
| Change in net assets resulting from Class R3 capital transactions | 244 | | 49 | | — | | — |
| Class R4 | | | | | | | |
| Proceeds from shares issued | 203 | | 920 | | — | | — |
| Distributions reinvested | 127 | | 20 | | — | | — |
| Cost of shares redeemed | (81) | | (449) | | — | | — |
| Change in net assets resulting from Class R4 capital transactions | 249 | | 491 | | — | | — |
| Class R5 | | | | | | | |
| Proceeds from shares issued | 3 | | 707 | | — | | — |
| Distributions reinvested | 7 | | 4 | | — | | — |
| Cost of shares redeemed | (13) | | (680) | | — | | — |
| Change in net assets resulting from Class R5 capital transactions | (3) | | 31 | | — | | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| 128 | J.P. Morgan Funds | April 30, 2022 |
| | JPMorgan Global Allocation Fund | | JPMorgan Income Builder Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| CAPITAL TRANSACTIONS: (continued) | | | | | | | |
| Class R6 | | | | | | | |
| Proceeds from shares issued | $ 31,004 | | $ 353,812 | | $ 40,254 | | $ 83,057 |
| Distributions reinvested | 90,836 | | 18,024 | | 30,225 | | 18,708 |
| Cost of shares redeemed | (73,429) | | (56,168) | | (43,106) | | (199,682) |
| Change in net assets resulting from Class R6 capital transactions | 48,411 | | 315,668 | | 27,373 | | (97,917) |
| Total change in net assets resulting from capital transactions | $ 144,563 | | $ 651,552 | | $ 232,268 | | $ (30,633) |
| SHARE TRANSACTIONS: | | | | | | | |
| Class A | | | | | | | |
| Issued | 6,208 | | 15,139 | | 56,020 | | 128,767 |
| Reinvested | 2,958 | | 469 | | 28,542 | | 14,043 |
| Redeemed | (5,386) | | (7,316) | | (56,138) | | (88,675) |
| Change in Class A Shares | 3,780 | | 8,292 | | 28,424 | | 54,135 |
| Class C | | | | | | | |
| Issued | 1,064 | | 2,621 | | 6,654 | | 16,903 |
| Reinvested | 1,900 | | 309 | | 11,057 | | 6,110 |
| Redeemed | (2,886) | | (4,969) | | (33,340) | | (82,929) |
| Change in Class C Shares | 78 | | (2,039) | | (15,629) | | (59,916) |
| Class I | | | | | | | |
| Issued | 12,093 | | 26,172 | | 40,285 | | 86,981 |
| Reinvested | 9,359 | | 1,971 | | 29,962 | | 16,013 |
| Redeemed | (21,492) | | (19,623) | | (65,255) | | (92,705) |
| Change in Class I Shares | (40) | | 8,520 | | 4,992 | | 10,289 |
| Class R2 | | | | | | | |
| Issued | 19 | | 33 | | — | | — |
| Reinvested | 27 | | 5 | | — | | — |
| Redeemed | (29) | | (40) | | — | | — |
| Change in Class R2 Shares | 17 | | (2) | | — | | — |
| Class R3 | | | | | | | |
| Issued | 30 | | 4 | | — | | — |
| Redeemed | (22) | | (2) | | — | | — |
| Change in Class R3 Shares | 8 | | 2 | | — | | — |
| Class R4 | | | | | | | |
| Issued | 10 | | 40 | | — | | — |
| Reinvested | 6 | | 1 | | — | | — |
| Redeemed | (4) | | (19) | | — | | — |
| Change in Class R4 Shares | 12 | | 22 | | — | | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 129 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICIATED (continued)
(Amounts in thousands)
| | JPMorgan Global Allocation Fund | | JPMorgan Income Builder Fund |
| | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 | | Six Months Ended
April 30, 2022
(Unaudited) | | Year Ended
October 31, 2021 |
| SHARE TRANSACTIONS: (continued) | | | | | | | |
| Class R5 | | | | | | | |
| Issued | —(a) | | 32 | | — | | — |
| Reinvested | 1 | | —(a) | | — | | — |
| Redeemed | (1) | | (29) | | — | | — |
| Change in Class R5 Shares | —(a) | | 3 | | — | | — |
| Class R6 | | | | | | | |
| Issued | 1,448 | | 15,695 | | 3,717 | | 7,264 |
| Reinvested | 4,159 | | 807 | | 2,758 | | 1,635 |
| Redeemed | (3,615) | | (2,448) | | (3,952) | | (17,707) |
| Change in Class R6 Shares | 1,992 | | 14,054 | | 2,523 | | (8,808) |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 130 | J.P. Morgan Funds | April 30, 2022 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
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
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain | Total
distributions |
| JPMorgan Global Allocation Fund | | | | | | | | |
| Class A | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $23.57 | $0.08 | $(2.72) | $(2.64) | | $(0.26) | $(1.80) | $(2.06) |
| Year Ended October 31, 2021 | 19.27 | 0.22 | 4.50 | 4.72 | | (0.28) | (0.14) | (0.42) |
| Year Ended October 31, 2020 | 18.82 | 0.27 | 0.46 | 0.73 | | (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) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.15 | 0.03 | (2.66) | (2.63) | | (0.22) | (1.80) | (2.02) |
| Year Ended October 31, 2021 | 18.94 | 0.11 | 4.41 | 4.52 | | (0.17) | (0.14) | (0.31) |
| Year Ended October 31, 2020 | 18.54 | 0.18 | 0.46 | 0.64 | | (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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.72 | 0.11 | (2.74) | (2.63) | | (0.29) | (1.80) | (2.09) |
| Year Ended October 31, 2021 | 19.39 | 0.28 | 4.52 | 4.80 | | (0.33) | (0.14) | (0.47) |
| Year Ended October 31, 2020 | 18.91 | 0.32 | 0.47 | 0.79 | | (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) |
| Class R2 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.40 | 0.05 | (2.70) | (2.65) | | (0.23) | (1.80) | (2.03) |
| Year Ended October 31, 2021 | 19.14 | 0.14 | 4.45 | 4.59 | | (0.19) | (0.14) | (0.33) |
| Year Ended October 31, 2020 | 18.73 | 0.20 | 0.46 | 0.66 | | (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) |
| Class R3 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.65 | 0.07 | (2.73) | (2.66) | | (0.25) | (1.80) | (2.05) |
| Year Ended October 31, 2021 | 19.34 | 0.20 | 4.50 | 4.70 | | (0.25) | (0.14) | (0.39) |
| Year Ended October 31, 2020 | 18.90 | 0.24 | 0.48 | 0.72 | | (0.28) | — | (0.28) |
