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, 2022 through April 30, 2023
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, 2023 (Unaudited)
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 15, 2023 (Unaudited)
Dear Shareholder,
Financial markets largely generated positive returns for the six months ended April 30, 2023, even as rising interest rates, weaker corporate earnings and geopolitical uncertainty weighed on global economic growth. Overall, global equity markets – led by European stocks – generally outperformed bond markets for the reporting period.
|
“While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade.” — Brian S. Shlissel
|
While economic growth has slowed in recent quarters, to date, the U.S. has avoided formal entry into a recession. Moreover, inflation has decelerated from last year’s historical highs as energy and electricity prices receded in 2023, allowing the U.S. Federal Reserve in June 2023 to refrain from further raising interest rates for the first time since January 2022, though the central bank stated it may find it necessary to raise rates in the future. The job market in the U.S. remained strong throughout the period as the reported monthly unemployment rate ranged between 3.6% and 3.4% for the six months ended April 30, 2023.
Across Europe, inflationary pressures remained high and both the European Central Bank and the Bank of England continued to raise interest rates during the period. Unemployment across the EU stood at 6%, while the U.K. jobless rate fell to 3.8% in
April 2023. Notably, European equity markets generally outperformed other developed markets during the period, potentially driven by more attractive valuations relative to U.S. companies.
The International Monetary Fund’s (IMF) April 2023 economic outlook warned that global output is likely to decline to 2.8% for 2023, amid weakness in parts of the financial sector, continued inflationary pressures and the ongoing war in Ukraine. Further, the IMF forecast developed market economies to decelerate at a faster pace than emerging market economies.
While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade. Regardless of the economic backdrop, we believe investors who hold a well-diversified portfolio and a long-term outlook may be better positioned to benefit from opportunities presented by global financial markets. Our suite of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| J.P. Morgan Specialty Funds | |
J.P. Morgan Specialty Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2023 (Unaudited)
Global financial markets largely generated positive returns for the period and completed a rebound from the sell-offs that marked the middle of 2022. Developed markets equity generally outperformed emerging markets equity, while European equity markets outperformed U.S. equity.
However, equity markets performance was mixed on a month-to-month basis, even if the overall trend was upward. For the six months ended April 30, 2023, the MSCI EAFE Index returned 24.19%, the MSCI Emerging Markets Index returned 16.36% and the S&P 500 Index returned 8.63%.
Leading central banks continued to raise interest rates throughout the six-month period, though the size of increases narrowed in 2023 as the policy response to inflationary pressure grew less aggressive. Notably, the Bank of Japan maintained its negative interest rate policy amid weak consumption data and marginal economic growth.
While global inflation rates remained elevated during the period, they retreated from the 40-year highs reached in 2022, and price data in the U.S. and the Euro Area indicated a slowing trend. Though inflation in the U.K. declined in the final months of 2022, the U.K. consumer price index rose more than expected in 2023.
Lower energy prices were a leading contributor to declining global inflation in the second half of the period. Following Russia’s invasion of Ukraine in late February 2022, the European Union and the U.K. largely avoided an extended energy crisis by securing alternative sources to Russian natural gas and moved to build up reserves of both natural gas and petroleum ahead of the winter months.
Meanwhile, economic activity and aggregate demand in China accelerated after the country’s leadership lifted strict anti-pandemic policies in late 2022. The rebound in China helped to lift equity prices in China and its leading emerging market trading partners.
| J.P. Morgan Specialty Funds | |
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
| |
ICE BofA 3-Month US Treasury Bill Index | |
Net Assets as of 4/30/2023 (In Thousands) | |
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, 2023.
The Fund’s long position in the information technology sector and its short position in the industrials sector were leading detractors from performance relative to the Benchmark. The Fund’s long position in the financials sector and its short position in the real estate sector were leading contributors to relative performance.
Leading individual detractors from absolute performance included the Fund’s long positions in NIO Inc., and short positions in Old Dominion Freight Line Inc. and CarMax Inc. Shares of NIO, a Chinese electric vehicle manufacturer, fell amid investor concerns about increased price competition within the electric vehicle market. Old Dominion Freight Line, a shipping company, rose amid favorable pricing trends in the industry and the company’s expense controls. CarMax, an online vehicle wholesaler, rose as prices for used automobiles stabilized during the period.
Leading individual contributors to absolute performance included the Fund’s long positions in Tesla Inc., Fiserv Inc. and Charter Communications Inc. Shares of Tesla, a manufacturer of electric automobiles and battery storage systems, rose amid better-than-expected results during the period. Shares of Fiserv, a financial transactions and payment services provider, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2023 and raised its forecast for the rest of the year. Shares of Charter, a broadband provider, rose early in the period along with rising equity prices in the broader U.S. market.
HOW WAS THE FUND POSITIONED?
During the period, 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 period, the Fund’s average gross exposure was 89% and its average net exposure was 37%.
| J.P. Morgan Specialty Funds | |
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
TOP TEN LONG POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| NXP Semiconductors NV (China) | |
| Berkshire Hathaway, Inc., Class B | |
| Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | |
| | |
| Marriott International, Inc., Class A | |
TOP TEN SHORT POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| JB Hunt Transport Services, Inc. | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
LONG POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
SHORT POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
*
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.
| J.P. Morgan Specialty Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 4/30/23)
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 BofA 3-Month US Treasury Bill Index from August 29, 2014 to April 30, 2023. 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 BofA 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 BofA 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the since inception 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.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
ICE BofA 3-Month US Treasury Bill Index | |
Net Assets as of 4/30/2023 (In Thousands) | |
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 outperformed the ICE BofA 3-Month US Treasury Bill Index (the “Benchmark”) for the six months ended April 30, 2023.
The Fund’s security selection in the media sector and the software & hardware sector was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrial cyclical and utilities sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s long position in Meta Platforms Inc. and its short positions in Lumen Technologies Inc. and Roblox Corp. Shares of Meta Platforms, an interactive media and services provider, rose after the company reported better-than-expected earnings, revenue and Facebook advertising sales for the first quarter of 2023. Shares of Lumen Technologies, a communications technology provider, fell after the company lowered its cash flow forecast for 2023. Shares of Roblox, an interactive home entertainment provider, fell after the company reported it had financial exposure to the failed Silicon
Valley Bank and after the release of weaker-than-expected user metrics for March 2023.
Leading individual detractors from relative performance included the Fund’s short positions in General Electric Co. an Boeing Co., and its long position in Liberty SiriusXM Group
Shares of General Electric, an industrial conglomerate, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2023 and revised upward its full-year earnings forecast. Shares of Boeing, an aerospace and defense manufacturer, rose after the company reported better-than-expected revenue for the first quarter of 2023 and maintained its production targets for 2023. Shares of Liberty SiriusXM Group, a cable and satellite TV and radio provider, fell amid broader weakness in the telecommunications sector.
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.
| J.P. Morgan Specialty Funds | |
TOP TEN LONG POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| Meta Platforms, Inc., Class A | |
| Mastercard, Inc., Class A | |
| Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | |
| Endeavor Group Holdings, Inc., Class A | |
| Seagate Technology Holdings plc | |
| | |
| | |
| | |
| | |
| | |
TOP TEN SHORT POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| Microchip Technology, Inc. | |
| | |
| | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| | |
| Paramount Global, Class B | |
| Stanley Black & Decker, Inc. | |
LONG POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
SHORT POSITION PORTFOLIO COMPOSITION
BY SECTOR AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
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.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| Sales Charge for Class A Shares is 5.25%. |
| Amount rounds to less than 0.005%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (4/30/13 TO 4/30/23)
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 BofA 3-Month US Treasury Bill Index from April 30, 2013 to April 30, 2023. 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 BofA 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 BofA 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.
| J.P. Morgan Specialty Funds | |
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
|
| | |
| | |
| | |
|
Brown-Forman Corp., Class B | | |
|
Alibaba Group Holding Ltd., ADR (China) * | | |
| | |
| | |
Consumer Staples Distribution & Retail — 4.6% |
| | |
Electric Utilities — 8.9% |
| | |
| | |
| | |
Financial Services — 12.5% |
Berkshire Hathaway, Inc., Class B * | | |
| | |
| | |
| | |
Health Care Equipment & Supplies — 0.9% |
Zimmer Biomet Holdings, Inc. | | |
Health Care Providers & Services — 11.0% |
| | |
UnitedHealth Group, Inc. (a) | | |
| | |
Hotels, Restaurants & Leisure — 5.6% |
Marriott International, Inc., Class A | | |
Royal Caribbean Cruises Ltd. * | | |
| | |
Household Products — 1.0% |
Procter & Gamble Co. (The) | | |
Interactive Media & Services — 1.1% |
Alphabet, Inc., Class A * | | |
Meta Platforms, Inc., Class A * | | |
| | |
Semiconductors & Semiconductor Equipment — 10.6% |
| | |
| | |
|
|
Semiconductors & Semiconductor Equipment — continued |
NXP Semiconductors NV (China) | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | | |
| | |
|
| | |
|
O'Reilly Automotive, Inc. * | | |
Technology Hardware, Storage & Peripherals — 2.1% |
Seagate Technology Holdings plc | | |
Total Common Stocks
(Cost $149,198) | | |
Exchange-Traded Funds — 4.2% |
Exchange-Traded Fund — 4.2% |
SPDR S&P 500 ETF Trust (Cost $10,476) | | |
| | |
Options Purchased — 0.1% ^ |
Put Options Purchased — 0.1% |
|
| | |
6/16/2023 at USD 11,800.00, European Style | | |
Notional Amount: USD 46,620,875 | | |
Counterparty: Exchange-Traded * | | |
| | |
6/16/2023 at USD 4,000.00, European Style | | |
Notional Amount: USD 12,091,492 | | |
Counterparty: Exchange-Traded * | | |
Total Options Purchased
(Cost $802) | | |
| | |
Short-Term Investments — 31.7% |
Investment Companies — 31.7% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (b) (c)(Cost $81,647) | | |
Total Long Positions
(Cost $242,123) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Short Positions — (17.3)% |
|
Air Freight & Logistics — (1.1)% |
| | |
|
Rivian Automotive, Inc., Class A * | | |
Building Products — (1.9)% |
| | |
Johnson Controls International plc | | |
| | |
| | |
|
CF Industries Holdings, Inc. | | |
Sherwin-Williams Co. (The) | | |
| | |
Consumer Finance — (0.4)% |
| | |
Consumer Staples Distribution & Retail — (0.5)% |
Walgreens Boots Alliance, Inc. | | |
|
| | |
Ground Transportation — (1.9)% |
JB Hunt Transport Services, Inc. | | |
Household Durables — (1.7)% |
Mohawk Industries, Inc. * | | |
Household Products — (0.2)% |
| | |
Life Sciences Tools & Services — (1.0)% |
| | |
|
Stanley Black & Decker, Inc. | | |
|
| | |
| | |
| | |
| | |
| | |
|
|
Residential REITs — (0.3)% |
AvalonBay Communities, Inc. | | |
Specialty Retail — (1.8)% |
| | |
Technology Hardware, Storage & Peripherals — (0.8)% |
| | |
Total Common Stocks
(Proceeds $(44,281)) | | |
Total Short Positions
(Proceeds $(44,281)) | | |
Total Investments — 83.8%
(Cost $197,842) | | |
Other Assets Less Liabilities — 16.2% | | |
| | |
Percentages indicated are based on net assets. |
| |
| American Depositary Receipt |
| |
| Real Estate Investment Trust |
| Standard & Poor's Depositary Receipt |
| Non-income producing security. |
| 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 $24,492 and $59,856, respectively. |
| 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. |
| The rate shown is the current yield as of April 30, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
Aerospace & Defense — 2.9% |
| | |
Northrop Grumman Corp. (a) | | |
Raytheon Technologies Corp. | | |
| | |
| | |
Air Freight & Logistics — 0.3% |
| | |
United Parcel Service, Inc., Class B | | |
| | |
Automobile Components — 0.6% |
| | |
| | |
Mobileye Global, Inc., Class A (Israel) * | | |
| | |
|
Rivian Automotive, Inc., Class A * | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
Regeneron Pharmaceuticals, Inc. * | | |
| | |
|
|
Biotechnology — continued |
Sarepta Therapeutics, Inc. * | | |
Vertex Pharmaceuticals, Inc. * (a) | | |
| | |
|
| | |
|
| | |
|
Charles Schwab Corp. (The) | | |
| | |
| | |
Raymond James Financial, Inc. | | |
| | |
| | |
| | |
|
Air Products and Chemicals, Inc. (a) | | |
| | |
DuPont de Nemours, Inc. (a) | | |
| | |
| | |
| | |
Commercial Services & Supplies — 0.8% |
| | |
Communications Equipment — 0.4% |
| | |
Construction Materials — 0.1% |
Martin Marietta Materials, Inc. | | |
|
| | |
Consumer Staples Distribution & Retail — 0.9% |
| | |
| | |
| | |
|
| | |
Electric Utilities — 1.8% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Long Positions — continued |
Common Stocks — continued |
Electric Utilities — continued |
| | |
| | |
| | |
Electrical Equipment — 0.5% |
| | |
Electronic Equipment, Instruments & Components — 1.5% |
| | |
Keysight Technologies, Inc. * | | |
| | |
Energy Equipment & Services — 0.5% |
| | |
|
Endeavor Group Holdings, Inc., Class A * (a) | | |
| | |
Take-Two Interactive Software, Inc. * | | |
| | |
Financial Services — 4.4% |
| | |
Fidelity National Information Services, Inc. | | |
| | |
FleetCor Technologies, Inc. * | | |
Jack Henry & Associates, Inc. | | |
Mastercard, Inc., Class A (a) | | |
| | |
| | |
|
| | |
Mondelez International, Inc., Class A | | |
| | |
Ground Transportation — 2.0% |
Canadian National Railway Co. (Canada) | | |
| | |
Knight-Swift Transportation Holdings, Inc. | | |
| | |
Old Dominion Freight Line, Inc. | | |
Uber Technologies, Inc. * (a) | | |
| | |
| | |
| | |
|
|
Health Care Equipment & Supplies — 1.4% |
Boston Scientific Corp. * | | |
Intuitive Surgical, Inc. * | | |
| | |
Zimmer Biomet Holdings, Inc. | | |
| | |
Health Care Providers & Services — 1.6% |
| | |
| | |
| | |
| | |
UnitedHealth Group, Inc. (a) | | |
| | |
Health Care REITs — 0.0% ^ |
| | |
Hotel & Resort REITs — 0.0% ^ |
Host Hotels & Resorts, Inc. | | |
Hotels, Restaurants & Leisure — 3.0% |
| | |
Chipotle Mexican Grill, Inc. * | | |
DoorDash, Inc., Class A * | | |
Hilton Worldwide Holdings, Inc. | | |
| | |
| | |
| | |
Household Products — 0.1% |
Procter & Gamble Co. (The) | | |
Industrial Conglomerates — 1.2% |
Honeywell International, Inc. (a) | | |
|
| | |
|
| | |
Progressive Corp. (The) (a) | | |
Travelers Cos., Inc. (The) | | |
| | |
Interactive Media & Services — 2.7% |
Alphabet, Inc., Class A * | | |
Meta Platforms, Inc., Class A * (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| | |
Long Positions — continued |
Common Stocks — continued |
|
Cognizant Technology Solutions Corp., Class A | | |
| | |
Snowflake, Inc., Class A * | | |
| | |
Life Sciences Tools & Services — 0.3% |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
|
| | |
| | |
| | |
| | |
|
Charter Communications, Inc., Class A * | | |
| | |
Liberty Media Corp.-Liberty SiriusXM, Class A * | | |
| | |
|
| | |
|
| | |
| | |
| | |
Public Service Enterprise Group, Inc. | | |
| | |
| | |
Oil, Gas & Consumable Fuels — 2.2% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Passenger Airlines — 0.0% ^ |
| | |
| | |
|
|
Personal Care Products — 0.3% |
Estee Lauder Cos., Inc. (The), Class A | | |
|
Bristol-Myers Squibb Co. (a) | | |
Elanco Animal Health, Inc. * | | |
| | |
Professional Services — 0.7% |
Booz Allen Hamilton Holding Corp. | | |
Leidos Holdings, Inc. (a) | | |
| | |
|
| | |
| | |
| | |
|
| | |
Semiconductors & Semiconductor Equipment — 8.0% |
Advanced Micro Devices, Inc. * (a) | | |
| | |
| | |
| | |
NXP Semiconductors NV (China) | | |
| | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Long Positions — continued |
Common Stocks — continued |
|
| | |
| | |
Burlington Stores, Inc. * | | |
| | |
O'Reilly Automotive, Inc. * (a) | | |
| | |
Technology Hardware, Storage & Peripherals — 2.1% |
Dell Technologies, Inc., Class C | | |
Seagate Technology Holdings plc | | |
| | |
Textiles, Apparel & Luxury Goods — 0.8% |
| | |
Wireless Telecommunication Services — 0.3% |
| | |
Total Common Stocks
(Cost $110,060) | | |
Short-Term Investments — 21.9% |
Investment Companies — 21.9% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (b) (c)(Cost $35,790) | | |
Total Long Positions
(Cost $145,850) | | |
Short Positions — (74.8)% |
|
Aerospace & Defense — (2.8)% |
| | |
| | |
Huntington Ingalls Industries, Inc. | | |
L3Harris Technologies, Inc. | | |
| | |
Air Freight & Logistics — (0.9)% |
CH Robinson Worldwide, Inc. | | |
Expeditors International of Washington, Inc. | | |
| | |
Automobile Components — (0.3)% |
| | |
| | |
| | |
| | |
|
|
|
| | |
| | |
| | |
| | |
|
| | |
Huntington Bancshares, Inc. | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
|
Brown-Forman Corp., Class B | | |
Molson Coors Beverage Co., Class B | | |
| | |
|
| | |
| | |
| | |
| | |
Broadline Retail — (1.0)% |
| | |
Building Products — (1.8)% |
| | |
Johnson Controls International plc | | |
Lennox International, Inc. | | |
| | |
| | |
|
| | |
Coinbase Global, Inc., Class A * | | |
FactSet Research Systems, Inc. | | |
| | |
LPL Financial Holdings, Inc. | | |
| | |
| | |
| | |
| | |
T. Rowe Price Group, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| | |
Short Positions — continued |
Common Stocks — continued |
|
| | |
| | |
| | |
Commercial Services & Supplies — (0.1)% |
| | |
Communications Equipment — (1.8)% |
| | |
Consumer Finance — (1.0)% |
Capital One Financial Corp. | | |
| | |
| | |
Consumer Staples Distribution & Retail — (4.1)% |
| | |
| | |
| | |
Walgreens Boots Alliance, Inc. | | |
| | |
| | |
Containers & Packaging — (0.6)% |
| | |
Packaging Corp. of America | | |
| | |
Diversified Telecommunication Services — (1.3)% |
| | |
| | |
Verizon Communications, Inc. | | |
| | |
Electric Utilities — (3.2)% |
American Electric Power Co., Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — (0.5)% |
| | |
| | |
|
|
Electrical Equipment — continued |
| | |
Rockwell Automation, Inc. | | |
| | |
|
| | |
| | |
Warner Bros Discovery, Inc. * | | |
| | |
Financial Services — (1.7)% |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Ground Transportation — (0.6)% |
Canadian Pacific Kansas City Ltd. (Canada) | | |
| | |
JB Hunt Transport Services, Inc. | | |
| | |
| | |
Health Care Equipment & Supplies — (0.2)% |
Edwards Lifesciences Corp. * | | |
| | |
| | |
Health Care Providers & Services — (0.8)% |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — (0.7)% |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Short Positions — continued |
Common Stocks — continued |
Household Durables — (0.8)% |
Mohawk Industries, Inc. * | | |
| | |
| | |
| | |
| | |
Household Products — (0.2)% |
| | |
Industrial Conglomerates — (1.5)% |
| | |
| | |
| | |
|
| | |
| | |
American International Group, Inc. | | |
| | |
| | |
Marsh & McLennan Cos., Inc. | | |
Principal Financial Group, Inc. | | |
Ryan Specialty Holdings, Inc. * | | |
| | |
| | |
Interactive Media & Services — (0.3)% |
Alphabet, Inc., Class C * | | |
ZoomInfo Technologies, Inc. * | | |
| | |
|
| | |
| | |
| | |
| | |
International Business Machines Corp. | | |
| | |
Life Sciences Tools & Services — (0.8)% |
Agilent Technologies, Inc. | | |
| | |
| | |
| | |
| | |
|
|
|
| | |
| | |
| | |
Illinois Tool Works, Inc. | | |
| | |
Stanley Black & Decker, Inc. | | |
| | |
|
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
Paramount Global, Class B | | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — (2.2)% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Williams Cos., Inc. (The) | | |
| | |
Passenger Airlines — (0.1)% |
United Airlines Holdings, Inc. * | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| | |
Short Positions — continued |
Common Stocks — continued |
Professional Services — (3.3)% |
Automatic Data Processing, Inc. | | |
Ceridian HCM Holding, Inc. * | | |
| | |
| | |
| | |
Robert Half International, Inc. | | |
| | |
| | |
Residential REITs — (0.4)% |
AvalonBay Communities, Inc. | | |
Equity LifeStyle Properties, Inc. | | |
| | |
|
National Retail Properties, Inc. | | |
Simon Property Group, Inc. | | |
| | |
Semiconductors & Semiconductor Equipment — (6.8)% |
| | |
| | |
| | |
| | |
| | |
Microchip Technology, Inc. | | |
| | |
| | |
|
Palantir Technologies, Inc., Class A * | | |
| | |
| | |
Specialized REITs — (1.1)% |
Extra Space Storage, Inc. | | |
| | |
| | |
Specialty Retail — (1.1)% |
| | |
| | |
| | |
| | |
| | |
|
|
Technology Hardware, Storage & Peripherals — (3.4)% |
| | |
Hewlett Packard Enterprise Co. | | |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — (0.2)% |
| | |
Trading Companies & Distributors — (0.4)% |
| | |
Total Common Stocks
(Proceeds $(127,615)) | | |
Total Short Positions
(Proceeds $(127,615)) | | |
Total Investments — 26.0%
(Cost $18,235) | | |
Other Assets Less Liabilities — 74.0% | | |
| | |
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| American Depositary Receipt |
| Real Estate Investment Trust |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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 $22,338 and $120,196, respectively. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of April 30, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan
Opportunistic
Equity
Long/Short Fund | |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
Options purchased, at value | | |
Deposits at broker for futures contracts | | |
Deposits at broker for securities sold short | | |
| | |
Investment securities sold | | |
| | |
Interest from non-affiliates | | |
Dividends from non-affiliates | | |
Dividends from affiliates | | |
| | |
| | |
| | |
| | |
Securities sold short, at value | | |
Dividend expense to non-affiliates on securities sold short | | |
Investment securities purchased | | |
| | |
Variation margin on futures contracts | | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Opportunistic Equity Long/Short Fund | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | |
| | |
| | |
| | |
| | |
| | |
Class A — Redemption price per share | | |
Class C — Offering price per share (b) | | |
Class I — Offering and redemption price per share | | |
Class R6 — Offering and redemption price per share | | |
Class A maximum sales charge | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
Cost of options purchased | | |
Proceeds from securities sold short | | |
(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.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited)
(Amounts in thousands)
| JPMorgan
Opportunistic
Equity
Long/Short Fund | |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from non-affiliates | | |
Dividend income from affiliates | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Interest expense to affiliates | | |
| | |
Trustees’ and Chief Compliance Officer’s fees | | |
Printing and mailing costs | | |
Registration and filing fees | | |
Transfer agency fees (See Note 2.I.) | | |
Dividend expense to non-affiliates on securities sold short | | |
| | |
| | |
| | |
Less expense reimbursements | | |
| | |
Net investment income (loss) | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| JPMorgan Opportunistic Equity Long/Short Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
| | |
| | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
| | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Opportunistic
Equity Long/Short Fund | JPMorgan
Research Market
Neutral Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Opportunistic
Equity Long/Short Fund | JPMorgan
Research Market
Neutral Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| JPMorgan Opportunistic Equity Long/Short Fund | JPMorgan Research Market Neutral Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Opportunistic Equity Long/Short Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| |
| | | | | | |
Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| Interest expense on securities sold short is 0.21%. |
| Amount rounds to less than $0.005. |
| Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| |
| | | 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 and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(c) | Portfolio
turnover rate
(including securities
sold short)(c) |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Research Market Neutral Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| |
| | | | | | |
Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| Interest expense on securities sold short is 0.16%. |
| Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
| |
| | | 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
expense for
securities sold
short)(e)(f) | Net
investment
income
(loss) | Expenses without
waivers and reimbursements
(including dividend
expense for
securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(c) | Portfolio
turnover rate
(including securities
sold short)(c) |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (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:
| | Diversification Classification |
JPMorgan Opportunistic Equity Long/Short Fund | Class A, Class C, Class I and Class R6 | |
JPMorgan Research Market Neutral Fund | Class A, Class C and Class I | |
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. Class C Shares automatically convert to Class A Shares after eight 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.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC 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.
| J.P. Morgan Specialty Funds | |
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. 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"):
Opportunistic Equity Long/Short Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Total Liabilities for Securities Sold Short (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
Research Market Neutral Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Total Liabilities for Securities Sold Short (a) | | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics 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, 2023, 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.
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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.
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, 2023.
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. The Underlying Funds’ and ETFs' distributions may be reinvested into such Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Opportunistic Equity Long/Short Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| J.P. Morgan Specialty Funds | |
Research Market Neutral Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| Amount rounds to less than one thousand. |
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 and futures 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.
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Notes F(1) - F(2) below describe the various derivatives used by the Funds.
(1) Options — 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 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.
Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Fund for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation of options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Fund's exchange-traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions). The Fund's over-the-counter ("OTC") options are subject to master netting agreements.
The Fund may be required to post or receive collateral for OTC options. Cash collateral posted by the Fund is considered restricted.
(2) Futures Contracts — Research Market Neutral Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Fund also used index futures contracts to more effectively manage the long and short equity exposures in the portfolio. The Fund 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 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 equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
| J.P. Morgan Specialty Funds | |
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).
Derivatives Volume
The table below discloses the volume of the Funds’ options and futures contracts activity during the six months ended April 30, 2023. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| Opportunistic
Equity Long/
Short Fund | Research
Market Neutral
Fund |
| | |
Average Notional Balance Short | | |
Ending Notional Balance Short | | |
| | |
Average Number of Contracts Purchased | | |
Ending Number of Contracts Purchased | | |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC options with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.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, 2023 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 (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, 2023, 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
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 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, 2023 are as follows:
| | | | | |
Opportunistic Equity Long/Short Fund | | | | | |
| | | | | |
Research Market Neutral Fund | | | | | |
| | | | | |
|
| 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, 2023, 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.
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:
| |
Opportunistic Equity Long/Short Fund | |
Research Market Neutral Fund | |
|
| Prior to November 1, 2022, the investment advisory fee was 1.20%. |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| J.P. Morgan Specialty Funds | |
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, 2023, 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 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 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:
| | |
Opportunistic Equity Long/Short Fund | | |
Research Market Neutral Fund | | |
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, 2023, JPMDS retained the following:
| | |
Opportunistic Equity Long/Short Fund | | |
Research Market Neutral Fund | | |
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:
| | | |
Opportunistic Equity Long/Short Fund | | | |
Research Market Neutral Fund | | | |
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.
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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:
| | | | |
Opportunistic Equity Long/Short Fund | | | | |
Research Market Neutral Fund | | | | |
|
| Prior to November 1, 2022, the contractual expense limitation was 1.85%, 2.35%, 1.60%, and 1.35% for Class A, Class C, Class I, and Class R6, respectively. |
The expense limitation agreements were in effect for the six months ended April 30, 2023 and the contractual expense limitation percentages in the table above are in place until at least February 29, 2024.
For the six months ended April 30, 2023, 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.
| |
| | | | |
Opportunistic Equity Long/Short Fund | | | | |
Research Market Neutral Fund | | | | |
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, 2023 were as follows:
| |
Opportunistic Equity Long/Short Fund | |
Research Market Neutral Fund | |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the six months ended April 30, 2023, the amount of these reimbursements were as follows:
| |
Opportunistic Equity Long/Short Fund | |
Research Market Neutral Fund | |
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, 2023, 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.
| J.P. Morgan Specialty Funds | |
4. Investment Transactions
During the six months ended April 30, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | | Covers on
Securities
Sold Short |
Opportunistic Equity Long/Short Fund | | | | |
Research Market Neutral Fund | | | | |
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, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Opportunistic Equity Long/Short Fund * | | | | |
Research Market Neutral Fund * | | | | |
|
| The tax cost includes the proceeds from short sales which may result in a net negative cost. |
At October 31, 2022, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| |
Opportunistic Equity Long/Short Fund | |
Research Market Neutral Fund | |
|
| 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, 2022, the following Funds deferred to November 1, 2022 late year ordinary losses of:
| Late Year Ordinary Loss Deferral |
|
Opportunistic Equity Long/Short Fund | |
Research Market Neutral Fund | |
During the year ended October 31, 2022, the following Fund utilized capital loss carryforwards as follows:
| |
| |
Research Market Neutral Fund | |
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 ("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, 2023.
| J.P. Morgan Specialty Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 30, 2023.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2023.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Daily Simple SOFR Rate. Prior to August 9, 2022, interest associated with any borrowing under the Credit Facility was charged to the borrowing fund at a rate of interest equal to the Applicable Margin, plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). Effective August 9, 2022, the Credit Facility was amended and restated for a term of 364 days, unless extended, and included a change in the interest associated with any borrowing as mentioned above.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2023.
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, 2023, 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 Non-Affiliated
Omnibus Accounts | |
Opportunistic Equity Long/Short Fund | | |
Research Market Neutral Fund | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
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 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, 2023, 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.
| J.P. Morgan Specialty Funds | |
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 negatively affected economies, markets and individual companies throughout the world. The effects of this, or any future, pandemic to public health and business and market conditions may 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 a 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 ultimate impact of any pandemic and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Specialty Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2022, and continued to hold your shares at the end of the reporting period, April 30, 2023.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees, and expenses of the Underlying Funds. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning
Account Value
November 1, 2022 | Ending
Account Value
April 30, 2023 | Expenses
Paid During
the Period* | |
JPMorgan Opportunistic Equity Long/Short Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan Research Market Neutral Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
|
| 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). |
| J.P. Morgan Specialty Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has 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. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. 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 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying 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 and whether all applicable Funds were in compliance with the terms 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.
| J.P. Morgan Specialty Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
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 each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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., 2023. All rights reserved. April 2023.
SAN-SPEC-423
Semi-Annual Report
J.P. Morgan International Equity Funds
April 30, 2023 (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 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 15, 2023 (Unaudited)
Dear Shareholder,
Financial markets largely generated positive returns for the six months ended April 30, 2023, even as rising interest rates, weaker corporate earnings and geopolitical uncertainty weighed on global economic growth. Overall, global equity markets – led by European stocks – generally outperformed bond markets for the reporting period.
|
“While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade.” — Brian S. Shlissel
|
While economic growth has slowed in recent quarters, to date, the U.S. has avoided formal entry into a recession. Moreover, inflation has decelerated from last year’s historical highs as energy and electricity prices receded in 2023, allowing the U.S. Federal Reserve in June 2023 to refrain from further raising interest rates for the first time since January 2022, though the central bank stated it may find it necessary to raise rates in the future. The job market in the U.S. remained strong throughout the period as the reported monthly unemployment rate ranged between 3.6% and 3.4% for the six months ended April 30, 2023.
Across Europe, inflationary pressures remained high and both the European Central Bank and the Bank of England continued to raise interest rates during the period. Unemployment across the EU stood at 6%, while the U.K. jobless rate fell to 3.8% in
April 2023. Notably, European equity markets generally outperformed other developed markets during the period, potentially driven by more attractive valuations relative to U.S. companies.
The International Monetary Fund’s (IMF) April 2023 economic outlook warned that global output is likely to decline to 2.8% for 2023, amid weakness in parts of the financial sector, continued inflationary pressures and the ongoing war in Ukraine. Further, the IMF forecast developed market economies to decelerate at a faster pace than emerging market economies.
While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade. Regardless of the economic backdrop, we believe investors who hold a well-diversified portfolio and a long-term outlook may be better positioned to benefit from opportunities presented by global financial markets. Our suite of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| J.P. Morgan International Equity Funds | |
J.P. Morgan International Equity Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2023 (Unaudited)
Global financial markets largely generated positive returns for the period and completed a rebound from the sell-offs that marked the middle of 2022. Developed markets equity generally outperformed emerging markets equity, while European equity markets outperformed U.S. equity.
However, equity markets performance was mixed on a month-to-month basis, even if the overall trend was upward. For the six months ended April 30, 2023, the MSCI EAFE Index returned 24.19%, the MSCI Emerging Markets Index returned 16.36% and the S&P 500 Index returned 8.63%.
Leading central banks continued to raise interest rates throughout the six-month period, though the size of increases narrowed in 2023 as the policy response to inflationary pressure grew less aggressive. Notably, the Bank of Japan maintained its negative interest rate policy amid weak consumption data and marginal economic growth.
While global inflation rates remained elevated during the period, they retreated from the 40-year highs reached in 2022, and price data in the U.S. and the Euro Area indicated a slowing trend. Though inflation in the U.K. declined in the final months of 2022, the U.K. consumer price index rose more than expected in 2023.
Lower energy prices were a leading contributor to declining global inflation in the second half of the period. Following Russia’s invasion of Ukraine in late February 2022, the European Union and the U.K. largely avoided an extended energy crisis by securing alternative sources to Russian natural gas and moved to build up reserves of both natural gas and petroleum ahead of the winter months.
Meanwhile, economic activity and aggregate demand in China accelerated after the country’s leadership lifted strict anti-pandemic policies in late 2022. The rebound in China helped to lift equity prices in China and its leading emerging market trading partners.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI Emerging Markets Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the MSCI Emerging Markets Index (the “Benchmark”) for the six months ended April 30, 2023.
The Fund’s security selection in the financials and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the information technology and energy sectors was a leading detractor form relative performance.
By country, the Fund’s security selection in Taiwan and underweight position in Saudi Arabia were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in China and its out-of-Benchmark allocation to Belarus were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in AIA Group Ltd. and MercadoLibre Inc., and its overweight position in Taiwan Semiconductor Manufacturing Co. Shares of AIA Group, a Hong Kong investment holding company and life insurance provider, rose as business activity resumed in China following the end of strict anti-pandemic policies in the second half of 2022. Shares of MercadoLibre, an e-commerce provider based in Uruguay, rose after reporting consecutive quarters of better-than-expected earnings and revenue. Shares of Taiwan Semiconductor Manufacturing rose after the company reported better-than-expected earnings for the fourth quarter of 2022 and outlined plans to reduce spending in 2023.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in EPAM Systems Inc. and its overweight positions in JD.com Inc. and Infosys Inc. Shares of EPAM Systems, a global provider of software development and digital platform services that largely operates from Belarus, fell after the company issued a weaker-than-expected earnings forecast for 2023. Shares of JD.com, a Chinese e-commerce provider, fell after the company reported slowing growth in sales during the period. Shares of Infosys, an Indian digital services and consulting company, fell after the company reported lower-than-expected earnings and revenue for the fourth quarter of 2022.
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 communication services sectors. The Fund’s largest country overweight allocations relative to the Benchmark during the period were in India and Argentina and its largest relative underweight allocations were in Saudi Arabia
and South Korea.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | |
| Samsung Electronics Co. Ltd. (South Korea) | |
| Tencent Holdings Ltd. (China) | |
| MercadoLibre, Inc. (Brazil) | |
| | |
| Housing Development Finance Corp. Ltd. (India) | |
| AIA Group Ltd. (Hong Kong) | |
| Bank Rakyat Indonesia Persero Tbk. PT (Indonesia) | |
| Kotak Mahindra Bank Ltd. (India) | |
| Bank Central Asia Tbk. PT (Indonesia) | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (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.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI Emerging Markets Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
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 outperformed the MSCI Emerging Markets Index (the “Benchmark”) for the six months ended April 30, 2023.
By sector, the Fund’s security selection in the financials and utilities sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrials and energy sectors was a leading detractor from relative performance.
By country, the Fund’s security selection in India and Taiwan was a leading contributor to relative performance, while the Fund’s security selection in China and Thailand was a leading detractor to relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in Adani Total Gas Ltd. and Banco Bradesco S/A and its overweight position in Tencent Holdings Ltd. Shares of Adani Total Gas, an Indian natural gas utility not held in the Fund, fell sharply in the second half of the period amid investor concerns about business practices across the parent Adani Group of companies. Shares of Banco Bradesco, a Brazilian financial services company not held in the Fund, fell amid investor concerns about the economic outlook for Brazil. Shares of Tencent Holdings, a Chinese e-commerce provider, rose amid sales
growth and a broad rebound in China’s technology sector during the second half of the period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Lojas Renner SA and Alinma Bank, and its underweight position in PetroChina Co. Shares of Lojas Renner, a Brazilian department store chain, fell amid investor concerns about the company’s outlook for growth. Shares of Alinma, a Saudi Arabian bank, fell after the company reported lower-than-expected growth in annual net income. Shares of PetroChina, a Chinese state-owned petroleum and natural gas producer not held in the Fund, rose amid investor demand for lower valuation stocks in the global energy sector.
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 financials and consumer staples sectors and its largest underweight allocations were in the health care and industrials sectors.
By country, the Fund’s largest overweight allocations relative to the Benchmark during the period were in Mexico and South Korea and its largest relative underweight allocations were in Turkey and Kuwait.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | |
| Tencent Holdings Ltd. (China) | |
| Samsung Electronics Co. Ltd. (South Korea) | |
| Alibaba Group Holding Ltd. (China) | |
| Reliance Industries Ltd. (India) | |
| China Construction Bank Corp., Class H (China) | |
| | |
| Housing Development Finance Corp. Ltd. (India) | |
| Ping An Insurance Group Co. of China Ltd., Class H (China) | |
| | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
LIFE OF FUND PERFORMANCE (12/11/18 TO 4/30/23)
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, 2023. 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 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)
| J.P. Morgan International Equity Funds | |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
Fund (Class A Shares, without a sales charge) * | |
MSCI Europe Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
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, 2023.
Relative to the Benchmark, the Fund’s security selection in the industrials and information technology sectors was a leading detractor from performance, while the Fund’s security selection in the financials and health care sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Hexatronic Group AB and Verbio Vereinigte BioEnergie AG, and its overweight position in NN Group NV. Shares of Hexatronic, a Swedish fiber optic equipment provider, fell amid investor concerns about the broader fiber-optic sector’s ability to raise capital. Shares of Verbio Vereinigte BioEnergie, a German biofuels manufacturer, fell after the company lowered its earnings forecast amid lower prices for bioethanol and higher input costs during the period. Shares of NN Group, a Dutch insurance and financial services provider, fell after the company reported lower operating profit for the second half of its fiscal year.
Leading individual contributors to relative performance included the Fund’s overweight positions in UniCredit SpA, Novo Nordisk A/S and LVMH Moet Hennessey Louis Vuitton SE. Shares of UniCredit, an Italian banking and financial services company, rose after the company reported better-than-expected results for the first quarter of 2023. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s weight-loss drug and after the company reported revenue growth for the first quarter of 2023. Shares of LVMH Moet Hennessey Louis Vuitton, a luxury goods manufacturer, rose amid strong consumer demand and record revenue through the first quarter of 2023.