| Year Ended October 31, 2019 | 17.79 | 0.34 | 1.22 | 1.56 | | (0.45) | — | (0.45) |
| October 1, 2018(k) through October 31, 2018 | 18.65 | 0.02 | (0.88) | (0.86) | | — | — | — |
| Class R4 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.57 | 0.10 | (2.72) | (2.62) | | (0.28) | (1.80) | (2.08) |
| Year Ended October 31, 2021 | 19.28 | 0.26 | 4.48 | 4.74 | | (0.31) | (0.14) | (0.45) |
| Year Ended October 31, 2020 | 18.81 | 0.30 | 0.47 | 0.77 | | (0.30) | — | (0.30) |
| Year Ended October 31, 2019 | 17.71 | 0.42 | 1.17 | 1.59 | | (0.49) | — | (0.49) |
| October 1, 2018(k) through October 31, 2018 | 18.56 | 0.02 | (0.87) | (0.85) | | — | — | — |
| Class R5 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 23.73 | 0.12 | (2.75) | (2.63) | | (0.29) | (1.80) | (2.09) |
| Year Ended October 31, 2021 | 19.39 | 0.33 | 4.48 | 4.81 | | (0.33) | (0.14) | (0.47) |
| Year Ended October 31, 2020 | 18.92 | 0.33 | 0.46 | 0.79 | | (0.32) | — | (0.32) |
| Year Ended October 31, 2019 | 17.80 | 0.42 | 1.22 | 1.64 | | (0.52) | — | (0.52) |
| October 1, 2018(k) through October 31, 2018 | 18.65 | 0.02 | (0.87) | (0.85) | | — | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
| 132 | J.P. Morgan Funds | April 30, 2022 |
| | Ratios/Supplemental data | |
| | | | Ratios to average net assets(a) | | | |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(d)(e) | Net assets,
end of
period
(000's) | Net
expenses
(including dividend
and interest expense
for securities sold
short)(f)(g)(h) | Net
investment
income
(loss)(c) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(g)(h) | Portfolio
turnover rate
(excluding securities
sold short)(e)(i) | Portfolio
turnover rate
(including securities
sold short)(e)(i) | |
| | | | | | | | | |
| | | | | | | | | |
| $18.87 | (12.25)% | $ 690,735 | 1.03(j)% | 0.81(j)% | 1.18(j)% | 57% | 64% | |
| 23.57 | 24.67 | 773,563 | 1.04 | 0.97 | 1.18 | 101 | 110 | |
| 19.27 | 3.94 | 472,779 | 1.03 | 1.45 | 1.19 | 105 | 116 | |
| 18.82 | 9.08 | 443,776 | 1.05 | 2.00 | 1.26 | 111 | 139 | |
| 17.71 | (1.81) | 344,414 | 1.06 | 1.67 | 1.28 | 108 | 131 | |
| 18.63 | 15.88 | 305,300 | 1.04 | 1.96 | 1.29 | 83 | 95 | |
| | | | | | | | | |
| 18.50 | (12.42) | 416,076 | 1.53(j) | 0.30(j) | 1.68(j) | 57 | 64 | |
| 23.15 | 24.02 | 519,020 | 1.54 | 0.49 | 1.68 | 101 | 110 | |
| 18.94 | 3.44 | 463,256 | 1.54 | 0.95 | 1.69 | 105 | 116 | |
| 18.54 | 8.54 | 526,390 | 1.55 | 1.49 | 1.76 | 111 | 139 | |
| 17.47 | (2.32) | 511,863 | 1.56 | 1.18 | 1.78 | 108 | 131 | |
| 18.39 | 15.29 | 406,887 | 1.54 | 1.45 | 1.79 | 83 | 95 | |
| | | | | | | | | |
| 19.00 | (12.15) | 2,210,640 | 0.78(j) | 1.05(j) | 0.93(j) | 57 | 64 | |
| 23.72 | 24.96 | 2,760,026 | 0.79 | 1.23 | 0.93 | 101 | 110 | |
| 19.39 | 4.25 | 2,091,223 | 0.78 | 1.71 | 0.93 | 105 | 116 | |
| 18.91 | 9.36 | 2,170,359 | 0.80 | 2.25 | 1.00 | 111 | 139 | |
| 17.79 | (1.58) | 1,855,964 | 0.82 | 1.95 | 1.03 | 108 | 131 | |
| 18.71 | 16.12 | 1,611,736 | 0.79 | 2.14 | 1.02 | 83 | 95 | |
| | | | | | | | | |
| 18.72 | (12.39) | 5,883 | 1.40(j) | 0.44(j) | 1.45(j) | 57 | 64 | |
| 23.40 | 24.16 | 6,946 | 1.41 | 0.61 | 1.45 | 101 | 110 | |
| 19.14 | 3.55 | 5,724 | 1.40 | 1.09 | 1.46 | 105 | 116 | |
| 18.73 | 8.69 | 5,394 | 1.42 | 1.64 | 1.56 | 111 | 139 | |
| 17.64 | (2.09) | 3,658 | 1.39 | 1.35 | 1.56 | 108 | 131 | |
| 18.57 | 15.50 | 2,441 | 1.29 | 1.58 | 1.62 | 83 | 95 | |
| | | | | | | | | |
| 18.94 | (12.32) | 893 | 1.15(j) | 0.67(j) | 1.18(j) | 57 | 64 | |
| 23.65 | 24.47 | 932 | 1.16 | 0.86 | 1.18 | 101 | 110 | |
| 19.34 | 3.85 | 720 | 1.15 | 1.22 | 1.26 | 105 | 116 | |
| 18.90 | 8.97 | 50 | 1.17 | 1.83 | 1.44 | 111 | 139 | |
| 17.79 | (4.61) | 19 | 1.23 | 1.08 | 1.38 | 108 | 131 | |
| | | | | | | | | |
| 18.87 | (12.19) | 1,316 | 0.90(j) | 0.94(j) | 0.93(j) | 57 | 64 | |
| 23.57 | 24.77 | 1,377 | 0.91 | 1.12 | 0.93 | 101 | 110 | |
| 19.28 | 4.13 | 688 | 0.90 | 1.59 | 0.95 | 105 | 116 | |
| 18.81 | 9.20 | 631 | 0.92 | 2.29 | 1.02 | 111 | 139 | |
| 17.71 | (4.58) | 19 | 0.98 | 1.33 | 1.13 | 108 | 131 | |
| | | | | | | | | |
| 19.01 | (12.13) | 69 | 0.75(j) | 1.09(j) | 0.80(j) | 57 | 64 | |
| 23.73 | 25.00 | 89 | 0.76 | 1.43 | 0.81 | 101 | 110 | |
| 19.39 | 4.23 | 22 | 0.75 | 1.73 | 0.97 | 105 | 116 | |
| 18.92 | 9.39 | 21 | 0.78 | 2.27 | 1.00 | 111 | 139 | |
| 17.80 | (4.56) | 19 | 0.73 | 1.58 | 0.88 | 108 | 131 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 133 |
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
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain | Total
distributions |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $23.71 | $0.13 | $(2.75) | $(2.62) | | $(0.30) | $(1.80) | $(2.10) |
| Year Ended October 31, 2021 | 19.38 | 0.31 | 4.52 | 4.83 | | (0.36) | (0.14) | (0.50) |
| Year Ended October 31, 2020 | 18.91 | 0.35 | 0.46 | 0.81 | | (0.34) | — | (0.34) |
| Year Ended October 31, 2019 | 17.79 | 0.43 | 1.22 | 1.65 | | (0.53) | — | (0.53) |
| November 1, 2017(k) through October 31, 2018 | 18.74 | 0.37 | (0.65) | (0.28) | | (0.38) | (0.29) | (0.67) |
|
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| (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) | Not annualized for periods less than one year. |
| (f) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (g) | |
| April 30, 2022 | October 31, 2021 | October 31, 2020 | October 31, 2019 | October 31, 2018 | October 31, 2017 |
| Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 1.02% | 1.03% | 1.02% | 1.02% | 1.02% | 1.02% |
| Class C | 1.52% | 1.53% | 1.53% | 1.52% | 1.52% | 1.52% |
| Class I | 0.77% | 0.78% | 0.77% | 0.77% | 0.78% | 0.77% |
| Class R2 | 1.39% | 1.40% | 1.39% | 1.39% | 1.35% | 1.27% |
| Class R3 | 1.14% | 1.15% | 1.14% | 1.14% | 1.19% | —% |
| Class R4 | 0.89% | 0.90% | 0.89% | 0.89% | 0.94% | —% |
| Class R5 | 0.74% | 0.75% | 0.74% | 0.75% | 0.69% | —% |
| Class R6 | 0.64% | 0.65% | 0.64% | 0.64% | 0.64% | —% |
| Expenses without waivers (excluding dividend and interest expense for securities sold short) | | | | | | |
| Class A | 1.17% | 1.17% | 1.18% | 1.23% | 1.24% | 1.27% |
| Class C | 1.67% | 1.67% | 1.68% | 1.73% | 1.74% | 1.77% |
| Class I | 0.92% | 0.92% | 0.92% | 0.97% | 0.99% | 1.00% |
| Class R2 | 1.44% | 1.44% | 1.45% | 1.53% | 1.52% | 1.60% |
| Class R3 | 1.17% | 1.17% | 1.25% | 1.41% | 1.34% | —% |
| Class R4 | 0.92% | 0.92% | 0.94% | 0.99% | 1.09% | —% |
| Class R5 | 0.79% | 0.80% | 0.96% | 0.97% | 0.84% | —% |
| Class R6 | 0.67% | 0.67% | 0.67% | 0.72% | 0.74% | —% |
|
| (h) | Does not include expenses of underlying funds. |
| (i) | The Fund presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. |
| (j) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (k) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 134 | J.P. Morgan Funds | April 30, 2022 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | Ratios/Supplemental data | |
| | | | Ratios to average net assets(a) | | | |
Net asset
value,
end of
period | Total return
(excludes
sales charge)(d)(e) | Net assets,
end of
period
(000's) | Net
expenses
(including dividend
and interest expense
for securities sold
short)(f)(g)(h) | Net
investment
income
(loss)(c) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(g)(h) | Portfolio
turnover rate
(excluding securities
sold short)(e)(i) | Portfolio
turnover rate
(including securities
sold short)(e)(i) | |
| | | | | | | | | |
| $18.99 | (12.10)% | $ 887,643 | 0.65(j)% | 1.19(j)% | 0.68(j)% | 57% | 64% | |
| 23.71 | 25.13 | 1,060,644 | 0.66 | 1.36 | 0.68 | 101 | 110 | |
| 19.38 | 4.34 | 594,754 | 0.65 | 1.83 | 0.68 | 105 | 116 | |
| 18.91 | 9.50 | 528,192 | 0.67 | 2.35 | 0.75 | 111 | 139 | |
| 17.79 | (1.58) | 841,967 | 0.68 | 2.02 | 0.78 | 108 | 131 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| April 30, 2022 | J.P. Morgan Funds | 135 |
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 Income Builder Fund | | | | | | | | |
| Class A | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | $11.62 | $0.19 | $(1.02) | $(0.83) | | $(0.23) | $(0.50) | $(0.73) |
| Year Ended October 31, 2021 | 10.21 | 0.40 | 1.42 | 1.82 | | (0.41) | — | (0.41) |
| Year Ended October 31, 2020 | 10.73 | 0.38 | (0.49) | (0.11) | | (0.39) | (0.02) | (0.41) |
| 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) |
| Class C | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 11.58 | 0.17 | (1.02) | (0.85) | | (0.20) | (0.50) | (0.70) |
| Year Ended October 31, 2021 | 10.19 | 0.34 | 1.40 | 1.74 | | (0.35) | — | (0.35) |
| Year Ended October 31, 2020 | 10.70 | 0.32 | (0.47) | (0.15) | | (0.34) | (0.02) | (0.36) |
| 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) |
| Class I | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 11.64 | 0.20 | (1.02) | (0.82) | | (0.24) | (0.50) | (0.74) |
| Year Ended October 31, 2021 | 10.23 | 0.41 | 1.42 | 1.83 | | (0.42) | — | (0.42) |
| Year Ended October 31, 2020 | 10.74 | 0.39 | (0.48) | (0.09) | | (0.40) | (0.02) | (0.42) |
| 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) |
| Class R6 | | | | | | | | |
| Six Months Ended April 30, 2022(Unaudited) | 11.64 | 0.21 | (1.02) | (0.81) | | (0.25) | (0.50) | (0.75) |
| Year Ended October 31, 2021 | 10.23 | 0.42 | 1.42 | 1.84 | | (0.43) | — | (0.43) |
| Year Ended October 31, 2020 | 10.74 | 0.40 | (0.48) | (0.08) | | (0.41) | (0.02) | (0.43) |
| 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) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Not annualized for periods less than one year. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 136 | J.P. Morgan Funds | April 30, 2022 |
| | 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(d) | |
| | | | | | | | |
| | | | | | | | |
| $10.06 | (7.56)% | $4,901,476 | 0.75(f)% | 3.60(f)% | 1.02(f)% | 32% | |
| 11.62 | 17.94 | 5,328,533 | 0.75 | 3.47 | 1.02 | 72 | |
| 10.21 | (1.01) | 4,132,310 | 0.74 | 3.65 | 1.02 | 64 | |
| 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 | |
| | | | | | | | |
| 10.03 | (7.74) | 1,701,969 | 1.25(f) | 3.07(f) | 1.52(f) | 32 | |
| 11.58 | 17.18 | 2,146,228 | 1.25 | 2.95 | 1.52 | 72 | |
| 10.19 | (1.42) | 2,497,469 | 1.24 | 3.16 | 1.52 | 64 | |
| 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 | |
| | | | | | | | |
| 10.08 | (7.48) | 5,012,509 | 0.60(f) | 3.74(f) | 0.76(f) | 32 | |
| 11.64 | 18.08 | 5,728,166 | 0.60 | 3.61 | 0.76 | 72 | |
| 10.23 | (0.76) | 4,930,991 | 0.59 | 3.80 | 0.77 | 64 | |
| 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 | |
| | | | | | | | |
| 10.08 | (7.44) | 437,822 | 0.51(f) | 3.84(f) | 0.51(f) | 32 | |
| 11.64 | 18.18 | 476,037 | 0.51 | 3.69 | 0.51 | 72 | |
| 10.23 | (0.68) | 508,648 | 0.51 | 3.90 | 0.52 | 64 | |
| 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, 2022 | J.P. Morgan Funds | 137 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited)
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 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 and Class R6 | Diversified |
| JPMorgan Income Builder Fund | Class A, Class C, Class I and Class R6 | Diversified |
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 Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the 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 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.