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 HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| LVMH Moet Hennessy Louis Vuitton SE (France) | |
| Novo Nordisk A/S, Class B (Denmark) | |
| | |
| Novartis AG (Registered) (Switzerland) | |
| TotalEnergies SE (France) | |
| | |
| Siemens AG (Registered) (Germany) | |
| Allianz SE (Registered) (Germany) | |
| Koninklijke Ahold Delhaize NV (Netherlands) | |
| | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
*
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.
| J.P. Morgan International Equity Funds | |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan International Equity Funds | |
JPMorgan International Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI EAFE Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan International Equity Fund (the “Fund”) seeks total return from long-term capital growth and income. Total return consists of capital growth and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI EAFE Index (net of total return) (the “Benchmark”) for the six months ended April 30, 2023.
Relative to the Benchmark, the Fund’s security selection in the financials sector and its underweight position in the real estate sector, where the Fund had no holdings, were leading contributors to relative performance, while the Fund’s security selection in the industrials and utilities sectors was a leading detractor from relative performance.
By region, the Fund’s security selection in Europe, excluding the U.K., and in the Pacific, excluding Japan, was a leading contributor to performance. The Fund’s security selection in the U.K. and its out-of-Benchmark allocation to emerging markets were the leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Novo Nordisk A/S and LVMH Moet Hennessey Louis Vuitton SE, and its underweight position in Toyota Motor Corp. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s
weight-loss drug and after the company reported revenue growth for the first quarter of 2023. Shares of LVMH Moet Hennessey Louis Vuitton, a luxury goods manufacturer, rose amid strong consumer demand and record revenue through the first quarter of 2023. Shares of Toyota Motor, a Japanese automobile manufacturer, fell after the company named a new chief executive and chairman, and after it reported a decline in North American sales.
Leading individual detractors from relative performance included the Fund’s overweight positions in Roche Holding AG, DBS Group Holdings Ltd. and Kyowa Kirin Co. Shares of Roche Holdings, a Swiss pharmaceutical and diagnostics company, fell after the company forecast weaker earnings in 2023 amid a drop in sales of Covid treatments. Shares of DBS Group Holdings, a Singapore financial services provider, fell after the company reported a disruption in its digital services to customers. Shares of Kyowa Kirin, a Japanese maker of pharmaceuticals and other medical products, fell after the company lowered its forecast for 2023 earnings.
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.
| J.P. Morgan International Equity Funds | |
JPMorgan International Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| AstraZeneca plc (United Kingdom) | |
| LVMH Moet Hennessy Louis Vuitton SE (France) | |
| Novo Nordisk A/S, Class B (Denmark) | |
| TotalEnergies SE (France) | |
| | |
| ASML Holding NV (Netherlands) | |
| | |
| DBS Group Holdings Ltd. (Singapore) | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan International Equity Funds | |
JPMorgan International Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI ACWI ex USA Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
INVESTMENT OBJECTIVE**
The JPMorgan International Focus Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI ACWI ex USA Index (net total return) (the “Benchmark”) for the six months ended April 30, 2023.
The Fund’s security selection in the communication services and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples sector was the sole sector detractor from relative performance.
By region, the Fund’s security selection in emerging markets and continental Europe was a leading contributor to relative performance, while the Fund’s security selection in the U.K. and its overweight position in North America (Canada) were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in LVMH Moet Hennessey Louis Vuitton SE, Novo Nordisk AS and Tencent Holdings Ltd. Shares of LVMH Moet Hennessey Louis Vuitton, a luxury goods manufacturer, rose amid strong consumer demand and record revenue through the first quarter of 2023. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the
company’s weight-loss drug and after the company reported revenue growth for the first quarter of 2023. Shares of Tencent Holdings, a Chinese e-commerce provider, rose after the company reported a surge in sales during the period and amid a broader economic recovery in China.
Leading individual detractors from relative performance included the Fund’s overweight positions in Toronto-Dominion Bank, Canadian National Railway Co. and Roche Holding AG. Shares of Toronto-Dominion, a Canadian banking and financial services provider, fell amid the company’s failed negotiations to acquire First Horizon Corp. Shares of Canadian National Railway, a freight rail operator, underperformed amid a retreat in commodities prices during the period and investor expectations for lower 2023 earnings among large freight railroads. Shares of Roche Holdings, a Swiss pharmaceutical and diagnostics company, fell after the company forecast weaker earnings in 2023 amid a drop in sales of Covid treatments.
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.
| J.P. Morgan International Equity Funds | |
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| Samsung Electronics Co. Ltd. (South Korea) | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | |
| Allianz SE (Registered) (Germany) | |
| TotalEnergies SE (France) | |
| HDFC Bank Ltd., ADR (India) | |
| LVMH Moet Hennessy Louis Vuitton SE (France) | |
| Canadian National Railway Co. (Canada) | |
| ASML Holding NV (Netherlands) | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| J.P. Morgan International Equity Funds | |
JPMorgan International Focus Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI EAFE Index (net total return) | |
ICE BofA 3-Month US Treasury Bill Index | |
Net Assets as of 4/30/2023 (In Thousands) | |
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 underperformed the MSCI EAFE Index (net total return) (the “Benchmark”) and outperformed the ICE BofA 3-Month U.S. Treasury Bill Index for the six months ended April 30, 2023. The Fund’s options hedge allowed the Fund to generally perform as designed during the reporting period with about 46% of the Benchmark’s volatility.
The Fund’s security selection in the pharmaceutical/medical technology and industrial cyclicals sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the banks and financial services sectors was a leading contributor to relative performance.
By country, the Fund’s security selection in Switzerland and the Netherlands was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the U.K. and its overweight allocation to France were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in NN Group NV and Roche Holding AG, and its underweight position in HSBC Holdings PLC. Shares of NN Group, a Dutch insurance and
financial services provider, fell after the company reported lower operating profit for the second half of its fiscal year. Shares of Roche Holdings, a Swiss pharmaceutical and diagnostics company, fell after the company forecast weaker earnings in 2023 amid a drop in sales of Covid treatments. Shares of HSBC, a U.K. banking and financial services provider, underperformed amid investor concerns about the broader banking sector following the collapse of Credit Suisse.
Leading individual contributors to relative performance included the Fund’s overweight positions in 3i Group PLC, Novo Nordisk AS and L’Oreal SA. Shares of 3i Group, a U.K. private equity and venture capital investment company, rose amid positive performance from its portfolio holdings. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s weight-loss drug and after the company reported revenue growth for the first quarter of 2023. Shares of L’Oreal, a French hair products and cosmetics manufacturer, rose after the company reports strong sales growth 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.
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| LVMH Moet Hennessy Louis Vuitton SE (France) | |
| Novo Nordisk A/S, Class B (Denmark) | |
| ASML Holding NV (Netherlands) | |
| | |
| AstraZeneca plc (United Kingdom) | |
| | |
| Novartis AG (Registered) (Switzerland) | |
| | |
| | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| Sales Charge for Class A Shares is 5.25%. |
| Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (3/15/19 TO 4/30/23)
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 BofA 3-Month US Treasury Bill Index from March 15, 2019 to April 30, 2023. 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 BofA 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 BofA 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
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
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)
| J.P. Morgan International Equity Funds | |
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI EAFE Value Index (net total return) | |
Net Assets as of 4/30/2023 (In Thousands) | |
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 outperformed the MSCI EAFE Value Index (net total return) (the “Benchmark”) for the six months ended April 30, 2023.
The Fund’s security selection in the telecommunications services and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s overweight position in the energy sector and its underweight position in the utilities sector were leading detractors from relative performance.
By region, the Fund’s security selection in Japan and the U.K. was a leading contributor to performance relative to the Benchmark, while its security selection in continental Europe and the Pacific Rim was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in Toyota Motor Corp., British American Tobacco PLC and Softbank Corp., Shares of Toyota Motor, a Japanese automobile manufacturer, fell after the company named a new chief executive and chairman, and after it reported a decline in North American sales. Shares of
British American Tobacco, a U.K. tobacco and nicotine products manufacturer not held in the Fund, fell amid increased U.S. regulatory efforts to reduce smoking and nicotine use. Shares of SoftBank, a Japanese investment company not held in the Fund, fell after the company reported a loss for its fiscal third quarter.
Leading individual detractors from relative performance included the Fund’s underweight positions in Enel SpA and SAP SE, and its overweight position in Equinor ASA. Shares of Enel, an Italian electricity and natural gas utility, rose after the company reported earnings and revenue growth during the period. Shares of SAP, a German software provider, rose after the company reported better-than-expected results during the period. Shares of Equinor, a Norwegian oil and gas producer, fell amid weaker global energy prices during the period.
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 energy and banks sectors, while the largest underweight positions were in the food, beverage & tobacco sector and the utilities sector.
| J.P. Morgan International Equity Funds | |
JPMorgan International Value Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
*
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.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| Novartis AG (Registered) (Switzerland) | |
| | |
| TotalEnergies SE (France) | |
| BHP Group Ltd. (Australia) | |
| | |
| HSBC Holdings plc (United Kingdom) | |
| | |
| Allianz SE (Registered) (Germany) | |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | |
| | |
PORTFOLIO COMPOSITION BY COUNTRY
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
| J.P. Morgan International Equity Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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 its inception date 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, 2013 to April 30, 2023. 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.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
B3 SA - Brasil Bolsa Balcao | | |
Itau Unibanco Holding SA, ADR | | |
| | |
NU Holdings Ltd., Class A * | | |
| | |
| | |
| | |
|
Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A * | | |
Budweiser Brewing Co. APAC Ltd. (a) | | |
| | |
Foshan Haitian Flavouring & Food Co. Ltd., Class A * | | |
Fuyao Glass Industry Group Co. Ltd., Class A * | | |
| | |
| | |
Jiangsu Hengli Hydraulic Co. Ltd., Class A * | | |
Kingdee International Software Group Co. Ltd. * | | |
| | |
Midea Group Co. Ltd., Class A | | |
| | |
| | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A * | | |
Shenzhou International Group Holdings Ltd. | | |
| | |
| | |
Wanhua Chemical Group Co. Ltd., Class A * | | |
Wuliangye Yibin Co. Ltd., Class A | | |
WuXi AppTec Co. Ltd., Class A * | | |
Wuxi Biologics Cayman, Inc. * (a) | | |
| | |
| | |
|
| | |
Hong Kong Exchanges & Clearing Ltd. | | |
| | |
Techtronic Industries Co. Ltd. | | |
Techtronic Industries Co. Ltd. | | |
| | |
|
Apollo Hospitals Enterprise Ltd. | | |
| | |
|
|
| | |
Britannia Industries Ltd. | | |
| | |
| | |
HDFC Life Insurance Co. Ltd. * (a) | | |
| | |
Housing Development Finance Corp. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Tata Consultancy Services Ltd. * | | |
| | |
|
Bank Central Asia Tbk. PT | | |
Bank Rakyat Indonesia Persero Tbk. PT | | |
| | |
|
| | |
|
Grupo Financiero Banorte SAB de CV, Class O | | |
Wal-Mart de Mexico SAB de CV | | |
| | |
|
Copa Holdings SA, Class A | | |
|
| | |
|
| | |
Capitec Bank Holdings Ltd. | | |
| | |
| | |
|
| | |
| | |
| | |
Samsung Electronics Co. Ltd. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
Chailease Holding Co. Ltd. * | | |
Delta Electronics, Inc. * | | |
Realtek Semiconductor Corp. * | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | |
| | |
|
| | |
Estee Lauder Cos., Inc. (The), Class A | | |
| | |
JS Global Lifestyle Co. Ltd. * (a) | | |
| | |
Total Common Stocks
(Cost $7,041,777) | | |
Short-Term Investments — 0.0% ^ |
Investment Companies — 0.0% ^ |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (b) (c)(Cost $5,306) | | |
Total Investments — 100.5%
(Cost $7,047,083) | | |
Liabilities in Excess of Other Assets — (0.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| American Depositary Receipt |
| |
| Limited liability company |
| |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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. | |
| 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. | |
| The rate shown is the current yield as of April 30, 2023. | |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
Semiconductors & Semiconductor Equipment | |
Technology Hardware, Storage & Peripherals | |
| |
Consumer Staples Distribution & Retail | |
| |
| |
| |
Interactive Media & Services | |
| |
Hotels, Restaurants & Leisure | |
| |
| |
| |
Oil, Gas & Consumable Fuels | |
| |
Life Sciences Tools & Services | |
| |
| |
Electronic Equipment, Instruments & Components | |
Textiles, Apparel & Luxury Goods | |
Health Care Equipment & Supplies | |
| |
| |
Health Care Providers & Services | |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
B3 SA - Brasil Bolsa Balcao | | |
Centrais Eletricas Brasileiras SA | | |
Cia Energetica de Minas Gerais (Preference) | | |
| | |
Itau Unibanco Holding SA (Preference) | | |
| | |
| | |
| | |
| | |
NU Holdings Ltd., Class A * | | |
Petroleo Brasileiro SA (Preference) | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Banco Santander Chile, ADR | | |
| | |
| | |
|
Aier Eye Hospital Group Co. Ltd., Class A * | | |
Alibaba Group Holding Ltd. * | | |
Amoy Diagnostics Co. Ltd., Class A * | | |
Angel Yeast Co. Ltd., Class A * | | |
Anhui Conch Cement Co. Ltd., Class H | | |
ANTA Sports Products Ltd. | | |
| | |
| | |
Baoshan Iron & Steel Co. Ltd., Class A * | | |
| | |
| | |
Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A * | | |
| | |
BOE Technology Group Co. Ltd., Class A * | | |
| | |
CGN Power Co. Ltd., Class H (b) | | |
Chacha Food Co. Ltd., Class A * | | |
China Construction Bank Corp., Class H | | |
China International Capital Corp. Ltd., Class H * (b) | | |
China Life Insurance Co. Ltd., Class H | | |
| | |
|
|
China Longyuan Power Group Corp. Ltd., Class H | | |
China Merchants Bank Co. Ltd., Class H * | | |
China Oilfield Services Ltd., Class H | | |
China Overseas Land & Investment Ltd. | | |
China Pacific Insurance Group Co. Ltd., Class H | | |
China Petroleum & Chemical Corp., Class H | | |
China Resources Land Ltd. | | |
China Resources Mixc Lifestyle Services Ltd. (b) | | |
China Vanke Co. Ltd., Class H * | | |
China Yangtze Power Co. Ltd., Class A * | | |
Chongqing Fuling Zhacai Group Co. Ltd., Class A * | | |
Country Garden Services Holdings Co. Ltd. | | |
CSPC Pharmaceutical Group Ltd. | | |
Dongguan Yiheda Automation Co. Ltd., Class A * | | |
| | |
Flat Glass Group Co. Ltd., Class H | | |
Foshan Haitian Flavouring & Food Co. Ltd., Class A * | | |
Fuyao Glass Industry Group Co. Ltd., Class H * (b) | | |
Ganfeng Lithium Group Co. Ltd. * (b) | | |
Guangzhou Automobile Group Co. Ltd., Class H * | | |
Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A * | | |
| | |
Haier Smart Home Co. Ltd., Class H * | | |
Han's Laser Technology Industry Group Co. Ltd., Class A * | | |
Hefei Meiya Optoelectronic Technology, Inc., Class A * | | |
Huatai Securities Co. Ltd., Class H * (b) | | |
Huayu Automotive Systems Co. Ltd., Class A * | | |
Hundsun Technologies, Inc., Class A * | | |
Industrial & Commercial Bank of China Ltd., Class H | | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | | |
Jade Bird Fire Co. Ltd., Class A * | | |
JD Health International, Inc. * (b) | | |
| | |
| | |
Jiangsu Hengli Hydraulic Co. Ltd., Class A * | | |
Joinn Laboratories China Co. Ltd., Class H * (b) | | |
| | |
Kingdee International Software Group Co. Ltd. * | | |
| | |
Kweichow Moutai Co. Ltd., Class A * | | |
Laobaixing Pharmacy Chain JSC, Class A * | | |
LONGi Green Energy Technology Co. Ltd., Class A * | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
| | |
Midea Group Co. Ltd., Class A | | |
| | |
Montage Technology Co. Ltd., Class A * | | |
NARI Technology Co. Ltd., Class A * | | |
| | |
| | |
| | |
Oppein Home Group, Inc., Class A * | | |
PDD Holdings, Inc., ADR * | | |
Pharmaron Beijing Co. Ltd., Class H * (b) | | |
PICC Property & Casualty Co. Ltd., Class H * | | |
Ping An Bank Co. Ltd., Class A * | | |
Ping An Insurance Group Co. of China Ltd., Class H | | |
Postal Savings Bank of China Co. Ltd., Class H (b) | | |
Qingdao Haier Biomedical Co. Ltd., Class A * | | |
Sany Heavy Industry Co. Ltd., Class A * | | |
Shanghai Baosight Software Co. Ltd., Class A * | | |
Shanghai Liangxin Electrical Co. Ltd., Class A | | |
Shanghai Putailai New Energy Technology Co. Ltd., Class A | | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A * | | |
Shenzhou International Group Holdings Ltd. | | |
| | |
Skshu Paint Co. Ltd., Class A * | | |
StarPower Semiconductor Ltd., Class A * | | |
Sunny Optical Technology Group Co. Ltd. | | |
Suzhou Maxwell Technologies Co. Ltd., Class A * | | |
| | |
Tingyi Cayman Islands Holding Corp. | | |
Trip.com Group Ltd., ADR * | | |
| | |
Wanhua Chemical Group Co. Ltd., Class A * | | |
Wuliangye Yibin Co. Ltd., Class A | | |
WuXi AppTec Co. Ltd., Class H (b) | | |
Wuxi Biologics Cayman, Inc. * (b) | | |
Xinyi Solar Holdings Ltd. | | |
| | |
| | |
| | |
Zhejiang Dingli Machinery Co. Ltd., Class A * | | |
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A * | | |
| | |
|
|
Zhejiang Weixing New Building Materials Co. Ltd., Class A * | | |
Zhuzhou CRRC Times Electric Co. Ltd. * | | |
Zijin Mining Group Co. Ltd., Class H * | | |
| | |
| | |
|
| | |
|
Hellenic Telecommunications Organization SA | | |
| | |
| | |
|
Techtronic Industries Co. Ltd. | | |
|
| | |
| | |
| | |
|
Apollo Hospitals Enterprise Ltd. | | |
| | |
| | |
| | |
| | |
Bharat Petroleum Corp. Ltd. | | |
| | |
Britannia Industries Ltd. | | |
| | |
Dr Reddy's Laboratories Ltd. | | |
| | |
| | |
| | |
| | |
HDFC Life Insurance Co. Ltd. * (b) | | |
| | |
Housing Development Finance Corp. Ltd. | | |
| | |
ICICI Prudential Life Insurance Co. Ltd. * (b) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
Oil & Natural Gas Corp. Ltd. | | |
| | |
Power Grid Corp. of India Ltd. | | |
| | |
| | |
Tata Consultancy Services Ltd. * | | |
Tata Consumer Products Ltd. | | |
| | |
| | |
| | |
|
Bank Central Asia Tbk. PT | | |
Bank Mandiri Persero Tbk. PT | | |
Bank Rakyat Indonesia Persero Tbk. PT | | |
Telkom Indonesia Persero Tbk. PT | | |
| | |
| | |
|
| | |
| | |
Petronas Chemicals Group Bhd. | | |
| | |
| | |
| | |
|
| | |
| | |
Grupo Aeroportuario del Pacifico SAB de CV, Class B | | |
Grupo Aeroportuario del Sureste SAB de CV, Class B | | |
Grupo Financiero Banorte SAB de CV, Class O | | |
| | |
Kimberly-Clark de Mexico SAB de CV, Class A | | |
| | |
Wal-Mart de Mexico SAB de CV | | |
| | |
|
Copa Holdings SA, Class A | | |
|
| | |
| | |
|
|
| | |
| | |
| | |
| | |
|
| | |
Powszechny Zaklad Ubezpieczen SA | | |
| | |
|
| | |
| | |
| | |
|
| | |
Magnitogorsk Iron & Steel Works PJSC ‡ * | | |
MMC Norilsk Nickel PJSC, ADR ‡ * | | |
MMC Norilsk Nickel PJSC ‡ | | |
| | |
| | |
Sberbank of Russia PJSC ‡ * | | |
Severstal PAO, GDR ‡ * (b) | | |
TCS Group Holding plc, GDR ‡ * (b) | | |
X5 Retail Group NV, GDR ‡ * (b) | | |
| | |
|
| | |
| | |
| | |
| | |
Mouwasat Medical Services Co. | | |
| | |
Saudi Arabian Mining Co. * | | |
Saudi Arabian Oil Co. (b) | | |
Saudi Basic Industries Corp. | | |
Saudi National Bank (The) | | |
| | |
| | |
|
| | |
| | |
Capitec Bank Holdings Ltd. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
Foschini Group Ltd. (The) | | |
| | |
Impala Platinum Holdings Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Hana Financial Group, Inc. | | |
Hankook Tire & Technology Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
KIWOOM Securities Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Samsung Biologics Co. Ltd. * (b) | | |
Samsung Electronics Co. Ltd. | | |
Samsung Fire & Marine Insurance Co. Ltd. | | |
| | |
Shinhan Financial Group Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
|
Accton Technology Corp. * | | |
| | |
ASE Technology Holding Co. Ltd. * | | |
| | |
Chailease Holding Co. Ltd. * | | |
Chunghwa Telecom Co. Ltd. * | | |
CTBC Financial Holding Co. Ltd. | | |
Delta Electronics, Inc. * | | |
E.Sun Financial Holding Co. Ltd. * | | |
| | |
eMemory Technology, Inc. * | | |
Evergreen Marine Corp. Taiwan Ltd. * | | |
Fubon Financial Holding Co. Ltd. * | | |
Giant Manufacturing Co. Ltd. * | | |
Hon Hai Precision Industry Co. Ltd. * | | |
Largan Precision Co. Ltd. | | |
| | |
| | |
Nien Made Enterprise Co. Ltd. * | | |
Novatek Microelectronics Corp. * | | |
Powertech Technology, Inc. * | | |
President Chain Store Corp. * | | |
Realtek Semiconductor Corp. * | | |
| | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | |
Uni-President Enterprises Corp. * | | |
United Microelectronics Corp. * | | |
Vanguard International Semiconductor Corp. * | | |
| | |
Yuanta Financial Holding Co. Ltd. * | | |
| | |
|
Airports of Thailand PCL * | | |
| | |
| | |
| | |
PTT Exploration & Production PCL | | |
PTT Exploration & Production PCL, NVDR | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
PTT Global Chemical PCL, NVDR | | |
| | |
| | |
| | |
| | |
Siam Cement PCL (The), NVDR | | |
Siam Cement PCL (The) (Registered) | | |
| | |
| | |
Thai Union Group PCL, Class F | | |
| | |
United Arab Emirates — 0.8% |
| | |
| | |
Emirates Telecommunications Group Co. PJSC | | |
First Abu Dhabi Bank PJSC | | |
| | |
|
| | |
| | |
JS Global Lifestyle Co. Ltd. * (b) | | |
| | |
| | |
Total Common Stocks
(Cost $2,292,495) | | |
| | |
|
|
Localiza Rent a Car SA, expiring 5/11/2023*(Cost $—) (c) | | |
| | |
Short-Term Investments — 0.9% |
Investment Companies — 0.6% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (d) (e)(Cost $13,958) | | |
| | |
|
Investment of Cash Collateral from Securities Loaned — 0.3% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (d) (e) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (d) (e) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $7,129) | | |
Total Short-Term Investments
(Cost $21,087) | | |
Total Investments — 97.6%
(Cost $2,313,582) | | |
Other Assets Less Liabilities — 2.4% | | |
| | |
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| American Depositary Receipt |
| Global Depositary Receipt |
| |
| Non-Voting Depositary Receipt |
| Public Joint Stock Company |
| 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. |
| Limited liability company |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $6,883. | |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of April 30, 2023. | |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
Semiconductors & Semiconductor Equipment | |
Interactive Media & Services | |
Technology Hardware, Storage & Peripherals | |
Oil, Gas & Consumable Fuels | |
| |
| |
| |
| |
Consumer Staples Distribution & Retail | |
| |
Hotels, Restaurants & Leisure | |
| |
Electronic Equipment, Instruments & Components | |
Wireless Telecommunication Services | |
| |
| |
Real Estate Management & Development | |
Diversified Telecommunication Services | |
| |
Life Sciences Tools & Services | |
| |
| |
| |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
MSCI Emerging Markets E-Mini Index | | | | | |
| |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
|
| | |
|
| | |
|
| | |
Novo Nordisk A/S, Class B | | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
CTS Eventim AG & Co. KGaA * | | |
| | |
Deutsche Lufthansa AG (Registered) * | | |
Dr Ing hc F Porsche AG (Preference) * (c) | | |
| | |
| | |
| | |
| | |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | |
| | |
|
|
| | |
| | |
| | |
|
| | |
Bank of Ireland Group plc | | |
Bank of Ireland Group plc | | |
Ryanair Holdings plc, ADR * | | |
| | |
| | |
|
| | |
|
| | |
Koninklijke Ahold Delhaize NV | | |
| | |
|
| | |
|
| | |
Industria de Diseno Textil SA (a) | | |
| | |
|
| | |
| | |
| | |
| | |
|
Cie Financiere Richemont SA (Registered) | | |
| | |
Zurich Insurance Group AG | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United Kingdom — continued |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Total Common Stocks
(Cost $499,501) | | |
Short-Term Investments — 8.3% |
Investment Companies — 1.5% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (d) (e)(Cost $9,307) | | |
Investment of Cash Collateral from Securities Loaned — 6.8% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (d) (e) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (d) (e) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $43,681) | | |
Total Short-Term Investments
(Cost $52,988) | | |
Total Investments — 104.4%
(Cost $552,489) | | |
Liabilities in Excess of Other Assets — (4.4)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| American Depositary Receipt |
| |
| 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. |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $37,040. |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of April 30, 2023. |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
Oil, Gas & Consumable Fuels | |
Textiles, Apparel & Luxury Goods | |
| |
| |
| |
| |
Hotels, Restaurants & Leisure | |
| |
Construction & Engineering | |
| |
| |
| |
| |
Semiconductors & Semiconductor Equipment | |
Consumer Staples Distribution & Retail | |
Commercial Services & Supplies | |
| |
| |
| |
| |
Independent Power and Renewable Electricity Producers | |
| |
| |
Trading Companies & Distributors | |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| |
| |
| Financial Times and the London Stock Exchange |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
Woodside Energy Group Ltd. | | |
Woodside Energy Group Ltd. | | |
| | |
|
| | |
|
| | |
|
| | |
| | |
| | |
Novo Nordisk A/S, Class B | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE (a) | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Deutsche Telekom AG (Registered) | | |
| | |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | |
| | |
| | |
|
| | |
| | |
|
|
Hong Kong Exchanges & Clearing Ltd. | | |
| | |
Techtronic Industries Co. Ltd. | | |
| | |
|
| | |
|
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Mitsubishi UFJ Financial Group, Inc. | | |
Nippon Telegraph & Telephone Corp. | | |
Recruit Holdings Co. Ltd. | | |
Shin-Etsu Chemical Co. Ltd. | | |
| | |
| | |
Sumitomo Mitsui Financial Group, Inc. | | |
Tokio Marine Holdings, Inc. | | |
| | |
| | |
|
| | |
|
| | |
| | |
| | |
|
| | |
|
| | |
|
| | |
Samsung Electronics Co. Ltd., GDR (b) | | |
Samsung Electronics Co. Ltd., GDR (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
| | |
|
| | |
Svenska Handelsbanken AB, Class A (a) | | |
| | |
| | |
|
Cie Financiere Richemont SA (Registered) | | |
Lonza Group AG (Registered) | | |
Straumann Holding AG (Registered) | | |
| | |
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
|
| | |
| | |
| | |
| | |
London Stock Exchange Group plc | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Common Stocks
(Cost $3,278,553) | | |
Short-Term Investments — 8.0% |
Investment Companies — 3.3% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (c) (d)(Cost $145,799) | | |
Investment of Cash Collateral from Securities Loaned — 4.7% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (c) (d) | | |
| | |
|
Investment of Cash Collateral from Securities Loaned — continued |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (c) (d) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $204,494) | | |
Total Short-Term Investments
(Cost $350,293) | | |
Total Investments — 105.5%
(Cost $3,628,846) | | |
Liabilities in Excess of Other Assets — (5.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| American Depositary Receipt |
| Global Depositary Receipt |
| Non-income producing security. |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $196,340. |
| 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. |
| 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. |
| The rate shown is the current yield as of April 30, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
Oil, Gas & Consumable Fuels | |
Textiles, Apparel & Luxury Goods | |
Semiconductors & Semiconductor Equipment | |
| |
| |
| |
| |
| |
Diversified Telecommunication Services | |
| |
Health Care Equipment & Supplies | |
| |
| |
| |
| |
Independent Power and Renewable Electricity Producers | |
Electronic Equipment, Instruments & Components | |
| |
| |
| |
Construction & Engineering | |
| |
Technology Hardware, Storage & Peripherals | |
| |
| |
Life Sciences Tools & Services | |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
|
| | |
|
Alimentation Couche-Tard, Inc. | | |
Canadian National Railway Co. | | |
Toronto-Dominion Bank (The) | | |
| | |
|
| | |
|
| | |
Novo Nordisk A/S, Class B | | |
| | |
|
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE (a) | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Deutsche Telekom AG (Registered) | | |
| | |
| | |
|
| | |
|
| | |
|
Bank Central Asia Tbk. PT | | |
Telkom Indonesia Persero Tbk. PT | | |
| | |
|
| | |
| | |
|
|
| | |
Mitsubishi UFJ Financial Group, Inc. | | |
Nippon Telegraph & Telephone Corp. | | |
Shin-Etsu Chemical Co. Ltd. | | |
| | |
Tokio Marine Holdings, Inc. | | |
| | |
|
Wal-Mart de Mexico SAB de CV | | |
|
| | |
| | |
| | |
|
| | |
|
| | |
|
Samsung Electronics Co. Ltd. | | |
|
| | |
|
| | |
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United States — continued |
| | |
| | |
| | |
Total Common Stocks
(Cost $1,043,513) | | |
Short-Term Investments — 3.2% |
Investment of Cash Collateral from Securities Loaned — 3.2% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (b) (c) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (b) (c) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $43,176) | | |
Total Investments — 100.4%
(Cost $1,086,689) | | |
Liabilities in Excess of Other Assets — (0.4)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| American Depositary Receipt |
| Limited liability company |
| Non-income producing security. |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $41,008. |
| 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. |
| The rate shown is the current yield as of April 30, 2023. |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
Oil, Gas & Consumable Fuels | |
| |
| |
Semiconductors & Semiconductor Equipment | |
| |
| |
Textiles, Apparel & Luxury Goods | |
Diversified Telecommunication Services | |
Technology Hardware, Storage & Peripherals | |
| |
Consumer Staples Distribution & Retail | |
| |
| |
Construction & Engineering | |
| |
| |
Interactive Media & Services | |
Health Care Equipment & Supplies | |
| |
Independent Power and Renewable Electricity Producers | |
| |
| |
Electronic Equipment, Instruments & Components | |
| |
Trading Companies & Distributors | |
| |
| |
| |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
| | |
Commonwealth Bank of Australia | | |
| | |
| | |
| | |
| | |
| | |
Insurance Australia Group Ltd. | | |
| | |
| | |
| | |
National Australia Bank Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Woodside Energy Group Ltd. | | |
| | |
| | |
|
| | |
|
BOC Hong Kong Holdings Ltd. | | |
| | |
Xinyi Glass Holdings Ltd. | | |
| | |
|
| | |
| | |
Novo Nordisk A/S, Class B | | |
Vestas Wind Systems A/S * | | |
| | |
|
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Deutsche Post AG (Registered) | | |
Deutsche Telekom AG (Registered) | | |
Dr Ing hc F Porsche AG (Preference) * (a) | | |
| | |
| | |
| | |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
Volkswagen AG (Preference) | | |
| | |
| | |
|
| | |
| | |
| | |
Hong Kong Exchanges & Clearing Ltd. | | |
| | |
| | |
Sun Hung Kai Properties Ltd. | | |
Techtronic Industries Co. Ltd. | | |
| | |
|
| | |
| | |
| | |
|
| | |
FinecoBank Banca Fineco SpA | | |
| | |
| | |
|
| | |
| | |
Asahi Group Holdings Ltd. | | |
| | |
| | |
| | |
Central Japan Railway Co. | | |
| | |
| | |
Daiwa House Industry Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
Mitsubishi UFJ Financial Group, Inc. | | |
| | |
Murata Manufacturing Co. Ltd. | | |
| | |
| | |
Nippon Express Holdings, Inc. | | |
Nippon Paint Holdings Co. Ltd. | | |
| | |
Nippon Telegraph & Telephone Corp. | | |
Nomura Research Institute Ltd. | | |
Ono Pharmaceutical Co. Ltd. | | |
| | |
| | |
Recruit Holdings Co. Ltd. | | |
Renesas Electronics Corp. * | | |
Seven & i Holdings Co. Ltd. | | |
| | |
Shin-Etsu Chemical Co. Ltd. | | |
| | |
| | |
| | |
| | |
Sumitomo Electric Industries Ltd. | | |
Sumitomo Metal Mining Co. Ltd. | | |
Sumitomo Mitsui Financial Group, Inc. | | |
| | |
| | |
Takeda Pharmaceutical Co. Ltd. | | |
| | |
Tokio Marine Holdings, Inc. | | |
| | |
| | |
| | |
|
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
| | |
| | |
Koninklijke Ahold Delhaize NV | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Oversea-Chinese Banking Corp. Ltd. | | |
| | |
United Overseas Bank Ltd. | | |
| | |
|
| | |
|
Banco Bilbao Vizcaya Argentaria SA | | |
| | |
| | |
Industria de Diseno Textil SA | | |
| | |
|
| | |
| | |
| | |
| | |
|
Cie Financiere Richemont SA (Registered) | | |
| | |
| | |
| | |
Lonza Group AG (Registered) | | |
| | |
| | |
| | |
UBS Group AG (Registered) * | | |
Zurich Insurance Group AG | | |
| | |
|
| | |
| | |
|
United Kingdom — continued |
| | |
| | |
Berkeley Group Holdings plc | | |
| | |
British American Tobacco plc | | |
| | |
| | |
| | |
InterContinental Hotels Group plc | | |
| | |
| | |
London Stock Exchange Group plc | | |
Reckitt Benckiser Group plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Common Stocks
(Cost $110,784) | | |
| | |
|
Put Options Purchased — 0.4% |
|
| | |
6/30/2023 at USD 1,970.00, European Style | | |
Notional Amount: USD 146,425 | | |
Counterparty: Exchange-Traded * (Cost $1,765) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Short-Term Investments — 3.5% |
Investment Companies — 3.5% |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.71% (c) (d)(Cost $5,126) | | |
Total Investments — 99.5%
(Cost $117,675) | | |
Other Assets Less Liabilities — 0.5% | | |
| | |
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| American Depositary Receipt |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
| 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. |
| Real Estate Investment Trust |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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. | |
| 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. | |
| The rate shown is the current yield as of April 30, 2023. | |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
Oil, Gas & Consumable Fuels | |
Semiconductors & Semiconductor Equipment | |
Textiles, Apparel & Luxury Goods | |
| |
| |
| |
| |
| |
Diversified Telecommunication Services | |
| |
| |
| |
| |
| |
| |
Consumer Staples Distribution & Retail | |
| |
Electronic Equipment, Instruments & Components | |
| |
Trading Companies & Distributors | |
| |
| |
| |
Real Estate Management & Development | |
Construction & Engineering | |
Health Care Equipment & Supplies | |
| |
| |
Life Sciences Tools & Services | |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| Australian Securities Exchange |
| |
Written Call Options Contracts as of April 30, 2023 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Written Put Options Contracts as of April 30, 2023 (amounts in thousands, except number of contracts):
|
| | | | | | |
| | | | | | |
Total Written Options Contracts (Premiums Received $1,689) | |
| |
| Europe, Australasia and Far East |
| Morgan Stanley Capital International |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
| | |
Coronado Global Resources, Inc., CHDI (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
BOC Hong Kong Holdings Ltd. | | |
Yangzijiang Shipbuilding Holdings Ltd. | | |
| | |
|
| | |
| | |
| | |
Jyske Bank A/S (Registered) * | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Bayerische Motoren Werke AG | | |
| | |
| | |
Daimler Truck Holding AG * | | |
Deutsche Bank AG (Registered) | | |
Deutsche Lufthansa AG (Registered) * | | |
Deutsche Telekom AG (Registered) | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
|
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | | |
| | |
Schaeffler AG (Preference) | | |
| | |
| | |
Volkswagen AG (Preference) | | |
| | |
|
Hongkong Land Holdings Ltd. | | |
| | |
Pacific Basin Shipping Ltd. | | |
| | |
Sun Hung Kai Properties Ltd. | | |
| | |
|
Bank of Ireland Group plc | | |
|
Assicurazioni Generali SpA | | |
| | |
| | |
| | |
| | |
Mediobanca Banca di Credito Finanziario SpA | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Concordia Financial Group Ltd. | | |
Cosmo Energy Holdings Co. Ltd. | | |
| | |
| | |
| | |
Fuyo General Lease Co. Ltd. | | |
Hachijuni Bank Ltd. (The) | | |
| | |
| | |
|
|
| | |
| | |
| | |
Japan Post Holdings Co. Ltd. | | |
Japan Post Insurance Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Mitsubishi Estate Co. Ltd. | | |
Mitsubishi UFJ Financial Group, Inc. | | |
| | |
| | |
Mizuho Financial Group, Inc. | | |
Nippon Express Holdings, Inc. | | |
| | |
Nippon Telegraph & Telephone Corp. | | |
Nomura Real Estate Holdings, Inc. | | |
| | |
| | |
Shizuoka Financial Group, Inc. | | |
| | |
| | |
| | |
Sumitomo Forestry Co. Ltd. | | |
Sumitomo Mitsui Financial Group, Inc. | | |
Sumitomo Mitsui Trust Holdings, Inc. | | |
Sumitomo Warehouse Co. Ltd. (The) | | |
Takeda Pharmaceutical Co. Ltd. | | |
Tokyo Steel Manufacturing Co. Ltd. | | |
Tokyu Fudosan Holdings Corp. | | |
| | |
| | |
| | |
|
| | |
|
ABN AMRO Bank NV, CVA (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
Koninklijke Ahold Delhaize NV | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Olav Thon Eiendomsselskap ASA | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
Oversea-Chinese Banking Corp. Ltd. | | |
United Overseas Bank Ltd. | | |
| | |
|
| | |
|
| | |
| | |
Banco Bilbao Vizcaya Argentaria SA | | |
| | |
| | |
Gestamp Automocion SA (a) | | |
| | |
| | |
| | |
|
| | |
| | |
|
|
| | |
| | |
| | |
Skandinaviska Enskilda Banken AB, Class A | | |
| | |
Svenska Handelsbanken AB, Class A | | |
| | |
|
| | |
Mobilezone Holding AG (Registered) | | |
| | |
Swiss Life Holding AG (Registered) | | |
| | |
Zurich Insurance Group AG | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Berkeley Group Holdings plc | | |
| | |
| | |
| | |
CK Hutchison Holdings Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Legal & General Group plc | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| | |
Common Stocks — continued |
United Kingdom — continued |
| | |
Paragon Banking Group plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Common Stocks
(Cost $385,523) | | |
Short-Term Investments — 3.9% |
Investment Companies — 3.9% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (c) (d)(Cost $17,885) | | |
Total Investments — 100.5%
(Cost $403,408) | | |
Liabilities in Excess of Other Assets — (0.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Clearing House Electronic Subregister System (CHESS) Depository Interest |
| |
| |
| 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. |
| 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. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| 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. |
| The rate shown is the current yield as of April 30, 2023. |
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
Oil, Gas & Consumable Fuels | |
| |
| |
| |
| |
Trading Companies & Distributors | |
Diversified Telecommunication Services | |
Real Estate Management & Development | |
| |
| |
| |
Construction & Engineering | |
Consumer Staples Distribution & Retail | |
| |
Commercial Services & Supplies | |
Wireless Telecommunication Services | |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan
Emerging
Markets
Equity Fund | JPMorgan
Emerging
Markets
Research
Enhanced
Equity Fund | |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C.) | | | |
| | | |
Foreign currency, at value | | | |
Deposits at broker for futures contracts | | | |
| | | |
Investment securities sold | | | |
| | | |
Dividends from non-affiliates | | | |
Dividends from affiliates | | | |
| | | |
Securities lending income (See Note 2.C.) | | | |
Variation margin on futures contracts | | | |
| | | |
| | | |
| | | |
Foreign currency due to custodian, at value | | | |
Investment securities purchased | | | |
Collateral received on securities loaned (See Note 2.C.) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
Deferred foreign capital gains tax | | | |
| | | |
| | | |
| | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Class A — Redemption price per share | | | |
Class C — Offering price per share (b) | | | |
Class I — Offering and redemption price per share | | | |
Class L — Offering and redemption price per share | | | |
Class R2 — Offering and redemption price per share | | | |
Class R3 — Offering and redemption price per share | | | |
Class R4 — Offering and redemption price per share | | | |
Class R5 — Offering and redemption price per share | | | |
Class R6 — Offering and redemption price per share | | | |
Class A maximum sales charge | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
| | | |
Investment securities on loan, at value (See Note 2.C.) | | | |
Cost of investment of cash collateral (See Note 2.C.) | | | |
(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.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan
International
Equity Fund | JPMorgan
International
Focus Fund | JPMorgan
International
Hedged
Equity Fund | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.C.) | | | | |
Options purchased, at value | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
Deposits at broker for options contracts | | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
| | | | |
Securities lending income (See Note 2.C.) | | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Foreign currency due to custodian, at value | | | | |
Investment securities purchased | | | | |
Collateral received on securities loaned (See Note 2.C.) | | | | |
| | | | |
Outstanding options written, at fair value | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan International Equity Fund | JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Class A — Redemption price per share | | | | |
Class C — Offering price per share (b) | | | | |
Class I — Offering and redemption price per share | | | | |
Class L — Offering and redemption price per share | | | | |
Class R2 — Offering and redemption price per share | | | | |
Class R5 — Offering and redemption price per share | | | | |
Class R6 — Offering and redemption price per share | | | | |
Class A maximum sales charge | | | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
Cost of options purchased | | | | |
| | | | |
Investment securities on loan, at value (See Note 2.C.) | | | | |
Cost of investment of cash collateral (See Note 2.C.) | | | | |
Premiums received from options written | | | | |
(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.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited)
(Amounts in thousands)
| JPMorgan
Emerging
Markets
Equity Fund | JPMorgan
Emerging
Markets
Research
Enhanced
Equity Fund | |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from non-affiliates | | | |
Dividend income from affiliates | | | |
Income from securities lending (net) (See Note 2.C.) | | | |
Foreign taxes withheld (net) | | | |
Foreign withholding tax claims | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Interest expense to affiliates | | | |
| | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
Printing and mailing costs | | | |
Registration and filing fees | | | |
Transfer agency fees (See Note 2.I.) | | | |
| | | |
| | | |
| | | |
Less expense reimbursements | | | |
| | | |
Net investment income (loss) | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency transactions | | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
(a)
Net of foreign capital gains tax of $(2,776).