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
| 138 | J.P. Morgan Funds | April 30, 2022 |
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. Certain foreign equity instruments 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 in open-end investment companies, excluding exchange-traded funds ("ETFs") (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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 tables on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Funds at April 30, 2022.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
| 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 | $ — | $ — | $1,876 | $ 1,876 |
| Collateralized Mortgage Obligations | — | — | 830 | 830 |
| Commercial Mortgage-Backed Securities | | | | |
| United States | — | 7,363 | 551 | 7,914 |
| Common Stocks | | | | |
| Australia | — | 18,530 | — | 18,530 |
| Austria | — | 311 | — | 311 |
| Belgium | — | 18,063 | — | 18,063 |
| Brazil | 16,378 | 67 | — | 16,445 |
| Canada | 13,553 | — | — | 13,553 |
| Chile | 979 | 60 | — | 1,039 |
| China | 23,234 | 161,570 | — | 184,804 |
| Denmark | — | 46,395 | — | 46,395 |
| Finland | — | 1,412 | — | 1,412 |
| France | — | 117,868 | — | 117,868 |
| Germany | — | 53,464 | — | 53,464 |
| Greece | — | 1,461 | — | 1,461 |
| Hong Kong | 235 | 16,918 | — | 17,153 |
| India | 23,465 | — | — | 23,465 |
| Indonesia | — | 13,643 | — | 13,643 |
| Ireland | 173 | 586 | — | 759 |
| April 30, 2022 | J.P. Morgan Funds | 139 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Global Allocation Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Israel | $ 240 | | $ 543 | | $ — | | $ 783 |
| Italy | — | | 2,350 | | — | | 2,350 |
| Japan | — | | 86,398 | | — | | 86,398 |
| Jordan | — | | 32 | | — | | 32 |
| Luxembourg | — | | 246 | | — | | 246 |
| Macau | — | | 842 | | — | | 842 |
| Mexico | 12,154 | | — | | — | | 12,154 |
| Netherlands | 25 | | 22,425 | | — | | 22,450 |
| New Zealand | — | | 301 | | — | | 301 |
| Norway | 15 | | 800 | | — | | 815 |
| Peru | 1,981 | | — | | — | | 1,981 |
| Poland | — | | 1,296 | | — | | 1,296 |
| Portugal | — | | 197 | | — | | 197 |
| Qatar | 1,556 | | — | | — | | 1,556 |
| Russia | — | | — | | 31 | | 31 |
| Singapore | 25 | | 7,378 | | — | | 7,403 |
| South Africa | 4,898 | | 15,843 | | — | | 20,741 |
| South Korea | — | | 44,477 | | — | | 44,477 |
| Spain | — | | 10,837 | | — | | 10,837 |
| Sweden | — | | 18,165 | | — | | 18,165 |
| Switzerland | 187 | | 37,244 | | — | | 37,431 |
| Taiwan | 26,743 | | 27,258 | | — | | 54,001 |
| Tanzania, United Republic of | — | | 725 | | — | | 725 |
| Thailand | 4,917 | | — | | — | | 4,917 |
| United Arab Emirates | — | | — | | — | | — |
| United Kingdom | 81 | | 47,505 | | — | | 47,586 |
| United States | 1,414,897 | | 14,171 | | 147 | | 1,429,215 |
| Total Common Stocks | 1,545,736 | | 789,381 | | 178 | | 2,335,295 |
| Convertible Preferred Stocks | — | | — | | 590 | | 590 |
| Corporate Bonds | — | | 666,625 | | — | | 666,625 |
| Exchange-Traded Funds | 16,222 | | — | | — | | 16,222 |
| Foreign Government Securities | — | | 626,906 | | — | | 626,906 |
| Investment Companies | 186,217 | | — | | — | | 186,217 |
| Loan Assignments | | | | | | | |
| United States | — | | 361 | | 545 | | 906 |
| Options Purchased | | | | | | | |
| Put Options Purchased | 46,482 | | — | | — | | 46,482 |
| Preferred Stocks | — | | — | | 44 | | 44 |
| Rights | — | | — | | 22 | | 22 |
| Supranational | — | | 6,837 | | — | | 6,837 |
| U.S. Treasury Obligations | — | | 63,977 | | — | | 63,977 |
| Warrants | | | | | | | |
| Netherlands | — | | 871 | | — | | 871 |
| Switzerland | — | | 7,673 | | — | | 7,673 |
| United Kingdom | — | | 741 | | 51 | | 792 |
| United States | — | | — | | 8 | | 8 |
| Total Warrants | — | | 9,285 | | 59 | | 9,344 |
| 140 | J.P. Morgan Funds | April 30, 2022 |
| Global Allocation Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Short-Term Investments | | | | | | | |
| Foreign Government Treasury Bills | $ — | | $ 44,895 | | $ — | | $ 44,895 |
| Investment Companies | 165,446 | | — | | — | | 165,446 |
| Investment of Cash Collateral from Securities Loaned | 89,630 | | — | | — | | 89,630 |
| Total Short-Term Investments | 255,076 | | 44,895 | | — | | 299,971 |
| Total Investments in Securities | $2,049,733 | | $2,215,630 | | $4,695 | | $4,270,058 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Forward Foreign Currency Exchange Contracts | $ — | | $ 44,591 | | $ — | | $ 44,591 |
| Futures Contracts | 13,522 | | — | | — | | 13,522 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Forward Foreign Currency Exchange Contracts | — | | (7,296) | | — | | (7,296) |
| Futures Contracts | (74,159) | | — | | — | | (74,159) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ (60,637) | | $ 37,295 | | $ — | | $ (23,342) |
There were no significant transfers into or out of level 3 for the six months ended April 30, 2022.
| Income Builder 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 | $ — | | $ — | | $ 1,184 | | $ 1,184 |
| United States | — | | 92,554 | | 68,964 | | 161,518 |
| Total Asset-Backed Securities | — | | 92,554 | | 70,148 | | 162,702 |
| Collateralized Mortgage Obligations | | | | | | | |
| Bermuda | — | | — | | 2,972 | | 2,972 |
| United States | — | | 303,061 | | 158,200 | | 461,261 |
| Total Collateralized Mortgage Obligations | — | | 303,061 | | 161,172 | | 464,233 |
| Commercial Mortgage-Backed Securities | | | | | | | |
| United States | — | | 194,974 | | 291,423 | | 486,397 |
| Common Stocks | | | | | | | |
| Australia | — | | 105,458 | | — | | 105,458 |
| Austria | — | | 10,094 | | — | | 10,094 |
| Belgium | — | | 21,878 | | — | | 21,878 |
| Brazil | 22,661 | | 3,971 | | — | | 26,632 |
| Canada | 275,720 | | — | | — | | 275,720 |
| Cayman Islands | — | | — | | — | | — |
| Chile | 4,539 | | — | | — | | 4,539 |
| China | — | | 196,349 | | — | | 196,349 |
| Denmark | 1,931 | | 54,713 | | — | | 56,644 |
| Finland | — | | 40,633 | | — | | 40,633 |
| France | — | | 170,100 | | — | | 170,100 |
| Germany | — | | 164,147 | | — | | 164,147 |
| Hong Kong | 11,914 | | 52,514 | | — | | 64,428 |
| India | 28,516 | | 23,763 | | — | | 52,279 |
| April 30, 2022 | J.P. Morgan Funds | 141 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Income Builder Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Indonesia | $ 18,182 | | $ 18,676 | | $ — | | $ 36,858 |
| Ireland | — | | 3,039 | | — | | 3,039 |
| Italy | — | | 73,328 | | — | | 73,328 |
| Japan | 4,067 | | 217,681 | | — | | 221,748 |
| Luxembourg | — | | 1,496 | | 8,430 | | 9,926 |
| Mexico | 46,976 | | — | | — | | 46,976 |
| Netherlands | — | | 57,447 | | — | | 57,447 |
| New Zealand | — | | 13,560 | | — | | 13,560 |
| Norway | 3,109 | | 33,829 | | — | | 36,938 |
| Poland | — | | 5,863 | | — | | 5,863 |
| Portugal | 1,358 | | 12,774 | | — | | 14,132 |
| Russia | — | | — | | 106 | | 106 |
| Saudi Arabia | — | | 11,387 | | — | | 11,387 |
| Singapore | 2,659 | | 35,408 | | — | | 38,067 |
| South Africa | 11,952 | | 11,984 | | — | | 23,936 |
| South Korea | 7,366 | | 57,557 | | — | | 64,923 |
| Spain | 2,351 | | 126,299 | | — | | 128,650 |
| Sweden | — | | 63,023 | | — | | 63,023 |
| Switzerland | — | | 185,522 | | — | | 185,522 |
| Taiwan | 5,006 | | 118,372 | | — | | 123,378 |
| Thailand | 5,373 | | — | | — | | 5,373 |
| United Kingdom | 4,387 | | 256,595 | | — | | 260,982 |
| United States | 1,994,025 | | 47,975 | | 2,827 | | 2,044,827 |
| Total Common Stocks | 2,452,092 | | 2,195,435 | | 11,363 | | 4,658,890 |
| Convertible Bonds | | | | | | | |
| Australia | — | | 2,275 | | — | | 2,275 |
| Canada | — | | 591 | | — | | 591 |
| China | — | | 5,774 | | — | | 5,774 |
| Germany | — | | 819 | | — | | 819 |
| Israel | — | | 1,447 | | — | | 1,447 |
| New Zealand | — | | 782 | | — | | 782 |
| South Korea | — | | 229 | | — | | 229 |
| Spain | — | | 1,063 | | — | | 1,063 |
| Taiwan | — | | 773 | | — | | 773 |
| United Kingdom | — | | 4,383 | | — | | 4,383 |
| United States | — | | 32,224 | | 2,141 | | 34,365 |
| Vietnam | — | | 1,212 | | — | | 1,212 |
| Total Convertible Bonds | — | | 51,572 | | 2,141 | | 53,713 |
| Convertible Preferred Stocks | | | | | | | |
| United States | 13,992 | | — | | 7,506 | | 21,498 |
| Corporate Bonds | | | | | | | |
| Australia | — | | 18,324 | | — | | 18,324 |
| Austria | — | | 1,296 | | — | | 1,296 |
| Azerbaijan | — | | 4,042 | | — | | 4,042 |
| Bahrain | — | | 1,206 | | — | | 1,206 |
| Belgium | — | | 2,446 | | — | | 2,446 |
| Brazil | — | | 4,745 | | — | | 4,745 |
| Canada | — | | 171,349 | | — | | 171,349 |
| 142 | J.P. Morgan Funds | April 30, 2022 |
| Income Builder Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Cayman Islands | $ — | | $ 814 | | $ — | | $ 814 |
| Chile | — | | 2,445 | | — | | 2,445 |
| China | — | | 42,320 | | — | | 42,320 |
| Colombia | — | | 3,054 | | — | | 3,054 |
| Finland | — | | 9,464 | | — | | 9,464 |
| France | — | | 79,059 | | — | | 79,059 |
| Germany | — | | 4,457 | | — | | 4,457 |
| Greece | — | | 315 | | — | | 315 |
| Guatemala | — | | 1,094 | | — | | 1,094 |
| Hong Kong | — | | 10,616 | | — | | 10,616 |
| India | — | | 30,809 | | — | | 30,809 |
| Indonesia | — | | 22,968 | | — | | 22,968 |
| Ireland | — | | 14,916 | | — | | 14,916 |
| Israel | — | | 1,102 | | — | | 1,102 |
| Italy | — | | 19,387 | | — | | 19,387 |
| Japan | — | | 9,423 | | — | | 9,423 |
| Kazakhstan | — | | 5,964 | | — | | 5,964 |
| Luxembourg | — | | 31,926 | | — | | 31,926 |
| Macau | — | | 1,516 | | — | | 1,516 |
| Mexico | — | | 13,060 | | — | | 13,060 |
| Morocco | — | | 988 | | — | | 988 |
| Netherlands | — | | 28,355 | | — | | 28,355 |
| Norway | — | | 176 | | — | | 176 |
| Panama | — | | 1,392 | | — | | 1,392 |
| Paraguay | — | | 269 | | — | | 269 |
| Peru | — | | 1,367 | | — | | 1,367 |
| Philippines | — | | 8,510 | | — | | 8,510 |
| Saudi Arabia | — | | 1,646 | | — | | 1,646 |
| South Africa | — | | 1,036 | | — | | 1,036 |
| South Korea | — | | 1,809 | | — | | 1,809 |
| Spain | — | | 11,854 | | — | | 11,854 |
| Sweden | — | | 2,964 | | — | | 2,964 |
| Switzerland | — | | 88,097 | | — | | 88,097 |
| Thailand | — | | 5,267 | | — | | 5,267 |
| Trinidad And Tobago | — | | 1,575 | | — | | 1,575 |
| Turkey | — | | 590 | | — | | 590 |
| Ukraine | — | | 195 | | — | | 195 |
| United Arab Emirates | — | | 558 | | — | | 558 |
| United Kingdom | — | | 101,413 | | — | | 101,413 |
| United States | — | | 3,428,143 | | 40 | | 3,428,183 |
| Uzbekistan | — | | 1,100 | | — | | 1,100 |
| Total Corporate Bonds | — | | 4,195,421 | | 40 | | 4,195,461 |
| Equity Linked Notes | — | | 851,785 | | — | | 851,785 |
| Exchange-Traded Funds | 314,304 | | — | | — | | 314,304 |
| Foreign Government Securities | — | | 142,285 | | — | | 142,285 |
| Loan Assignments | | | | | | | |
| Canada | — | | 1,269 | | — | | 1,269 |
| France | — | | 3,176 | | — | | 3,176 |
| April 30, 2022 | J.P. Morgan Funds | 143 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Income Builder Fund (continued) | | | | |
| | Level 1
Quoted prices | | Level 2
Other significant
observable inputs | | Level 3
Significant
unobservable inputs | | Total |
| Ireland | $ — | | $ 118 | | $ — | | $ 118 |
| Luxembourg | — | | 10,188 | | — | | 10,188 |
| Netherlands | — | | 1,173 | | — | | 1,173 |
| United Kingdom | — | | 793 | | — | | 793 |
| United States | — | | 272,785 | | 3,052 | | 275,837 |
| Total Loan Assignments | — | | 289,502 | | 3,052 | | 292,554 |
| Mortgage-Backed Securities | — | | 943 | | — | | 943 |
| Preferred Stocks | | | | | | | |
| United States | 74,461 | | — | | 2,537 | | 76,998 |
| Rights | | | | | | | |
| Luxembourg | — | | — | | — | | — |
| United States | — | | — | | 622 | | 622 |
| Total Rights | — | | — | | 622 | | 622 |
| U.S. Treasury Obligations | — | | 67,428 | | — | | 67,428 |
| Warrants | | | | | | | |
| United Kingdom | — | | — | | 2,614 | | 2,614 |
| United States | 2,576 | | — | | 67 | | 2,643 |
| Total Warrants | 2,576 | | — | | 2,681 | | 5,257 |
| Short-Term Investments | | | | | | | |
| Certificates of Deposits | — | | 633 | | — | | 633 |
| Commercial Paper | — | | 1,414 | | — | | 1,414 |
| Investment Companies | 566,971 | | — | | — | | 566,971 |
| Investment of Cash Collateral from Securities Loaned | 222,603 | | — | | — | | 222,603 |
| Total Short-Term Investments | 789,574 | | 2,047 | | — | | 791,621 |
| Total Investments in Securities | $3,646,999 | | $8,387,007 | | $552,685 | | $12,586,691 |
| Appreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | $ 24,798 | | $ — | | $ — | | $ 24,798 |
| Depreciation in Other Financial Instruments | | | | | | | |
| Futures Contracts | (134,414) | | — | | — | | (134,414) |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | $ (109,616) | | $ — | | $ — | | $ (109,616) |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| Income Builder Fund | Balance as of
October 31,
2021 | Realized
gain (loss) | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | Purchases 1 | Sales 2 | Transfers
into
Level 3 | Transfers
out of
Level 3 | Other(a) | Balance as of
April 30,
2022 |
| Investments in securities: | | | | | | | | | | |
| Asset-Backed Securities | $111,362 | $1,601 | $ (5,409) | $ 64 | $ 13,787 | $(41,598) | $ 1,486 | $ (4,134) | $(7,011) | $ 70,148 |
| Collateralized Mortgage Obligations | 91,751 | (65) | (14,747) | 4 | 59,452 | (38,320) | 56,086 | — | 7011 | 161,172 |
| 144 | J.P. Morgan Funds | April 30, 2022 |
| Income Builder Fund | Balance as of
October 31,
2021 | | Realized
gain (loss) | | Change in net
unrealized
appreciation
(depreciation) | | Net
accretion
(amortization) | | Purchases 1 | | Sales 2 | | Transfers
into
Level 3 | | Transfers
out of
Level 3 | | Other(a) | | Balance as of
April 30,
2022 |
| Commercial Mortgage-Backed Securities | $270,236 | | $ 86 | | $(29,642) | | $381 | | $ 34,309 | | $ (2,819) | | $ 37,783 | | $(18,911) | | $ — | | $291,423 |
| Common Stocks | 8,968 | | 112 | | (20,790) | | — | | 9,010 | | (8,592) | | 22,655 | | — | | — | | 11,363 |
| Convertible Bonds | 1,869 | | — | | 272 | | — | | — | | — | | — | | — | | — | | 2,141 |
| Convertible Preferred Stocks | 7,671 | | 541 | | 1 | | — | | — | | (707) | | — | | — | | — | | 7,506 |
| Corporate Bonds | 640 | | 6 | | (882) | | — | | 283 | | (7) | | — | | — | | — | | 40 |
| Loan Assignments | 3,411 | | (2) | | (444) | | 38 | | 3,207 | | (3,158) | | — | | — | | — | | 3,052 |
| Preferred Stocks | 2,648 | | — | | (111) | | — | | — | | — | | — | | — | | — | | 2,537 |
| Rights | 678 | | — | | (57) | | — | | 1 | | — | | — | | — | | — | | 622 |
| Warrants | 992 | | — | | 1689 | | — | | — | | — | | — | | — | | — | | 2,681 |
| Total | 500,226 | | 2,279 | | (70,120) | | 487 | | 120,049 | | (95,201) | | 118,010 | | (23,045) | | — | | 552,685 |
|
| 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) | Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(67,797). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the six months ended April 30, 2022.