(b)
Net of foreign capital gains tax of $(2,884).
(c)
Net of change in foreign capital gains tax of $(5,542).
(d)
Net of change in foreign capital gains tax of $2,597.
(e)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| JPMorgan
International
Equity Fund | JPMorgan
International
Focus Fund | JPMorgan
International
Hedged
Equity Fund | |
| | | | |
Interest income from non-affiliates | | | | |
Interest income from affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.C.) | | | | |
Foreign taxes withheld (net) | | | | |
Foreign withholding tax claims | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Custodian and accounting fees | | | | |
Interest expense to affiliates | | | | |
| | | | |
Trustees’ and Chief Compliance Officer’s fees | | | | |
Printing and mailing costs | | | | |
Registration and filing fees | | | | |
Transfer agency fees (See Note 2.I.) | | | | |
| | | | |
| | | | |
| | | | |
Less expense reimbursements | | | | |
| | | | |
Net investment income (loss) | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| 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 | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Foreign currency transactions | | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Foreign currency translations | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Emerging Markets
Equity Fund | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan International Value Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Emerging Markets
Equity Fund | JPMorgan Emerging Markets Research
Enhanced Equity Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class L capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class L capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| JPMorgan International Value Fund |
| Six Months Ended April 30, 2023
(Unaudited) | |
| | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class A capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class C capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class I capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class L capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R2 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R5 capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class R6 capital transactions | | |
Total change in net assets resulting from capital transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Value Fund |
| Six Months Ended April 30, 2023 (Unaudited) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Change in Class R2 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R5 Shares | | |
| | |
| | |
| | |
| | |
Change in Class R6 Shares | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Emerging Markets Equity Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Emerging Markets Equity Fund (continued) | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
|
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
January 30, 2019 (f) through October 31, 2019 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
December 11, 2018 (h) through October 31, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| Commencement of offering of class of shares. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | Ratios to average net assets(a) |
Net asset
value,
end of
period | | Net assets,
end of
period
(000's) | | Net
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Europe Dynamic Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
October 1, 2018 (h) through October 31, 2018 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| 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 $0.29, $0.17, $0.35, $0.37 and $0.36 for Class A, Class C, Class I, Class L and Class R6, respectively, and the net investment income (loss) ratios would have been 2.23%, 1.56%, 2.60%, 2.69% and 2.70% for Class A, Class C, Class I, Class L and Class R6, respectively. |
| 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. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan International Equity Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan International Equity Fund (continued) | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| 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 $0.18, $0.13, $0.21, $0.15, $0.19 and $0.22 for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively, and the net investment income (loss) ratios would have been 2.24%, 1.67%, 2.57%, 1.93%, 2.24% and 2.61% for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively. |
| 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.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
|
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan International Focus Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan International Focus Fund (continued) | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| 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.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
|
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan International Hedged Equity Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
March 15, 2019 (f) through October 31, 2019 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
March 15, 2019 (f) through October 31, 2019 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
March 15, 2019 (f) through October 31, 2019 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
March 15, 2019 (f) through October 31, 2019 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
March 15, 2019 (f) through October 31, 2019 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| Commencement of operations. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan International Value Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan International Value Fund (continued) | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| 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 $0.11, $0.06, $0.13, $0.13, $0.08, $0.18 and $0.14 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 3.18%, 2.58%, 3.44%, 3.52%, 2.84%, 4.18% and 3.65% for Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6, respectively. |
| 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.
| J.P. Morgan International Equity Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
|
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (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 7 separate funds of the Trusts (each, a "Fund" and collectively, the "Funds") covered by this report:
| | | 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 | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund | | | |
JPMorgan Europe Dynamic Fund | Class A, Class C, Class I, Class L and Class R6 | | |
JPMorgan International Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | |
JPMorgan International Focus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | | |
JPMorgan International Hedged Equity Fund | Class A, Class C, Class I, Class R5 and Class R6 | | |
JPMorgan International Value Fund | Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6 | | |
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”) 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. Investors are not eligible to purchase Class L Shares of Europe Dynamic Fund and International Value 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.
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)
| J.P. Morgan International Equity Funds | |
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.
Under Section 2(a)(41) of the 1940 Act, the Boards are required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Boards may designate the performance of these fair valuation determinations to a valuation designee. The Boards have designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Boards subject to appropriate oversight by the Boards. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC 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 using prices supplied 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 NAV is 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 and options are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
Emerging Markets Equity Fund | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Emerging Markets Research Enhanced Equity Fund | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
Emerging Markets Research Enhanced Equity Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Europe Dynamic Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
International Equity Fund | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
| | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
International Focus Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Investments in Securities | | | | |
International Hedged Equity Fund | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
International Hedged Equity Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
| | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
International Value Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
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, 2023, 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 Funds as of April 30, 2023.
| 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 Research Enhanced Equity Fund | | | |
| | | |
International Equity Fund | | | |
| | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Emerging Markets Equity Fund | |
Emerging Markets Research Enhanced Equity Fund | |
| |
International Equity Fund | |
| |
| |
|
| Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
International Hedged Equity Fund did not lend out any securities during the six months ended April 30, 2023.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with 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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. 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, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| 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). |
Emerging Markets Research Enhanced Equity Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
| J.P. Morgan International Equity Funds | |
Emerging Markets Research Enhanced Equity Fund (continued) |
For the six months ended April 30, 2023 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| 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 Equity Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| 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 Hedged Equity Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.71% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| 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). |
| J.P. Morgan International Equity Funds | |
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. 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 Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Fund for options written are included on the Statement of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation of options written on the Statement of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Fund'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).
G. Futures Contracts — Emerging Markets Research Enhanced Equity Fund, Europe Dynamic Fund and International Hedged Equity 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.
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The 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 and futures contracts activity during the six months ended April 30, 2023.
| Emerging
Markets
Research
Enhanced
Equity Fund | | International
Hedged
Equity Fund |
| | | |
Average Notional Balance Long | | | |
Ending Notional Balance Long | | | |
| | | |
Average Number of Contracts Purchased | | | |
Average Number of Contracts Written | | | |
Ending Number of Contracts Purchased | | | |
Ending Number of Contracts Written | | | |
The Funds' derivatives contracts held at April 30, 2023 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, 2023 are as follows:
| | | | | | | | | | |
Emerging Markets Equity Fund | | | | | | | | | | |
| | | | | | | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
International Equity Fund | | | | | | | | | | |
| | | | | | | | | | |
| J.P. Morgan International Equity Funds | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
International Hedged Equity Fund | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
|
| 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, 2023, 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. 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 court rulings in certain European countries, the tax authorities of each of these countries, recently paid Europe Dynamic Fund (France), International Equity Fund (France) and International Value Fund (France & 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, 2023 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, 2023 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 | |
Emerging Markets Research Enhanced Equity Fund | |
| |
International Equity Fund | |
| |
International Hedged Equity Fund | |
| |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023, the effective annualized 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.
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 JPMIM.
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:
| | | | |
Emerging Markets Equity Fund | | | | |
| | | | |
International Equity Fund | | | | |
| | | | |
International Hedged Equity Fund | | | | |
| | | | |
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, 2023, JPMDS retained the following:
| | |
Emerging Markets Equity Fund | | |
| | |
International Equity Fund | | |
| | |
International Hedged Equity Fund | | |
| | |
|
| Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, 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:
| | | | | | | | |
Emerging Markets Equity Fund | | | | | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | | | | | |
| | | | | | | | |
International Equity Fund | | | | | | | | |
| | | | | | | | |
International Hedged Equity Fund | | | | | | | | |
| | | | | | | | |
| J.P. Morgan International Equity Funds | |
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:
| | | | | | | | | |
Emerging Markets Equity Fund | | | | | | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | | | | | | |
| | | | | | | | | |
International Equity Fund | | | | | | | | | |
| | | | | | | | | |
International Hedged Equity Fund | | | | | | | | | |
| | | | | | | | | |
The expense limitation agreements were in effect for the six months ended April 30, 2023 and the contractual expense limitation percentages in the table above are in place until at least February 29, 2024.
For the six months ended April 30, 2023, 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
Reimbursements |
Emerging Markets Equity Fund | | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | | |
| | | | | |
International Equity Fund | | | | | |
| | | | | |
International Hedged Equity Fund | | | | | |
| | | | | |
|
| 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, 2023 were as follows:
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Emerging Markets Equity Fund | |
Emerging Markets Research Enhanced Equity Fund | |
| |
International Equity Fund | |
| |
International Hedged Equity Fund | |
| |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the six months ended April 30, 2023, the amount of these reimbursements were as follows:
| |
Emerging Markets Equity Fund | |
Emerging Markets Research Enhanced Equity Fund | |
| |
International Equity Fund | |
| |
International Hedged Equity Fund | |
| |
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.
4. Investment Transactions
During the six months ended April 30, 2023, 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 | | |
Emerging Markets Research Enhanced Equity Fund | | |
| | |
International Equity Fund | | |
| | |
International Hedged Equity Fund | | |
| | |
During the six months ended April 30, 2023, there were no purchases or sales of U.S. Government securities.
| J.P. Morgan International Equity Funds | |
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, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Emerging Markets Equity Fund | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | |
| | | | |
International Equity Fund | | | | |
| | | | |
International Hedged Equity Fund | | | | |
| | | | |
At October 31, 2022, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
Emerging Markets Equity Fund | | |
Emerging Markets Research Enhanced Equity Fund | | |
| | |
International Equity Fund | | |
| | |
International Hedged Equity Fund | | |
| | |
|
| Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
During the year ended October 31, 2022, the following Fund utilized capital loss carryforwards as follows:
| |
| | |
International Hedged Equity Fund | | |
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 ("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).
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended April 30, 2023. Average borrowings from the Facility during the six months ended April 30, 2023 were as follows:
| | | | |
Emerging Markets Equity Fund | | | | |
Emerging Markets Research Enhanced Equity Fund | | | | |
International Equity Fund | | | | |
| | | | |
International Hedged Equity Fund | | | | |
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 30, 2023.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2023.
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 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Daily Simple SOFR Rate. Prior to August 9, 2022, interest associated with any borrowing under the Credit Facility was charged to the borrowing fund at a rate of interest equal to the Applicable Margin, plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). Effective August 9, 2022, the Credit Facility was amended and restated for a term of 364 days, unless extended, and included a change in the interest associated with any borrowing as mentioned above.
The Funds had no borrowings outstanding from the Credit Facility at April 30, 2023. Average borrowings from the Credit Facility for, or at any time during the six months ended April 30, 2023 were as follows (amounts in thousands, except number of days outstanding):
| | | | |
Emerging Markets Research Enhanced Equity Fund | | | | |
| | | | |
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.
| J.P. Morgan International Equity Funds | |
As of April 30, 2023, 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 | | Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts | |
Emerging Markets Equity Fund | | | | |
| | | | |
International Equity Fund | | | | |
| | | | |
International Hedged Equity Fund | | | | |
| | | | |
As of April 30, 2023, 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:
| | JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
Emerging Markets Research Enhanced Equity Fund | | | |
| | | |
International Equity Fund | | | |
| | | |
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.
As of April 30, 2023, 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 | | | | International
Hedged
Equity Fund | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
As of April 30, 2023, 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.
| J.P. Morgan International Equity Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 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 negatively affected economies, markets and individual companies throughout the world. The effects of this, or any future, pandemic to public health and business and market conditions may 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 a 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 ultimate impact of any pandemic and the extent to which the associated conditions and governmental responses 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:
|
| This amount includes cash of $99,867 associated with the redemption in-kind. |
| J.P. Morgan International Equity Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (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, 2022, and continued to hold your shares at the end of the reporting period, April 30, 2023.
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, 2022 | Ending
Account Value
April 30, 2023 | Expenses
Paid During
the Period* | |
JPMorgan Emerging Markets Equity Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During the Period* | |
JPMorgan Emerging Markets Equity Fund (continued) | | | | |
| | | | |
| | | | |
| | | | |
JPMorgan Emerging Markets Research Enhanced Equity Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan Europe Dynamic Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan International Equity Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan International Focus Fund | | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
| Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During the Period* | |
JPMorgan International Focus Fund (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan International Hedged Equity Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan International Value Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan International Equity Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During the Period* | |
JPMorgan International Value Fund (continued) | | | | |
| | | | |
| | | | |
| | | | |
|
| 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). |
| J.P. Morgan International Equity Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has 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. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. 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 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying 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 and whether all applicable Funds were in compliance with the terms 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.
| J.P. Morgan International Equity Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
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 each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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., 2023. All rights reserved. April 2023.
SAN-INTEQ-423
Semi-Annual Report
J.P. Morgan Tax Aware Funds
April 30, 2023 (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 15, 2023 (Unaudited)
Dear Shareholder,
Financial markets largely generated positive returns for the six months ended April 30, 2023, even as rising interest rates, weaker corporate earnings and geopolitical uncertainty weighed on global economic growth. Overall, global equity markets – led by European stocks – generally outperformed bond markets for the reporting period.
|
“While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade.” — Brian S. Shlissel
|
While economic growth has slowed in recent quarters, to date, the U.S. has avoided formal entry into a recession. Moreover, inflation has decelerated from last year’s historical highs as energy and electricity prices receded in 2023, allowing the U.S. Federal Reserve in June 2023 to refrain from further raising interest rates for the first time since January 2022, though the central bank stated it may find it necessary to raise rates in the future. The job market in the U.S. remained strong throughout the period as the reported monthly unemployment rate ranged between 3.6% and 3.4% for the six months ended April 30, 2023.
Across Europe, inflationary pressures remained high and both the European Central Bank and the Bank of England continued to raise interest rates during the period. Unemployment across the EU stood at 6%, while the U.K. jobless rate fell to 3.8% in
April 2023. Notably, European equity markets generally outperformed other developed markets during the period, potentially driven by more attractive valuations relative to U.S. companies.
The International Monetary Fund’s (IMF) April 2023 economic outlook warned that global output is likely to decline to 2.8% for 2023, amid weakness in parts of the financial sector, continued inflationary pressures and the ongoing war in Ukraine. Further, the IMF forecast developed market economies to decelerate at a faster pace than emerging market economies.
While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade. Regardless of the economic backdrop, we believe investors who hold a well-diversified portfolio and a long-term outlook may be better positioned to benefit from opportunities presented by global financial markets. Our suite of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| J.P. Morgan Tax Aware Funds | |
J.P. Morgan Tax Aware Funds
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2023 (Unaudited)
Financial markets largely generated positive returns for the period and completed a rebound from the sell-offs that marked the middle of 2022. Developed markets equity generally outperformed emerging markets equity, while emerging markets debt mostly outperformed developed markets debt.
However, equity markets performance was mixed on a month-to-month basis, even if the overall trend was upward. For the six months ended April 30, 2023, the S&P 500 Index returned 8.63% and the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index returned 6.06%.
Leading central banks continued to raise interest rates throughout the six-month period, though the size of increases narrowed in 2023 as the policy response to inflationary pressure grew less aggressive. Notably, the Bank of Japan maintained its negative interest rate policy amid weak consumption data and marginal economic growth.
While global inflation rates remained elevated during the period, they retreated from the 40-year highs reached in 2022, and price data in the U.S. and the Euro Area indicated a slowing trend. Though inflation in the U.K. declined in the final months of 2022, the U.K. consumer price index rose more than expected in 2023.
Lower energy prices were a leading contributor to declining global inflation in the second half of the period. Following Russia’s invasion of Ukraine in late February 2022, the European Union and the U.K. largely avoided an extended energy crisis by securing alternative sources to Russian natural gas and moved to build up reserves of both natural gas and petroleum ahead of the winter months.
Meanwhile, economic activity and aggregate demand in China accelerated after the country’s leadership lifted strict anti-pandemic policies in late 2022. The rebound in China helped to lift equity prices in China and its leading emerging market trading partners. Additionally, investor expectations that central banks in emerging markets may begin to lower interest rates sooner than in developed markets provided support for emerging markets debt.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Equity Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
| |
Net Assets as of 4/30/2023 (In Thousands) | |
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 outperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2023.
The Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the health care and industrials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Microsoft Corp. and Meta Platforms Inc. and its underweight position in Tesla Inc. Shares of Microsoft, an information technology conglomerate, rose after the company reported strong results from its cloud computing business and amid a general rebound in large capitalization technology stocks during the period. Shares of Meta Platforms, parent company of Facebook, rose after the company announced job cuts and reported better-than-expected earnings, revenue and advertising sales for the first quarter of 2023. Shares of Tesla, a manufacturer of electric vehicles and advanced batteries, fell after the company reported narrowing profit margins amid investor concerns about price competition among electric vehicle makers.
Leading individual detractors from relative performance included the Fund’s overweight positions in UnitedHealth Group Inc., ConocoPhillips and Norfolk Southern Corp. Shares of UnitedHealth Group, a health insurance provider, fell after U.S. regulators authorized a smaller-than-expected increase in 2024 insurer payments under the Medicare Advantage program. Shares of ConocoPhillips, a petroleum and natural gas exploration and production company, fell as global oil prices fell during the period amid investor expectations for slowing global economic growth. Shares of Norfolk Southern, a freight railroad operator, fell after a company train carrying hazardous chemicals derailed on February 3, 2023, in East Palestine, Ohio.
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, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| Mastercard, Inc., Class A | |
| | |
| | |
| | |
| | |
| Meta Platforms, Inc., Class A | |
PORTFOLIO COMPOSITION BY SECTOR
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Equity Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
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.
| J.P. Morgan Tax Aware Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
| | | | | |
| | | After Taxes
on
Distributions* | After Taxes
on
Distributions
and Sale of
Fund Shares* | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | |
Tax Aware Real Return Composite Benchmark ** | |
Net Assets as of 4/30/2023 (In Thousands) | |
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 positive absolute return and underperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) and outperformed the Tax Aware Real Return Composite Benchmark for the six months ended April 30, 2023.
The Fund’s hedge against inflation, which was implemented through the use of swaps contracts, detracted from absolute performance as U.S. inflation levels fell during the period. The Bloomberg Inflation Swap 5-Year Zero Coupon Index returned -1.37% for the period.
Relative to the Benchmark, the Fund’s underweight positions in local general obligation bonds and transportation bonds were leading detractors from performance. The Fund’s allocation to New Jersey state bonds also detracted from relative performance.
The Fund’s longer duration relative to the Benchmark was a leading contributor to performance as municipal bond yields, which generally move in the opposite direction of bond prices, fell during the period. Duration is a measure of the price-sensitivity of a portfolio of bonds to changes in interest rates. The Fund’s overweight allocation to bonds rated single-A and lower, and its underweight allocation to bonds rated AA and higher, also contributed to relative performance as lower quality bonds generally outperformed higher rated bonds. The Fund’s overweight allocation to the education and pre-refunded bond sectors also contributed to 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 85% from 83% 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, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| J.P. Morgan Tax Aware Funds | |
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 and the Bloomberg Inflation Swap 5 Year Zero Coupon Index.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
FUNDS COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
| | | | | |
| | | After Taxes
on
Distributions* | After Taxes
on
Distributions
and Sale of
Fund Shares* | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares | | After Taxes
on
Distributions | After Taxes
on
Distributions
and Sale of
Fund Shares |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
|
| |
| 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 (4/30/13 TO 4/30/23)
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, 2013 to April 30, 2023. 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.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
Regeneron Pharmaceuticals, Inc. * | | |
| | |
|
| | |
|
| | |
|
| | |
Commercial Services & Supplies — 2.0% |
| | |
|
| | |
Consumer Staples Distribution & Retail — 1.6% |
| | |
Electric Utilities — 2.9% |
| | |
Financial Services — 4.1% |
Mastercard, Inc., Class A | | |
|
Mondelez International, Inc., Class A | | |
Ground Transportation — 1.5% |
| | |
Health Care Equipment & Supplies — 1.5% |
Boston Scientific Corp. * | | |
Health Care Providers & Services — 5.8% |
| | |
Hotels, Restaurants & Leisure — 3.5% |
| | |
| | |
|
Hotels, Restaurants & Leisure — continued |
Hilton Worldwide Holdings, Inc. | | |
| | |
| | |
Industrial Conglomerates — 1.9% |
Honeywell International, Inc. | | |
|
| | |
| | |
| | |
Interactive Media & Services — 7.6% |
Alphabet, Inc., Class A * | | |
Alphabet, Inc., Class C * | | |
Meta Platforms, Inc., Class A * | | |
| | |
Life Sciences Tools & Services — 2.4% |
| | |
|
| | |
|
Charter Communications, Inc., Class A * | | |
Oil, Gas & Consumable Fuels — 6.3% |
| | |
| | |
Pioneer Natural Resources Co. | | |
| | |
Personal Care Products — 0.6% |
Estee Lauder Cos., Inc. (The), Class A | | |
|
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 10.0% |
Advanced Micro Devices, Inc. * | | |
| | |
ASML Holding NV (Registered), NYRS (Netherlands) | | |
| | |
NXP Semiconductors NV (China) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
|
| | |
Technology Hardware, Storage & Peripherals — 6.0% |
| | |
Wireless Telecommunication Services — 0.1% |
| | |
Total Common Stocks
(Cost $326,456) | | |
Short-Term Investments — 0.6% |
Investment Companies — 0.6% |
JPMorgan Prime Money Market Fund Class IM Shares, 4.95% (a) (b)
(Cost $4,882) | | |
Total Investments — 100.0%
(Cost $331,338) | | |
Other Assets Less Liabilities — 0.0% ^ | | |
| | |
Percentages indicated are based on net assets. |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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. | |
| The rate shown is the current yield as of April 30, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
Municipal Bonds — 93.0% (a) |
|
Alabama Public School and College Authority Series 2016-A, Rev., 4.00%, 6/1/2031 | | |
Black Belt Energy Gas District | | |
Series 2022C-1, Rev., 5.25%, 6/1/2028 | | |
Series 2022C-1, Rev., 5.25%, 12/1/2028 | | |
Black Belt Energy Gas District, Gas Project Series 2022C-1, Rev., 5.25%, 2/1/2053 (b) | | |
Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., 4.00%, 12/1/2052 (b) | | |
Southeast Energy Authority A Cooperative District | | |
Series 2022A-1, Rev., 5.50%, 1/1/2053 (b) | | |
Series 2022B-1, Rev., 5.00%, 5/1/2053 (b) | | |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (b) | | |
| | |
|
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project Series 2016, Rev., 5.00%, 9/1/2024 | | |
|
Arizona Industrial Development Authority | | |
Series 2023, Rev., 5.00%, 7/1/2038 (c) | | |
Series 2023, Rev., 5.25%, 7/1/2043 (c) | | |
Arizona Industrial Development Authority, Doral Academy of Northern Nevada Series 2021A, Rev., 4.00%, 7/15/2036 (c) | | |
Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2041 | | |
Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (c) | | |
City of Phoenix Series 2022, GO, 5.00%, 7/1/2031 | | |
City of Phoenix Civic Improvement Corp., Senior Lien Series 2018, Rev., AMT, 5.00%, 7/1/2030 | | |
City of San Luis Series 2017A, Rev., AGM, 5.00%, 7/1/2025 | | |
City of Sedona, Excise Tax Series 2022, Rev., 5.00%, 7/1/2031 | | |
County of Pima Series 2014, Rev., 3.00%, 7/1/2023 | | |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (c) | | |
| | |
|
|
Maricopa County Elementary School District No. 92-Pendergast Elementary Series 2023B, GO, 5.00%, 7/1/2035 | | |
Maricopa County Unified School District No. 60 Higley | | |
Series 2023, COP, AGM, 5.00%, 6/1/2037 | | |
Series 2023, COP, AGM, 5.00%, 6/1/2038 | | |
Maricopa County Unified School District No. 69 Paradise Valley Series 2022 D, GO, 5.00%, 7/1/2035 | | |
Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects Series 2018 B, GO, 5.00%, 7/1/2028 | | |
Pinal County Electric District No. 3 Series 2016, Rev., 4.00%, 7/1/2034 | | |
Salt River Project Agricultural Improvement & Power District, Electric System Series 2017A, Rev., 5.00%, 1/1/2028 | | |
Town of Queen Creek, Excise Tax Series 2016, Rev., 5.00%, 8/1/2029 | | |
| | |
|
City of Fort Smith, Water and Sewer Series 2018, Rev., 5.00%, 10/1/2027 | | |
City of Springdale Public Facilities Board Hospital, Arkansas Children's Northwest Project Series 2016, Rev., 5.00%, 3/1/2030 | | |
| | |
|
Briggs Elementary School District, Election of 2014 Series 2014 B, GO, 4.00%, 8/1/2030 | | |
California Community Choice Financing Authority, Clean Energy Project Series 2021B-1, Rev., 4.00%, 2/1/2052 (b) | | |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools- Obligated Group No. 2 | | |
Series 2022A, Rev., 4.00%, 6/1/2031 (c) | | |
Series 2022A, Rev., 4.00%, 6/1/2042 (c) | | |
California Health Facilities Financing Authority, Kaiser Permanente Series 2017A, Subseries 2017A-2, Rev., 4.00%, 11/1/2038 | | |
California Health Facilities Financing Authority, Sutter Health Series 2016B, Rev., 4.00%, 11/15/2038 | | |
California Municipal Finance Authority, Lutheran University | | |
Series 2018, Rev., 5.00%, 10/1/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2018, Rev., 5.00%, 10/1/2030 | | |
Series 2018, Rev., 5.00%, 10/1/2031 | | |
California Municipal Finance Authority, Mount San Antonio Garden Series 2022B1, Rev., 2.75%, 11/15/2027 | | |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Series 2023, Rev., AMT, 5.00%, 7/1/2036 (c) | | |
California Public Finance Authority, Enso Village Project | | |
Series 2021B-3, Rev., 2.13%, 11/15/2027 (c) | | |
Series 2021B-2, Rev., 2.38%, 11/15/2028 (c) | | |
Series 2021B-1, Rev., 3.13%, 5/15/2029 (c) | | |
Series 2021A, Rev., 5.00%, 11/15/2036 (c) | | |
Series 2021A, Rev., 5.00%, 11/15/2046 (c) | | |
City of Los Angeles Department of Airports Series 2020A, Rev., 5.00%, 5/15/2025 | | |
City of Los Angeles, Department of Water and Power, Power System | | |
Series 2014B, Rev., 5.00%, 7/1/2031 | | |
Series 2014B, Rev., 5.00%, 7/1/2032 | | |
Series 2014D, Rev., 5.00%, 7/1/2032 | | |
Series 2017A, Rev., 5.00%, 7/1/2034 | | |
Series 2019 C, Rev., 5.00%, 7/1/2034 | | |
City of Santa Rosa, Wastewater Series 2002B, Rev., AGM-CR, AMBAC, Zero Coupon, 9/1/2023 | | |
Contra Costa County Public Financing Authority Series 2021B, Rev., 5.00%, 6/1/2036 | | |
County of San Bernardino, Arrowhead Project Series 2019 A, COP, 5.00%, 10/1/2026 | | |
CSCDA Community Improvement Authority, Essential Housing, Orange Portfolio Series 2021A-1, Rev., 2.80%, 3/1/2047 (c) | | |
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (c) | | |
CSCDA Community Improvement Authority, Essential Housing, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (c) | | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Series 2015A, Rev., 5.00%, 6/1/2034 (d) | | |
Lompoc Valley Medical Center Series 2014, GO, 5.00%, 8/1/2024 | | |
Los Angeles Community College District, Election of 2008 Series G, GO, 4.00%, 8/1/2024 (d) | | |
| | |
|
|
Los Angeles County Public Works Financing Authority Series 2020A, Rev., 5.00%, 12/1/2034 | | |
Mission Viejo Community Development Financing Authority Series 2016, Rev., 4.00%, 5/1/2026 | | |
Ontario Public Financing Authority, Civic Center Improvements | | |
Series 2022A, Rev., AGM, 5.00%, 11/1/2027 | | |
Series 2022A, Rev., AGM, 5.00%, 11/1/2029 | | |
Series 2022A, Rev., AGM, 5.00%, 11/1/2030 | | |
Orange County Community Facilities District | | |
Series A, 5.00%, 8/15/2037 | | |
Series A, 5.00%, 8/15/2042 | | |
River Islands Public Financing Authority,Community of Facilities District No. 2003-1 Series 2022A-1, AGM, 4.00%, 9/1/2037 | | |
Sacramento Municipal Utility District, Financing Authority, Cosumnes Project Series 2015, Rev., 5.00%, 7/1/2028 | | |
San Francisco Bay Area Rapid Transit District, Sales Tax Series 2015A, Rev., 5.00%, 7/1/2026 | | |
San Francisco City and County, Airport Commission, San Francisco International Airport Series 2019A, Rev., AMT, 5.00%, 5/1/2034 | | |
San Marcos Redevelopment Agency Successor Agency Series 2018, Rev., 5.00%, 10/1/2026 | | |
San Mateo Foster City School District Series 2020B, GO, 4.00%, 8/1/2048 | | |
South Placer Wastewater Authority Series 2017, Rev., 5.00%, 11/1/2024 | | |
South San Francisco Public Facilities Financing Authority | | |
Series 2022A, Rev., 5.00%, 6/1/2035 | | |
Series 2022A, Rev., 5.00%, 6/1/2036 | | |
| | |
Series 2021, GO, 4.00%, 10/1/2027 | | |
| | |
State of California, Various Purpose | | |
Series 2018 A, GO, 5.00%, 8/1/2030 | | |
| | |
Vista Unified School District | | |
Series 2022B, GO, 5.00%, 8/1/2033 | | |
Series 2022B, GO, 5.00%, 8/1/2034 | | |
Series 2022B, GO, 5.00%, 8/1/2035 | | |
Westminster School District Series 2016, GO, 5.00%, 8/1/2030 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Arapahoe County School District No. 5 Cherry Creek Series 2021, GO, 5.00%, 12/15/2037 | | |
Arapahoe County Water and Wastewater Authority Series 2019, Rev., 4.00%, 12/1/2039 | | |
City and County of Denver, Airport System | | |
Series 2022 D, Rev., AMT, 5.50%, 11/15/2032 | | |
Series 2022A, Rev., AMT, 5.50%, 11/15/2042 | | |
City of Greeley Series 2019, COP, 4.00%, 12/1/2034 | | |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project | | |
Series 2021, Rev., 4.00%, 5/1/2026 | | |
Series 2021, Rev., 4.00%, 5/1/2028 | | |
Series 2021, Rev., 4.00%, 5/1/2030 | | |
Series 2018, Rev., 4.00%, 5/1/2036 | | |
Denver Health and Hospital Authority Series 2019A, Rev., 4.00%, 12/1/2037 | | |
Dominion Water and Sanitation District Series 2022, Rev., 5.25%, 12/1/2032 | | |
Jefferson County School District R-1 Series 2018, GO, 5.00%, 12/15/2035 | | |
Rampart Range Metropolitan District No. 5 Series 2021, Rev., 4.00%, 12/1/2036 | | |
Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044 | | |
| | |
Series 2021A, COP, 5.00%, 12/15/2028 | | |
Series 2020 A, COP, 4.00%, 12/15/2034 | | |
Third Creek Metropolitan District No. 1 Series 2022A-1, GO, 4.50%, 12/1/2037 | | |
Waterview II Metropolitan District Series 2022A, GO, 4.50%, 12/1/2031 | | |
Windler Public Improvement Authority, Limited Tax | | |
Series 2021A-1, Rev., 4.00%, 12/1/2036 | | |
Series 2021A-1, Rev., 4.00%, 12/1/2041 | | |
| | |
|
Stamford Housing Authority, The Dogwoods Project Series 2022, Rev., BAN, Zero Coupon, 12/1/2027 (c) | | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | | |
Series 2022A, Rev., 5.00%, 7/1/2031 | | |
Series 2022B, Rev., 5.00%, 7/1/2031 | | |
| | |
|
|
Town of Southington Series 2020C, GO, 5.00%, 6/1/2028 | | |
Town of Stafford Series 2012, GO, 3.00%, 8/1/2026 | | |
| | |
District of Columbia — 1.8% |
| | |
Series 2017A, GO, 5.00%, 6/1/2029 | | |
Series 2017A, GO, 5.00%, 6/1/2030 | | |
Series 2017A, GO, 5.00%, 6/1/2031 | | |
District of Columbia, Gallaudet University Project | | |
Series 2021A, Rev., 4.00%, 4/1/2033 | | |
Series 2021A, Rev., 4.00%, 4/1/2034 | | |
Series 2021A, Rev., 4.00%, 4/1/2035 | | |
Series 2021A, Rev., 4.00%, 4/1/2036 | | |
Metropolitan Washington Airports Authority Aviation | | |
Series 2021A, Rev., AMT, 5.00%, 10/1/2028 | | |
Series 2020 A, Rev., AMT, 5.00%, 10/1/2032 | | |
Series 2021A, Rev., AMT, 4.00%, 10/1/2039 | | |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2019A, Rev., 5.00%, 10/1/2036 | | |
Total District of Columbia | | |
|
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | | |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie Series 2021, Rev., 4.00%, 6/15/2031 (c) | | |
City of Jacksonville Series 2022A, Rev., 5.00%, 10/1/2029 | | |
City of Pompano Beach, John Knox Village Project | | |
Series 2020, Rev., 3.50%, 9/1/2030 | | |
Series 2020, Rev., 3.50%, 9/1/2035 | | |
Series A, Rev., 4.00%, 9/1/2041 | | |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2029 | | |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects Series 2022B, Rev., 5.00%, 7/1/2031 | | |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Series 2021, Rev., 5.25%, 6/15/2029 (c) | | |
Florida Development Finance Corp., Mater Academy Project | | |
Series 2022A, Rev., 5.00%, 6/15/2028 | | |
Series 2022A, Rev., 5.00%, 6/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Florida Development Finance Corp., Mayflower Retirement Community | | |
Series 2021A, Rev., 4.00%, 6/1/2029 (c) | | |
Series 2021A, Rev., 4.00%, 6/1/2030 (c) | | |
Series 2021A, Rev., 4.00%, 6/1/2031 (c) | | |
Series 2021A, Rev., 4.00%, 6/1/2036 (c) | | |
Florida Development Finance Corp., Mayflower Retirement Community Project | | |
Series 2021B2, Rev., 1.75%, 6/1/2026 (c) | | |
Series 2021B-1, Rev., 2.38%, 6/1/2027 (c) | | |
Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2020A, Rev., 4.00%, 12/1/2037 | | |
JEA Electric System Series 2017B, Rev., 5.00%, 10/1/2033 | | |
Lee County Industrial Development Authority, Cypress Cove at Healthpark Florida, Inc., Project Series 2022B2, Rev., 3.25%, 10/1/2026 | | |
Middleton Community Development District A Series 2022, Rev., 5.20%, 5/1/2027 | | |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Projects Series 2022A, Rev., 5.00%, 11/1/2028 | | |
Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Series 2022, Rev., 4.00%, 6/1/2041 | | |
St. Johns County Industrial Development Authority, Vicar's Landing Project Series 2021A, Rev., 4.00%, 12/15/2029 | | |
University of Central Florida Housing Facility Series 2021A, Rev., 5.00%, 10/1/2024 | | |
Wildwood Utility Dependent District Series 2021, Rev., 5.00%, 10/1/2030 | | |
| | |
|
Albany-Dougherty Inner City Authority, Albany State University Projects Series 2020, Rev., 5.00%, 7/1/2032 | | |
Brookhaven Urban Redevelopment Agency Series 2023A, Rev., 5.00%, 7/1/2040 | | |
Cherokee County Water & Sewer Authority Series 2023, Rev., 5.00%, 8/1/2037 (e) | | |
City of Atlanta Series 2021 C, Rev., AMT, 5.00%, 7/1/2029 | | |
Clayton County Development Authority, Clayton State University Project | | |
Series 2021, Rev., 5.00%, 7/1/2026 | | |
| | |
|
|
Series 2021, Rev., 5.00%, 7/1/2028 | | |
Columbia County School District | | |
Series 2023, GO, 5.00%, 10/1/2035 | | |
Series 2023, GO, 5.00%, 4/1/2036 | | |
Series 2023, GO, 5.00%, 10/1/2036 | | |
Development Authority of Monroe County (The) Series 2009, Rev., 3.88%, 10/1/2048 (b) | | |
Georgia Ports Authority Series 2022, Rev., 4.00%, 7/1/2052 | | |
Lee County School District Series 2022, GO, 5.00%, 2/1/2030 | | |
Main Street Natural Gas, Inc., Gas Supply | | |
Series 2021A, Rev., 4.00%, 7/1/2052 (b) | | |
Series 2022B, Rev., 5.00%, 12/1/2052 (b) | | |
Polk School District, Sales Tax Series 2018, GO, 5.00%, 3/1/2025 | | |
Savannah Economic Development Authority, University Project | | |
Series 2021B, Rev., 5.00%, 6/15/2027 | | |
Series 2021B, Rev., 5.00%, 6/15/2030 | | |
State of Georgia Series 2015A, GO, 5.00%, 2/1/2025 | | |
| | |
|
City of Chicago, Second Lien Waterworks Project Series 2021, Rev., 5.00%, 11/1/2029 | | |
Cook County Community Consolidated School District No. 15 Palatine Series 2013, GO, 5.00%, 12/1/2038 | | |
Illinois Finance Authority, Depaul College Prep Project Series 2023A, Rev., 4.50%, 8/1/2033 (c) | | |
Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021B, Rev., VRDO, LIQ : Royal Bank of Canada, 2.70%, 7/15/2055 (b) | | |
Illinois Finance Authority, Plymouth Place, Inc. | | |
Series 2022B-3, Rev., 4.75%, 11/15/2027 | | |
Series 2022B-2, Rev., 5.25%, 11/15/2027 | | |
Series 2022B-1, Rev., 6.00%, 11/15/2027 | | |
Illinois Finance Authority, Smith Crossing | | |
Series 2022, Rev., 4.00%, 10/15/2025 | | |
Series 2022, Rev., 4.00%, 10/15/2029 | | |
Series 2022, Rev., 4.00%, 10/15/2030 | | |
Series 2022, Rev., 4.00%, 10/15/2031 | | |
Illinois State Toll Highway Authority Series 2023A, Rev., 5.00%, 1/1/2042 (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Northern Illinois University, Auxiliary Facilities System | | |
Series 2021, Rev., 5.00%, 10/1/2026 | | |
Series 2021A, Rev., 5.00%, 10/1/2027 | | |
Series 2022, Rev., 5.00%, 10/1/2028 | | |
Regional Transportation Authority Series 2002A, Rev., NATL -RE, 6.00%, 7/1/2024 | | |
| | |
Series 2017D, GO, 5.00%, 11/1/2025 | | |
Series 2017D, GO, 5.00%, 11/1/2028 | | |
Series 2018A, GO, 5.00%, 10/1/2030 | | |
Series 2022A, GO, 5.00%, 3/1/2033 | | |
Series 2021B, GO, 5.00%, 12/1/2033 | | |
Series 2023B, GO, 5.00%, 5/1/2034 (e) | | |
Series 2021A, GO, 4.00%, 3/1/2038 | | |
Series 2021A, GO, 4.00%, 3/1/2039 | | |
| | |
|
Avon Community School Building Corp. Series 2020, Rev., 4.00%, 7/15/2035 | | |
Carmel Local Public Improvement Bond Bank Series 2021 A, Rev., 4.00%, 7/15/2037 | | |
City of Valparaiso Series 2021, Rev., 5.38%, 12/1/2041 (c) | | |
Fort Wayne Community School Building Corp. Series 2022, Rev., 5.00%, 7/15/2038 | | |
Fort Wayne Redevelopment Authority, Harrison Square Project Series 2014, Rev., 5.00%, 2/1/2026 | | |
Indiana Finance Authority, DePauw University Projects | | |
Series 2022A, Rev., 5.00%, 7/1/2027 | | |
Series 2022A, Rev., 5.00%, 7/1/2029 | | |
Series 2022A, Rev., 5.00%, 7/1/2030 | | |
Series 2021-1, Rev., 5.00%, 10/1/2030 | | |
Series 2022A, Rev., 5.00%, 7/1/2031 | | |
Series 2022A, Rev., 5.00%, 7/1/2032 | | |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project Series 2021, Rev., 5.00%, 6/1/2029 | | |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Series 2022, Rev., 6.75%, 1/1/2043 | | |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2026 | | |
| | |
|
|
Lake Ridge School Building Corp., First Mortgage Series 2016, Rev., 4.00%, 7/15/2028 | | |
Marion High School Building Corp. Series 2019, Rev., 4.00%, 7/15/2027 | | |
| | |
|
Iowa Finance Authority, State Revolving Fund Series 2016, Rev., 5.00%, 8/1/2032 | | |
|
City of Topeka, Brewster Place Series 2022B, Rev., 5.13%, 12/1/2026 | | |
City of Wichita Series 2013B, Rev., 4.00%, 10/1/2026 | | |
| | |
|
City of Henderson, Pratt Paper LLC Project | | |
Series 2022B, Rev., AMT, 3.70%, 1/1/2032 (c) | | |
Series 2022B, Rev., AMT, 4.45%, 1/1/2042 (c) | | |
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | | |
County of Carroll, Kentucky Environmental Facilities | | |
Series 2008A, Rev., AMT, 2.00%, 2/1/2032 | | |
Series 2006 B, Rev., AMT, 2.13%, 10/1/2034 | | |
Kentucky Bond Development Corp., Centre College Series 2021, Rev., 4.00%, 6/1/2029 | | |
Kentucky Public Energy Authority, Gas Supply Series 2022A-1, Rev., 4.00%, 8/1/2052 (b) | | |
| | |
|
City of Alexandria, Utilities Series 2013A, Rev., 5.00%, 5/1/2023 (d) | | |
Lafayette Public Power Authority Series 2015, Rev., 5.00%, 11/1/2025 | | |
Livingston Parish School Board Sales and Use Tax Series 2021 A, Rev., 4.00%, 5/1/2027 | | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project Series 2017, Rev., 5.00%, 10/1/2027 | | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project | | |
Series 2020A, Rev., 5.00%, 5/15/2036 | | |
Series 2020A, Rev., 5.00%, 5/15/2037 | | |
Louisiana Public Facilities Authority, School Master Project Series 2021A, Rev., 4.00%, 6/1/2031 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 6/1/2037 (b) | | |
St. Tammany Parish Hospital Service District No. 1 Series 2018 A, Rev., 5.00%, 7/1/2032 | | |
State of Louisiana, State Highway Improvement Series 2013-A, Rev., 5.00%, 6/15/2023 | | |
Terrebonne Parish Recreation District No. 5 Series 2022, GO, 5.00%, 3/1/2027 | | |
| | |
|
Maine Municipal Bond Bank | | |
Series 2022A, Rev., 5.00%, 11/1/2033 | | |
Series 2022A, Rev., 5.00%, 11/1/2034 | | |
| | |
|
County of Howard Series 2019 B, GO, 5.00%, 8/15/2027 | | |
County of Howard, Consol Public Improvement Project Series 2021 A, GO, 5.00%, 8/15/2024 | | |
County of Montgomery, Consolidated Public Improvements Series 2016 A, GO, 4.00%, 12/1/2033 | | |
Maryland Economic Development Corp. | | |
Series 2022A, Rev., 5.25%, 7/1/2029 | | |
Series 2022A, Rev., 5.25%, 7/1/2030 | | |
Maryland Health and Higher Educational Facilities Authority, Stevenson University Issue | | |
Series 2021A, Rev., 5.00%, 6/1/2030 | | |
Series 2021A, Rev., 5.00%, 6/1/2032 | | |
Series 2021A, Rev., 4.00%, 6/1/2038 | | |
State of Maryland Series 2021A, GO, 4.00%, 8/1/2036 | | |
State of Maryland Department of Transportation Series 2019, Rev., 5.00%, 10/1/2027 | | |
Washington Suburban Sanitary Commission Series 2017, Rev., GTD, 5.00%, 6/15/2029 | | |
| | |
|
Commonwealth of Massachusetts Series 2018 B, GO, 5.00%, 1/1/2030 | | |
Massachusetts Development Finance Agency, Boston Medical Center Issue | | |
Series 2023G, Rev., 5.25%, 7/1/2048 | | |
Series 2023G, Rev., 4.38%, 7/1/2052 | | |
| | |
|
Massachusetts — continued |
Massachusetts Development Finance Agency, Salem Community Corp. | | |
Series 2022, Rev., 5.00%, 1/1/2026 | | |
Series 2022, Rev., 5.00%, 1/1/2027 | | |
Series 2022, Rev., 5.00%, 1/1/2028 | | |
Series 2022, Rev., 5.00%, 1/1/2029 | | |
Series 2022, Rev., 5.00%, 1/1/2030 | | |
Series 2022, Rev., 5.00%, 1/1/2031 | | |
Series 2022, Rev., 5.13%, 1/1/2040 | | |
Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue Series 2021G, Rev., 5.00%, 7/1/2036 | | |
| | |
|
Avondale School District Series 2017, GO, Q-SBLF, 5.00%, 11/1/2027 | | |
City of Detroit, Unlimited Tax Series 2021A, GO, 5.00%, 4/1/2037 | | |
Eastern Michigan University, Board of Regents Series 2017A, Rev., 5.00%, 3/1/2033 | | |
Lakeview School District, School Building and Site Series 2016, GO, Q-SBLF, 5.00%, 5/1/2028 | | |
Michigan Finance Authority, Lawrence Technological University Obligated Group | | |
Series 2022, Rev., 4.00%, 2/1/2027 | | |
Series 2022, Rev., 4.00%, 2/1/2032 | | |
Michigan Strategic Fund, Graphic Packaging International LLC, Coated Recycled Board Machine Project Series 2021, Rev., AMT, 4.00%, 10/1/2061 (b) | | |
Onekama Consolidated Schools Series 2016, GO, AGM, 4.00%, 5/1/2025 | | |
Watervliet Public Schools, School Building and Site Series 2014, GO, Q-SBLF, 5.00%, 5/1/2025 | | |
Wayne-Westland Community Schools Series 2019, GO, Q-SBLF, 4.00%, 11/1/2031 | | |
| | |
|
Chisholm Independent School District No. 695 Series 2023A, GO, Zero Coupon, 2/1/2039 | | |
Duluth Economic Development Authority, Benedictine Health System | | |
Series 2021A, Rev., 3.00%, 7/1/2025 | | |
Series 2021A, Rev., 3.00%, 7/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Minnesota Higher Education Facilities Authority, University of St. Thomas | | |
Series 2022A, Rev., 5.00%, 10/1/2025 | | |
Series 2022A, Rev., 5.00%, 10/1/2026 | | |
Series 2022A, Rev., 5.00%, 10/1/2027 | | |
Series 2022A, Rev., 5.00%, 10/1/2028 | | |
Series 2022B, Rev., 5.00%, 10/1/2028 | | |
Series 2022A, Rev., 5.00%, 10/1/2029 | | |
Series 2022A, Rev., 5.00%, 10/1/2030 | | |
Series 2022A, Rev., 5.00%, 10/1/2031 | | |
Series 2022A, Rev., 5.00%, 10/1/2032 | | |
Minnesota Municipal Gas Agency Series 2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2027 | | |
Moorhead Independent School District No. 152 Series 2020A, GO, 4.00%, 2/1/2028 | | |
| | |
|
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc., Project Series 2009G, Rev., VRDO, 2.70%, 12/1/2030 (b) | | |
|
Health & Educational Facilities Authority of the State of Missouri, Lake Regional Health System | | |
Series 2021, Rev., 5.00%, 2/15/2030 | | |
Series 2021, Rev., 5.00%, 2/15/2031 | | |
Series 2021, Rev., 5.00%, 2/15/2032 | | |
Series 2021, Rev., 5.00%, 2/15/2033 | | |
Series 2021, Rev., 4.00%, 2/15/2034 | | |
Industrial Development Authority of the City of St Louis Missouri (The), St. Louis Innovation District Series 2022, Rev., 5.00%, 5/15/2041 | | |
| | |
|
Montana State Board of Regents, The University of Montana Series 2019B, Rev., 5.00%, 11/15/2028 | | |
Silver Bow County School District No. 1 Series 2019, GO, 5.00%, 7/1/2029 | | |
| | |
|
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2042 | | |
| | |
|
|
Central Plains Energy Project, Gas Project No. 4 Series 2018 A, Rev., 5.00%, 3/1/2050 (b) | | |
Lancaster County School District 001 Series 2020, GO, 5.00%, 1/15/2026 | | |
| | |
|
County of Clark, Nevada Improvement District No. 158 Series 2017, 5.00%, 8/1/2034 | | |
County of Clark, Southern California Edison Co. Series 2008A, Rev., 2.10%, 6/1/2031 | | |
| | |
|
New Hampshire Business Finance Authority, St. Luke's Hospital Obligated Group Series 2021B, Rev., 5.00%, 8/15/2035 | | |
|
Borough of Bergenfield Series 2022, GO, 4.00%, 8/1/2036 | | |
Camden County Improvement Authority (The) Series 2022, Rev., GTD, 5.00%, 1/15/2037 | | |
Camden County Improvement Authority (The), Camden Prep High School Project | | |
Series 2022, Rev., 4.00%, 7/15/2027 (c) | | |
Series 2022, Rev., 5.00%, 7/15/2032 (c) | | |
Series 2022, Rev., 5.00%, 7/15/2042 (c) | | |
Camden County Improvement Authority (The), Kipp Cooper Norcross Academy Project Rev., 6.00%, 6/15/2042 | | |
County of Morris Series 2019, GO, 3.00%, 2/1/2030 | | |
New Jersey Economic Development Authority Series 2023 RRR, Rev., 5.00%, 3/1/2026 | | |
New Jersey Economic Development Authority, School Facilities Construction Series 2014PP, Rev., 5.00%, 6/15/2029 (d) | | |
New Jersey Transportation Trust Fund Authority Series 2020 AA, Rev., 4.00%, 6/15/2045 | | |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Series 2018 A, Rev., 5.00%, 6/15/2028 | | |
New Jersey Transportation Trust Fund Authority, Transportation Program | | |
Series 2013AA, Rev., 5.00%, 6/15/2036 | | |
Series 2020 AA, Rev., 5.00%, 6/15/2050 | | |
New Jersey Turnpike Authority Series 2017B, Rev., 4.00%, 1/1/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Northvale School District Series 2022, GO, 4.00%, 8/1/2038 | | |
Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2027 | | |
| | |
|
Albuquerque Municipal School District No. 12, Bernalillo and Sandoval County Series 2023A, GO, 5.00%, 8/1/2024 (e) | | |
Loving Municipal School District No. 10 | | |
Series 2022, GO, 5.00%, 9/15/2023 | | |
Series 2022, GO, 5.00%, 9/15/2024 | | |
Series 2022, GO, 5.00%, 9/15/2025 | | |
Series 2022, GO, 5.00%, 9/15/2026 | | |
Series 2022, GO, 5.00%, 9/15/2027 | | |
Series 2022, GO, 5.00%, 9/15/2028 | | |
State of New Mexico Series 2021, GO, 5.00%, 3/1/2031 | | |
| | |
|
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. | | |
Series 2021, Rev., 4.00%, 7/1/2031 | | |
Series 2021, Rev., 4.00%, 7/1/2036 | | |
Build NYC Resource Corp., Kipp NYC Public School Facilities-Canal West Project | | |
Series 2022, Rev., 5.00%, 7/1/2030 | | |
Series 2022, Rev., 5.00%, 7/1/2034 | | |
Build NYC Resource Corp., New World Preparatory Charter School Project | | |
Series 2021A, Rev., 4.00%, 6/15/2031 (c) | | |
Series 2021A, Rev., 4.00%, 6/15/2051 (c) | | |
| | |
Series 2021A-1, GO, 4.00%, 8/1/2034 | | |
Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2036 | | |
Series F, Subseries F-1, GO, 5.00%, 3/1/2037 | | |
Series 2023E, GO, 4.00%, 4/1/2042 | | |
Series 2023E, GO, 4.00%, 4/1/2045 | | |
City of New York, Fiscal Year 2018 Series 2018-1, GO, 5.00%, 8/1/2030 | | |
City of New York, Fiscal Year 2023 Series 2023A, Subseries A-3, GO, LIQ : Bank of Montreal, 2.75%, 9/1/2049 (b) | | |
| | |
|
|
County of St. Lawrence Series 2015, GO, AGM, 3.00%, 5/15/2034 | | |
Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017 Series 2017 A, Rev., 5.00%, 2/15/2033 | | |
Long Island Power Authority Series 2019 A, Rev., 3.00%, 9/1/2036 | | |
Long Island Power Authority, Electric System Series 2021 A, Rev., 4.00%, 9/1/2033 | | |
Metropolitan Transportation Authority | | |
Series 2015F, Rev., 5.00%, 11/15/2025 | | |
Subseries C-1, Rev., 5.25%, 11/15/2028 | | |
Monroe County Water Authority Series 2020, Rev., 4.00%, 3/1/2050 | | |
New York City Municipal Water Finance Authority Fiscal Year 2022 Series 2022, Subseries BB-1, Rev., 4.00%, 6/15/2045 | | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal year 2021 Series 2021, Subseries EE2, Rev., VRDO, LIQ : State Street Bank & Trust Co., 2.80%, 6/15/2045 (b) | | |
New York City Transitional Finance Authority Future Tax Secured Series 2020 B-1, Rev., 5.00%, 11/1/2025 | | |
New York City Transitional Finance Authority, Future Tax Secured | | |
Series 2022B, Subseries B-1, Rev., 4.00%, 8/1/2038 | | |
Series 2023D, Subseries D-1, Rev., 5.00%, 11/1/2046 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022F, Rev., 5.00%, 2/1/2036 | | |
New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured Series 2016B, Rev., AGM-CR, Zero Coupon, 11/15/2052 | | |
New York Liberty Development Corp., Secured by Port Authority Series 2021-1WTC, Rev., 2.75%, 2/15/2044 | | |
New York Liberty Development Corp., World Trade Centre Series 1WTC-2021, Rev., 2.25%, 2/15/2041 | | |
New York Power Authority Series 2020 A, Rev., 4.00%, 11/15/2045 | | |
New York State Dormitory Authority | | |
Series 2017, Rev., 4.00%, 2/15/2034 | | |
Series 2019 D, Rev., 5.00%, 2/15/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Series 2018A, Rev., 5.00%, 7/1/2038 | | |
New York State Dormitory Authority, Sales and Use Tax Series 2018 C, Rev., 5.00%, 3/15/2033 | | |
New York State Dormitory Authority, School Districts Financing Program Series 2018A, Rev., 5.00%, 10/1/2030 | | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020 A, Rev., 4.00%, 3/15/2044 | | |
New York State Dormitory Authority, State Sales Tax Series 2014A, Rev., 5.00%, 3/15/2033 | | |
New York State Environmental Facilities Corp., 2010 Master Financing Project | | |
Series 2022B, Rev., 5.00%, 9/15/2031 | | |
Series 2022B, Rev., 5.00%, 9/15/2032 | | |
Series 2022B, Rev., 5.00%, 9/15/2033 | | |
Series 2022B, Rev., 5.00%, 9/15/2034 | | |
Series 2022B, Rev., 5.00%, 9/15/2035 | | |
Series 2022B, Rev., 5.00%, 9/15/2036 | | |
Series 2022B, Rev., 5.00%, 9/15/2037 | | |
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%, 6/15/2028 | | |
New York State Thruway Authority, Junior Lien | | |
Series 2016-A, Rev., 5.00%, 1/1/2025 | | |
Series J, Rev., 5.00%, 1/1/2025 | | |
New York State Urban Development Corp., Sales Tax Series 2021A, Rev., 4.00%, 3/15/2046 | | |
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia Airport Terminals C and D Re-development Series 2018, Rev., AMT, 5.00%, 1/1/2031 | | |
Port Authority of New York and New Jersey Series 222, Rev., 4.00%, 7/15/2038 | | |
Port Authority of New York and New Jersey, Consolidated Series 194, Rev., 5.00%, 10/15/2041 | | |
Port Washington Union Free School District Series 2022, GO, 4.00%, 8/1/2035 | | |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (d) | | |
Syracuse Industrial Development Agency, School District Series 2019 A, Rev., 4.00%, 5/1/2034 | | |
Triborough Bridge and Tunnel Authority, Senior Lien, MTA Bridges and Tunnels Series 2022B, Rev., 5.00%, 5/15/2029 | | |
| | |
|
|
Utility Debt Securitization Authority Series 2013TE, Rev., 5.00%, 12/15/2041 | | |
Village of Stewart Manor, Public Improvement | | |
Series 2019, GO, 5.00%, 8/1/2026 | | |
Series 2019, GO, 4.00%, 8/1/2028 | | |
Wellsville Central School District Series 2009, GO, AGM, 5.00%, 6/15/2023 | | |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | | |
Series 2021D, Rev., 2.88%, 7/1/2026 (c) | | |
Series 2021C, Rev., 3.20%, 7/1/2028 (c) | | |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project Series 2021A, Rev., 5.00%, 7/1/2041 (c) | | |
| | |
|
County of Cabarrus Series 2022A, Rev., 5.00%, 6/1/2028 | | |
| | |
Series 2023, Rev., 5.00%, 4/1/2038 | | |
Series 2023, Rev., 5.00%, 4/1/2039 | | |
County of New Hanover Series 2022, Rev., 5.00%, 6/1/2026 | | |
| | |
Series 2021, GO, 5.00%, 4/1/2028 | | |
Series 2023 A, Rev., 5.00%, 4/1/2039 (e) | | |
North Carolina Capital Facilities Finance Agency, High Point University Series 2021, Rev., 4.00%, 5/1/2032 | | |
North Carolina Medical Care Commission, The Forest at Duke Project Series 2021, Rev., 4.00%, 9/1/2034 | | |
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien Series 2017, Rev., AGM, 5.00%, 1/1/2029 | | |
University of North Carolina at Greensboro Series 2017, Rev., 4.00%, 4/1/2035 | | |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ : TD Bank NA, 2.80%, 2/15/2031 (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Grand Forks Series 2021, Rev., 4.00%, 12/1/2038 | | |
North Dakota Building Authority Series 2020A, Rev., 5.00%, 12/1/2035 | | |
| | |
|
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron Series 2022A, Rev., 5.00%, 11/15/2029 | | |
Butler County Port Authority, Community First Solutions | | |
Series 2021A, Rev., 4.00%, 5/15/2038 | | |
Series 2021A, Rev., 4.00%, 5/15/2039 | | |
Series 2021A, Rev., 4.00%, 5/15/2040 | | |
Series 2021A, Rev., 4.00%, 5/15/2041 | | |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022-A, Rev., 5.00%, 5/15/2032 | | |
County of Summit Series 2022, GO, 5.00%, 12/1/2029 | | |
Northeast Ohio Medical University | | |
Series 2021A, Rev., 5.00%, 12/1/2030 | | |
Series 2021A, Rev., 4.00%, 12/1/2035 | | |
Ohio Higher Educational Facility Commission | | |
Series 2022, Rev., 5.00%, 9/1/2030 | | |
Series 2022, Rev., 5.75%, 9/1/2037 | | |
Ohio Higher Educational Facility Commission, Cleveland Institute of Music 2 | | |
Series 2022, Rev., 5.00%, 12/1/2027 | | |
Series 2022, Rev., 5.00%, 12/1/2032 | | |
Ohio Higher Educational Facility Commission, John Carroll University | | |
Series 2022, Rev., 5.00%, 10/1/2028 | | |
Series 2022, Rev., 5.00%, 10/1/2029 | | |
Series 2022, Rev., 5.00%, 10/1/2030 | | |
Series 2022, Rev., 5.00%, 10/1/2031 | | |
Series 2022, Rev., 5.00%, 10/1/2032 | | |
Ohio Water Development Authority | | |
Series 2019, Rev., 5.00%, 12/1/2037 | | |
Series 2021A, Rev., 5.00%, 12/1/2039 | | |
Ohio Water Development Authority Water Pollution Control Loan Fund Series 2021 A, Rev., 4.00%, 12/1/2041 | | |
| | |
|
|
State of Ohio Series 2016A, GO, 5.00%, 9/1/2025 | | |
State of Ohio, Capital Facilities Lease Appropriation Series 2018A, Rev., 5.00%, 4/1/2028 | | |
| | |
|
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | | |
Series 2018, Rev., 5.00%, 10/1/2023 | | |
Series 2018, Rev., 5.00%, 10/1/2025 | | |
Series 2018, Rev., 5.00%, 10/1/2026 | | |
Oklahoma State University Series 2021 A, Rev., 4.00%, 9/1/2036 | | |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2038 | | |
| | |
|
City of Portland, Second Lien Sewer System Series 2014B, Rev., 4.00%, 10/1/2036 | | |
County of Marion Series 2005, GO, AMBAC, 5.50%, 6/1/2023 | | |
Hillsboro School District No. 1J Series 2020, GO, 4.00%, 6/15/2035 | | |
Hospital Facilities Authority of Multnomah County Oregon, Terwilliger Plaza, Inc. | | |
Series 2021B-2, Rev., 0.95%, 6/1/2027 | | |
Series 2021B-1, Rev., 1.20%, 6/1/2028 | | |
Salem Hospital Facility Authority, Capital Manor Project | | |
Series 2022, Rev., 5.00%, 5/15/2028 | | |
Series 2022, Rev., 4.00%, 5/15/2029 | | |
Series 2022, Rev., 4.00%, 5/15/2030 | | |
Series 2022, Rev., 4.00%, 5/15/2031 | | |
Series 2022, Rev., 4.00%, 5/15/2032 | | |
Tri-County Metropolitan Transportation District of Oregon Series 2017A, Rev., 5.00%, 10/1/2023 | | |
Umatilla County School District No. 61R Stanfield Series 2019, GO, 4.00%, 6/15/2039 | | |
Washington & Multnomah Counties School District No. 48J Beaverton Series 2022B, GO, 5.00%, 6/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Washington Counties, Hillsborough School District No. 1J Series 2017, GO, 5.00%, 6/15/2027 | | |
Yamhill County Hospital Authority, Friendsview Manor Series 2021A, Rev., 5.00%, 11/15/2056 | | |
| | |
|
Allegheny County Higher Education Building Authority, Carnegie Mellon University Series 2008A, Rev., VRDO, LIQ : Bank of New York Mellon (The), 2.60%, 12/1/2037 (b) | | |
Allegheny County Higher Education Building Authority, Chatham University | | |
Series 2016A, Rev., 5.00%, 9/1/2028 | | |
Series 2022, Rev., 5.00%, 9/1/2029 | | |
Series 2022, Rev., 5.00%, 9/1/2030 | | |
Series 2022, Rev., 5.00%, 9/1/2031 | | |
Series 2022, Rev., 5.00%, 9/1/2032 | | |
Berks County Industrial Development Authority, Tower Health Project | | |
Series 2021C, Rev., 5.00%, 11/1/2027 | | |
Series 2017, Rev., 5.00%, 11/1/2028 | | |
Series 2017, Rev., 5.00%, 11/1/2029 | | |
Series 2017, Rev., 5.00%, 11/1/2030 | | |
Bucks County Industrial Development Authority, Grand View Hospital Project Series 2021, Rev., 5.00%, 7/1/2036 | | |
Bucks County Water and Sewer Authority Series 2022A, Rev., AGM, 5.00%, 12/1/2039 | | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | | |
Series 2018, Rev., 5.00%, 6/1/2024 | | |
Series 2018, Rev., 5.00%, 6/1/2025 | | |
Series 2018, Rev., 5.00%, 6/1/2026 | | |
Series 2018, Rev., 5.00%, 6/1/2027 | | |
Series 2018, Rev., 5.00%, 6/1/2028 | | |
Series 2018, Rev., 5.00%, 6/1/2029 | | |
County of Lancaster Series 2016A, GO, 4.00%, 5/1/2026 | | |
Fairview School District Series 2016A, GO, 4.00%, 2/1/2028 | | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2043 | | |
Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living Series 2021, Rev., 4.00%, 7/1/2030 | | |
| | |
|
|
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Package One Project Series 2022, Rev., AMT, AGM, 5.00%, 12/31/2057 | | |
Pennsylvania Turnpike Commission | | |
Series 2021B, Rev., 5.00%, 12/1/2025 | | |
Series 2023-1, Rev., 5.00%, 12/1/2038 | | |
Philadelphia Authority for Industrial Development, Holy Family University Project Series 2023, Rev., 5.00%, 9/1/2029 (e) | | |
Sayre Health Care Facilities Authority, Guthrie Health Issue Series 2007, Rev., (ICE LIBOR USD 3 Month + 0.78%), 4.11%, 12/1/2024 (f) | | |
| | |
|
Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax Series 2016A, Rev., 5.00%, 10/1/2029 | | |
|
City of Charleston, Waterworks & Sewer System Series 2016, Rev., 5.00%, 1/1/2028 | | |
Spartanburg County Tourist Public Facilities Corp. Series 2016, COP, 4.00%, 4/1/2028 | | |
| | |
|
City of Clarksville Series 2021 A, Rev., 4.00%, 2/1/2051 | | |
City of Knoxville, Wastewater System Series 2021 A, Rev., 4.00%, 4/1/2038 | | |
City of Memphis, Electric System Series 2017, Rev., 5.00%, 12/1/2026 | | |
City of Murfreesboro Series 2021, GO, 5.00%, 6/1/2029 | | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities, The Blakeford at Green Hills Corp. Series 2020A, Rev., 4.00%, 11/1/2038 | | |
Metropolitan Nashville Airport Authority (The) | | |
Series 2022B, Rev., AMT, 5.50%, 7/1/2038 | | |
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | | |
Tennessee Energy Acquisition Corp., Gas Project Series 2018, Rev., 4.00%, 11/1/2025 (b) | | |
| | |
|
Bexar County Hospital District Series 2016, GO, 4.00%, 2/15/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Bryan Independent School District Series 2021, GO, PSF-GTD, 4.00%, 2/15/2032 | | |
City of Austin, Airport System Series 2022, Rev., AMT, 5.00%, 11/15/2034 | | |
City of Houston, Airport System Series 2021A, Rev., AMT, 5.00%, 7/1/2032 | | |
City of Houston, Airport System, United Airlines, Inc., Terminal Improvements Projects Series 2021B-1, Rev., AMT, 4.00%, 7/15/2041 | | |
City of Houston, Combined Utility System, Junior Lien Series 2002A, Rev., AGM, 5.75%, 12/1/2032 (d) | | |
City of Mesquite, Waterworks and Sewer System | | |
Series 2022, Rev., 5.00%, 3/1/2026 | | |
Series 2022, Rev., 5.00%, 3/1/2029 | | |
Series 2022, Rev., 5.00%, 3/1/2035 | | |
Clifton Higher Education Finance Corp., IDEA Public Schools Series 2021, Rev., PSF-GTD, 5.00%, 8/15/2030 | | |
Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 2.50%, 10/1/2031 | | |
County of El Paso Series 2017, GO, 5.00%, 2/15/2032 | | |
County of Tarrant Series 2022, GO, 5.00%, 7/15/2033 | | |
Denton Independent School District Series 2020, GO, PSF-GTD, 5.00%, 8/15/2030 | | |
McKinney Independent School District Series 2022, GO, PSF-GTD, 5.00%, 2/15/2033 | | |
New Hope Cultural Education Facilities Finance Corp, Outlook at Windhaven Forefront Living Series 2022B-3, Rev., 4.25%, 10/1/2026 | | |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Series 2022, Rev., 4.00%, 1/1/2037 | | |
New Hope Cultural Education Facilities Finance Corp., Westminster Project Series 2021, Rev., 4.00%, 11/1/2055 | | |
Newark Higher Education Finance Corp., The Hughen Center, Inc. | | |
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2037 | | |
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2042 | | |
North Texas Tollway Authority System, First Tier | | |
Series 2017A, Rev., 5.00%, 1/1/2030 | | |
Series 2017A, Rev., 5.00%, 1/1/2035 | | |
North Texas Tollway Authority System, Second Tier Series B, Rev., 5.00%, 1/1/2030 | | |
| | |
|
|
North Texas Tollway Authority, First Tier Series A, Rev., 5.00%, 1/1/2026 | | |
Plano Independent School District Series 2023, GO, 5.00%, 2/15/2041 | | |
Round Rock Independent School District Series 2018, GO, 5.00%, 8/1/2029 | | |
San Antonio Education Facilities Corp., Hallmark University Project Series 2021A, Rev., 5.00%, 10/1/2041 | | |
San Antonio Education Facilities Corp., University of the Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2037 | | |
Texas Water Development Board Series 2018 B, Rev., 5.00%, 10/15/2029 | | |
Trinity River Authority, Walker-Calloway System | | |
Series 2018, Rev., 5.00%, 2/1/2026 | | |
Series 2018, Rev., 5.00%, 2/1/2027 | | |
Series 2018, Rev., 5.00%, 2/1/2028 | | |
Series 2018, Rev., 5.00%, 2/1/2029 | | |
Series 2018, Rev., 5.00%, 2/1/2030 | | |
Series 2018, Rev., 5.00%, 2/1/2031 | | |
Tyler Independent School District Series 2017, GO, PSF-GTD, 5.00%, 2/15/2028 | | |
| | |
|
City of Salt Lake City Series 2018A, Rev., AMT, 5.00%, 7/1/2029 | | |
Mida Golf and Equestrian Center Public Infrastructure District, Limited Tax Series 2021, GO, 4.13%, 6/1/2036 (c) | | |
Military Installation Development Authority, Tax Allocation and Hotel Tax | | |
Series 2021A-1, Rev., 4.00%, 6/1/2036 | | |
Series 2021A-2, Rev., 4.00%, 6/1/2036 | | |
Series 2021A-1, Rev., 4.00%, 6/1/2041 | | |
Utah Charter School Finance Authority, Wallace Stegner Academy | | |
Series 2022A, Rev., 5.25%, 6/15/2032 (c) | | |
Series 2022A, Rev., 5.63%, 6/15/2042 (c) | | |
Utah Infrastructure Agency, Tax-Exempt Telecommunications | | |
Series 2022, Rev., 5.00%, 10/15/2027 | | |
Series 2021, Rev., 4.00%, 10/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | |
Municipal Bonds — continued |
|
Series 2022, Rev., 5.00%, 10/15/2032 | | |
Series 2021, Rev., 4.00%, 10/15/2033 | | |
| | |
|
City of Norfolk Series 2023A, GO, 5.00%, 9/1/2040 (e) | | |
Henrico County Economic Development Authority, Westminster Canterbury Richmond Series 2020, Rev., 4.00%, 10/1/2040 | | |
Lynchburg Economic Development Authority, Central Health, Inc. Series 2021, Rev., 4.00%, 1/1/2037 | | |
Virginia Small Business Financing Authority, The Obligated Group of National Senior Campuses, Inc. Series 2020A, Rev., 5.00%, 1/1/2034 | | |
| | |
|
Energy Northwest Series 2015, Rev., 5.00%, 7/1/2026 | | |
King County School District No. 403 Renton Series 2023, GO, 4.00%, 12/1/2039 | | |
Port of Seattle, Intermediate Lien | | |
Series 2021B, Rev., 5.00%, 3/1/2033 | | |
Series 2022B, Rev., AMT, 5.00%, 8/1/2033 | | |
Series 2015B, Rev., 5.00%, 3/1/2034 | | |
Series 2022B, Rev., AMT, 4.00%, 8/1/2047 | | |
| | |
Series R-2022A, GO, 4.00%, 2/1/2036 | | |
Series 2023 C, GO, 5.00%, 6/1/2041 | | |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2025 | | |
Washington State Housing Finance Commission, New Haven Apartments Series 2009, Rev., VRDO, LOC : FNMA, 3.46%, 12/15/2044 (b) | | |
Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (c) | | |
| | |
|
Public Finance Authority, Ascend Leadership Academy Project Series 2021A, Rev., 5.00%, 6/15/2041 (c) | | |
Public Finance Authority, Coral Academy of Science | | |
Series 2021A, Rev., 4.00%, 7/1/2030 | | |
Series 2021A, Rev., 4.00%, 7/1/2041 | | |
| | |
|
|
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022 A-1, Rev., 5.25%, 7/1/2033 | | |
Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 (c) | | |
Public Finance Authority, Scotland Healthcare System | | |
Series 2021A, Rev., 5.00%, 10/1/2025 | | |
Series 2021A, Rev., 5.00%, 10/1/2026 | | |
Public Finance Authority, The Carmelite System, Inc., Obligated Group Series 2020, Rev., 3.25%, 1/1/2029 | | |
Public Finance Authority, The Franklin School of Innovation Series 2022, Rev., 5.00%, 1/1/2042 (c) | | |
Public Finance Authority, Triad Educational Services, Inc. | | |
Series 2022, Rev., 5.00%, 6/15/2032 | | |
Series 2022, Rev., 5.00%, 6/15/2042 | | |
Public Finance Authority, Triad Math and Science Academy Co. | | |
Series 2021A, Rev., 4.00%, 6/15/2024 | | |
Series 2021A, Rev., 4.00%, 6/15/2026 | | |
Series 2021A, Rev., 4.00%, 6/15/2028 | | |
Series 2021A, Rev., 4.00%, 6/15/2030 | | |
Series 2021A, Rev., 4.00%, 6/15/2041 | | |
Public Finance Authority, Viticus Group Project | | |
Series 2022A, Rev., 4.00%, 12/1/2031 (c) | | |
Series 2022A, Rev., 4.00%, 12/1/2041 (c) | | |
Wisconsin Health and Educational Facilities Authority, Marquette University Series 2019, Rev., 5.00%, 10/1/2032 | | |
Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries Series 2021, Rev., 4.00%, 1/1/2037 | | |
| | |
Total Municipal Bonds
(Cost $542,841) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Short-Term Investments — 5.1% |
Investment Companies — 5.1% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.41% (g) (h)
(Cost $29,591) | | |
Total Investments — 98.1%
(Cost $572,432) | | |
Other Assets Less Liabilities — 1.9% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Municipal Corp. |
| Insured by American Municipal Bond Assurance Corp. |
| |
| |
| Congregate Care Retirement Center |
| Certificate of Participation |
| |
| Federal National Mortgage Association |
| |
| |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| |
| |
| Metropolitan Transportation Authority |
| Insured by National Public Finance Guarantee Corp. |
| Permanent School Fund Guaranteed |
| Qualified School Bond Loan Fund |
| |
| |
| |
| Variable Rate Demand Obligation |
| Amount rounds to less than 0.1% of net assets. |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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, 2023. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Security is prerefunded or escrowed to maturity. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2023. | |
| 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. | |
| The rate shown is the current yield as of April 30, 2023. | |
Centrally Cleared Inflation-linked swap contracts outstanding as of April 30, 2023 (amounts in thousands):
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)
$ | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| | | | | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| |
| Consumer Price Index for All Urban Consumers |
| |
(a) Value of floating rate index at April 30, 2023 was as follows: |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of April 30, 2023 (amounts in thousands):
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan
Tax Aware
Equity Fund | |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
| | |
Deposits at broker for centrally cleared swaps | | |
| | |
Investment securities sold | | |
Investment securities sold — delayed delivery securities | | |
| | |
Interest from non-affiliates | | |
Dividends from non-affiliates | | |
Dividends from affiliates | | |
| | |
| | |
| | |
Investment securities purchased | | |
Investment securities purchased — delayed delivery securities | | |
| | |
Variation margin on centrally cleared swaps | | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Trustees’ and Chief Compliance Officer’s fees | | |
| | |
| | |
| | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Tax Aware Equity Fund | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | |
| | |
| | |
| | |
| | |
| | |
Class A — Redemption price per share | | |
Class C — Offering price per share (b) | | |
Class I — Offering and redemption price per share | | |
Class R6 — Offering and redemption price per share | | |
Class A maximum sales charge | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
Net upfront payments on centrally cleared swaps | | |
(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.
| J.P. Morgan Tax Aware Funds | |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited)
(Amounts in thousands)
| JPMorgan
Tax Aware
Equity Fund | JPMorgan
Tax Aware Real
Return Fund |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from non-affiliates | | |
Dividend income from affiliates | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Interest expense to affiliates | | |
| | |
Trustees’ and Chief Compliance Officer’s fees | | |
Printing and mailing costs | | |
Registration and filing fees | | |
Transfer agency fees (See Note 2.I.) | | |
| | |
| | |
| | |
Less expense reimbursements | | |
| | |
Net investment income (loss) | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
| | |
Distribution of capital gains received from investment company affiliates | | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Tax Aware Equity Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
October 1, 2018 (g) through October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Amount rounds to less than $0.005. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | |
JPMorgan Tax Aware Real Return Fund | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
| | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | |
Year Ended October 31, 2022 | | | | | |
Year Ended October 31, 2021 | | | | | |
Year Ended October 31, 2020 | | | | | |
Year Ended October 31, 2019 | | | | | |
Year Ended October 31, 2018 | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Amount rounds to less than $0.005. |
| Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (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:
| | Diversification Classification |
JPMorgan Tax Aware Equity Fund | Class A, Class C, Class I and Class R6 | |
JPMorgan Tax Aware Real Return Fund | Class A, Class C, Class I and Class R6 | |
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. Class C Shares automatically convert to Class A Shares after eight 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.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC 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.
| J.P. Morgan Tax Aware Funds | |
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments 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.