The significant unobservable inputs used in the fair value measurement of the Funds investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Income
Builder Fund
Quantitative Information about Level 3 Fair Value Measurements #
| | Fair Value at
April 30, 2022 | 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%) |
| | | | | |
| Common Stocks | -(b) | | | |
| | 1 | Market Comparable Companies | EBITDA Multiple (c) | 5.0x(5.0x) |
| April 30, 2022 | J.P. Morgan Funds | 145 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| | Fair Value at
April 30, 2022 | Valuation
Technique(s) | Unobservable
Input | Range (Weighted
Average) (a) |
| | | | Liquidity Discount | 30.00%(30.00%) |
| | | | | |
| Preferred Stocks | 1 | | | |
| | 61,430 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 35.00% (9.48%) |
| | | | Constant Default Rate | 0.00% - 9.39% (2.29%) |
| | | | Yield (Discount Rate of Cash Flows) | 2.34% - 10.78% (5.28%) |
| | | | | |
| Asset-Backed Securities | 61,430 | | | |
| | 161,172 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 45.00% (18.56%) |
| | | | Constant Default Rate | 0.00% - 1.89% (0.02%) |
| | | | Yield (Discount Rate of Cash Flows) | 3.05% - 14.48% (6.92%) |
| | | | | |
| Collateralized Mortgage Obligations | 161,172 | | | |
| | 291,422 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.18%) |
| | | | Constant Default Rate | 0.00% - 5.00% (0.01%) |
| | | | Yield (Discount Rate of Cash Flows) | 3.22% - 14.16% (7.74%) |
| | | | | |
| Collateralized Mortgage-Backed Securities | 291,422 | | | |
| | 17 | Terms of Restructuring | Expected Recovery | 10.90% (10.90%) |
| | | | | |
| Loan Assignments | 17 | | | |
| Total | $514,041 | | | |
| # | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At April 30 2022, the value of these investments was $38,664. 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) | Amount rounds to less than one thousand. |
| (c) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
| 146 | J.P. Morgan Funds | April 30, 2022 |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of April 30, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. 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 it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, a Fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A Fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.
Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a Fund may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
D. Unfunded Commitments — The Funds entered into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of their normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Funds to provide cash to the borrower on demand. Unfunded commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statements of Assets and Liabilities. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The 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 from non-affiliates on the Statements of Operations.
At April 30, 2022, Income Builder Fund had the following loan commitments outstanding in which all or a portion of the commitment was unfunded which could be extended at the options of the borrower:
| | | | | Unfunded
Commitment | Funded
Commitment | Total
Commitment |
| Security Description | Maturity
Date | Commitment
Fee Rate | Rate if
Funded | Par
Amount | Value | Par
Amount | Value | Par
Amount | Value |
| Income Builder Fund |
| Holley, Inc., Delayed Draw Term Loan B | 11/17/2028 | 3.750% | 4.576% | $ 50 | $ 49 | $21 | $21 | $ 71 | $ 70 |
| Moran Foods LLC, Delayed Draw 1st Lien Term Loan B ‡ | 04/01/2023 | 0.000 | 1.115 | 483 | 482 | — | — | 483 | 482 |
| Tekni-Plex, Inc., Delayed Draw Term Loan B | 09/15/2028 | 4.000 | 4.764 | 22 | 22 | 37 | 37 | 59 | 59 |
| Traeger Grills, Delayed Draw Term Loan | 06/29/2028 | 3.250 | 4.239 | 61 | 58 | 20 | 19 | 81 | 77 |
| April 30, 2022 | J.P. Morgan Funds | 147 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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 the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
The Funds may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a each Fund's transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Funds is held in a segregated account at the Fund's custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan. These amounts are not reflected on the Funds' Statements of Assets and Liabilities.
The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of April 30, 2022, which are shown as a on the Statementsof Assets and Liabilities. The values of these securities held at April 30, 2022 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 and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of April 30, 2022.
| | Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
| Global Allocation Fund | $ 83,512 | $ (83,512) | $— |
| 148 | J.P. Morgan Funds | April 30, 2022 |
| | Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
| Income Builder Fund | $211,753 | $(211,753) | $— |
|
| * | 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 0.13% to 0.06%. For the six months ended April 30, 2022, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| 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 and ETFs which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ and ETFs’ distributions may be reinvested into the Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Global Allocation Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Income Fund Class R6 Shares (a) | $ — | | $ 190,193 | | $ — | | $ — | | $(3,976) | | $186,217 | 20,994 | $622 | | $— |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | 207,109 | | 1,896,343 | | 1,937,874 | | (103) | | (29) | | 165,446 | 165,414 | 204 | | — |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 68,262 | | 220,500 | | 210,000 | | (26)* | | (3) | | 78,733 | 78,788 | 33* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 9,037 | | 133,183 | | 131,323 | | — | | — | | 10,897 | 10,897 | 4* | | — |
| Total | $284,408 | | $2,440,219 | | $2,279,197 | | $(129) | | $(4,008) | | $441,293 | | $863 | | $— |
|
| (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, 2022. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| April 30, 2022 | J.P. Morgan Funds | 149 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Income Builder Fund |
| | For the six months ended April 30, 2022 |
| Security Description | Value at
October 31,
2021 | | Purchases at
Cost | | Proceeds from
Sales | | Net Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
April 30,
2022 | Shares at
April 30,
2022 | Dividend
Income | | Capital Gain
Distributions |
| JPMorgan Equity Premium Income ETF Class (a) | $ — | | $ 332,143 | | $ — | | $ — | | $(17,839) | | $ 314,304 | 5,366 | $7,579 | | $— |
| JPMorgan Prime Money Market Fund Class IM Shares, 0.42% (a) (b) | 55,261 | | 331,342 | | 306,516 | | (12) | | 6 | | 80,081 | 80,057 | 45 | | — |
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.36% (a) (b) | 209,276 | | 3,712,676 | | 3,434,950 | | (90) | | (22) | | 486,890 | 486,793 | 159 | | — |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.37% (a) (b) | 213,987 | | 284,999 | | 301,000 | | (91)* | | (40) | | 197,855 | 197,993 | 142* | | — |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.37% (a) (b) | 24,954 | | 239,607 | | 239,813 | | — | | — | | 24,748 | 24,748 | 15* | | — |
| Total | $503,478 | | $4,900,767 | | $4,282,279 | | $(193) | | $(17,895) | | $1,103,878 | | $7,940 | | $— |
|
| (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, 2022. |
| * | 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 in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
I. Derivatives — The Funds used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategy. 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. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets.