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"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
Tax Aware Real Return Fund | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
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, 2023, 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.
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023, 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, 2023 are detailed on the SOIs, if any.
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.
The Funds did not lend out any securities during the six months ended April 30, 2023.
| J.P. Morgan Tax Aware Funds | |
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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.95% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
Tax Aware Real Return Fund |
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.41% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
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.
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).
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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.
(1) Summary of Derivatives Information —The following tables present the value of derivatives held as of April 30, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| Tax Aware
Real Return Fund |
Interest Rate Risk Exposure: | |
Swaps at Value (Assets) * | |
Swaps at Value (Liabilities) * | |
| |
Swaps at Value (Liabilities) * | |
Net Fair Value of Derivative Contracts: | |
| |
|
| Includes the fair value of centrally cleared swap contracts as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2023, by primary underlying risk exposure:
| Tax Aware
Real Return Fund |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Interest Rate Risk Exposure: |
| |
| |
|
| |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Interest Rate Risk Exposure: |
| |
|
| |
| J.P. Morgan Tax Aware Funds | |
Derivatives Volume
The table below discloses the volume of the Fund’s futures contracts and swaps activity during the six months ended April 30, 2023.
| Tax Aware
Real Return Fund |
| |
Average Notional Balance Long | |
Average Notional Balance Short | |
Interest Rate-Related Swaps : | |
Average Notional Balance - Pays Fixed Rate | |
Ending Notional Balance - Pays Fixed Rate | |
| |
Average Notional Balance - Buy Protection | |
Ending Notional Balance - Buy Protection | |
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 or 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, 2023 are as follows:
| | | | | |
| | | | | |
| | | | | |
Tax Aware Real Return Fund | | | | | |
| | | | | |
|
| 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, 2023, 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. 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.
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2023, the effective annualized rate 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.
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 JPMIM.
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:
| | |
| | |
Tax Aware Real Return Fund | | |
JPMDS waived distribution fees as outlined in Note 3.F.
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, 2023, JPMDS retained the following:
| | |
| | |
Tax Aware Real Return Fund | | |
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:
| | | |
| | | |
Tax Aware Real Return Fund | | | |
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.
| J.P. Morgan Tax Aware Funds | |
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:
| | | | |
| | | | |
Tax Aware Real Return Fund | | | | |
|
| Prior to November 1, 2022, the contractual expense limitation was 0.75%, 1.25%, 0.50%, and 0.40% for Class A, Class C, Class I, and Class R6, respectively. |
The expense limitation agreements were in effect for the six months ended April 30, 2023 and the contractual expense limitation percentages in the table above are in place until at least February 29, 2024.
For the six months ended April 30, 2023, 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
Reimbursements |
| | | | | |
Tax Aware Real Return Fund | | | | | |
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, 2023 were as follows:
| |
| |
Tax Aware Real Return Fund | |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the six months ended April 30, 2023, the amount of these reimbursements were as follows:
| |
| |
Tax Aware Real Return Fund | |
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, 2023, 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.
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
4. Investment Transactions
During the six months ended April 30, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| | |
Tax Aware Real Return Fund | | |
During the six months ended April 30, 2023, 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, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
Tax Aware Real Return Fund | | | | |
At October 31, 2022, the following Fund had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
Tax Aware Real Return Fund | | |
During the year ended October 31, 2022, the following Fund utilized capital loss carryforwards as follows:
| |
| |
Tax Aware Real Return Fund | |
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, 2023.
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 30, 2023.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2023.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million 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
| J.P. Morgan Tax Aware Funds | |
respect to the $25 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Daily Simple SOFR Rate. Prior to August 9, 2022, interest associated with any borrowing under the Credit Facility was charged to the borrowing fund at a rate of interest equal to the Applicable Margin, plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). Effective August 9, 2022, the Credit Facility was amended and restated for a term of 364 days, unless extended, and included a change in the interest associated with any borrowing as mentioned above.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2023.
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, 2023, the Funds had individual shareholder and/or affiliated 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 | | Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts | |
| | | | |
Tax Aware Real Return Fund | | | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds invest in variable and floating rate loans and other variable and floating rate securities. Although these investments are generally less sensitive to interest rate changes than fixed rate instruments, the value of floating rate loans and other securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may increase interest rates or the timing, frequency, or magnitude of such increases. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Fund’s investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds’ 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. Credit spreads may increase, which may reduce the market values of the Fund’s securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e. the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
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
| J.P. Morgan Tax Aware Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 negatively affected economies, markets and individual companies throughout the world. The effects of this, or any future, pandemic to public health and business and market conditions may 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 a 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 ultimate impact of any pandemic and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Tax Aware Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2022, and continued to hold your shares at the end of the reporting period, April 30, 2023.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees, and expenses of the Underlying Funds. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning
Account Value
November 1, 2022 | Ending
Account Value
April 30, 2023 | Expenses
Paid During
the Period* | |
JPMorgan Tax Aware Equity Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan Tax Aware Real Return Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| J.P. Morgan Tax Aware Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During the Period* | |
JPMorgan Tax Aware Real Return Fund (continued) | | | | |
| | | | |
| | | | |
| | | | |
|
| 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). |
| J.P. Morgan Tax Aware Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has 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. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. 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 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying 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 and whether all applicable Funds were in compliance with the terms 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.
| J.P. Morgan Tax Aware Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
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 each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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., 2023. All rights reserved. April 2023.
SAN-TA-423
Semi-Annual Report
J.P. Morgan Funds
April 30, 2023 (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 15, 2023 (Unaudited)
Dear Shareholder,
Financial markets largely generated positive returns for the six months ended April 30, 2023, even as rising interest rates, weaker corporate earnings and geopolitical uncertainty weighed on global economic growth. Overall, global equity markets – led by European stocks – generally outperformed bond markets for the reporting period.
|
“While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade.” — Brian S. Shlissel
|
While economic growth has slowed in recent quarters, to date, the U.S. has avoided formal entry into a recession. Moreover, inflation has decelerated from last year’s historical highs as energy and electricity prices receded in 2023, allowing the U.S. Federal Reserve in June 2023 to refrain from further raising interest rates for the first time since January 2022, though the central bank stated it may find it necessary to raise rates in the future. The job market in the U.S. remained strong throughout the period as the reported monthly unemployment rate ranged between 3.6% and 3.4% for the six months ended April 30, 2023.
Across Europe, inflationary pressures remained high and both the European Central Bank and the Bank of England continued to raise interest rates during the period. Unemployment across the EU stood at 6%, while the U.K. jobless rate fell to 3.8% in
April 2023. Notably, European equity markets generally outperformed other developed markets during the period, potentially driven by more attractive valuations relative to U.S. companies.
The International Monetary Fund’s (IMF) April 2023 economic outlook warned that global output is likely to decline to 2.8% for 2023, amid weakness in parts of the financial sector, continued inflationary pressures and the ongoing war in Ukraine. Further, the IMF forecast developed market economies to decelerate at a faster pace than emerging market economies.
While the effects of rising interest rates is likely to adversely impact economic growth in the months ahead, other factors may aid the global economic outlook, as energy prices have trended downward in recent months and the re-opening of China’s economy may provide support for increased global trade. Regardless of the economic backdrop, we believe investors who hold a well-diversified portfolio and a long-term outlook may be better positioned to benefit from opportunities presented by global financial markets. Our suite of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
MARKET OVERVIEW
SIX MONTHS ENDED April 30, 2023 (Unaudited)
Global financial markets largely generated positive returns for the period and completed a rebound from the sell-offs that marked the middle of 2022. Developed markets equity generally outperformed emerging markets equity, while emerging markets debt mostly outperformed developed markets debt.
However, equity markets performance was mixed on a month-to-month basis, even if the overall trend was upward. For the six months ended April 30, 2023, the MSCI EAFE Index returned 24.19%, the MSCI Emerging Markets Index returned 16.36% and the S&P 500 Index returned 8.63%. Within bond markets, the Bloomberg Emerging Markets USD Aggregate Index returned 10.28%, the Bloomberg Global Aggregate (USD) Index returned 8.91% and the ICE BofAM 3-month Treasury Bill Index returned 2.10%.
Leading central banks continued to raise interest rates throughout the six-month period, though the size of increases narrowed in 2023 as the policy response to inflationary pressure grew less aggressive. Notably, the Bank of Japan maintained its negative interest rate policy amid weak consumption data and marginal economic growth.
While global inflation rates remained elevated during the period, they retreated from the 40-year highs reached in 2022, and price data in the U.S. and the Euro Area indicated a slowing trend. Though inflation in the U.K. declined in the final months of 2022, the U.K. consumer price index rose more than expected in 2023.
Lower energy prices were a leading contributor to declining global inflation in the second half of the period. Following Russia’s invasion of Ukraine in late February 2022, the European Union and the U.K. largely avoided an extended energy crisis by securing alternative sources to Russian natural gas and moved to build up reserves of both natural gas and petroleum ahead of the winter months.
Meanwhile, economic activity and aggregate demand in China accelerated after the country’s leadership lifted strict anti-pandemic policies in late 2022. The rebound in China helped to lift equity prices in China and its leading emerging market trading partners. Additionally, investor expectations that central banks in emerging markets may begin to lower interest rates sooner than in developed markets provided support for emerging markets debt.
JPMorgan Global Allocation Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
| |
MSCI All Country World Index (net total return) | |
Bloomberg Global Aggregate Index (Unhedged USD) | |
60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged) | |
Net Assets as of 4/30/2023 (In Thousands) | |
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, 2023, the Fund’s Class I Shares underperformed the MSCI All Country World Index (net total return) (the “Benchmark”), outperformed the Bloomberg Global Aggregate Index (Unhedged USD) and underperformed the 60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index.
Relative to the Benchmark, which is an all-equity index, the Fund’s underweight allocation to equity was a leading detractor from performance as equity markets outperformed early in 2023.
Relative to 60% MSCI All Country World Index / 40% Bloomberg Global Aggregate Index, the Fund’s overall neutral position in equities was a leading detractor from performance, while the Fund’s allocation to developed markets equities and its allocation to global sovereign bonds helped relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers brought the overall equity allocation to neutral. The portfolio managers decreased the Fund’s allocation to below-investment-grade credit and added to higher quality corporate credit. The portfolio managers also increased the Fund’s overall duration by holding non-U.S. government bonds and U.S. Treasury futures. Duration is a measure of the price sensitivity of a portfolio of bonds relative to changes in interest
rates.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| JPMorgan Income Fund, Class R6 | |
| | |
| U.S. Treasury Notes 0.88%, 1/31/2024 | |
| | |
| | |
| | |
| Meta Platforms, Inc., Class A | |
| Mastercard, Inc., Class A | |
| | |
| | |
PORTFOLIO COMPOSITION
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
Foreign Government Securities | |
| |
U.S. Treasury Obligations | |
Others (each less than 1.0%) | |
| |
*
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.
JPMorgan Global Allocation Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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 total return), the Bloomberg Global Aggregate Index – (Unhedged USD) and 60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged) from April 30, 2013 to April 30, 2023. 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 total return), the Bloomberg Global Aggregate Index – (Unhedged USD) and 60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged) 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 individual investors who do not benefit from double taxation treaties. The performance of 60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged) does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The MSCI All Country World Index (net total return) 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.
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.
JPMorgan Income Builder Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited)
| |
Fund (Class A Shares, without a sales charge) * | |
MSCI World Index (net total return) | |
Bloomberg U.S. Aggregate Index | |
60% MSCI World Index (net of total return) / 40% Bloomberg U.S. Aggregate Index | |
Net Assets as of 4/30/2023 (In Thousands) | |
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, 2023, the Fund’s Class A Shares, without a sales charge, underperformed the MSCI World Index (net total return) (the “Benchmark”), outperformed the Bloomberg U.S. Aggregate Index and underperformed the combined 60% MSCI World Index (net total return) / 40% Bloomberg U.S. Aggregate Index.
Relative to the Benchmark, which is an all-equity index, the Fund’s underweight allocation to equity was a leading detractor from performance as equity markets outperformed during the start to 2023.
Relative to the Bloomberg U.S. Aggregate Index, which primarily contains U.S. government bonds, the Fund’s allocation to a more diversified set of corporate bonds contributed to performance.
Relative to the 60% MSCI World Index / 40% Bloomberg US Aggregate Index, the Fund’s overall smaller allocation to equities early in the period was a leading detractor from performance, while the Fund’s allocation to developed market equities and its mix of corporate credit and government bonds helped 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 also increased the Fund’s allocation to higher yielding strategies, including the JPMorgan Equity Premium Income ETF. The portfolio managers sought to balance credit allocations with more conservative exposures
through U.S. Treasury futures.
TOP TEN POSITIONS OF THE
PORTFOLIO AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| JPMorgan Equity Premium Income ETF | |
| Royal Bank of Canada, ELN, 9.00%, 6/15/2023, (linked to Nasdaq-100 Index) (Canada) | |
| U.S. Treasury Notes 0.88%, 1/31/2024 | |
| | |
| | |
| Samsung Electronics Co. Ltd. (South Korea) | |
| Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | |
| | |
| | |
| | |
PORTFOLIO COMPOSITION
AS OF April 30, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
Commercial Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
| |
U.S. Treasury Obligations | |
| |
| |
Foreign Government Securities | |
Others (each less than 1.0%) | |
| |
*
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.
JPMorgan Income Builder Fund
FUND COMMENTARY
SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF April 30, 2023
|
| |
| 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 (4/30/13 TO 4/30/23)
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 total return), the Bloomberg U.S. Aggregate Index and 60% MSCI All Country World Index (net total return) / 40% Bloomberg U.S. Aggregate Index from April 30, 2013 to April 30, 2023. 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 total return), the Bloomberg U.S. Aggregate Index and 60% MSCI All Country World Index (net total return) / 40% Bloomberg U.S. Aggregate Index 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 total return) assumes the dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The MSCI World Index (net total return) 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, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Commonwealth Bank of Australia | | |
| | |
| | |
| | |
| | |
Flutter Entertainment plc * | | |
Fortescue Metals Group Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Insurance Australia Group Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
National Australia Bank Ltd. | | |
| | |
Northern Star Resources Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Treasury Wine Estates Ltd. | | |
| | |
Washington H Soul Pattinson & Co. Ltd. | | |
| | |
| | |
| | |
Woodside Energy Group Ltd. | | |
Woodside Energy Group Ltd. | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Groupe Bruxelles Lambert NV | | |
| | |
| | |
| | |
| | |
| | |
Warehouses De Pauw CVA, REIT | | |
| | |
|
B3 SA - Brasil Bolsa Balcao | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
Itau Unibanco Holding SA (Preference) | | |
| | |
| | |
NU Holdings Ltd., Class A * | | |
Petroleo Brasileiro SA (Preference) | | |
| | |
| | |
Transmissora Alianca de Energia Eletrica SA | | |
| | |
| | |
|
Alimentation Couche-Tard, Inc. | | |
Canadian National Railway Co. | | |
Fairfax Financial Holdings Ltd. | | |
Toronto-Dominion Bank (The) | | |
| | |
|
| | |
| | |
| | |
|
Acrobiosystems Co. Ltd., Class A * | | |
Advanced Micro-Fabrication Equipment, Inc., Class A * | | |
Aier Eye Hospital Group Co. Ltd., Class A * | | |
Alibaba Group Holding Ltd. * | | |
Amoy Diagnostics Co. Ltd., Class A * | | |
Angel Yeast Co. Ltd., Class A * | | |
Anjoy Foods Group Co. Ltd., Class A * | | |
Asymchem Laboratories Tianjin Co. Ltd., Class A * | | |
Asymchem Laboratories Tianjin Co. Ltd., Class H * (b) | | |
Bank of Ningbo Co. Ltd., Class A | | |
Baoshan Iron & Steel Co. Ltd., Class A * | | |
Beijing Huafeng Test & Control Technology Co. Ltd., Class A * | | |
Beijing Kingsoft Office Software, Inc., Class A * | | |
| | |
|
|
Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A * | | |
BOC Hong Kong Holdings Ltd. | | |
BOE Technology Group Co. Ltd., Class A * | | |
Budweiser Brewing Co. APAC Ltd. (b) | | |
Chacha Food Co. Ltd., Class A * | | |
Changzhou Xingyu Automotive Lighting Systems Co. Ltd., Class A * | | |
China Construction Bank Corp., Class H | | |
China Longyuan Power Group Corp. Ltd., Class H | | |
China Merchants Bank Co. Ltd., Class A * | | |
China Merchants Bank Co. Ltd., Class H * | | |
China Resources Land Ltd. | | |
China Yangtze Power Co. Ltd., Class A * | | |
Chongqing Brewery Co. Ltd., Class A * | | |
Chongqing Fuling Zhacai Group Co. Ltd., Class A * | | |
Contemporary Amperex Technology Co. Ltd., Class A | | |
Dongguan Yiheda Automation Co. Ltd., Class A * | | |
| | |
Flat Glass Group Co. Ltd., Class H | | |
Focus Media Information Technology Co. Ltd., Class A | | |
Foshan Haitian Flavouring & Food Co. Ltd., Class A * | | |
Fuyao Glass Industry Group Co. Ltd., Class A * | | |
Fuyao Glass Industry Group Co. Ltd., Class H * (b) | | |
Glodon Co. Ltd., Class A * | | |
Guangdong Haid Group Co. Ltd., Class A * | | |
Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A * | | |
| | |
Haier Smart Home Co. Ltd., Class H * | | |
Hangzhou First Applied Material Co. Ltd., Class A * | | |
Hangzhou Tigermed Consulting Co. Ltd., Class A * | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
Han's Laser Technology Industry Group Co. Ltd., Class A * | | |
Hefei Meiya Optoelectronic Technology, Inc., Class A * | | |
Hongfa Technology Co. Ltd., Class A * | | |
Hundsun Technologies, Inc., Class A * | | |
Imeik Technology Development Co. Ltd., Class A * | | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | | |
| | |
Jade Bird Fire Co. Ltd., Class A * | | |
| | |
Jiangsu Hengli Hydraulic Co. Ltd., Class A * | | |
Jiumaojiu International Holdings Ltd. (b) | | |
| | |
Kingdee International Software Group Co. Ltd. * | | |
Kweichow Moutai Co. Ltd., Class A * | | |
Laobaixing Pharmacy Chain JSC, Class A * | | |
LONGi Green Energy Technology Co. Ltd., Class A * | | |
Luzhou Laojiao Co. Ltd., Class A | | |
Maxscend Microelectronics Co. Ltd., Class A * | | |
| | |
Montage Technology Co. Ltd., Class A * | | |
Muyuan Foods Co. Ltd., Class A * | | |
NARI Technology Co. Ltd., Class A * | | |
| | |
Ningbo Tuopu Group Co. Ltd., Class A * | | |
| | |
Oppein Home Group, Inc., Class A * | | |
Ping An Bank Co. Ltd., Class A * | | |
Ping An Insurance Group Co. of China Ltd., Class A | | |
Ping An Insurance Group Co. of China Ltd., Class H | | |
| | |
Proya Cosmetics Co. Ltd., Class A * | | |
Qingdao Haier Biomedical Co. Ltd., Class A * | | |
| | |
|
|
Shandong Sinocera Functional Material Co. Ltd., Class A * | | |
Shanghai Baosight Software Co. Ltd., Class A * | | |
Shanghai Liangxin Electrical Co. Ltd., Class A | | |
Shenzhen Inovance Technology Co. Ltd., Class A * | | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A * | | |
Shenzhou International Group Holdings Ltd. | | |
Sichuan Swellfun Co. Ltd., Class A * | | |
| | |
SITC International Holdings Co. Ltd. | | |
Skshu Paint Co. Ltd., Class A * | | |
StarPower Semiconductor Ltd., Class A * | | |
Suzhou Maxwell Technologies Co. Ltd., Class A * | | |
| | |
Wanhua Chemical Group Co. Ltd., Class A * | | |
Wilmar International Ltd. | | |
Wuliangye Yibin Co. Ltd., Class A | | |
WuXi AppTec Co. Ltd., Class H (b) | | |
Wuxi Biologics Cayman, Inc. * (b) | | |
Xinyi Glass Holdings Ltd. | | |
| | |
Yangzhou Yangjie Electronic Technology Co. Ltd., Class A * | | |
Yonyou Network Technology Co. Ltd., Class A * | | |
Yunnan Energy New Material Co. Ltd. * | | |
Zhejiang Dingli Machinery Co. Ltd., Class A * | | |
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A * | | |
Zhejiang Supcon Technology Co. Ltd., Class A * | | |
Zhuzhou CRRC Times Electric Co. Ltd. * | | |
Zhuzhou CRRC Times Electric Co. Ltd., Class A * | | |
Zijin Mining Group Co. Ltd., Class H * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
AP Moller - Maersk A/S, Class A | | |
AP Moller - Maersk A/S, Class B | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Novo Nordisk A/S, Class B | | |
| | |
| | |
| | |
| | |
| | |
Vestas Wind Systems A/S * | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Cie Generale des Etablissements Michelin SCA | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
La Francaise des Jeux SAEM (b) | | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Unibail-Rodamco-Westfield, REIT * | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Bayerische Motoren Werke AG | | |
Bayerische Motoren Werke AG (Preference) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Daimler Truck Holding AG * | | |
Deutsche Bank AG (Registered) | | |
| | |
Deutsche Lufthansa AG (Registered) * | | |
Deutsche Post AG (Registered) | | |
Deutsche Telekom AG (Registered) | | |
Dr Ing hc F Porsche AG (Preference) * (c) | | |
| | |
| | |
Fresenius Medical Care AG & Co. KGaA | | |
| | |
| | |
| | |
| | |
| | |
| | |
Henkel AG & Co. KGaA (Preference) | | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
Muenchener Rueckversicherungs- Gesellschaft AG (Registered) | | |
| | |
Porsche Automobil Holding SE (Preference) * | | |
| | |
| | |
| | |
| | |
| | |
Sartorius AG (Preference) | | |
| | |
| | |
| | |
Siemens Healthineers AG (b) | | |
| | |
Telefonica Deutschland Holding AG | | |
United Internet AG (Registered) | | |
| | |
Volkswagen AG (Preference) | | |
| | |
| | |
| | |
|
Hellenic Telecommunications Organization SA | | |
|
| | |
| | |
CK Infrastructure Holdings Ltd. | | |
| | |
Futu Holdings Ltd., ADR * | | |
Hang Lung Properties Ltd. | | |
| | |
Henderson Land Development Co. Ltd. | | |
| | |
Hong Kong & China Gas Co. Ltd. | | |
Hong Kong Exchanges & Clearing Ltd. | | |
Hongkong Land Holdings Ltd. | | |
Jardine Matheson Holdings Ltd. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
New World Development Co. Ltd. | | |
Power Assets Holdings Ltd. | | |
| | |
| | |
Sun Hung Kai Properties Ltd. | | |
Swire Pacific Ltd., Class A | | |
| | |
Techtronic Industries Co. Ltd. | | |
| | |
Wharf Real Estate Investment Co. Ltd. | | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
|
Bank Central Asia Tbk. PT | | |
Bank Rakyat Indonesia Persero Tbk. PT | | |
Telkom Indonesia Persero Tbk. PT | | |
| | |
|
| | |
| | |
Bank of Ireland Group plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
|
Bezeq The Israeli Telecommunication Corp. Ltd. | | |
Check Point Software Technologies Ltd. * | | |
| | |
First International Bank of Israel Ltd. (The) | | |
| | |
Israel Discount Bank Ltd., Class A | | |
Mizrahi Tefahot Bank Ltd. | | |
| | |
Teva Pharmaceutical Industries Ltd., ADR * | | |
Tower Semiconductor Ltd. * | | |
| | |
| | |
|
| | |
Assicurazioni Generali SpA | | |
| | |
| | |
| | |
| | |
| | |
| | |
FinecoBank Banca Fineco SpA | | |
Infrastrutture Wireless Italiane SpA (b) | | |
| | |
Mediobanca Banca di Credito Finanziario SpA | | |
| | |
| | |
| | |
| | |
Recordati Industria Chimica e Farmaceutica SpA | | |
| | |
| | |
Terna - Rete Elettrica Nazionale | | |
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
| | |
Asahi Group Holdings Ltd. | | |
| | |
| | |
| | |
| | |
Bandai Namco Holdings, Inc. | | |
BayCurrent Consulting, Inc. | | |
| | |
| | |
| | |
| | |
Central Japan Railway Co. | | |
| | |
Chubu Electric Power Co., Inc. | | |
Chugai Pharmaceutical Co. Ltd. | | |
Concordia Financial Group Ltd. | | |
| | |
Dai Nippon Printing Co. Ltd. | | |
| | |
Dai-ichi Life Holdings, Inc. | | |
| | |
| | |
Daito Trust Construction Co. Ltd. | | |
Daiwa House Industry Co. Ltd. | | |
Daiwa House REIT Investment Corp., REIT | | |
Daiwa Securities Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
GMO Payment Gateway, Inc. | | |
| | |
|
|
Hakuhodo DY Holdings, Inc. | | |
| | |
Hankyu Hanshin Holdings, Inc. | | |
| | |
| | |
Hitachi Construction Machinery Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Iida Group Holdings Co. Ltd. | | |
| | |
| | |
| | |
Itochu Techno-Solutions Corp. | | |
| | |
Japan Exchange Group, Inc. | | |
Japan Metropolitan Fund Invest, REIT | | |
| | |
Japan Post Holdings Co. Ltd. | | |
Japan Post Insurance Co. Ltd. | | |
Japan Real Estate Investment Corp., REIT | | |
| | |
| | |
| | |
| | |
Kansai Electric Power Co., Inc. (The) | | |
| | |
| | |
| | |
Keisei Electric Railway Co. Ltd. | | |
| | |
| | |
Kintetsu Group Holdings Co. Ltd. | | |
| | |
Kobayashi Pharmaceutical Co. Ltd. | | |
| | |
Koei Tecmo Holdings Co. Ltd. | | |
Koito Manufacturing Co. Ltd. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
Kurita Water Industries Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
McDonald's Holdings Co. Japan Ltd. | | |
| | |
| | |
| | |
Mitsubishi Chemical Group Corp. | | |
| | |
Mitsubishi Electric Corp. | | |
Mitsubishi Estate Co. Ltd. | | |
Mitsubishi HC Capital, Inc. | | |
Mitsubishi Heavy Industries Ltd. | | |
Mitsubishi UFJ Financial Group, Inc. | | |
| | |
| | |
| | |
| | |
Mizuho Financial Group, Inc. | | |
| | |
MS&AD Insurance Group Holdings, Inc. | | |
Murata Manufacturing Co. Ltd. | | |
| | |
| | |
| | |
| | |
Nihon M&A Center Holdings, Inc. | | |
| | |
Nippon Building Fund, Inc., REIT | | |
Nippon Express Holdings, Inc. | | |
Nippon Paint Holdings Co. Ltd. | | |
Nippon Prologis REIT, Inc., REIT | | |
Nippon Sanso Holdings Corp. | | |
| | |
| | |
|
|
| | |
Nippon Telegraph & Telephone Corp. | | |
| | |
| | |
| | |
Nisshin Seifun Group, Inc. | | |
Nissin Foods Holdings Co. Ltd. | | |
| | |
| | |
| | |
Nomura Real Estate Holdings, Inc. | | |
Nomura Real Estate Master Fund, Inc., REIT | | |
Nomura Research Institute Ltd. | | |
| | |
| | |
| | |
Odakyu Electric Railway Co. Ltd. | | |
| | |
| | |
| | |
Ono Pharmaceutical Co. Ltd. | | |
Open House Group Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Pan Pacific International Holdings Corp. | | |
| | |
| | |
| | |
Recruit Holdings Co. Ltd. | | |
Renesas Electronics Corp. * | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Sekisui Chemical Co. Ltd. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
Seven & i Holdings Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Shin-Etsu Chemical Co. Ltd. | | |
| | |
| | |
Shizuoka Financial Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Square Enix Holdings Co. Ltd. | | |
| | |
| | |
Sumitomo Chemical Co. Ltd. | | |
| | |
Sumitomo Electric Industries Ltd. | | |
Sumitomo Metal Mining Co. Ltd. | | |
Sumitomo Mitsui Financial Group, Inc. | | |
Sumitomo Mitsui Trust Holdings, Inc. | | |
Sumitomo Realty & Development Co. Ltd. | | |
Suntory Beverage & Food Ltd. | | |
| | |
| | |
| | |
| | |
Takeda Pharmaceutical Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Tokio Marine Holdings, Inc. | | |
Tokyo Electric Power Co. Holdings, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Hikma Pharmaceuticals plc | | |
|
| | |
| | |
| | |
|
Galaxy Entertainment Group Ltd. * | | |
| | |
| | |
|
Grupo Aeroportuario del Pacifico SAB de CV, Class B | | |
Grupo Aeroportuario del Sureste SAB de CV, ADR | | |
Grupo Financiero Banorte SAB de CV, Class O | | |
Wal-Mart de Mexico SAB de CV | | |
| | |
|
ABN AMRO Bank NV, CVA (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Koninklijke Ahold Delhaize NV | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Auckland International Airport Ltd. * | | |
Fisher & Paykel Healthcare Corp. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Gjensidige Forsikring ASA | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
|
| | |
|
EDP - Energias de Portugal SA | | |
| | |
| | |
| | |
|
Severstal PAO, GDR ‡ * (b) | | |
TCS Group Holding plc, GDR ‡ * (b) | | |
| | |
|
Saudi Basic Industries Corp. | | |
Saudi National Bank (The) | | |
| | |
|
CapitaLand Ascendas, REIT | | |
CapitaLand Ascott Trust, REIT | | |
CapitaLand Integrated Commercial Trust, REIT | | |
Capitaland Investment Ltd. | | |
| | |
| | |
| | |
Grab Holdings Ltd., Class A * | | |
Jardine Cycle & Carriage Ltd. | | |
| | |
Mapletree Logistics Trust, REIT | | |
Mapletree Pan Asia Commercial Trust, REIT | | |
Oversea-Chinese Banking Corp. Ltd. | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
Singapore Technologies Engineering Ltd. | | |
Singapore Telecommunications Ltd. | | |
| | |
United Overseas Bank Ltd. | | |
| | |
| | |
| | |
|
| | |
| | |
Capitec Bank Holdings Ltd. | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Samsung Electronics Co. Ltd. | | |
| | |
| | |
| | |
| | |
|
| | |
ACS Actividades de Construccion y Servicios SA | | |
| | |
| | |
Banco Bilbao Vizcaya Argentaria SA | | |
| | |
| | |
| | |
Corp. ACCIONA Energias Renovables SA * | | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
Industria de Diseno Textil SA | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Fastighets AB Balder, Class B * | | |
| | |
H & M Hennes & Mauritz AB, Class B (a) | | |
| | |
| | |
| | |
Industrivarden AB, Class A | | |
Industrivarden AB, Class C | | |
| | |
Investment AB Latour, Class B | | |
| | |
| | |
| | |
L E Lundbergforetagen AB, Class B | | |
| | |
Nibe Industrier AB, Class B | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
Skandinaviska Enskilda Banken AB, Class A | | |
| | |
| | |
Svenska Cellulosa AB SCA, Class B | | |
Svenska Handelsbanken AB, Class A | | |
| | |
Swedish Orphan Biovitrum AB * | | |
| | |
Telefonaktiebolaget LM Ericsson, Class B | | |
| | |
| | |
| | |
Volvo Car AB, Class B * (a) | | |
| | |
|
| | |
Adecco Group AG (Registered) * | | |
| | |
| | |
Baloise Holding AG (Registered) | | |
Banque Cantonale Vaudoise (Registered) (a) | | |
Barry Callebaut AG (Registered) | | |
| | |
Chocoladefabriken Lindt & Spruengli AG | | |
Chocoladefabriken Lindt & Spruengli AG (Registered) | | |
Cie Financiere Richemont SA (Registered) | | |
Clariant AG (Registered) * | | |
Credit Suisse Group AG (Registered) * | | |
| | |
EMS-Chemie Holding AG (Registered) * | | |
| | |
| | |
| | |
Kuehne + Nagel International AG (Registered) (a) | | |
Logitech International SA (Registered) | | |
Lonza Group AG (Registered) | | |
| | |
Partners Group Holding AG | | |
| | |
|
|
| | |
Schindler Holding AG (Registered) | | |
| | |
| | |
| | |
Sonova Holding AG (Registered) | | |
Straumann Holding AG (Registered) | | |
| | |
Swatch Group AG (The) (Registered) | | |
Swiss Life Holding AG (Registered) | | |
Swiss Prime Site AG (Registered) | | |
| | |
| | |
UBS Group AG (Registered) * | | |
| | |
Wizz Air Holdings plc * (b) | | |
Zurich Insurance Group AG | | |
| | |
|
Accton Technology Corp. * | | |
| | |
ASE Technology Holding Co. Ltd. * | | |
ASPEED Technology, Inc. * | | |
Chailease Holding Co. Ltd. * | | |
| | |
eMemory Technology, Inc. * | | |
Largan Precision Co. Ltd. | | |
Realtek Semiconductor Corp. * | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
| | |
|
PTT Exploration & Production PCL | | |
| | |
| | |
| | |
United Arab Emirates — 0.0% ^ |
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
United Kingdom — continued |
| | |
| | |
| | |
Associated British Foods plc | | |
| | |
Auto Trader Group plc (b) | | |
| | |
| | |
| | |
| | |
Berkeley Group Holdings plc | | |
| | |
British American Tobacco plc | | |
British Land Co. plc (The), REIT | | |
| | |
| | |
| | |
CK Hutchison Holdings Ltd. | | |
| | |
Coca-Cola Europacific Partners plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
InterContinental Hotels Group plc | | |
| | |
| | |
| | |
| | |
Just Eat Takeaway.com NV * (b) | | |
| | |
Land Securities Group plc, REIT | | |
Legal & General Group plc | | |
| | |
London Stock Exchange Group plc | | |
| | |
| | |
| | |
| | |
|
United Kingdom — continued |
| | |
| | |
| | |
| | |
Phoenix Group Holdings plc | | |
Reckitt Benckiser Group plc | | |
| | |
| | |
| | |
Rolls-Royce Holdings plc * | | |
| | |
| | |
| | |
| | |
| | |
| | |
Spirax-Sarco Engineering plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
United Utilities Group plc | | |
| | |
| | |
| | |
| | |
|
| | |
Advanced Micro Devices, Inc. * | | |
| | |
| | |
| | |
Albertsons Cos., Inc., Class A | | |
| | |
Alnylam Pharmaceuticals, Inc. * | | |
Alphabet, Inc., Class C * | | |
| | |
| | |
| | |
American Homes 4 Rent, Class A, REIT | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United States — continued |
| | |
| | |
| | |
| | |
Apple Hospitality REIT, Inc., REIT | | |
| | |
| | |
| | |
Axalta Coating Systems Ltd. * | | |
| | |
| | |
| | |
| | |
Berkshire Hathaway, Inc., Class B * | | |
| | |
| | |
BioMarin Pharmaceutical, Inc. * | | |
BJ's Wholesale Club Holdings, Inc. * | | |
| | |
| | |
| | |
Boston Scientific Corp. * | | |
| | |
Brixmor Property Group, Inc., REIT | | |
Burlington Stores, Inc. * | | |
Cadence Design Systems, Inc. * | | |
Capital One Financial Corp. | | |
| | |
| | |
CBRE Group, Inc., Class A * | | |
| | |
| | |
Charles Schwab Corp. (The) | | |
Charter Communications, Inc., Class A * | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Citizens Financial Group, Inc. | | |
Claire's Stores, Inc. ‡ * | | |
| | |
| | |
|
United States — continued |
| | |
| | |
| | |
| | |
Confluent, Inc., Class A * | | |
| | |
Constellation Brands, Inc., Class A | | |
| | |
| | |
| | |
Crowdstrike Holdings, Inc., Class A * | | |
| | |
Cullen/Frost Bankers, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Diamondback Energy, Inc. (a) | | |
Dick's Sporting Goods, Inc. | | |
| | |
| | |
| | |
| | |
| | |
EastGroup Properties, Inc., REIT | | |
| | |
| | |
Elanco Animal Health, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Estee Lauder Cos., Inc. (The), Class A | | |
| | |
| | |
| | |
Federal Realty Investment Trust, REIT | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
United States — continued |
| | |
First Citizens BancShares, Inc., Class A | | |
| | |
FleetCor Technologies, Inc. * | | |
Fortune Brands Innovations, Inc. | | |
| | |
| | |
| | |
| | |
Goodman Networks, Inc. ‡ * | | |
| | |
| | |
Hartford Financial Services Group, Inc. (The) | | |
HashiCorp, Inc., Class A * | | |
| | |
Hilton Worldwide Holdings, Inc. | | |
| | |
| | |
Honeywell International, Inc. | | |
| | |
| | |
| | |
| | |
| | |
International Business Machines Corp. | | |
| | |
Intuitive Surgical, Inc. * | | |
| | |
| | |
James Hardie Industries plc, CHDI | | |
JBG SMITH Properties, REIT (a) | | |
| | |
| | |
| | |
Keysight Technologies, Inc. * | | |
| | |
| | |
Knight-Swift Transportation Holdings, Inc. | | |
| | |
| | |
Laboratory Corp. of America Holdings | | |
| | |
| | |
|
United States — continued |
Lamar Advertising Co., Class A, REIT | | |
| | |
Liberty Broadband Corp., Class C * | | |
Liberty Media Corp.-Liberty SiriusXM, Class C * | | |
| | |
| | |
| | |
| | |
Marriott International, Inc., Class A | | |
Martin Marietta Materials, Inc. | | |
| | |
Mastercard, Inc., Class A | | |
| | |
| | |
| | |
Meta Platforms, Inc., Class A * | | |
Mettler-Toledo International, Inc. * | | |
| | |
| | |
Mid-America Apartment Communities, Inc., REIT | | |
| | |
Mohawk Industries, Inc. * | | |
Mondelez International, Inc., Class A | | |
| | |
Moran Foods Backstop Equity ‡ * | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Nexstar Media Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Old Dominion Freight Line, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United States — continued |
Packaging Corp. of America | | |
Palo Alto Networks, Inc. * | | |
| | |
| | |
Performance Food Group Co. * | | |
| | |
Philip Morris International, Inc. | | |
| | |
Pioneer Natural Resources Co. | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
| | |
Procter & Gamble Co. (The) | | |
| | |
| | |
Public Service Enterprise Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Raytheon Technologies Corp. | | |
Regeneron Pharmaceuticals, Inc. * | | |
| | |
| | |
| | |
| | |
Royalty Pharma plc, Class A | | |
| | |
| | |
| | |
SBA Communications Corp., REIT | | |
| | |
| | |
Snowflake, Inc., Class A * | | |
SolarEdge Technologies, Inc. * | | |
| | |
| | |
Sun Communities, Inc., REIT | | |
| | |
| | |
| | |
| | |
|
United States — continued |
T. Rowe Price Group, Inc. | | |
Take-Two Interactive Software, Inc. * | | |
| | |
| | |
| | |
| | |
| | |
| | |
Texas Instruments, Inc. (e) | | |
| | |
Thermo Fisher Scientific, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Trade Desk, Inc. (The), Class A * | | |
| | |
Travelers Cos., Inc. (The) | | |
| | |
Uber Technologies, Inc. * | | |
| | |
United Parcel Service, Inc., Class B | | |
UnitedHealth Group, Inc. (e) | | |
| | |
US Foods Holding Corp. * (a) | | |
| | |
Verizon Communications, Inc. (e) | | |
Vertex Pharmaceuticals, Inc. * | | |
| | |
| | |
| | |
WESCO International, Inc. | | |
| | |
| | |
| | |
Williams Cos., Inc. (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Zebra Technologies Corp., Class A * | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
United States — continued |
Zimmer Biomet Holdings, Inc. | | |
Zoom Video Communications, Inc., Class A * | | |
| | |
Total Common Stocks
(Cost $1,149,564) | | |
| | |
|
|
AngloGold Ashanti Holdings plc 6.50%, 4/15/2040 | | |
Australia & New Zealand Banking Group Ltd. 5.09%, 12/8/2025 | | |
Mineral Resources Ltd. 8.50%, 5/1/2030 (c) | | |
National Australia Bank Ltd. 4.94%, 1/12/2028 (a) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (f) (g) | | |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.53%), 3.02%, 11/18/2036 (f) (g) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (f) (g) | | |
| | |
|
|
Bank of Nova Scotia (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Baytex Energy Corp. 8.75%, 4/1/2027 (c) | | |
Bell Canada (The) Series US-5, 2.15%, 2/15/2032 | | |
Canadian Imperial Bank of Commerce 2.25%, 1/28/2025 | | |
Canadian National Railway Co. 3.85%, 8/5/2032 | | |
Canadian Natural Resources Ltd. 7.20%, 1/15/2032 | | |
Canadian Pacific Railway Co. | | |
| | |
| | |
CI Financial Corp. 3.20%, 12/17/2030 | | |
Emera US Finance LP 2.64%, 6/15/2031 | | |
Manulife Financial Corp. (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (g) | | |
National Bank of Canada (SOFR + 1.01%), 3.75%, 6/9/2025 (g) | | |
Ontario Teachers' Finance Trust | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
TELUS Corp. 3.40%, 5/13/2032 | | |
Toronto-Dominion Bank (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(USD Swap Semi 5 Year + 2.20%), 3.62%, 9/15/2031 (f) (g) | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Orange SA 9.00%, 3/1/2031 (h) | | |
TotalEnergies Capital International SA 2.43%, 1/10/2025 | | |
TotalEnergies Capital SA 3.88%, 10/11/2028 | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
|
| | |
Kreditanstalt fuer Wiederaufbau 0.00%, 3/31/2027 (b) | | |
| | |
|
Mitsubishi UFJ Financial Group, Inc. | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 4.79%, 7/18/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.96%, 10/11/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.02%, 7/20/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.35%, 9/13/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.12%), 5.13%, 7/20/2033 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.13%), 5.47%, 9/13/2033 (a) (g) | | |
Mizuho Financial Group, Inc. | | |
(SOFR + 1.36%), 2.55%, 9/13/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (g) | | |
| | |
(ICE LIBOR USD 3 Month + 1.27%), 4.25%, 9/11/2029 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 5.67%, 9/13/2033 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
Sumitomo Mitsui Financial Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
ArcelorMittal SA 6.80%, 11/29/2032 | | |
|
Nederlandse Waterschapsbank NV | | |
| | |
| | |
Shell International Finance BV | | |
| | |
| | |
| | |
| | |
|
Saudi Arabian Oil Co. 1.25%, 11/24/2023 (c) | | |
|
| | |
| | |
| | |
| | |
| | |
|
|
Korea Development Bank (The) 2.13%, 10/1/2024 (a) | | |
Korea Southern Power Co. Ltd. 0.75%, 1/27/2026 (c) | | |
| | |
|
Banco Bilbao Vizcaya Argentaria SA | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.70%), 6.14%, 9/14/2028 (g) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (g) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.05%), 7.32%, 11/2/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 5.50%, 8/9/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (g) | | |
(ICE LIBOR USD 3 Month + 1.90%), 4.97%, 5/16/2029 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 2.64%, 6/24/2031 (g) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United Kingdom — continued |
| | |
| | |
| | |
| | |
BAT International Finance plc | | |
| | |
| | |
GlaxoSmithKline Capital plc 3.00%, 6/1/2024 | | |
| | |
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (g) | | |
(SOFR + 0.71%), 0.98%, 5/24/2025 (g) | | |
(SOFR + 1.93%), 2.10%, 6/4/2026 (g) | | |
(SOFR + 3.03%), 7.34%, 11/3/2026 (g) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (g) | | |
(SOFR + 2.11%), 4.75%, 6/9/2028 (g) | | |
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | | |
(SOFR + 1.29%), 2.21%, 8/17/2029 (g) | | |
(SOFR + 4.25%), 8.11%, 11/3/2033 (g) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (g) | | |
| | |
|
United Kingdom — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.80%), 3.75%, 3/18/2028 (g) | | |
(ICE LIBOR USD 3 Month + 1.21%), 3.57%, 11/7/2028 (g) | | |
| | |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (g) | | |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (g) | | |
(ICE LIBOR USD 3 Month + 1.90%), 5.08%, 1/27/2030 (g) | | |
RELX Capital, Inc. 4.00%, 3/18/2029 | | |
Unilever Capital Corp. 3.50%, 3/22/2028 | | |
Vmed O2 UK Financing I plc 4.75%, 7/15/2031 (c) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (a) (c) | | |
Acuity Brands Lighting, Inc. 2.15%, 12/15/2030 | | |
Advanced Micro Devices, Inc. 3.92%, 6/1/2032 | | |
AEP Texas, Inc. 3.95%, 6/1/2028 | | |
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | | |
Agilent Technologies, Inc. 2.75%, 9/15/2029 | | |
Air Products and Chemicals, Inc. 1.50%, 10/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Albemarle Corp. 5.05%, 6/1/2032 (a) | | |
Allegion plc 3.50%, 10/1/2029 | | |
Allegion US Holding Co., Inc. 5.41%, 7/1/2032 | | |
Alphabet, Inc. 1.10%, 8/15/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Ameren Illinois Co. 1.55%, 11/15/2030 | | |
American Equity Investment Life Holding Co. 5.00%, 6/15/2027 | | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
(SOFR + 1.76%), 4.42%, 8/3/2033 (g) | | |
American Homes 4 Rent LP REIT, 4.25%, 2/15/2028 | | |
American Honda Finance Corp. | | |
| | |
| | |
| | |
| | |
| | |
REIT, 4.05%, 3/15/2032 (a) | | |
American Water Capital Corp. | | |
| | |
| | |
AmerisourceBergen Corp. 3.25%, 3/1/2025 | | |
| | |
| | |
| | |
AMN Healthcare, Inc. 4.00%, 4/15/2029 (c) | | |
Analog Devices, Inc. 3.50%, 12/5/2026 | | |
Aon Corp. 2.60%, 12/2/2031 | | |
| | |
Series AA, 2.70%, 4/1/2031 | | |
Series BB, 4.50%, 8/1/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | | |
| | |
| | |
| | |
Arizona Public Service Co. | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Atmos Energy Corp. 1.50%, 1/15/2031 | | |
AutoNation, Inc. 2.40%, 8/1/2031 | | |
AvalonBay Communities, Inc. REIT, 3.35%, 5/15/2027 | | |
Avangrid, Inc. 3.80%, 6/1/2029 | | |
Avery Dennison Corp. 2.65%, 4/30/2030 | | |
AXIS Specialty Finance LLC | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (f) (g) | | |
AXIS Specialty Finance plc 4.00%, 12/6/2027 | | |
Baker Hughes Holdings LLC 3.34%, 12/15/2027 | | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (g) | | |
(SOFR + 1.11%), 3.84%, 4/25/2025 (g) | | |
(SOFR + 0.91%), 0.98%, 9/25/2025 (g) | | |
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (g) | | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (g) | | |
(SOFR + 0.65%), 1.53%, 12/6/2025 (g) | | |
(SOFR + 1.33%), 3.38%, 4/2/2026 (g) | | |
(SOFR + 1.15%), 1.32%, 6/19/2026 (g) | | |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (g) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (g) | | |
| | |
|
United States — continued |
(SOFR + 2.15%), 2.59%, 4/29/2031 (g) | | |
(SOFR + 1.37%), 1.92%, 10/24/2031 (g) | | |
(SOFR + 1.83%), 4.57%, 4/27/2033 (g) | | |
(SOFR + 2.16%), 5.02%, 7/22/2033 (g) | | |
Bank of New York Mellon (The) (SOFR + 0.80%), 5.22%, 11/21/2025 (g) | | |
Bank of New York Mellon Corp. (The) | | |
| | |
| | |
| | |
(SOFR + 0.57%), 3.43%, 6/13/2025 (g) | | |
(SOFR + 1.34%), 4.41%, 7/24/2026 (g) | | |
Series J, 1.90%, 1/25/2029 | | |
(SOFR + 1.75%), 4.60%, 7/26/2030 (a) (g) | | |
(SOFR + 1.42%), 4.29%, 6/13/2033 (g) | | |
(SOFRINDX + 2.07%), 5.83%, 10/25/2033 (g) | | |
Bath & Body Works, Inc. 6.88%, 11/1/2035 (a) | | |
Becton Dickinson & Co. 2.82%, 5/20/2030 | | |
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | | |
| | |
| | |
| | |
| | |
Blackstone Secured Lending Fund | | |
| | |
| | |
Block Financial LLC 3.88%, 8/15/2030 | | |
Boardwalk Pipelines LP 3.60%, 9/1/2032 | | |
Booking Holdings, Inc. 4.63%, 4/13/2030 | | |
BorgWarner, Inc. 2.65%, 7/1/2027 | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
Boston Scientific Corp. 3.45%, 3/1/2024 | | |
Brighthouse Financial, Inc. 5.63%, 5/15/2030 (a) | | |
| | |
| | |
| | |
| | |
Brixmor Operating Partnership LP REIT, 4.05%, 7/1/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Broadridge Financial Solutions, Inc. | | |
| | |
| | |
| | |
Brown & Brown, Inc. 4.50%, 3/15/2029 | | |
Capital One Financial Corp. | | |
| | |
| | |
| | |
(SOFR + 1.37%), 4.17%, 5/9/2025 (g) | | |
(SOFR + 1.29%), 2.64%, 3/3/2026 (g) | | |
(SOFR + 2.16%), 4.98%, 7/24/2026 (g) | | |
(SOFR + 2.37%), 5.27%, 5/10/2033 (a) (g) | | |
(SOFR + 2.60%), 5.82%, 2/1/2034 (g) | | |
| | |
| | |
| | |
Caterpillar Financial Services Corp. | | |
| | |
| | |
| | |
| | |
|
United States — continued |
Cboe Global Markets, Inc. 3.00%, 3/16/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 5.40%, 3/1/2033 | | |
| | |
| | |
| | |
Century Communities, Inc. 3.88%, 8/15/2029 (c) | | |
Charles Schwab Corp. (The) | | |
| | |
| | |
| | |
| | |
| | |
Charter Communications Operating LLC | | |
| | |
| | |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | | |
Chevron Corp. 1.55%, 5/11/2025 | | |
Chevron USA, Inc. 3.85%, 1/15/2028 | | |
Choice Hotels International, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Cincinnati Financial Corp. 6.92%, 5/15/2028 | | |
Cintas Corp. No. 2 3.45%, 5/1/2025 | | |
Citizens Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 5.64%, 5/21/2037 (g) | | |
Civitas Resources, Inc. 5.00%, 10/15/2026 (c) | | |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (g) | | |
CNA Financial Corp. 2.05%, 8/15/2030 | | |
Colgate-Palmolive Co. 3.25%, 8/15/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | | |
Constellation Brands, Inc. | | |
| | |
| | |
Corebridge Financial, Inc. | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (c) (f) (g) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Delek Logistics Partners LP 6.75%, 5/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
Devon Energy Corp. 7.95%, 4/15/2032 | | |
Dick's Sporting Goods, Inc. 3.15%, 1/15/2032 | | |
| | |
| | |
| | |
| | |
| | |
Discover Financial Services | | |
| | |
| | |
Discovery Communications LLC | | |
| | |
| | |
| | |
DR Horton, Inc. 1.30%, 10/15/2026 | | |
DTE Electric Co. Series C, 2.63%, 3/1/2031 | | |
DTE Energy Co. 2.95%, 3/1/2030 | | |
Eagle Materials, Inc. 2.50%, 7/1/2031 | | |
| | |
| | |
| | |
Edwards Lifesciences Corp. 4.30%, 6/15/2028 | | |
Elevance Health, Inc. 2.38%, 1/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Enterprise Products Operating LLC | | |
Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (g) | | |
(ICE LIBOR USD 3 Month + 2.57%), 5.38%, 2/15/2078 (g) | | |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | | |
Essential Properties LP REIT, 2.95%, 7/15/2031 | | |
Essential Utilities, Inc. | | |
| | |
| | |
| | |
Series Q, 0.80%, 8/15/2025 | | |
| | |
| | |
| | |
| | |
Exxon Mobil Corp. 2.28%, 8/16/2026 | | |
FedEx Corp. 2.40%, 5/15/2031 (a) | | |
Fidelity National Financial, Inc. 2.45%, 3/15/2031 | | |
Fifth Third Bancorp (SOFRINDX + 2.19%), 6.36%, 10/27/2028 (g) | | |
First American Financial Corp. | | |
| | |
| | |
Florida Power & Light Co. 2.85%, 4/1/2025 | | |
FMC Corp. 3.45%, 10/1/2029 | | |
FNB Corp. 5.15%, 8/25/2025 | | |
Foot Locker, Inc. 4.00%, 10/1/2029 (c) | | |
Fortinet, Inc. 2.20%, 3/15/2031 | | |
Fortune Brands Innovations, Inc. | | |
| | |
| | |
| | |
| | |
| | |
FS KKR Capital Corp. 3.40%, 1/15/2026 | | |
General Dynamics Corp. 3.75%, 5/15/2028 | | |
General Mills, Inc. 4.00%, 4/17/2025 | | |
| | |
|
United States — continued |
Genuine Parts Co. 2.75%, 2/1/2032 | | |
Georgia Power Co. Series B, 2.65%, 9/15/2029 | | |
GLP Capital LP REIT, 5.30%, 1/15/2029 | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(3-MONTH CME TERM SOFR + 1.20%), 3.27%, 9/29/2025 (g) | | |
| | |
(SOFR + 0.61%), 0.86%, 2/12/2026 (g) | | |
Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (g) | | |
| | |
(SOFR + 0.80%), 1.43%, 3/9/2027 (g) | | |
(SOFR + 1.51%), 4.39%, 6/15/2027 (g) | | |
(SOFR + 0.82%), 1.54%, 9/10/2027 (g) | | |
(SOFR + 1.85%), 3.62%, 3/15/2028 (g) | | |
(3-MONTH CME TERM SOFR + 1.16%), 3.81%, 4/23/2029 (g) | | |
(3-MONTH CME TERM SOFR + 1.30%), 4.22%, 5/1/2029 (g) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (g) | | |
(SOFR + 1.26%), 2.65%, 10/21/2032 (g) | | |
(SOFR + 1.41%), 3.10%, 2/24/2033 (g) | | |
Golub Capital BDC, Inc. 3.38%, 4/15/2024 (a) | | |
Haleon UK Capital plc 3.13%, 3/24/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Hershey Co. (The) 2.30%, 8/15/2026 (a) | | |
Hess Corp. 7.30%, 8/15/2031 | | |
Hexcel Corp. 4.20%, 2/15/2027 (h) | | |
HF Sinclair Corp. 4.50%, 10/1/2030 | | |
Honeywell International, Inc. 1.75%, 9/1/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
HSBC USA, Inc. 3.50%, 6/23/2024 | | |
| | |
| | |
| | |
Humana, Inc. 5.88%, 3/1/2033 | | |
Huntington Bancshares, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 2.49%, 8/15/2036 (g) | | |
Huntington National Bank (The) | | |
(SOFR + 1.20%), 4.01%, 5/16/2025 (g) | | |
(SOFR + 1.21%), 5.70%, 11/18/2025 (g) | | |
| | |
Huntsman International LLC 4.50%, 5/1/2029 | | |
Illumina, Inc. 5.75%, 12/13/2027 | | |
Ingles Markets, Inc. 4.00%, 6/15/2031 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
International Business Machines Corp. 4.50%, 2/6/2026 | | |
Interpublic Group of Cos., Inc. (The) 4.65%, 10/1/2028 | | |
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | | |
| | |
|
United States — continued |
| | |
| | |
| | |
| | |
| | |
Jefferies Financial Group, Inc. 4.15%, 1/23/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
KeyCorp (SOFR + 1.25%), 3.88%, 5/23/2025 (g) | | |
Kroger Co. (The) 7.50%, 4/1/2031 | | |
Lam Research Corp. 3.80%, 3/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Lithia Motors, Inc. 4.38%, 1/15/2031 (c) | | |
Lockheed Martin Corp. 4.95%, 10/15/2025 | | |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (c) | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
LXP Industrial Trust REIT, 2.38%, 10/1/2031 | | |
M/I Homes, Inc. 3.95%, 2/15/2030 | | |
Macy's Retail Holdings LLC | | |
| | |
| | |
| | |
Manufacturers & Traders Trust Co. 4.70%, 1/27/2028 | | |
Marathon Petroleum Corp. 3.63%, 9/15/2024 | | |
Marriott International, Inc. | | |
| | |
Series AA, 4.65%, 12/1/2028 | | |
Series FF, 4.63%, 6/15/2030 | | |
Series HH, 2.85%, 4/15/2031 | | |
Series GG, 3.50%, 10/15/2032 | | |
| | |
| | |
| | |
McKesson Corp. 3.80%, 3/15/2024 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Microchip Technology, Inc. 0.98%, 9/1/2024 | | |
Microsoft Corp. 2.40%, 8/8/2026 | | |
Mississippi Power Co. 3.95%, 3/30/2028 | | |
Mondelez International, Inc. | | |
| | |
| | |
| | |
| | |
(SOFR + 1.16%), 3.62%, 4/17/2025 (g) | | |
| | |
|
United States — continued |
(SOFR + 0.53%), 0.79%, 5/30/2025 (g) | | |
(SOFR + 1.15%), 2.72%, 7/22/2025 (g) | | |
(SOFR + 0.56%), 1.16%, 10/21/2025 (g) | | |
(SOFR + 1.99%), 2.19%, 4/28/2026 (g) | | |
(SOFR + 1.77%), 6.14%, 10/16/2026 (g) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (g) | | |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (g) | | |
(SOFR + 2.24%), 6.30%, 10/18/2028 (g) | | |
(SOFR + 1.73%), 5.12%, 2/1/2029 (g) | | |
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (g) | | |
(SOFR + 3.12%), 3.62%, 4/1/2031 (g) | | |
| | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (g) | | |
(SOFR + 1.29%), 2.94%, 1/21/2033 (g) | | |
(SOFR + 2.08%), 4.89%, 7/20/2033 (g) | | |
Motorola Solutions, Inc. 5.60%, 6/1/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
National Health Investors, Inc. REIT, 3.00%, 2/1/2031 | | |
NewMarket Corp. 2.70%, 3/18/2031 | | |
NextEra Energy Capital Holdings, Inc. | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (g) | | |
| | |
| | |
| | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (g) | | |
NSTAR Electric Co. 3.95%, 4/1/2030 | | |
NVR, Inc. 3.00%, 5/15/2030 | | |
Oaktree Specialty Lending Corp. 3.50%, 2/25/2025 | | |
Occidental Petroleum Corp. 7.95%, 6/15/2039 | | |
Old Republic International Corp. 3.88%, 8/26/2026 | | |
Omega Healthcare Investors, Inc. | | |
| | |
| | |
Omnicom Group, Inc. 2.45%, 4/30/2030 | | |
Oncor Electric Delivery Co. LLC 7.00%, 5/1/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Oshkosh Corp. 3.10%, 3/1/2030 | | |
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
Owens Corning 3.88%, 6/1/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PACCAR Financial Corp. 1.80%, 2/6/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Philip Morris International, Inc. | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
Phillips 66 3.85%, 4/9/2025 | | |
Phillips 66 Co. 3.55%, 10/1/2026 (c) | | |
| | |
| | |
| | |
PNC Financial Services Group, Inc. (The) | | |
| | |
(SOFR + 1.62%), 5.35%, 12/2/2028 (g) | | |
(SOFRINDX + 2.14%), 6.04%, 10/28/2033 (g) | | |
PPL Capital Funding, Inc. 3.10%, 5/15/2026 | | |
Procter & Gamble Co. (The) | | |
| | |
| | |
| | |
Prospect Capital Corp. 3.71%, 1/22/2026 | | |
Public Service Enterprise Group, Inc. 2.45%, 11/15/2031 | | |
Public Storage REIT, 3.39%, 5/1/2029 | | |
PVH Corp. 4.63%, 7/10/2025 | | |
| | |
| | |
| | |
QUALCOMM, Inc. 4.25%, 5/20/2032 | | |
| | |
| | |
| | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Regal Rexnord Corp. 6.30%, 2/15/2030 (c) | | |
Regency Centers LP REIT, 4.13%, 3/15/2028 | | |
Reliance Steel & Aluminum Co. 2.15%, 8/15/2030 | | |
| | |
|
United States — continued |
Roper Technologies, Inc. 2.95%, 9/15/2029 | | |
| | |
| | |
| | |
| | |
| | |
| | |
San Diego Gas & Electric Co. 2.50%, 5/15/2026 | | |
| | |
| | |
| | |
Sierra Pacific Power Co. 2.60%, 5/1/2026 | | |
| | |
| | |
| | |
| | |
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (c) | | |
Sixth Street Specialty Lending, Inc. 3.88%, 11/1/2024 | | |
Skyworks Solutions, Inc. 3.00%, 6/1/2031 | | |
| | |
| | |
| | |
Southern California Gas Co. | | |
Series TT, 2.60%, 6/15/2026 | | |
| | |
| | |
| | |
| | |
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.73%), 4.00%, 1/15/2051 (g) | | |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | | |
Southern Power Co. 0.90%, 1/15/2026 | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
Starbucks Corp. 3.55%, 8/15/2029 | | |
| | |
(SOFR + 0.41%), 1.75%, 2/6/2026 (a) (g) | | |
(SOFR + 2.60%), 2.90%, 3/30/2026 (g) | | |
(SOFR + 1.35%), 5.75%, 11/4/2026 (g) | | |
(SOFR + 1.73%), 4.16%, 8/4/2033 (g) | | |
(SOFR + 1.57%), 4.82%, 1/26/2034 (g) | | |
(SOFR + 1.49%), 3.03%, 11/1/2034 (g) | | |
STERIS Irish FinCo. UnLtd. Co. 2.70%, 3/15/2031 | | |
Stifel Financial Corp. 4.00%, 5/15/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Tampa Electric Co. 2.40%, 3/15/2031 | | |
Tapestry, Inc. 3.05%, 3/15/2032 | | |
Target Corp. 2.35%, 2/15/2030 | | |
Taylor Morrison Communities, Inc. 5.13%, 8/1/2030 (c) | | |
Tempur Sealy International, Inc. | | |
| | |
| | |
| | |
|
United States — continued |
Texas Instruments, Inc. 3.65%, 8/16/2032 | | |
Textron, Inc. 3.38%, 3/1/2028 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Transcontinental Gas Pipe Line Co. LLC | | |
| | |
| | |
Tri Pointe Homes, Inc. 5.25%, 6/1/2027 | | |
Trinity Acquisition plc 4.40%, 3/15/2026 | | |
| | |
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.15%), 2.64%, 9/17/2029 (g) | | |
| | |
| | |
(SOFR + 0.61%), 1.27%, 3/2/2027 (g) | | |
(SOFR + 2.30%), 6.12%, 10/28/2033 (a) (g) | | |
Union Electric Co. 2.15%, 3/15/2032 | | |
| | |
| | |
| | |
| | |
United Parcel Service, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
Unum Group 4.00%, 6/15/2029 | | |
| | |
(SOFR + 1.43%), 5.73%, 10/21/2026 (g) | | |
(SOFR + 0.73%), 2.22%, 1/27/2028 (a) (g) | | |
| | |
(SOFR + 1.66%), 4.55%, 7/22/2028 (g) | | |
(SOFR + 1.02%), 2.68%, 1/27/2033 (g) | | |
(SOFR + 2.11%), 4.97%, 7/22/2033 (g) | | |
(SOFR + 1.60%), 4.84%, 2/1/2034 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 0.95%), 2.49%, 11/3/2036 (g) | | |
US Bank NA 2.05%, 1/21/2025 | | |
Verizon Communications, Inc. | | |
| | |
| | |
VICI Properties LP REIT, 4.38%, 5/15/2025 | | |
Virginia Electric and Power Co. | | |
Series A, 3.15%, 1/15/2026 | | |
Series B, 3.75%, 5/15/2027 | | |
Series A, 3.80%, 4/1/2028 (a) | | |
Visa, Inc. 3.15%, 12/14/2025 | | |
| | |
| | |
| | |
| | |
Vulcan Materials Co. 3.90%, 4/1/2027 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Webster Financial Corp. 4.10%, 3/25/2029 | | |
| | |
|
United States — continued |
WEC Energy Group, Inc. 1.80%, 10/15/2030 | | |
| | |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (g) | | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (g) | | |
(SOFR + 1.26%), 2.57%, 2/11/2031 (g) | | |
| | |
| | |
| | |
| | |
| | |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (c) | | |
Western Union Co. (The) 2.75%, 3/15/2031 | | |
Westinghouse Air Brake Technologies Corp. | | |
| | |
| | |
Westlake Corp. 3.60%, 8/15/2026 | | |
Weyerhaeuser Co. REIT, 7.38%, 3/15/2032 | | |
Williams Cos., Inc. (The) | | |
| | |
Series A, 7.50%, 1/15/2031 | | |
| | |
Willis North America, Inc. 4.50%, 9/15/2028 | | |
Winnebago Industries, Inc. 6.25%, 7/15/2028 (c) | | |
Wisconsin Power and Light Co. 3.95%, 9/1/2032 | | |
Xcel Energy, Inc. 2.35%, 11/15/2031 | | |
Yum! Brands, Inc. 5.35%, 11/1/2043 | | |
Ziff Davis, Inc. 4.63%, 10/15/2030 (c) | | |
| | |
Total Corporate Bonds
(Cost $889,245) | | |
Foreign Government Securities — 12.5% |
|
Commonwealth of Australia | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Province of Alberta 2.90%, 12/1/2028 | | |
Province of British Columbia | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
Export-Import Bank of China (The) 0.75%, 5/28/2023 (b) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Bundesrepublik Deutschland | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Foreign Government Securities — continued |
|
Buoni Poliennali del Tesoro | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Italian Republic Government Bond 2.38%, 10/17/2024 | | |
| | |
|
Japan Bank for International Cooperation | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United Mexican States 5.40%, 2/9/2028 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Republic of Peru 1.86%, 12/1/2032 | | |
|
Republic of Philippines 0.25%, 4/28/2025 | | |
|
Romania Government Bond 2.00%, 4/14/2033 (c) | | |
|
| | |
| | |
| | |
| | |
|
Export-Import Bank of Korea | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
| | |
Republic of Korea 0.00%, 9/16/2025 | | |
| | |
|
Bonos and Obligaciones del Estado | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United Kingdom of Great Britain and Northern Ireland | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United Kingdom — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $443,883) | | |
| | |
Investment Companies — 4.6% |
| | |
JPMorgan Income Fund, Class R6 Shares (i)(Cost $166,352) | | |
| | |
U.S. Treasury Obligations — 1.6% |
U.S. Treasury Notes 0.88%, 1/31/2024 (j)(Cost $51,961) | | |
|
Asian Development Bank, 3.40%, 9/10/2027 (b) | | |
| | |
| | |
| | |
Inter-American Development Bank | | |
| | |
| | |
| | |
Total Supranational
(Cost $10,538) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Exchange-Traded Funds — 0.3% |
|
iShares MSCI India ETF *(Cost $5,393) | | |
| | |
Commercial Mortgage-Backed Securities — 0.2% |
|
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K033, Class X1, IO, 0.41%, 7/25/2023 (k) | | |
Series KC03, Class X1, IO, 0.63%, 11/25/2024 (k) | | |
Series K078, Class X1, IO, 0.23%, 6/25/2028 (k) | | |
Series K082, Class X1, IO, 0.15%, 9/25/2028 (k) | | |
Series K083, Class X1, IO, 0.18%, 9/25/2028 (k) | | |
FNMA ACES Series 2019-M21, Class X2, IO, 1.42%, 2/25/2031 (k) | | |
| | |
Series 2017-KF31, Class B, 7.76%, 4/25/2024 (c) (k) | | |
Series 2017-KF36, Class B, 7.51%, 8/25/2024 (c) (k) | | |
Series 2017-KF38, Class B, 7.36%, 9/25/2024 (c) (k) | | |
Series 2018-KF45, Class B, 6.81%, 3/25/2025 (c) (k) | | |
Series 2018-KF47, Class B, 6.86%, 5/25/2025 (c) (k) | | |
GNMA Series 2021-170, IO, 0.99%, 5/16/2063 (k) | | |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (k) | | |
Velocity Commercial Capital Loan Trust | | |
Series 2018-2, Class M2, 4.51%, 10/26/2048 (c) (k) | | |
Series 2018-2, Class M3, 4.72%, 10/26/2048 (c) (k) | | |
Wells Fargo Commercial Mortgage Trust Series 2019-C52, Class XA, IO, 1.75%, 8/15/2052 (k) | | |
Total Commercial Mortgage-Backed Securities
(Cost $5,377) | | |
| | |
|
|
BNP Paribas Issuance BV, expiring 9/15/2023 * | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Nmg Research Ltd., expiring 9/24/2027, price 1.00 USD ‡ * | | |
|
Windstream Holdings, Inc., expiring 12/31/2049, price 10.75 USD ‡ * | | |
Total Warrants
(Cost $4,951) | | |
| | |
Loan Assignments — 0.0% (g) (l) ^ |
|
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (m) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Loan Assignments — continued |
United States — continued |
Moran Foods LLC, 1st Lien Term Loan | | |
(3-MONTH CME TERM SOFR + 7.25%), 12.21%, 6/30/2026 | | |
(3-MONTH CME TERM SOFR + 7.25%), 12.21%, 6/30/2026 ‡ | | |
Moran Foods LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 9.50%), 14.46%, 12/31/2026 | | |
Total Loan Assignments
(Cost $858) | | |
| | |
Convertible Preferred Stocks — 0.0% ^ |
|
Claire's Stores, Inc. ‡ *(Cost $73) | | |
Preferred Stocks — 0.0% ^ |
|
Goodman Networks, Inc. ‡ * | | |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | | |
Total Preferred Stocks
(Cost $49) | | |
| | |
|
|
Localiza Rent a Car SA, expiring 5/11/2023 * | | |
|
Vistra Corp., expiring 12/31/2049 ‡ * | | |
Total Rights
(Cost $—) (d) | | |
| | |
Collateralized Mortgage Obligations — 0.0% ^ |
|
CHL Mortgage Pass-Through Trust | | |
Series 2005-31, Class 2A1, 3.21%, 1/25/2036 (k) | | |
Series 2006-21, Class A14, 6.00%, 2/25/2037 | | |
| | |
|
United States — continued |
Series 2007-10, Class A4, 5.50%, 7/25/2037 | | |
Deutsche Alt-A Securities Mortgage Loan Trust | | |
Series 2006-AF1, Class A4, 5.32%, 4/25/2036 (k) | | |
Series 2007-3, Class 2A1, 5.77%, 10/25/2047 (k) | | |
HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 5.31%, 1/25/2047 (k) | | |
JPMorgan Mortgage Trust Series 2005-A8, Class 2A3, 3.88%, 11/25/2035 (k) | | |
Total Collateralized Mortgage Obligations
(Cost $—) | | |
| | |
Short-Term Investments — 2.8% |
Investment Companies — 1.7% |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (i) (n) (Cost $58,015) | | |
Investment of Cash Collateral from Securities Loaned — 1.1% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (i) (n) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (i) (n) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $36,173) | | |
Total Short-Term Investments
(Cost $94,188) | | |
Total Investments — 94.6%
(Cost $2,822,432) | | |
Assets in Excess of Other Liabilities — 5.4% | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| Alternative Credit Enhancement Securities |
| American Depositary Receipt |
| |
| |
| |
| Clearing House Electronic Subregister System (CHESS) Depository Interest |
| Chicago Mercantile Exchange |
| |
| |
| |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Global Depositary Receipt |
| Government National Mortgage Association |
| Intercontinental Exchange |
| 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. |
| |
| |
| London Interbank Offered Rate |
| |
| 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. |
| Limited liability company |
| Real Estate Investment Trust |
| Limited partnership with share capital |
| |
| |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $35,251. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| | |
| All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $2,259. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at April 30, 2023 is $5,663 or 0.17% of the Fund’s net assets as of April 30, 2023. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2023. | |
| 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, 2023. | |
| 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. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| 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, 2023. | |
| Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| | |
| The rate shown is the current yield as of April 30, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
Foreign Government Securities | |
| |
| |
| |
Semiconductors & Semiconductor Equipment | |
| |
Oil, Gas & Consumable Fuels | |
| |
| |
Technology Hardware, Storage & Peripherals | |
Health Care Providers & Services | |
Hotels, Restaurants & Leisure | |
| |
| |
| |
| |
| |
| |
Interactive Media & Services | |
| |
| |
| |
Health Care Equipment & Supplies | |
Textiles, Apparel & Luxury Goods | |
| |
| |
Others (each less than 1.0%) | |
| |
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 each 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.