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 a pre-determined percentage or fall below a pre-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
| 150 | J.P. Morgan Funds | April 30, 2022 |
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 Funds.
Notes I(1) - I(4) below describe the various derivatives used by the Funds.
(1) Options — Global Allocation 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 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 in market value is recorded as Change in 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.
The Funds pledge collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted on the SOIs.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subjects 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).
(2) Futures Contracts — The Funds used currency, index, interest rate, 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.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price, foreign exchange and interest rate 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.
| April 30, 2022 | J.P. Morgan Funds | 151 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts — Global Allocation Fund is exposed to foreign currency risks associated with some or all of its portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of its 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 exchange currency contracts are adjusted daily based on the applicable exchange rates of the underlying currencies. Changes in the value of these contracts are recorded as Change in net 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 for non-deliverable forward foreign currency exchange contracts.
(4) Swaps — Global Allocation Fund engaged in various swap transactions, including total return basket swaps, to manage total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-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. 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 swaps 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’s OTC swap contracts are subject to master netting arrangements.
Total Return Basket Swaps
Global Allocation Fund entered into total return basket swap agreements 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 the 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 contract on the Statements of Assets and Liabilities and as Net realized gain (loss) on transactions from swaps on the Statements of Operations.
Each swap involves 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 consist 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 each 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.
| 152 | J.P. Morgan Funds | April 30, 2022 |
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 the swap are recognized as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations.
(5) Summary of Derivatives Information —The following tables present the value of derivatives held as of April 30, 2022, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| | Global
Allocation
Fund | Income
Builder Fund |
| Equity Risk Exposure: | | |
| Unrealized Appreciation on Futures Contracts * | $ 5,729 | $ 24,798 |
| Swaps at Value (Assets) | 544 | — |
| Purchased Options at Market Value | 46,482 | — |
| Unrealized Depreciation on Futures Contracts * | (20,998) | (23,721) |
| Foreign Exchange Rate Risk Exposure: | | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 44,591 | — |
| Unrealized Depreciation on Futures Contracts * | (49,050) | — |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (7,296) | — |
| Interest Rate Risk Exposure: | | |
| Unrealized Appreciation on Futures Contracts * | 7,793 | — |
| Unrealized Depreciation on Futures Contracts * | (4,111) | (110,693) |
| | | |
| Net Fair Value of Derivative Contracts: | | |
| Unrealized Appreciation (Depreciation) on Futures Contracts * | (60,637) | (109,616) |
| Swaps at Value | 544 | — |
| Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | 37,295 | — |
| Purchased Options at Market Value | 46,482 | — |
|
| * | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
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, 2022:
Global Allocation Fund
| 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) |
| Bank of America, NA | $ 544 | | $ — | | $(544)(b) | | $ — |
| Barclays Bank plc | 7,292 | | (1,273) | | — | | 6,019 |
| BNP Paribas | 31,296 | | (2,133) | | — | | 29,163 |
| Citibank, NA | 1,002 | | (266) | | — | | 736 |
| Goldman Sachs International | 85 | | (85) | | — | | — |
| HSBC Bank, NA | 1,409 | | (563) | | — | | 846 |
| Merrill Lynch International | 300 | | (197) | | — | | 103 |
| Royal Bank of Canada | 825 | | (172) | | — | | 653 |
| Standard Chartered Bank | 40 | | (40) | | — | | — |
| State Street Corp. | 2,342 | | (753) | | — | | 1,589 |
| | $45,135 | | $(5,482) | | $(544) | | $39,109 |
| April 30, 2022 | J.P. Morgan Funds | 153 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| Counterparty | Gross Amount of Derivative Liabilities
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities (a) | | Derivative Available
for Offset | | Collateral Posted | | Net Amount Due to
Counterparty
(Not less than zero) |
| Barclays Bank plc | $1,273 | | $(1,273) | | $— | | $ — |
| BNP Paribas | 2,133 | | (2,133) | | — | | — |
| Citibank, NA | 266 | | (266) | | — | | — |
| Goldman Sachs International | 738 | | (85) | | — | | 653 |
| HSBC Bank, NA | 563 | | (563) | | — | | — |
| Merrill Lynch International | 197 | | (197) | | — | | — |
| Royal Bank of Canada | 172 | | (172) | | — | | — |
| Standard Chartered Bank | 1,125 | | (40) | | — | | 1,085 |
| State Street Corp. | 753 | | (753) | | — | | — |
| TD Bank Financial Group | 76 | | — | | — | | 76 |
| | $7,296 | | $(5,482) | | $— | | $1,814 |
|
| (a) | For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
| (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 Statements of Operations for the year ended April 30, 2022, by primary underlying risk exposure:
| | Global
Allocation
Fund | Income
Builder Fund |
| Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | | |
| Equity Risk Exposure: | | |
| Futures Contracts | $(19,402) | $(30,464) |
| Swap Contracts | 2,206 | — |
| Purchased Options | 4,112 | — |
| Foreign Exchange Rate Risk Exposure: | | |
| Futures Contracts | (57,333) | — |
| Forward Foreign Currency Exchange Contracts | 50,056 | — |
| Interest Rate Risk Exposure: | | |
| Futures Contracts | (1,191) | (82,884) |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | |
| Equity Risk Exposure: | | |
| Futures Contracts | (22,971) | 4,502 |
| Swap Contracts | (1,706) | — |
| Purchased Options | 17,688 | — |
| Foreign Exchange Rate Risk Exposure: | | |
| Futures Contracts | (33,786) | — |
| Forward Foreign Currency Exchange Contracts | 30,171 | — |
| Interest Rate Risk Exposure: | | |
| Futures Contracts | 7,228 | (77,333) |
| 154 | J.P. Morgan Funds | April 30, 2022 |
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended April 30, 2022. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | Global
Allocation
Fund | Income
Builder Fund |
| Futures Contracts: | | |
| Average Notional Balance Long | $1,621,390 | $2,110,448 |
| Average Notional Balance Short | (742,655) | (414,306) |
| Ending Notional Balance Long | 1,535,313 | 2,386,782 |
| Ending Notional Balance Short | (997,385) | (626,062) |
| Forward Foreign Currency Exchange Contracts: | | |
| Average Settlement Value Purchased | (392,945) | — |
| Average Settlement Value Sold | 1,220,718 | — |
| Ending Settlement Value Purchased | (466,416) | — |
| Ending Settlement Value Sold | 1,496,880 | — |
| Exchange-Traded Options: | | |
| Average Number of Contracts Purchased | 305 | — |
| Ending Number of Contracts Purchased | 1,608 | — |
| Total Return Basket Swaps: | | |
| Average Notional Balance Long | 59,560 | — |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding options, non-deliverable forward foreign currency exchange contracts and/or OTC swap contracts 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.F.), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMCB, an affiliate of the Funds. These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.
Global Allocation Fund’s derivative contracts collateral requirements and collateral posted or received by counterparty as of April 30, 2022 are as follows:
| Fund | | Fund Counterparty | Value of swap
contracts | Collateral
amount |
| Global Allocation Fund | Collateral Received | Bank of America, NA | $544 | $(560) |
The Funds' derivatives contracts held at April 30, 2022 are not accounted for as hedging instruments under GAAP.