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Foreign Exchange AUD / USD | | | | | |
Foreign Exchange EUR / USD | | | | | |
| | | | | |
Foreign Exchange JPY / USD | | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| |
| |
| |
| Europe, Australasia and Far East |
| |
| |
| |
| Morgan Stanley Capital International |
| Secured Overnight Financing Rate |
| |
| |
| Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of April 30, 2023 (amounts in thousands):
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | Merrill Lynch International | | |
| | | | | | |
| | | | Merrill Lynch International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | Merrill Lynch International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized appreciation | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized depreciation | |
Net unrealized depreciation | |
SEE NOTES TO FINANCIAL STATEMENTS.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited)
| | |
|
|
| | |
| | |
Bendigo & Adelaide Bank Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Woodside Energy Group Ltd. | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
B3 SA - Brasil Bolsa Balcao | | |
BB Seguridade Participacoes SA | | |
EDP - Energias do Brasil SA | | |
Itau Unibanco Holding SA (Preference) | | |
| | |
| | |
| | |
|
| | |
Algonquin Power & Utilities Corp. (a) | | |
| | |
|
|
| | |
| | |
| | |
Bank of Nova Scotia (The) | | |
| | |
| | |
Canadian Apartment Properties, REIT | | |
Canadian Imperial Bank of Commerce | | |
Canadian Natural Resources Ltd. | | |
Canadian Tire Corp. Ltd., Class A | | |
Canadian Utilities Ltd., Class A | | |
| | |
Chartwell Retirement Residences | | |
| | |
| | |
| | |
| | |
Great-West Lifeco, Inc. (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Pembina Pipeline Corp. (a) | | |
| | |
Restaurant Brands International, Inc. | | |
Sienna Senior Living, Inc. | | |
| | |
| | |
| | |
Toronto-Dominion Bank (The) | | |
| | |
TransAlta Renewables, Inc. | | |
| | |
|
Telford Offshore Holdings Ltd. ‡ * | | |
|
Banco Santander Chile, ADR | | |
|
China Construction Bank Corp., Class H | | |
China Merchants Bank Co. Ltd., Class H * | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
China Overseas Land & Investment Ltd. | | |
China Petroleum & Chemical Corp., Class H | | |
China Resources Gas Group Ltd. | | |
China Resources Land Ltd. | | |
Fuyao Glass Industry Group Co. Ltd., Class A * | | |
Fuyao Glass Industry Group Co. Ltd., Class H * (b) | | |
Guangdong Investment Ltd. | | |
Haier Smart Home Co. Ltd., Class A * | | |
Haier Smart Home Co. Ltd., Class H * | | |
Huayu Automotive Systems Co. Ltd., Class A * | | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A * | | |
Joyoung Co. Ltd., Class A * | | |
Midea Group Co. Ltd., Class A | | |
| | |
| | |
Ping An Insurance Group Co. of China Ltd., Class H | | |
Tingyi Cayman Islands Holding Corp. | | |
Topsports International Holdings Ltd. (b) | | |
Wuliangye Yibin Co. Ltd., Class A | | |
Xinyi Glass Holdings Ltd. | | |
| | |
Zhejiang Supor Co. Ltd., Class A * | | |
| | |
|
AP Moller - Maersk A/S, Class B | | |
| | |
Novo Nordisk A/S, Class B | | |
| | |
|
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Cie Generale des Etablissements Michelin SCA | | |
| | |
| | |
| | |
| | |
| | |
Gaztransport Et Technigaz SA | | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Bayerische Motoren Werke AG | | |
| | |
Daimler Truck Holding AG * | | |
Deutsche Post AG (Registered) | | |
Deutsche Telekom AG (Registered) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
Muenchener Rueckversicherungs- Gesellschaft AG (Registered) | | |
| | |
Telefonica Deutschland Holding AG | | |
| | |
| | |
|
| | |
CK Infrastructure Holdings Ltd. | | |
| | |
| | |
HK Electric Investments & HK Electric Investments Ltd. (b) | | |
| | |
| | |
Hong Kong & China Gas Co. Ltd. | | |
Hong Kong Exchanges & Clearing Ltd. | | |
New World Development Co. Ltd. | | |
Orient Overseas International Ltd. | | |
| | |
Power Assets Holdings Ltd. | | |
| | |
| | |
Yue Yuen Industrial Holdings Ltd. | | |
| | |
|
Embassy Office Parks, REIT | | |
| | |
| | |
Tata Consultancy Services Ltd. * | | |
| | |
|
Bank Rakyat Indonesia Persero Tbk. PT | | |
Telkom Indonesia Persero Tbk. PT | | |
| | |
|
| | |
|
Bezeq The Israeli Telecommunication Corp. Ltd. | | |
| | |
|
|
| | |
| | |
Assicurazioni Generali SpA | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Mediobanca Banca di Credito Finanziario SpA | | |
| | |
| | |
| | |
Terna - Rete Elettrica Nazionale | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Chubu Electric Power Co., Inc. | | |
Comforia Residential REIT, Inc., REIT | | |
Dai Nippon Printing Co. Ltd. | | |
Electric Power Development Co. Ltd. | | |
| | |
| | |
Frontier Real Estate Investment Corp., REIT | | |
Hokkaido Electric Power Co., Inc. * | | |
| | |
Japan Metropolitan Fund Invest, REIT | | |
Japan Post Holdings Co. Ltd. | | |
| | |
Kansai Electric Power Co., Inc. (The) | | |
| | |
Kenedix Office Investment Corp., REIT | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
| | |
Mitsubishi Chemical Group Corp. | | |
Nippon Prologis REIT, Inc., REIT | | |
| | |
Nippon Telegraph & Telephone Corp. | | |
Okinawa Electric Power Co., Inc. (The) * | | |
| | |
| | |
Shin-Etsu Chemical Co. Ltd. | | |
| | |
Sumitomo Forestry Co. Ltd. | | |
Takeda Pharmaceutical Co. Ltd. | | |
Tokio Marine Holdings, Inc. | | |
| | |
| | |
| | |
United Urban Investment Corp., REIT | | |
| | |
|
| | |
| | |
| | |
|
Bolsa Mexicana de Valores SAB de CV | | |
Grupo Financiero Banorte SAB de CV, Class O | | |
Kimberly-Clark de Mexico SAB de CV, Class A | | |
| | |
Wal-Mart de Mexico SAB de CV | | |
| | |
|
ABN AMRO Bank NV, CVA (b) | | |
| | |
| | |
BE Semiconductor Industries NV | | |
| | |
Koninklijke Ahold Delhaize NV | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Powszechny Zaklad Ubezpieczen SA | | |
|
EDP - Energias de Portugal SA | | |
| | |
| | |
| | |
| | |
Redes Energeticas Nacionais SGPS SA * | | |
| | |
|
Moscow Exchange MICEX-RTS PJSC ‡ * | | |
Severstal PAO, GDR ‡ * (b) | | |
Severstal PAO, GDR ‡ * (b) | | |
| | |
|
| | |
|
| | |
CapitaLand Ascendas, REIT | | |
CapitaLand Integrated Commercial Trust, REIT | | |
| | |
Digital Core REIT Management Pte. Ltd., REIT | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
Keppel Infrastructure Trust | | |
| | |
| | |
Singapore Telecommunications Ltd. | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
ESR Kendall Square REIT Co. Ltd., REIT | | |
Hana Financial Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Samsung Electronics Co. Ltd. | | |
Shinhan Financial Group Co. Ltd. | | |
| | |
| | |
| | |
|
| | |
ACS Actividades de Construccion y Servicios SA | | |
Atlantica Sustainable Infrastructure plc | | |
Banco Bilbao Vizcaya Argentaria SA | | |
| | |
| | |
| | |
Cia de Distribucion Integral Logista Holdings SA | | |
| | |
| | |
| | |
| | |
|
|
Industria de Diseno Textil SA | | |
| | |
Merlin Properties Socimi SA, REIT | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Skandinaviska Enskilda Banken AB, Class A | | |
| | |
Svenska Handelsbanken AB, Class A | | |
| | |
| | |
| | |
| | |
|
| | |
Cie Financiere Richemont SA (Registered) | | |
| | |
| | |
| | |
Zurich Insurance Group AG | | |
| | |
|
Accton Technology Corp. * | | |
ASE Technology Holding Co. Ltd. * | | |
Chailease Holding Co. Ltd. * | | |
Delta Electronics, Inc. * | | |
| | |
Mega Financial Holding Co. Ltd. * | | |
Novatek Microelectronics Corp. * | | |
President Chain Store Corp. * | | |
| | |
Realtek Semiconductor Corp. * | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
|
Vanguard International Semiconductor Corp. * | | |
| | |
| | |
|
| | |
Siam Cement PCL (The) (Registered) | | |
| | |
|
| | |
| | |
| | |
B&M European Value Retail SA | | |
| | |
| | |
| | |
Berkeley Group Holdings plc | | |
Big Yellow Group plc, REIT | | |
| | |
| | |
| | |
| | |
| | |
Coca-Cola Europacific Partners plc | | |
| | |
| | |
Direct Line Insurance Group plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
InterContinental Hotels Group plc | | |
| | |
| | |
Legal & General Group plc | | |
| | |
LondonMetric Property plc, REIT | | |
| | |
| | |
| | |
| | |
| | |
|
United Kingdom — continued |
| | |
| | |
| | |
| | |
| | |
Safestore Holdings plc, REIT | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
UNITE Group plc (The), REIT | | |
United Utilities Group plc | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
AGNC Investment Corp., REIT | | |
Air Products and Chemicals, Inc. | | |
Alexandria Real Estate Equities, Inc., REIT | | |
American Electric Power Co., Inc. | | |
| | |
American Tower Corp., REIT | | |
Americold Realty Trust, Inc., REIT | | |
| | |
| | |
Annaly Capital Management, Inc., REIT | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United States — continued |
| | |
Boston Properties, Inc., REIT | | |
| | |
Camden Property Trust, REIT | | |
| | |
| | |
CF Industries Holdings, Inc. | | |
Charles Schwab Corp. (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Claire's Stores, Inc. ‡ * | | |
Clear Channel Outdoor Holdings, Inc. * (a) | | |
Clearway Energy, Inc., Class C | | |
| | |
| | |
| | |
| | |
Cogent Communications Holdings, Inc. | | |
| | |
| | |
| | |
| | |
Consolidated Edison, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Digital Realty Trust, Inc., REIT | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
| | |
Equitrans Midstream Corp. | | |
Equity LifeStyle Properties, Inc. | | |
| | |
| | |
| | |
Federal Realty Investment Trust, REIT | | |
| | |
| | |
| | |
Frontier Communications Parent, Inc. * (a) | | |
| | |
| | |
| | |
| | |
Goodman Networks, Inc. ‡ * | | |
| | |
| | |
| | |
Hawaiian Electric Industries, Inc. | | |
Healthpeak Properties, Inc., REIT | | |
Hewlett Packard Enterprise Co. | | |
| | |
| | |
Host Hotels & Resorts, Inc., REIT | | |
| | |
iHeartMedia, Inc., Class A * | | |
| | |
International Business Machines Corp. | | |
| | |
Interpublic Group of Cos., Inc. (The) | | |
| | |
Iron Mountain, Inc., REIT | | |
| | |
| | |
| | |
| | |
| | |
Kilroy Realty Corp., REIT | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Common Stocks — continued |
United States — continued |
Kite Realty Group Trust, REIT | | |
| | |
Laureate Education, Inc., Class A | | |
| | |
| | |
LyondellBasell Industries NV, Class A | | |
| | |
| | |
| | |
| | |
| | |
| | |
Mondelez International, Inc., Class A | | |
Moran Foods Backstop Equity ‡ * | | |
| | |
| | |
| | |
National Retail Properties, Inc., REIT | | |
| | |
| | |
New Fortress Energy, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Nordic American Tankers Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Park Hotels & Resorts, Inc., REIT | | |
| | |
| | |
| | |
Philip Morris International, Inc. | | |
| | |
Pinnacle West Capital Corp. | | |
Pioneer Natural Resources Co. | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
|
United States — continued |
| | |
| | |
Procter & Gamble Co. (The) | | |
| | |
| | |
Prudential Financial, Inc. | | |
Public Service Enterprise Group, Inc. | | |
| | |
Raytheon Technologies Corp. | | |
| | |
Regency Centers Corp., REIT | | |
| | |
Rexford Industrial Realty, Inc., REIT | | |
| | |
| | |
Seagate Technology Holdings plc (a) | | |
Shenandoah Telecommunications Co. | | |
Simon Property Group, Inc., REIT | | |
| | |
| | |
| | |
| | |
| | |
Sun Communities, Inc., REIT | | |
| | |
T. Rowe Price Group, Inc. | | |
Telephone and Data Systems, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
United Parcel Service, Inc., Class B | | |
| | |
| | |
| | |
| | |
Verizon Communications, Inc. | | |
| | |
VICI Properties, Inc., REIT | | |
| | |
| | |
Walgreens Boots Alliance, Inc. | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Common Stocks — continued |
United States — continued |
| | |
| | |
| | |
| | |
Williams Cos., Inc. (The) | | |
| | |
| | |
| | |
Total Common Stocks
(Cost $3,255,407) | | |
| | |
|
|
Ausgrid Finance Pty. Ltd. 3.85%, 5/1/2023 (c) | | |
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (c) (d) (e) (f) (g) | | |
FMG Resources August 2006 Pty. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(SOFR + 0.69%), 1.20%, 10/14/2025 (c) (g) | | |
| | |
| | |
| | |
| | |
| | |
|
ams-OSRAM AG 7.00%, 7/31/2025 (c) | | |
| | |
|
|
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (b) | | |
State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030 (b) | | |
| | |
|
Oil and Gas Holding Co. BSCC (The) | | |
| | |
| | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. | | |
| | |
| | |
| | |
(EUR Swap Annual 5 Year + 4.69%), 4.75%, 3/5/2024 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (c) (g) | | |
| | |
|
Braskem Netherlands Finance BV 7.25%, 2/13/2033 (c) | | |
CSN Resources SA 4.63%, 6/10/2031 (c) | | |
Guara Norte SARL 5.20%, 6/15/2034 (a) (c) | | |
Klabin Austria GmbH 7.00%, 4/3/2049 (b) | | |
MV24 Capital BV 6.75%, 6/1/2034 (c) | | |
Nexa Resources SA 5.38%, 5/4/2027 (b) | | |
Petrobras Global Finance BV 6.85%, 6/5/2115 | | |
Vale Overseas Ltd. 3.75%, 7/8/2030 | | |
| | |
|
| | |
| | |
| | |
| | |
Athabasca Oil Corp. 9.75%, 11/1/2026 (c) | | |
ATS Corp. 4.13%, 12/15/2028 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
| | |
(SOFRINDX + 0.27%), 5.10%, 9/15/2023 (g) | | |
Series E, 3.30%, 2/5/2024 (a) | | |
| | |
Series H, 4.70%, 9/14/2027 | | |
Bank of Nova Scotia (The) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (d) (e) (f) (g) | | |
| | |
| | |
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.62%, 10/27/2081 (d) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.62%, 10/27/2082 (d) (g) | | |
| | |
| | |
| | |
Bell Canada (The) Series US-5, 2.15%, 2/15/2032 (a) | | |
Bombardier, Inc. 7.88%, 4/15/2027 (c) | | |
Canadian Imperial Bank of Commerce 0.95%, 6/23/2023 | | |
Emera US Finance LP 2.64%, 6/15/2031 | | |
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (g) | | |
| | |
| | |
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (g) | | |
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.42%), 7.63%, 1/15/2083 (g) | | |
Federation des Caisses Desjardins du Quebec | | |
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (c) (g) | | |
| | |
|
|
| | |
| | |
Garda World Security Corp. 4.63%, 2/15/2027 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Nutrien Ltd. 1.90%, 5/13/2023 | | |
Open Text Holdings, Inc. 4.13%, 2/15/2030 (c) | | |
| | |
| | |
| | |
Ritchie Bros Holdings, Inc. | | |
| | |
| | |
Rogers Communications, Inc. | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (c) (g) | | |
| | |
(SOFRINDX + 0.30%), 5.12%, 1/19/2024 (g) | | |
| | |
Superior Plus LP 4.50%, 3/15/2029 (c) | | |
Taseko Mines Ltd. 7.00%, 2/15/2026 (c) | | |
Toronto-Dominion Bank (The) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.12%, 10/31/2082 (d) (g) | | |
TransAlta Corp. 6.50%, 3/15/2040 | | |
TransCanada PipeLines Ltd. 4.75%, 5/15/2038 | | |
| | |
Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 4.42%), 5.50%, 9/15/2079 (g) | | |
Vermilion Energy, Inc. 6.88%, 5/1/2030 (c) | | |
| | |
| | |
| | |
| | |
| | |
|
Central Plaza Development Ltd. | | |
| | |
| | |
China Oil & Gas Group Ltd. 4.70%, 6/30/2026 (b) | | |
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) (g) | | |
Country Garden Holdings Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
ENN Clean Energy International Investment Ltd. 3.38%, 5/12/2026 (b) | | |
Franshion Brilliant Ltd. 4.25%, 7/23/2029 (b) | | |
Gemdale Ever Prosperity Investment Ltd. 4.95%, 8/12/2024 (b) | | |
GLP China Holdings Ltd. 4.97%, 2/26/2024 (b) | | |
Golden Eagle Retail Group Ltd. 4.63%, 5/21/2023 (b) | | |
Greentown China Holdings Ltd. 5.65%, 7/13/2025 (b) | | |
Hopson Development Holdings Ltd. | | |
| | |
| | |
Huarong Finance 2019 Co. Ltd. 3.25%, 11/13/2024 (b) | | |
Huarong Finance II Co. Ltd. | | |
| | |
| | |
| | |
|
|
Lenovo Group Ltd. 5.83%, 1/27/2028 (c) | | |
Longfor Group Holdings Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Shandong Iron And Steel Xinheng International Co. Ltd. 4.80%, 7/28/2024 (b) | | |
Shui On Development Holding Ltd. | | |
| | |
| | |
Vanke Real Estate Hong Kong Co. Ltd. 3.98%, 11/9/2027 (b) | | |
West China Cement Ltd. 4.95%, 7/8/2026 (b) | | |
Yanlord Land HK Co. Ltd. 6.80%, 2/27/2024 (b) | | |
Yunda Holding Investment Ltd. 2.25%, 8/19/2025 (b) | | |
Zhongsheng Group Holdings Ltd. 3.00%, 1/13/2026 (b) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (c) (g) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (c) (d) (e) (f) (g) | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Banque Federative du Credit Mutuel SA | | |
| | |
| | |
| | |
| | |
(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (c) (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 9.25%, 11/17/2027 (c) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (c) (d) (e) (f) (g) | | |
| | |
| | |
(SOFR + 1.52%), 1.65%, 10/6/2026 (c) (g) | | |
(SOFR + 2.10%), 5.97%, 1/18/2027 (c) (g) | | |
| | |
CGG SA 8.75%, 4/1/2027 (a) (c) | | |
| | |
| | |
(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (c) (d) (e) (f) (g) | | |
(GBP Swap Semi 5 Year + 4.81%), 7.50%, 6/23/2026 (c) (d) (e) (f) (g) | | |
| | |
| | |
|
|
(EUR Swap Annual 5 Year + 4.37%), 4.00%, 12/23/2027 (b) (d) (e) (f) (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 4.75%, 3/23/2029 (c) (d) (e) (f) (g) | | |
Danone SA 2.59%, 11/2/2023 (c) | | |
| | |
| | |
| | |
| | |
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (c) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (c) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (c) (d) (e) (f) (g) | | |
| | |
| | |
|
| | |
| | |
| | |
Daimler Truck Finance North America LLC | | |
| | |
| | |
| | |
(SOFR + 2.16%), 2.22%, 9/18/2024 (g) | | |
(SOFR + 1.87%), 2.13%, 11/24/2026 (g) | | |
Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (h) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Volkswagen Group of America Finance LLC | | |
| | |
| | |
| | |
|
Energuate Trust 5.88%, 5/3/2027 (b) | | |
|
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) (g) | | |
CAS Capital No. 1 Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.64%), 4.00%, 7/12/2026 (b) (e) (f) (g) | | |
Elect Global Investments Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.89%), 4.10%, 6/3/2025 (b) (e) (f) (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.87%), 8.04%, 6/15/2023 (b) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.88%), 6.37%, 9/13/2024 (b) (e) (f) (g) | | |
FWD Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 6.76%, 8/1/2023 (b) (e) (f) (g) | | |
Melco Resorts Finance Ltd. | | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 6.20%), 6.15%, 3/16/2025 (b) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.86%), 4.12%, 3/10/2028 (b) (e) (f) (g) | | |
NWD MTN Ltd. 4.13%, 7/18/2029 (b) | | |
| | |
| | |
|
|
ABJA Investment Co. Pte. Ltd. 5.45%, 1/24/2028 (b) | | |
Continuum Energy Levanter Pte. Ltd. 4.50%, 2/9/2027 (b) | | |
Greenko Dutch BV 3.85%, 3/29/2026 (b) | | |
| | |
| | |
| | |
Greenko Solar Mauritius Ltd. 5.95%, 7/29/2026 (b) | | |
Greenko Wind Projects Mauritius Ltd. 5.50%, 4/6/2025 (c) | | |
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) (g) | | |
| | |
| | |
| | |
India Clean Energy Holdings 4.50%, 4/18/2027 (b) | | |
India Green Energy Holdings 5.38%, 4/29/2024 (b) | | |
India Green Power Holdings 4.00%, 2/22/2027 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Network i2i Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%, 1/15/2025 (b) (e) (f) (g) | | |
ReNew Power Pvt Ltd. 5.88%, 3/5/2027 (b) | | |
TML Holdings Pte. Ltd. 4.35%, 6/9/2026 (b) | | |
| | |
|
Adaro Indonesia PT 4.25%, 10/31/2024 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — 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) (g) | | |
Bank Tabungan Negara Persero Tbk. PT 4.20%, 1/23/2025 (b) (d) | | |
Cikarang Listrindo Tbk. PT 4.95%, 9/14/2026 (b) | | |
Indika Energy Capital III Pte. Ltd. 5.88%, 11/9/2024 (b) | | |
Indika Energy Capital IV Pte. Ltd. 8.25%, 10/22/2025 (b) | | |
Medco Bell Pte. Ltd. 6.38%, 1/30/2027 (b) | | |
Medco Platinum Road Pte. Ltd. 6.75%, 1/30/2025 (b) | | |
| | |
| | |
| | |
Pertamina Geothermal Energy PT 5.15%, 4/27/2028 (c) | | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.00%, 6/30/2050 (b) | | |
| | |
|
AerCap Holdings NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.87%, 10/10/2079 (g) | | |
AerCap Ireland Capital DAC | | |
| | |
| | |
Series 3NC1, 1.75%, 10/29/2024 | | |
AIB Group plc (SOFR + 3.46%), 7.58%, 10/14/2026 (c) (g) | | |
Avolon Holdings Funding Ltd. 3.95%, 7/1/2024 (c) | | |
| | |
|
|
Bank of Ireland Group plc | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (c) (g) | | |
| | |
|
Energean Israel Finance Ltd. | | |
| | |
| | |
Leviathan Bond Ltd. 6.50%, 6/30/2027 (b) | | |
| | |
|
Intesa Sanpaolo SpA 7.00%, 11/21/2025 (c) | | |
Telecom Italia Capital SA | | |
| | |
| | |
| | |
| | |
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (c) (g) | | |
(EURIBOR ICE Swap Rate 5 Year + 4.08%), 3.88%, 6/3/2027 (b) (d) (e) (f) (g) | | |
| | |
|
Mitsubishi UFJ Financial Group, Inc. | | |
| | |
(ICE LIBOR USD 3 Month + 0.86%), 6.13%, 7/26/2023 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.72%, 2/20/2026 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (a) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (g) | | |
Mizuho Financial Group, Inc. | | |
(SOFR + 1.25%), 1.24%, 7/10/2024 (g) | | |
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (g) | | |
Nippon Life Insurance Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 2.75%, 1/21/2051 (c) (g) | | |
Sumitomo Life Insurance Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 3.38%, 4/15/2081 (c) (g) | | |
Sumitomo Mitsui Financial Group, Inc. 5.46%, 1/13/2026 | | |
Sumitomo Mitsui Trust Bank Ltd. 5.65%, 3/9/2026 (c) | | |
Takeda Pharmaceutical Co. Ltd. 2.05%, 3/31/2030 | | |
Universal Entertainment Corp. 8.50%, 12/11/2024 (c) | | |
| | |
|
KazMunayGas National Co. JSC | | |
| | |
| | |
Tengizchevroil Finance Co. International Ltd. 4.00%, 8/15/2026 (b) | | |
| | |
|
Altice Financing SA 5.75%, 8/15/2029 (c) | | |
Altice France Holding SA 10.50%, 5/15/2027 (c) | | |
| | |
|
|
FAGE International SA 5.63%, 8/15/2026 (c) | | |
INEOS Finance plc 6.75%, 5/15/2028 (a) (c) | | |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (c) | | |
| | |
|
Champion Path Holdings Ltd. 4.85%, 1/27/2028 (b) | | |
MGM China Holdings Ltd. 4.75%, 2/1/2027 (b) | | |
Sands China Ltd. 5.90%, 8/8/2028 (h) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Gohl Capital Ltd. 4.25%, 1/24/2027 (b) | | |
|
Alfa SAB de CV 6.88%, 3/25/2044 (c) | | |
Comision Federal de Electricidad 4.68%, 2/9/2051 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
|
OCP SA 6.88%, 4/25/2044 (b) | | |
|
ABN AMRO Bank NV (EUR Swap Annual 5 Year + 4.67%), 4.37%, 9/22/2025 (b) (d) (e) (f) (g) | | |
| | |
| | |
| | |
(EUR Swap Annual 5 Year + 4.68%), 4.37%, 6/29/2027 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (c) (g) | | |
| | |
(USD Swap Semi 5 Year + 4.45%), 6.50%, 4/16/2025 (d) (e) (f) (g) | | |
(SOFR + 1.64%), 3.87%, 3/28/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (d) (e) (f) (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.71%), 7.50%, 5/16/2028 (b) (d) (e) (f) (g) | | |
Shell International Finance BV 2.75%, 4/6/2030 | | |
Trivium Packaging Finance BV | | |
| | |
8.50%, 8/15/2027 (a) (c) (h) | | |
UPC Broadband Finco BV 4.88%, 7/15/2031 (c) | | |
| | |
| | |
|
|
| | |
(SOFRINDX + 0.81%), 2.97%, 3/28/2025 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (c) (g) | | |
(SOFRINDX + 1.95%), 5.90%, 10/9/2026 (c) (g) | | |
| | |
|
AES Panama Generation Holdings SRL 4.38%, 5/31/2030 (c) | | |
|
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (c) | | |
|
| | |
| | |
| | |
| | |
|
Globe Telecom, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.53%), 4.20%, 8/2/2026 (b) (e) (f) (g) | | |
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) (g) | | |
SMC Global Power Holdings Corp. | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.61%), 6.50%, 4/25/2024 (b) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.20%), 7.00%, 10/21/2025 (b) (e) (f) (g) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.74%), 4.50%, 5/17/2026 (b) (e) (f) (g) | | |
| | |
|
| | |
| | |
| | |
Transnet SOC Ltd. 8.25%, 2/6/2028 (c) | | |
| | |
|
Hana Bank (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.41%), 3.50%, 10/19/2026 (c) (d) (e) (f) (g) | | |
Hanwha Life Insurance Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.85%), 3.38%, 2/4/2032 (b) (g) | | |
| | |
|
Banco Bilbao Vizcaya Argentaria SA | | |
(EUR Swap Annual 5 Year + 6.04%), 6.00%, 3/29/2024 (b) (d) (e) (f) (g) | | |
(EUR Swap Annual 5 Year + 6.46%), 6.00%, 1/15/2026 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 4.75%, 11/12/2026 (d) (e) (f) (g) | | |
Grifols Escrow Issuer SA 4.75%, 10/15/2028 (c) | | |
Telefonica Emisiones SA 4.67%, 3/6/2038 | | |
| | |
| | |
|
|
Skandinaviska Enskilda Banken AB 1.20%, 9/9/2026 (c) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (b) (d) (e) (f) (g) | | |
| | |
|
Cloverie plc for Zurich Insurance Co. Ltd. (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (b) (g) | | |
| | |
| | |
| | |
| | |
| | |
(SOFR + 1.56%), 2.59%, 9/11/2025 (c) (g) | | |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (c) (g) | | |
| | |
(USD Swap Semi 5 Year + 4.34%), 7.00%, 1/31/2024 (c) (d) (e) (f) (g) | | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (b) (d) (e) (f) (g) | | |
(USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (b) (d) (e) (f) (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.86%), 5.12%, 7/29/2026 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.40%), 4.88%, 2/12/2027 (c) (d) (e) (f) (g) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
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) (g) | | |
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) (g) | | |
Thaioil Treasury Center Co. Ltd. | | |
| | |
| | |
TMBThanachart Bank PCL (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.26%), 4.90%, 12/2/2024 (b) (d) (e) (f) (g) | | |
| | |
United Arab Emirates — 0.0% ^ |
Telford Offshore Ltd. 12.00% (PIK), 12/31/2164 (i) | | |
|
180 Medical, Inc. 3.88%, 10/15/2029 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (g) | | |
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (g) | | |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 6.37%, 12/15/2025 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.43%), 8.00%, 3/15/2029 (d) (e) (f) (g) | | |
BAT Capital Corp. 4.39%, 8/15/2037 | | |
| | |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.17%), 4.25%, 3/22/2027 (b) (e) (f) (g) | | |
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (b) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (e) (f) (g) | | |
| | |
|
United Kingdom — continued |
British Telecommunications plc 4.50%, 12/4/2023 | | |
Centrica plc 4.00%, 10/16/2023 (c) | | |
| | |
(SOFR + 0.53%), 0.73%, 8/17/2024 (g) | | |
(SOFR + 0.58%), 1.16%, 11/22/2024 (g) | | |
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (g) | | |
(SOFR + 0.71%), 0.98%, 5/24/2025 (g) | | |
(SOFR + 1.54%), 1.64%, 4/18/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.00%, 3/7/2028 (d) (e) (f) (g) | | |
(EUR Swap Annual 5 Year + 3.84%), 4.75%, 7/4/2029 (b) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (d) (e) (f) (g) | | |
INEOS Quattro Finance 2 plc 3.38%, 1/15/2026 (a) (c) | | |
Ithaca Energy North Sea plc 9.00%, 7/15/2026 (c) | | |
Jaguar Land Rover Automotive plc 5.88%, 1/15/2028 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, 5/11/2024 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (g) | | |
Nationwide Building Society | | |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.39%), 5.87%, 12/20/2024 (b) (d) (e) (f) (g) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United Kingdom — continued |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (b) (d) (e) (f) (g) | | |
| | |
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (d) (e) (f) (g) | | |
NatWest Markets plc 1.60%, 9/29/2026 (c) | | |
Rolls-Royce plc 5.75%, 10/15/2027 (c) | | |
Santander UK Group Holdings plc | | |
(ICE LIBOR USD 3 Month + 1.57%), 4.80%, 11/15/2024 (g) | | |
(SOFR + 0.79%), 1.09%, 3/15/2025 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (g) | | |
(SOFR + 2.75%), 6.83%, 11/21/2026 (g) | | |
(SOFR + 0.99%), 1.67%, 6/14/2027 (g) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (g) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (a) (c) (g) | | |
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.17%, 1/9/2027 (c) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.98%), 7.75%, 8/15/2027 (c) (d) (e) (f) (g) | | |
| | |
|
United Kingdom — continued |
Virgin Media Finance plc 5.00%, 7/15/2030 (c) | | |
Virgin Media Secured Finance plc 5.50%, 5/15/2029 (c) | | |
Vmed O2 UK Financing I plc 4.75%, 7/15/2031 (c) | | |
| | |
| | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (g) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (c) | | |
Acadia Healthcare Co., Inc. | | |
| | |
| | |
ACCO Brands Corp. 4.25%, 3/15/2029 (c) | | |
ACI Worldwide, Inc. 5.75%, 8/15/2026 (c) | | |
Activision Blizzard, Inc. 1.35%, 9/15/2030 | | |
Adient Global Holdings Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (c) | | |
Advanced Drainage Systems, Inc. | | |
| | |
| | |
Advanced Micro Devices, Inc. 3.92%, 6/1/2032 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Aetna, Inc. 3.88%, 8/15/2047 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Alcoa Nederland Holding BV 5.50%, 12/15/2027 (a) (c) | | |
Alexandria Real Estate Equities, Inc., REIT | | |
| | |
| | |
Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (c) | | |
Allied Universal Holdco LLC | | |
| | |
| | |
| | |
Allison Transmission, Inc. | | |
| | |
| | |
| | |
Allstate Corp. (The) (ICE LIBOR USD 3 Month + 2.12%), 6.50%, 5/15/2057 (g) | | |
| | |
| | |
| | |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (e) (f) (g) | | |
Altria Group, Inc. 4.80%, 2/14/2029 | | |
AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/15/2026 (a) (c) (i) | | |
| | |
| | |
| | |
Ameren Corp. 3.50%, 1/15/2031 | | |
| | |
|
United States — continued |
| | |
| | |
| | |
American Axle & Manufacturing, Inc. | | |
| | |
| | |
| | |
| | |
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (c) | | |
American Electric Power Co., Inc. | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (g) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (e) (f) (g) | | |
American International Group, Inc. Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (g) | | |
American Tower Corp., REIT | | |
| | |
| | |
| | |
American Transmission Systems, Inc. 2.65%, 1/15/2032 (c) | | |
| | |
| | |
| | |
| | |
Amgen, Inc. 2.00%, 1/15/2032 | | |
Amkor Technology, Inc. 6.63%, 9/15/2027 (c) | | |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (c) | | |
ANGI Group LLC 3.88%, 8/15/2028 (a) (c) | | |
Antero Midstream Partners LP | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
APX Group, Inc. 5.75%, 7/15/2029 (c) | | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Arcosa, Inc. 4.38%, 4/15/2029 (c) | | |
Ardagh Metal Packaging Finance USA LLC 6.00%, 6/15/2027 (c) | | |
Ardagh Packaging Finance plc | | |
| | |
| | |
Asbury Automotive Group, Inc. | | |
| | |
4.63%, 11/15/2029 (a) (c) | | |
| | |
| | |
ASGN, Inc. 4.63%, 5/15/2028 (c) | | |
| | |
| | |
Series B, (EURIBOR ICE Swap Rate 5 Year + 3.14%), 2.87%, 3/2/2025 (e) (f) (g) | | |
| | |
Athene Global Funding 0.95%, 1/8/2024 (c) | | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
Audacy Capital Corp. 6.50%, 5/1/2027 (c) | | |
Avantor Funding, Inc. 4.63%, 7/15/2028 (c) | | |
Avient Corp. 7.13%, 8/1/2030 (c) | | |
Avis Budget Car Rental LLC | | |
| | |
| | |
| | |
Axalta Coating Systems LLC | | |
| | |
| | |
Baker Hughes Holdings LLC 3.14%, 11/7/2029 | | |
| | |
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (e) (f) (g) | | |
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (e) (f) (g) | | |
(SOFR + 0.74%), 0.81%, 10/24/2024 (g) | | |
(SOFR + 0.67%), 1.84%, 2/4/2025 (g) | | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (g) | | |
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (a) (e) (f) (g) | | |
(SOFR + 0.91%), 0.98%, 9/25/2025 (g) | | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (g) | | |
(SOFR + 0.65%), 1.53%, 12/6/2025 (g) | | |
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (e) (f) (g) | | |
(SOFR + 1.75%), 4.83%, 7/22/2026 (g) | | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (g) | | |
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (e) (f) (g) | | |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (e) (f) (g) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (g) | | |
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (e) (f) (g) | | |
(SOFR + 1.21%), 2.57%, 10/20/2032 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (g) | | |
Bank of New York Mellon Corp. (The) | | |
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (e) (f) (g) | | |
(SOFRINDX + 2.07%), 5.83%, 10/25/2033 (g) | | |
| | |
| | |
| | |
| | |
Bausch Health Americas, Inc. 8.50%, 1/31/2027 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Becton Dickinson & Co. 2.82%, 5/20/2030 | | |
BellRing Brands, Inc. 7.00%, 3/15/2030 (c) | | |
Berry Global, Inc. 4.88%, 7/15/2026 (c) | | |
Berry Petroleum Co. LLC 7.00%, 2/15/2026 (c) | | |
Big River Steel LLC 6.63%, 1/31/2029 (c) | | |
Black Knight InfoServ LLC 3.63%, 9/1/2028 (c) | | |
| | |
|
United States — continued |
| | |
| | |
| | |
| | |
| | |
| | |
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (c) | | |
Boise Cascade Co. 4.88%, 7/1/2030 (c) | | |
Boyd Gaming Corp. 4.75%, 6/15/2031 (c) | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (c) | | |
BP Capital Markets America, Inc. 3.63%, 4/6/2030 | | |
Brightsphere Investment Group, Inc. 4.80%, 7/27/2026 | | |
| | |
| | |
| | |
Broadcom, Inc. 4.30%, 11/15/2032 | | |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (c) | | |
| | |
| | |
| | |
| | |
Builders FirstSource, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Cable One, Inc. 4.00%, 11/15/2030 (a) (c) | | |
Caesars Entertainment, Inc. | | |
| | |
4.63%, 10/15/2029 (a) (c) | | |
California Resources Corp. 7.13%, 2/1/2026 (c) | | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
(SOFR + 0.69%), 1.34%, 12/6/2024 (g) | | |
Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (e) (f) (g) | | |
Cargill, Inc. 1.38%, 7/23/2023 (c) | | |
| | |
| | |
| | |
| | |
| | |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (c) | | |
Carpenter Technology Corp. | | |
| | |
| | |
Cars.com, Inc. 6.38%, 11/1/2028 (c) | | |
Catalent Pharma Solutions, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (c) | | |
| | |
| | |
| | |
| | |
Cengage Learning, Inc. 9.50%, 6/15/2024 (c) | | |
| | |
| | |
| | |
| | |
CenterPoint Energy, Inc. (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (e) (f) (g) | | |
| | |
|
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 (e) (f) (g) | | |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (e) (f) (g) | | |
| | |
| | |
| | |
Chemours Co. (The) 5.75%, 11/15/2028 (c) | | |
Cheniere Energy Partners LP | | |
| | |
| | |
| | |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | | |
| | |
| | |
| | |
Chevron Corp. 2.24%, 5/11/2030 | | |
Chord Energy Corp. 6.38%, 6/1/2026 (c) | | |
Churchill Downs, Inc. 4.75%, 1/15/2028 (c) | | |
Ciena Corp. 4.00%, 1/31/2030 (c) | | |
| | |
(ICE LIBOR USD 3 Month + 0.89%), 6.15%, 7/15/2023 (g) | | |
| | |
| | |
| | |
| | |
| | |
| | |
(ICE LIBOR USD 3 Month + 4.07%), 9.34%, 7/30/2023 (a) (e) (f) (g) | | |
Series M, (3-MONTH CME TERM SOFR + 3.68%), 6.30%, 5/15/2024 (e) (f) (g) | | |
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (e) (f) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
(SOFR + 0.69%), 0.78%, 10/30/2024 (g) | | |
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (e) (f) (g) | | |
(3-MONTH CME TERM SOFR + 1.16%), 3.35%, 4/24/2025 (g) | | |