J. Equity-Linked Notes — Income Builder Fund invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs' values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publicly listed or traded on an exchange. ELNs are valued daily, under procedures adopted by the Board of JPMI, based on values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as interest income on the Statements of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statements of Operations. The Funds realize a gain or loss when an ELN is sold or matures, which is recorded as Net realized gain (loss) on transactions from investments in non-affiliates on the Statements of Operations.
As of April 30, 2022, Income Builder Fund had outstanding ELNs as listed on the SOIs.
K. 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 Deposits at broker for securities sold short, while cash collateral deposited at the Fund's custodian for the benefit of the broker is recorded as Restricted cash for securities sold short on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Fund may receive or pay the net of
| April 30, 2022 | J.P. Morgan Funds | 155 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. The Fund is obligated to pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statements of Operations. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.
As of April 30, 2022, Global Allocation Fund did not have outstanding short sales.
L. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and dividend expense on securities sold short are recorded on the ex-dividend date or when a Fund first learns of the dividend. Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Funds. These amounts are included in Interest income from non-affiliates on the Statements of Operations.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
M. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the 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, 2022 are as follows:
| | Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| Global Allocation Fund | | | | | | | | | |
| Transfer agency fees | $13 | $11 | $13 | $ 1 | $ —(a) | $ —(a) | $ —(a) | $5 | $ 43 |
| Income Builder Fund | | | | | | | | | |
| Transfer agency fees | 67 | 33 | 31 | n/a | n/a | n/a | n/a | 4 | 135 |
|
| (a) | Amount rounds to less than one thousand. |
| 156 | J.P. Morgan Funds | April 30, 2022 |
N. 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, 2022, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
O. 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 gains 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.
P. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly for Income Builder Fund and declared and paid at least quarterly for Global Allocation Fund. 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. Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
| 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.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, 2022, the effective rate was 0.07% 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.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of each Fund 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 |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended ended April 30, 2022, JPMDS retained the following:
| | Front-End Sales Charge | CDSC |
| Global Allocation Fund | $ 25 | $—(a) |
| April 30, 2022 | J.P. Morgan Funds | 157 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
| | Front-End Sales Charge | CDSC |
| Income Builder Fund | $117 | $ 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 | 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.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding 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 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 year ended April 30, 2022 and are in place until at least February 28, 2023.
For the six months ended April 30, 2022, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | Contractual Waivers | |
| | Investment
Advisory Fees | Administration
Fees | Service
Fees | Total | Contractual
Reimbursements |
| Global Allocation Fund | $100 | $67 | $ 2,306 | $ 2,473 | $ 3 |
| Income Builder Fund | 143 | — | 13,289 | 13,432 | 460 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2022 were as follows:
| Global Allocation Fund | $203 |
| Income Builder Fund | 131 |
| 158 | J.P. Morgan Funds | April 30, 2022 |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through April 30, 2022 the amount of these waivers were as follows:
| Global Allocation Fund | 1 |
| Income Builder Fund | 1 |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended April 30, 2022, purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended April 30, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| | Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | Sales
of U.S.
Government | Securities
Sold Short | Covers on
Securities
Sold Short |
| Global Allocation Fund | $2,400,617 | $2,762,186 | $86,461 | $58,778 | $278,568 | $293,366 |
| Income Builder Fund | 4,020,199 | 4,285,433 | 56,019 | 19,514 | — | — |
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, 2022 were as follows:
| | Aggregate
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Global Allocation Fund * | $ 4,064,214 | $552,301 | $369,255 | $183,046 |
| Income Builder Fund | 12,414,608 | 929,347 | 866,880 | 62,467 |
|
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
During the year ended October 31, 2021, the following Funds utilized capital loss carryforwards as follows:
| | Capital Loss Utilized |
| | Short-Term | Long-Term |
| Income Builder Fund | $53,583 | $16,732 |
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
| April 30, 2022 | J.P. Morgan Funds | 159 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended April 30, 2022.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2022.
The Trust, 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%, which was decreased from 1.25% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2022, the Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| | Number of
Individual
Shareholder and/or
Affiliated
Omnibus Accounts | % of
the Fund | Number of
Individual
Shareholder and/or
Non-Affiliated
Omnibus Accounts | % of the Fund |
| Global Allocation Fund | — | —% | 2 | 22.1% |
| Income Builder Fund | 1 | 16.5 | 3 | 33.4 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund has exposure to 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 Fund 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 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 the 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.
| 160 | J.P. Morgan Funds | April 30, 2022 |
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.
Global Allocation 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 foreign 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, 2022, 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. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets. With regard to such derivatives, the Funds do not have a claim on the reference assets and is subject to enhanced counterparty risk. Derivatives may not perform as expected, so the Funds may not realize the intended benefits. When used for hedging, the change in value of a derivative may not correlate as expected with the security or other risk being hedged. In addition, given their complexity, derivatives expose the Funds to risks of mispricing or improper valuation.
The Funds are subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s
| April 30, 2022 | J.P. Morgan Funds | 161 |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| 162 | J.P. Morgan Funds | April 30, 2022 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds and ETFs) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2021, and continued to hold your shares at the end of the reporting period, April 30, 2022.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds and ETFs. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Global Allocation Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 877.50 | $4.79 | 1.03% |
| Hypothetical | 1,000.00 | 1,019.69 | 5.16 | 1.03 |
| Class C | | | | |
| Actual | 1,000.00 | 875.80 | 7.12 | 1.53 |
| Hypothetical | 1,000.00 | 1,017.21 | 7.65 | 1.53 |
| Class I | | | | |
| Actual | 1,000.00 | 878.50 | 3.63 | 0.78 |
| Hypothetical | 1,000.00 | 1,020.93 | 3.91 | 0.78 |
| Class R2 | | | | |
| Actual | 1,000.00 | 876.10 | 6.51 | 1.40 |
| Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 |
| Class R3 | | | | |
| Actual | 1,000.00 | 876.80 | 5.35 | 1.15 |
| Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 |
| Class R4 | | | | |
| Actual | 1,000.00 | 878.10 | 4.19 | 0.90 |
| Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 |
| Class R5 | | | | |
| Actual | 1,000.00 | 878.70 | 3.49 | 0.75 |
| Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 |
| Class R6 | | | | |
| Actual | 1,000.00 | 879.00 | 3.03 | 0.65 |
| Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 |
| April 30, 2022 | J.P. Morgan Funds | 163 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
| | Beginning
Account Value
November 1, 2021 | Ending
Account Value
April 30, 2022 | Expenses
Paid During
the Period* | Annualized
Expense
Ratio |
| JPMorgan Income Builder Fund | | | | |
| Class A | | | | |
| Actual | $1,000.00 | $ 924.40 | $3.58 | 0.75% |
| Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 |
| Class C | | | | |
| Actual | 1,000.00 | 922.60 | 5.96 | 1.25 |
| Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 |
| Class I | | | | |
| Actual | 1,000.00 | 925.20 | 2.86 | 0.60 |
| Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 |
| Class R6 | | | | |
| Actual | 1,000.00 | 925.60 | 2.43 | 0.51 |
| Hypothetical | 1,000.00 | 1,022.27 | 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 181/365 (to reflect the one-half year period). |
| 164 | J.P. Morgan Funds | April 30, 2022 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report have adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. The
Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| April 30, 2022 | J.P. Morgan Funds | 165 |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Funds' quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of each Funds' holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’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 Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2022. All rights reserved. April 2022. | SAN-IB-GAL-422 |
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.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| | (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
| | (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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 5, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | July 5, 2022 |
| |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | July 5, 2022 |