(SOFR + 0.67%), 0.98%, 5/1/2025 (g) | | |
Series P, (3-MONTH CME TERM SOFR + 4.17%), 5.95%, 5/15/2025 (a) (e) (f) (g) | | |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (e) (f) (g) | | |
(SOFR + 0.69%), 2.01%, 1/25/2026 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (e) (f) (g) | | |
Series T, (3-MONTH CME TERM SOFR + 4.78%), 6.25%, 8/15/2026 (e) (f) (g) | | |
(SOFR + 1.55%), 5.61%, 9/29/2026 (g) | | |
(SOFR + 0.77%), 1.46%, 6/9/2027 (g) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (g) | | |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (g) | | |
Citizens Financial Group, Inc. | | |
Series B, (ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023 (e) (f) (g) | | |
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (e) (f) (g) | | |
Civitas Resources, Inc. 5.00%, 10/15/2026 (c) | | |
| | |
| | |
| | |
| | |
| | |
Clarivate Science Holdings Corp. | | |
| | |
| | |
| | |
|
United States — continued |
Clear Channel Outdoor Holdings, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Clydesdale Acquisition Holdings, Inc. | | |
| | |
| | |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (g) | | |
CNX Midstream Partners LP 4.75%, 4/15/2030 (c) | | |
| | |
| | |
| | |
Coeur Mining, Inc. 5.13%, 2/15/2029 (a) (c) | | |
Cogent Communications Group, Inc. 3.50%, 5/1/2026 (c) | | |
Coherent Corp. 5.00%, 12/15/2029 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Commonwealth Edison Co. 3.10%, 11/1/2024 | | |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) (c) | | |
| | |
| | |
| | |
| | |
Community Health Systems, Inc. | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (c) | | |
| | |
| | |
| | |
Conduent Business Services LLC 6.00%, 11/1/2029 (c) | | |
Consensus Cloud Solutions, Inc. 6.50%, 10/15/2028 (c) | | |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | | |
Constellation Brands, Inc. 2.25%, 8/1/2031 | | |
Cooper-Standard Automotive, Inc. | | |
4.50% (PIK), 3/31/2027 (c) (i) | | |
10.63% (PIK), 5/15/2027 (c) (i) | | |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (c) (d) (g) | | |
CoreCivic, Inc. 8.25%, 4/15/2026 (a) | | |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) (c) | | |
| | |
| | |
| | |
| | |
Cox Communications, Inc. 4.80%, 2/1/2035 (c) | | |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (c) | | |
Crestwood Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
CTR Partnership LP, REIT 3.88%, 6/30/2028 (c) | | |
CVR Partners LP 6.13%, 6/15/2028 (c) | | |
| | |
| | |
| | |
| | |
Dana, Inc. 5.63%, 6/15/2028 | | |
| | |
| | |
| | |
Delek Logistics Partners LP 7.13%, 6/1/2028 (c) | | |
| | |
| | |
| | |
Deluxe Corp. 8.00%, 6/1/2029 (c) | | |
Diamond Sports Group LLC 5.38%, 8/15/2026 (c) (k) | | |
Directv Financing LLC 5.88%, 8/15/2027 (c) | | |
Discover Financial Services 3.75%, 3/4/2025 | | |
Discovery Communications LLC 3.63%, 5/15/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
DISH Network Corp. 11.75%, 11/15/2027 (c) | | |
| | |
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (e) (f) (g) | | |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.35%, 1/15/2027 (e) (f) (g) | | |
Series C, 2.25%, 8/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (c) | | |
DPL, Inc. 4.13%, 7/1/2025 | | |
| | |
| | |
| | |
Duke Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (g) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (c) | | |
Edgewell Personal Care Co. | | |
| | |
| | |
Edison International Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.90%), 5.00%, 12/15/2026 (e) (f) (g) | | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (a) (h) | | |
Element Solutions, Inc. 3.88%, 9/1/2028 (c) | | |
| | |
| | |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | |
Embecta Corp. 5.00%, 2/15/2030 (c) | | |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) (c) | | |
Enact Holdings, Inc. 6.50%, 8/15/2025 (c) | | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
5.88%, 10/15/2024 (c) (h) | | |
| | |
| | |
Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029 (c) (h) (k) | | |
| | |
6.50%, 12/31/2027 (a) (c) | | |
| | |
|
United States — continued |
| | |
| | |
Energy Transfer LP 4.20%, 4/15/2027 | | |
| | |
| | |
| | |
EnLink Midstream Partners LP | | |
| | |
| | |
Enova International, Inc. | | |
| | |
| | |
EnPro Industries, Inc. 5.75%, 10/15/2026 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Entergy Texas, Inc. 1.75%, 3/15/2031 | | |
Enterprise Products Operating LLC Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (g) | | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (c) | | |
EQM Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
EQT Corp. 7.00%, 2/1/2030 (h) | | |
Equitable Financial Life Global Funding 5.50%, 12/2/2025 (c) | | |
Equitable Holdings, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), 4.95%, 9/15/2025 (e) (f) (g) | | |
| | |
| | |
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fair Isaac Corp. 4.00%, 6/15/2028 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Fertitta Entertainment LLC | | |
| | |
| | |
Fidelity National Information Services, Inc. | | |
| | |
| | |
Fifth Third Bancorp 3.65%, 1/25/2024 | | |
Fiserv, Inc. 3.50%, 7/1/2029 | | |
Five Corners Funding Trust 4.42%, 11/15/2023 (c) | | |
Five Point Operating Co. LP 7.88%, 11/15/2025 (c) | | |
Foot Locker, Inc. 4.00%, 10/1/2029 (c) | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Frontier Communications Holdings LLC | | |
| | |
| | |
| | |
| | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) (c) | | |
Gap, Inc. (The) 3.63%, 10/1/2029 (c) | | |
| | |
| | |
| | |
| | |
GCI LLC 4.75%, 10/15/2028 (c) | | |
| | |
|
United States — continued |
General Electric Co. Series D, (ICE LIBOR USD 3 Month + 3.33%), 8.20%, 6/15/2023 (e) (f) (g) | | |
General Motors Financial Co., Inc. 4.30%, 4/6/2029 | | |
| | |
| | |
| | |
| | |
| | |
| | |
GEO Group, Inc. (The) 10.50%, 6/30/2028 | | |
Georgia-Pacific LLC 0.63%, 5/15/2024 (c) | | |
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (c) | | |
Gilead Sciences, Inc. 1.65%, 10/1/2030 | | |
Glatfelter Corp. 4.75%, 11/15/2029 (a) (c) | | |
Global Infrastructure Solutions, Inc. | | |
| | |
| | |
Global Medical Response, Inc. 6.50%, 10/1/2025 (c) | | |
Global Net Lease, Inc., REIT 3.75%, 12/15/2027 (c) | | |
| | |
| | |
| | |
Go Daddy Operating Co. LLC 3.50%, 3/1/2029 (c) | | |
Goldman Sachs Capital II (ICE LIBOR USD 3 Month + 0.77%), 5.73%, 6/5/2023 (e) (f) (g) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
| | |
(SOFR + 0.51%), 0.66%, 9/10/2024 (g) | | |
(SOFR + 0.49%), 0.92%, 10/21/2024 (g) | | |
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 4.40%, 2/10/2025 (e) (f) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (e) (f) (g) | | |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (e) (f) (g) | | |
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (e) (f) (g) | | |
Series O, (3-MONTH CME TERM SOFR + 3.83%), 5.30%, 11/10/2026 (e) (f) (g) | | |
(SOFR + 0.82%), 1.54%, 9/10/2027 (g) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (g) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (g) | | |
(SOFR + 1.85%), 3.62%, 3/15/2028 (g) | | |
(SOFR + 1.26%), 2.65%, 10/21/2032 (g) | | |
Goodyear Tire & Rubber Co. (The) | | |
| | |
| | |
| | |
GrafTech Finance, Inc. 4.63%, 12/15/2028 (c) | | |
Graham Holdings Co. 5.75%, 6/1/2026 (c) | | |
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (c) | | |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) (c) | | |
| | |
| | |
| | |
| | |
Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (c) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (c) | | |
| | |
|
United States — continued |
| | |
| | |
| | |
Gulfport Energy Operating Corp. 6.63%, 5/1/2023 | | |
Gulfport Energy Operating Corp., Escrow | | |
| | |
| | |
| | |
GYP Holdings III Corp. 4.63%, 5/1/2029 (c) | | |
| | |
| | |
| | |
Harsco Corp. 5.75%, 7/31/2027 (a) (c) | | |
| | |
| | |
| | |
| | |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (c) | | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (c) | | |
| | |
| | |
| | |
Hertz Corp. (The), Escrow | | |
| | |
| | |
| | |
Hertz Corp., Escrow 7.13%, 8/1/2026 | | |
Hess Midstream Operations LP | | |
| | |
| | |
Hewlett Packard Enterprise Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Hilton Domestic Operating Co., Inc. | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
| | |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | | |
HLF Financing SARL LLC 4.88%, 6/1/2029 (c) | | |
| | |
| | |
| | |
Hologic, Inc. 3.25%, 2/15/2029 (c) | | |
Honeywell International, Inc. 5.00%, 2/15/2033 | | |
| | |
| | |
| | |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 (a) | | |
Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 8.14%, 7/15/2023 (e) (f) (g) | | |
Huntington National Bank (The) (SOFR + 1.22%), 5.70%, 11/18/2025 (g) | | |
| | |
| | |
| | |
| | |
Icahn Enterprises LP 4.38%, 2/1/2029 | | |
iHeartCommunications, Inc. | | |
| | |
| | |
| | |
ILFC E-Capital Trust I 6.55%, 12/21/2065 (a) (c) (l) | | |
ILFC E-Capital Trust II 6.80%, 12/21/2065 (c) (l) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (c) | | |
Ingevity Corp. 3.88%, 11/1/2028 (c) | | |
Ingles Markets, Inc. 4.00%, 6/15/2031 (c) | | |
Installed Building Products, Inc. 5.75%, 2/1/2028 (c) | | |
Intel Corp. 2.00%, 8/12/2031 | | |
International Game Technology plc 6.50%, 2/15/2025 (c) | | |
| | |
| | |
| | |
| | |
|
United States — continued |
Iron Mountain, Inc., REIT | | |
| | |
| | |
| | |
| | |
ITC Holdings Corp. 2.95%, 5/14/2030 (c) | | |
Jackson Financial, Inc. 1.13%, 11/22/2023 | | |
James Hardie International Finance DAC 5.00%, 1/15/2028 (c) | | |
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (c) | | |
| | |
| | |
| | |
| | |
John Deere Capital Corp. 4.35%, 9/15/2032 | | |
Kaiser Aluminum Corp. 4.50%, 6/1/2031 (c) | | |
| | |
| | |
| | |
Keurig Dr Pepper, Inc. 3.20%, 5/1/2030 | | |
KeyBank NA (SOFRINDX + 0.32%), 0.43%, 6/14/2024 (g) | | |
KFC Holding Co. 4.75%, 6/1/2027 (c) | | |
| | |
| | |
| | |
Kimco Realty OP LLC, REIT 2.25%, 12/1/2031 | | |
Kinder Morgan, Inc. 5.63%, 11/15/2023 (c) | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (c) | | |
KLA Corp. 4.65%, 7/15/2032 | | |
Knife River Holding Co. 7.75%, 5/1/2031 (c) | | |
Kontoor Brands, Inc. 4.13%, 11/15/2029 (c) | | |
Korn Ferry 4.63%, 12/15/2027 (c) | | |
Kraft Heinz Foods Co. 3.75%, 4/1/2030 | | |
Kroger Co. (The) 1.70%, 1/15/2031 | | |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
Lamb Weston Holdings, Inc. | | |
| | |
| | |
Lear Corp. 2.60%, 1/15/2032 | | |
| | |
| | |
| | |
| | |
LGI Homes, Inc. 4.00%, 7/15/2029 (c) | | |
Liberty Interactive LLC 8.25%, 2/1/2030 | | |
Lithia Motors, Inc. 4.38%, 1/15/2031 (c) | | |
Live Nation Entertainment, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (c) | | |
| | |
| | |
| | |
LPL Holdings, Inc. 4.63%, 11/15/2027 (a) (c) | | |
| | |
| | |
| | |
Series G, 6.88%, 1/15/2028 (a) | | |
| | |
| | |
M/I Homes, Inc. 3.95%, 2/15/2030 | | |
Macy's Retail Holdings LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
Magnolia Oil & Gas Operating LLC 6.00%, 8/1/2026 (c) | | |
Mallinckrodt International Finance SA | | |
11.50%, 12/15/2028 (a) (c) | | |
| | |
Marriott Ownership Resorts, Inc. | | |
| | |
| | |
Masonite International Corp. 5.38%, 2/1/2028 (c) | | |
MasTec, Inc. 4.50%, 8/15/2028 (a) (c) | | |
Mattel, Inc. 5.88%, 12/15/2027 (c) | | |
Mauser Packaging Solutions Holding Co. | | |
| | |
| | |
McAfee Corp. 7.38%, 2/15/2030 (c) | | |
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (c) | | |
MDC Holdings, Inc. 2.50%, 1/15/2031 | | |
| | |
| | |
| | |
Mellon Capital IV Series 1, (ICE LIBOR USD 3 Month + 0.57%), 5.53%, 6/5/2023 (e) (f) (g) | | |
Meritage Homes Corp. 3.88%, 4/15/2029 (c) | | |
MetLife Capital Trust IV 7.88%, 12/15/2037 (c) | | |
| | |
| | |
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 3.85%, 9/15/2025 (d) (e) (f) (g) | | |
Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (e) (f) (g) | | |
| | |
MGIC Investment Corp. 5.25%, 8/15/2028 | | |
MGM Resorts International | | |
| | |
| | |
Michaels Cos., Inc. (The) 5.25%, 5/1/2028 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Midcontinent Communications 5.38%, 8/15/2027 (a) (c) | | |
Midwest Gaming Borrower LLC 4.88%, 5/1/2029 (c) | | |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (c) | | |
Minerals Technologies, Inc. 5.00%, 7/1/2028 (c) | | |
MIWD Holdco II LLC 5.50%, 2/1/2030 (c) | | |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (c) | | |
| | |
| | |
| | |
Mondelez International, Inc. 1.50%, 2/4/2031 | | |
Moog, Inc. 4.25%, 12/15/2027 (c) | | |
| | |
(SOFR + 0.46%), 5.27%, 1/25/2024 (g) | | |
Series F, 3.88%, 4/29/2024 | | |
(SOFR + 0.51%), 0.79%, 1/22/2025 (g) | | |
(SOFR + 1.16%), 3.62%, 4/17/2025 (g) | | |
(SOFR + 1.15%), 2.72%, 7/22/2025 (g) | | |
(SOFR + 0.56%), 1.16%, 10/21/2025 (g) | | |
(SOFR + 0.94%), 2.63%, 2/18/2026 (g) | | |
Series M, (ICE LIBOR USD 3 Month + 4.44%), 5.87%, 9/15/2026 (e) (f) (g) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (g) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (g) | | |
(SOFR + 1.02%), 1.93%, 4/28/2032 (g) | | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (g) | | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (g) | | |
| | |
|
United States — continued |
Morgan Stanley Bank NA 4.75%, 4/21/2026 | | |
Moss Creek Resources Holdings, Inc. | | |
| | |
| | |
| | |
MPT Operating Partnership LP, REIT 3.50%, 3/15/2031 | | |
Mueller Water Products, Inc. 4.00%, 6/15/2029 (c) | | |
Murphy Oil Corp. 5.88%, 12/1/2027 | | |
Murphy Oil USA, Inc. 3.75%, 2/15/2031 (c) | | |
Nabors Industries Ltd. 7.25%, 1/15/2026 (c) | | |
Nabors Industries, Inc. 5.75%, 2/1/2025 | | |
National CineMedia LLC 5.88%, 4/15/2028 (c) | | |
National Rural Utilities Cooperative Finance Corp. (ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (g) | | |
Nationstar Mortgage Holdings, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (c) | | |
Netflix, Inc. 4.88%, 4/15/2028 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
NextEra Energy Capital Holdings, Inc. | | |
| | |
(ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (g) | | |
NextEra Energy Operating Partners LP | | |
| | |
| | |
| | |
NGL Energy Operating LLC 7.50%, 2/1/2026 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (e) (f) (g) | | |
| | |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (c) | | |
NMI Holdings, Inc. 7.38%, 6/1/2025 (c) | | |
Noble Finance II LLC 8.00%, 4/15/2030 (c) | | |
Nordstrom, Inc. 4.38%, 4/1/2030 (a) | | |
Norfolk Southern Corp. 2.30%, 5/15/2031 | | |
Northern Oil and Gas, Inc. 8.13%, 3/1/2028 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
Occidental Petroleum Corp. | | |
| | |
| | |
| | |
ON Semiconductor Corp. 3.88%, 9/1/2028 (c) | | |
Oncor Electric Delivery Co. LLC 4.55%, 9/15/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Oracle Corp. 3.80%, 11/15/2037 | | |
O'Reilly Automotive, Inc. 4.70%, 6/15/2032 | | |
| | |
| | |
| | |
Outfront Media Capital LLC 5.00%, 8/15/2027 (c) | | |
| | |
| | |
| | |
Owens-Brockway Glass Container, Inc. | | |
| | |
| | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (c) | | |
Papa John's International, Inc. 3.88%, 9/15/2029 (c) | | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) (h) (k) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (g) | | |
Patrick Industries, Inc. 7.50%, 10/15/2027 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
PennyMac Financial Services, Inc. 5.75%, 9/15/2031 (c) | | |
Performance Food Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
PG&E Corp. 5.00%, 7/1/2028 | | |
PGT Innovations, Inc. 4.38%, 10/1/2029 (c) | | |
Philip Morris International, Inc. 3.38%, 8/15/2029 | | |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (c) | | |
Physicians Realty LP, REIT | | |
| | |
| | |
Pike Corp. 5.50%, 9/1/2028 (c) | | |
| | |
| | |
| | |
Playtika Holding Corp. 4.25%, 3/15/2029 (c) | | |
PM General Purchaser LLC 9.50%, 10/1/2028 (c) | | |
PNC Financial Services Group, Inc. (The) | | |
Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023 (e) (f) (g) | | |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (e) (f) (g) | | |
Series V, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 6.20%, 9/15/2027 (e) (f) (g) | | |
(SOFR + 1.62%), 5.35%, 12/2/2028 (g) | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 7.83%, 3/30/2067 (g) | | |
PRA Group, Inc. 5.00%, 10/1/2029 (c) | | |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (c) | | |
| | |
| | |
| | |
Prime Security Services Borrower LLC | | |
| | |
| | |
Principal Life Global Funding II | | |
| | |
(SOFR + 0.45%), 5.27%, 4/12/2024 (c) (g) | | |
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 7.41%, 6/5/2023 (e) (f) (g) | | |
Prudential Financial, Inc. | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.12%, 3/1/2052 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.00%, 9/1/2052 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 6.75%, 3/1/2053 (g) | | |
PTC, Inc. 3.63%, 2/15/2025 (c) | | |
Public Service Co. of Oklahoma Series J, 2.20%, 8/15/2031 | | |
Public Service Enterprise Group, Inc. 0.84%, 11/8/2023 | | |
QUALCOMM, Inc. 5.40%, 5/20/2033 | | |
Qwest Corp. 7.25%, 9/15/2025 | | |
Rain CII Carbon LLC 7.25%, 4/1/2025 (c) | | |
| | |
| | |
| | |
| | |
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (c) | | |
Raytheon Technologies Corp. 1.90%, 9/1/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Realogy Group LLC 5.25%, 4/15/2030 (a) (c) | | |
| | |
| | |
| | |
| | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
RHP Hotel Properties LP, REIT | | |
| | |
| | |
| | |
| | |
| | |
ROCC Holdings LLC 9.25%, 8/15/2026 (c) | | |
| | |
| | |
| | |
| | |
Rockies Express Pipeline LLC 4.80%, 5/15/2030 (c) | | |
Royal Caribbean Cruises Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Royalty Pharma plc 2.15%, 9/2/2031 | | |
RP Escrow Issuer LLC 5.25%, 12/15/2025 (c) | | |
S&P Global, Inc. 2.90%, 3/1/2032 | | |
| | |
| | |
| | |
SBA Communications Corp., REIT | | |
| | |
| | |
Scotts Miracle-Gro Co. (The) | | |
| | |
| | |
| | |
| | |
Scripps Escrow II, Inc. 5.38%, 1/15/2031 (a) (c) | | |
| | |
|
United States — continued |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052 (g) | | |
| | |
| | |
| | |
| | |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (c) | | |
Service Corp. International | | |
| | |
| | |
| | |
| | |
| | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | |
Simon Property Group LP, REIT 3.75%, 2/1/2024 | | |
Sinclair Television Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Six Flags Entertainment Corp. | | |
| | |
| | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (c) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) (c) | | |
Southern California Edison Co. Series E, (ICE LIBOR USD 3 Month + 4.20%), 9.01%, 6/5/2023 (e) (f) (g) | | |
Southern Co. Gas Capital Corp. | | |
Series 20-A, 1.75%, 1/15/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | |
| | |
| | |
| | |
SPX FLOW, Inc. 8.75%, 4/1/2030 (c) | | |
SRS Distribution, Inc. 4.63%, 7/1/2028 (c) | | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (c) | | |
Stagwell Global LLC 5.63%, 8/15/2029 (c) | | |
Standard Industries, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Series H, (ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (e) (f) (g) | | |
(SOFR + 0.60%), 4.86%, 1/26/2026 (g) | | |
| | |
|
United States — continued |
(SOFR + 0.73%), 2.20%, 2/7/2028 (g) | | |
Station Casinos LLC 4.50%, 2/15/2028 (c) | | |
Stericycle, Inc. 3.88%, 1/15/2029 (c) | | |
Summit Materials LLC 5.25%, 1/15/2029 (c) | | |
Summit Midstream Holdings LLC 8.50%, 10/15/2026 (c) | | |
Sunnova Energy Corp. 5.88%, 9/1/2026 (c) | | |
| | |
| | |
| | |
| | |
Synaptics, Inc. 4.00%, 6/15/2029 (c) | | |
Syneos Health, Inc. 3.63%, 1/15/2029 (c) | | |
| | |
| | |
| | |
Take-Two Interactive Software, Inc. | | |
| | |
| | |
Tallgrass Energy Partners LP | | |
| | |
| | |
| | |
| | |
Targa Resources Partners LP | | |
| | |
| | |
Target Corp. 4.50%, 9/15/2032 | | |
| | |
| | |
| | |
Tempur Sealy International, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Terex Corp. 5.00%, 5/15/2029 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
Thor Industries, Inc. 4.00%, 10/15/2029 (c) | | |
T-Mobile USA, Inc. 2.25%, 11/15/2031 | | |
Topaz Solar Farms LLC 5.75%, 9/30/2039 (c) | | |
| | |
| | |
| | |
Toyota Motor Credit Corp. | | |
(SOFRINDX + 0.33%), 5.14%, 1/11/2024 (g) | | |
(SOFR + 0.38%), 5.18%, 2/22/2024 (g) | | |
TransDigm, Inc. 6.25%, 3/15/2026 (c) | | |
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (c) | | |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (c) | | |
| | |
| | |
| | |
| | |
TreeHouse Foods, Inc. 4.00%, 9/1/2028 | | |
| | |
| | |
| | |
TriMas Corp. 4.13%, 4/15/2029 (c) | | |
TriNet Group, Inc. 3.50%, 3/1/2029 (c) | | |
Trinseo Materials Operating SCA | | |
| | |
| | |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (c) | | |
| | |
| | |
| | |
| | |
Series M, (ICE LIBOR USD 3 Month + 2.79%), 5.12%, 12/15/2027 (e) (f) (g) | | |
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (e) (f) (g) | | |
Tucson Electric Power Co. 1.50%, 8/1/2030 | | |
| | |
|
United States — continued |
Uber Technologies, Inc. 4.50%, 8/15/2029 (c) | | |
| | |
| | |
| | |
United Airlines Holdings, Inc. 5.00%, 2/1/2024 (a) | | |
United Airlines, Inc. 4.38%, 4/15/2026 (c) | | |
United Rentals North America, Inc. | | |
| | |
| | |
| | |
| | |
United States Cellular Corp. 6.70%, 12/15/2033 | | |
United States Steel Corp. 6.88%, 3/1/2029 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Univision Communications, Inc. | | |
| | |
| | |
| | |
Upbound Group, Inc. 6.38%, 2/15/2029 (a) (c) | | |
Urban One, Inc. 7.38%, 2/1/2028 (c) | | |
| | |
| | |
Series V, 2.38%, 7/22/2026 | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027 (e) (f) (g) | | |
Series J, (ICE LIBOR USD 3 Month + 2.91%), 5.30%, 4/15/2027 (e) (f) (g) | | |
(SOFR + 1.66%), 4.55%, 7/22/2028 (g) | | |
Vail Resorts, Inc. 6.25%, 5/15/2025 (c) | | |
Valaris Ltd. 8.38%, 4/30/2030 (c) | | |
Valvoline, Inc. 4.25%, 2/15/2030 (a) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Varex Imaging Corp. 7.88%, 10/15/2027 (c) | | |
Vector Group Ltd. 5.75%, 2/1/2029 (c) | | |
Venator Finance SARL 5.75%, 7/15/2025 (a) (c) | | |
Ventas Realty LP, REIT 4.00%, 3/1/2028 | | |
Verizon Communications, Inc. | | |
| | |
| | |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (c) | | |
Vistra Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.74%), 7.00%, 12/15/2026 (c) (e) (f) (g) | | |
Vistra Operations Co. LLC | | |
| | |
| | |
| | |
VM Consolidated, Inc. 5.50%, 4/15/2029 (c) | | |
VMware, Inc. 2.20%, 8/15/2031 | | |
Wabash National Corp. 4.50%, 10/15/2028 (c) | | |
Warnermedia Holdings, Inc. | | |
| | |
| | |
Warrior Met Coal, Inc. 7.88%, 12/1/2028 (c) | | |
WEC Energy Group, Inc. 1.80%, 10/15/2030 | | |
Weekley Homes LLC 4.88%, 9/15/2028 (c) | | |
| | |
|
United States — continued |
| | |
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (e) (f) (g) | | |
(SOFR + 0.51%), 0.80%, 5/19/2025 (g) | | |
Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (e) (f) (g) | | |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (g) | | |
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (e) (f) (g) | | |
(SOFR + 1.51%), 3.53%, 3/24/2028 (g) | | |
(SOFR + 2.02%), 5.39%, 4/24/2034 (g) | | |
Wesco Aircraft Holdings, Inc. | | |
| | |
9.00%, 11/15/2026 (a) (c) | | |
| | |
| | |
| | |
| | |
William Carter Co. (The) 5.63%, 3/15/2027 (c) | | |
Williams Cos., Inc. (The) | | |
| | |
| | |
Winnebago Industries, Inc. 6.25%, 7/15/2028 (c) | | |
WMG Acquisition Corp. 3.75%, 12/1/2029 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (c) | | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (c) | | |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
| | |
| | |
Ziff Davis, Inc. 4.63%, 10/15/2030 (c) | | |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | | |
Zoetis, Inc. 2.00%, 5/15/2030 | | |
| | |
|
Uzbekneftegaz JSC 4.75%, 11/16/2028 (c) | | |
Total Corporate Bonds
(Cost $3,556,307) | | |
| | |
Exchange-Traded Funds — 7.7% |
|
JPMorgan Equity Premium Income ETF (m)(Cost $799,927) | | |
| | |
Commercial Mortgage-Backed Securities — 4.0% |
|
| | |
Series 2019-BN16, Class D, 3.00%, 2/15/2052 (c) | | |
Series 2019-BN16, Class F, 3.85%, 2/15/2052 (c) (l) | | |
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (c) | | |
Series 2019-BN23, Class D, 2.50%, 12/15/2052 (c) | | |
Series 2021-BN31, Class E, 2.50%, 2/15/2054 (c) (l) | | |
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 (c) (l) | | |
Series 2018-BN14, Class F, 3.94%, 9/15/2060 (c) | | |
Series 2019-BN19, Class C, 4.16%, 8/15/2061 (l) | | |
| | |
|
United States — continued |
Series 2018-BN15, Class E, 3.00%, 11/15/2061 (c) | | |
Series 2019-BN24, Class D, 2.50%, 11/15/2062 (c) | | |
Series 2019-BN24, Class C, 3.63%, 11/15/2062 (l) | | |
Series 2020-BN26, Class D, 2.50%, 3/15/2063 (c) | | |
Series 2020-BN28, Class E, 2.50%, 3/15/2063 (c) | | |
BBCMS Mortgage Trust Series 2017-C1, Class D, 3.71%, 2/15/2050 (c) (l) | | |
| | |
Series 2018-B1, Class D, 2.75%, 1/15/2051 (c) | | |
Series 2019-B9, Class F, 3.92%, 3/15/2052 (c) (l) | | |
Series 2019-B11, Class D, 3.00%, 5/15/2052 (c) | | |
Series 2019-B11, Class C, 3.75%, 5/15/2052 (l) | | |
Series 2020-B21, Class E, 2.00%, 12/17/2053 (c) | | |
Series 2019-B14, Class E, 2.50%, 12/15/2062 (c) | | |
Series 2019-B15, Class E, 2.75%, 12/15/2072 (c) | | |
BX Series 2021-MFM1, Class G, 8.90%, 1/15/2034 (c) (l) | | |
BX Commercial Mortgage Trust Series 2020-VIV2, Class C, 3.66%, 3/9/2044 (c) (l) | | |
| | |
Series 2016-CD2, Class C, 4.11%, 11/10/2049 (l) | | |
Series 2017-CD4, Class D, 3.30%, 5/10/2050 (c) | | |
Series 2017-CD5, Class D, 3.35%, 8/15/2050 (c) | | |
Series 2017-CD6, Class C, 4.37%, 11/13/2050 (l) | | |
Series 2018-CD7, Class D, 3.26%, 8/15/2051 (c) (l) | | |
CFCRE Commercial Mortgage Trust Series 2016-C6, Class D, 4.33%, 11/10/2049 (c) (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
CGMS Commercial Mortgage Trust Series 2017-B1, Class E, 3.30%, 8/15/2050 (c) (l) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2015-GC27, Class D, 4.57%, 2/10/2048 (c) (l) | | |
Series 2015-GC29, Class C, 4.28%, 4/10/2048 (l) | | |
Series 2015-P1, Class D, 3.23%, 9/15/2048 (c) | | |
Series 2016-C1, Class D, 5.11%, 5/10/2049 (c) (l) | | |
Series 2016-C2, Class D, 3.25%, 8/10/2049 (c) (l) | | |
Series 2016-P6, Class D, 3.25%, 12/10/2049 (c) | | |
Series 2017-P7, Class B, 4.14%, 4/14/2050 (l) | | |
Series 2017-P7, Class C, 4.56%, 4/14/2050 (l) | | |
Series 2020-GC46, Class E, 2.60%, 2/15/2053 (c) | | |
COLEM Mortgage Trust Series 2022-HLNE, Class A, 2.54%, 4/12/2042 (c) (l) | | |
Commercial Mortgage Trust | | |
Series 2020-CBM, Class F, 3.75%, 2/10/2037 (c) (l) | | |
Series 2014-CR15, Class C, 4.81%, 2/10/2047 (l) | | |
Series 2014-LC15, Class D, 5.17%, 4/10/2047 (c) (l) | | |
Series 2014-CR19, Class D, 4.85%, 8/10/2047 (c) (l) | | |
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 (c) | | |
Series 2014-LC17, Class D, 3.69%, 10/10/2047 (c) | | |
Series 2015-CR22, Class E, 3.00%, 3/10/2048 (c) | | |
Series 2015-CR22, Class D, 4.20%, 3/10/2048 (c) (l) | | |
Series 2015-LC21, Class D, 4.47%, 7/10/2048 (l) | | |
Series 2015-CR24, Class D, 3.46%, 8/10/2048 (l) | | |
Series 2015-CR25, Class D, 3.92%, 8/10/2048 (l) | | |
| | |
|
United States — continued |
Series 2015-CR27, Class D, 3.60%, 10/10/2048 (c) (l) | | |
Series 2015-CR26, Class D, 3.61%, 10/10/2048 (l) | | |
Series 2015-LC23, Class D, 3.72%, 10/10/2048 (c) (l) | | |
Series 2015-LC23, Class E, 3.72%, 10/10/2048 (c) (l) | | |
Series 2016-CR28, Class D, 4.01%, 2/10/2049 (l) | | |
Series 2016-CR28, Class C, 4.76%, 2/10/2049 (l) | | |
Series 2018-COR3, Class D, 2.96%, 5/10/2051 (c) (l) | | |
CSAIL Commercial Mortgage Trust | | |
Series 2015-C4, Class C, 4.71%, 11/15/2048 (l) | | |
Series 2015-C2, Class B, 4.21%, 6/15/2057 (l) | | |
| | |
Series 2016-C3, Class D, 3.61%, 8/10/2049 (c) (l) | | |
Series 2016-C3, Class E, 4.36%, 8/10/2049 (c) (l) | | |
FHLMC Multiclass Certificates | | |
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | | |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (l) | | |
FHLMC, Multi-Family Structured Credit Risk | | |
Series 2021-MN2, Class B1, 10.32%, 7/25/2041 (c) (l) | | |
Series 2021-MN1, Class M1, 6.56%, 1/25/2051 (c) (l) | | |
Series 2021-MN1, Class M2, 8.31%, 1/25/2051 (c) (l) | | |
Series 2021-MN1, Class B1, 12.31%, 1/25/2051 (c) (l) | | |
Series 2021-MN3, Class M1, 7.12%, 11/25/2051 (c) (l) | | |
Series 2022-MN4, Class B1, 14.32%, 5/25/2052 (c) (l) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K033, Class X1, IO, 0.41%, 7/25/2023 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
Series KC03, Class X1, IO, 0.63%, 11/25/2024 (l) | | |
Series K734, Class X3, IO, 2.24%, 7/25/2026 (l) | | |
Series KC04, Class X1, IO, 1.40%, 12/25/2026 (l) | | |
Series K084, Class X3, IO, 2.31%, 11/25/2028 (l) | | |
Series K090, Class X3, IO, 2.39%, 10/25/2029 (l) | | |
Series K723, Class X3, IO, 3.95%, 10/25/2034 (l) | | |
Series Q012, Class X, IO, 4.11%, 9/25/2035 (l) | | |
Series 2022-MN5, Class B1, 14.32%, 11/25/2042 (c) (l) | | |
Series K067, Class X3, IO, 2.19%, 9/25/2044 (l) | | |
Series K727, Class X3, IO, 2.07%, 10/25/2044 (l) | | |
Series K068, Class X3, IO, 2.13%, 10/25/2044 (l) | | |
Series K059, Class X3, IO, 1.98%, 11/25/2044 (l) | | |
Series K060, Class X3, IO, 1.96%, 12/25/2044 (l) | | |
Series K061, Class X3, IO, 2.05%, 12/25/2044 (l) | | |
Series K066, Class X3, IO, 2.24%, 8/25/2045 (l) | | |
Series K728, Class X3, IO, 2.02%, 11/25/2045 (l) | | |
Series K089, Class X3, IO, 2.38%, 1/25/2046 (l) | | |
Series K087, Class X3, IO, 2.40%, 1/25/2046 (l) | | |
Series K082, Class X3, IO, 2.29%, 10/25/2046 (l) | | |
Series K102, Class X3, IO, 1.96%, 12/25/2046 (l) | | |
Series K088, Class X3, IO, 2.43%, 2/25/2047 (l) | | |
Series K093, Class X3, IO, 2.28%, 5/25/2047 (l) | | |
Series K116, Class X3, IO, 3.12%, 9/25/2047 (l) | | |
| | |
|
United States — continued |
Series K108, Class X3, IO, 3.61%, 4/25/2048 (l) | | |
| | |
Series 2019-M21, Class X2, IO, 1.42%, 2/25/2031 (l) | | |
Series 2020-M37, Class X, IO, 1.12%, 4/25/2032 (l) | | |
Series 2023-M1, Class 1A, 3.54%, 4/25/2032 (l) | | |
Series 2016-M4, Class X2, IO, 2.70%, 1/25/2039 (l) | | |
| | |
Series 2017-KF31, Class B, 7.76%, 4/25/2024 (c) (l) | | |
Series 2018-KF47, Class B, 6.86%, 5/25/2025 (c) (l) | | |
Series 2018-KF51, Class C, 10.86%, 8/25/2025 (c) (l) | | |
Series 2019-KC03, Class B, 4.53%, 1/25/2026 (c) (l) | | |
Series 2019-KF58, Class B, 7.01%, 1/25/2026 (c) (l) | | |
Series 2019-KF62, Class B, 6.91%, 4/25/2026 (c) (l) | | |
Series 2017-KL1E, Class BE, 4.04%, 2/25/2027 (c) (l) | | |
Series 2017-KF33, Class B, 7.41%, 6/25/2027 (c) (l) | | |
Series 2017-KF40, Class B, 7.56%, 11/25/2027 (c) (l) | | |
Series 2018-KF43, Class B, 7.01%, 1/25/2028 (c) (l) | | |
Series 21K-F116, Class CS, 11.03%, 6/25/2028 (c) (l) | | |
Series 2018-KF50, Class B, 6.76%, 7/25/2028 (c) (l) | | |
Series 2018-KSW4, Class C, 9.86%, 10/25/2028 (l) | | |
Series 2019-KG01, Class B, 4.31%, 4/25/2029 (c) (l) | | |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (c) | | |
Series 2019-KW09, Class C, PO, 6/25/2029 (c) | | |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
Series 2017-K153, Class B, PO, 4/25/2032 (c) | | |
Series 2023-KF149, Class CS, 10.78%, 12/25/2032 (c) (l) | | |
Series 2017-K724, Class D, PO, 12/25/2049 (c) | | |
Series 2017-K724, Class X2A, IO, 0.10%, 12/25/2049 (c) | | |
Series 2017-K724, Class X2B, IO, 0.10%, 12/25/2049 (c) | | |
| | |
Series 2013-7, IO, 0.30%, 5/16/2053 (l) | | |
Series 2012-89, IO, 0.14%, 12/16/2053 (l) | | |
Series 2014-186, IO, 0.37%, 8/16/2054 (l) | | |
Series 2015-59, IO, 0.87%, 6/16/2056 (l) | | |
Series 2016-157, IO, 0.89%, 11/16/2057 (l) | | |
Series 2016-151, IO, 0.81%, 6/16/2058 (l) | | |
Series 2017-54, IO, 0.68%, 12/16/2058 (l) | | |
Series 2017-86, IO, 0.69%, 5/16/2059 (l) | | |
Series 2017-148, IO, 0.55%, 7/16/2059 (l) | | |
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (l) | | |
Series 2020-145, IO, 0.73%, 3/16/2063 (l) | | |
Series 2021-10, IO, 0.99%, 5/16/2063 (l) | | |
GS Mortgage Securities Trust | | |
Series 2012-GCJ9, Class D, 4.77%, 11/10/2045 (c) (l) | | |
Series 2013-GC12, Class E, 3.25%, 6/10/2046 (c) | | |
Series 2013-GC12, Class D, 4.43%, 6/10/2046 (c) (l) | | |
Series 2015-GC28, Class D, 4.45%, 2/10/2048 (c) (l) | | |
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (c) | | |
| | |
|
United States — continued |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (c) (l) | | |
Series 2017-GS6, Class D, 3.24%, 5/10/2050 (c) | | |
Series 2015-GC30, Class D, 3.38%, 5/10/2050 | | |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (c) | | |
| | |
Series 2019-LIC, Class E, 3.35%, 10/14/2039 (c) (l) | | |
Series 2019-LIC, Class F, 3.35%, 10/14/2039 (c) (l) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2013-C15, Class E, 3.50%, 11/15/2045 (c) | | |
Series 2013-C17, Class D, 5.05%, 1/15/2047 (c) (l) | | |
Series 2014-C26, Class D, 4.01%, 1/15/2048 (c) (l) | | |
Series 2014-C26, Class C, 4.51%, 1/15/2048 (l) | | |
Series 2015-C33, Class C, 4.77%, 12/15/2048 (l) | | |
Series 2016-C1, Class D2, 4.39%, 3/17/2049 (c) (l) | | |
Series 2016-C1, Class C, 4.89%, 3/17/2049 (l) | | |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.65%, 3/15/2050 (c) (l) | | |
JPMDB Commercial Mortgage Securities Trust Series 2016-C4, Class D, 3.19%, 12/15/2049 (c) (l) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP3, Class D, 3.54%, 8/15/2049 (c) (l) | | |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (l) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2012-C5, Class G, 4.50%, 8/15/2045 (c) | | |
Series 2014-C14, Class D, 5.23%, 2/15/2047 (c) (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
Series 2014-C15, Class D, 5.05%, 4/15/2047 (c) (l) | | |
Series 2014-C16, Class C, 4.89%, 6/15/2047 (l) | | |
Series 2014-C19, Class D, 3.25%, 12/15/2047 (c) | | |
Series 2015-C20, Class C, 4.60%, 2/15/2048 (l) | | |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (c) | | |
Series 2015-C25, Class C, 4.67%, 10/15/2048 (l) | | |
Series 2016-C31, Class C, 4.41%, 11/15/2049 (l) | | |
Morgan Stanley Capital I Trust | | |
Series 2018-MP, Class D, 4.42%, 7/11/2040 (c) (l) | | |
Series 2018-L1, Class E, 3.00%, 10/15/2051 (c) | | |
Series 2019-L2, Class D, 3.00%, 3/15/2052 (c) | | |
Series 2019-L2, Class E, 3.00%, 3/15/2052 (c) | | |
| | |
Series 2019-PARK, Class F, 2.72%, 12/15/2036 (c) | | |
Series 2019-PARK, Class G, 2.72%, 12/15/2036 (c) | | |
Series 2019-PARK, Class J, 4.25%, 12/15/2036 (c) | | |
Multi-Family Connecticut Avenue Securities Trust | | |
Series 2019-01, Class M10, 8.27%, 10/25/2049 (c) (l) | | |
Series 2020-01, Class M10, 8.77%, 3/25/2050 (c) (l) | | |
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.31%, 4/10/2043 (c) (l) | | |
VASA Trust Series 2021-VASA, Class G, 9.95%, 7/15/2039 (c) (l) | | |
Velocity Commercial Capital Loan Trust | | |
Series 2018-2, Class A, 4.05%, 10/26/2048 (c) (l) | | |
Series 2018-2, Class M2, 4.51%, 10/26/2048 (c) (l) | | |
| | |
|
United States — continued |
Series 2018-2, Class M3, 4.72%, 10/26/2048 (c) (l) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2021-SAVE, Class E, 8.60%, 2/15/2040 (c) (l) | | |
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 (c) (l) | | |
Series 2015-C28, Class D, 4.22%, 5/15/2048 (l) | | |
Series 2016-C35, Class D, 3.14%, 7/15/2048 (c) | | |
Series 2018-C43, Class D, 3.00%, 3/15/2051 (c) | | |
Series 2018-C44, Class D, 3.00%, 5/15/2051 (c) | | |
Series 2019-C52, Class XA, IO, 1.75%, 8/15/2052 (l) | | |
Series 2015-NXS3, Class D, 3.15%, 9/15/2057 (c) | | |
WFRBS Commercial Mortgage Trust | | |
Series 2014-C19, Class D, 4.23%, 3/15/2047 (c) | | |
Series 2014-C22, Class D, 4.05%, 9/15/2057 (c) (l) | | |
Total Commercial Mortgage-Backed Securities
(Cost $475,949) | | |
Collateralized Mortgage Obligations — 3.7% |
|
Bellemeade Re Ltd. Series 2019-1A, Class M2, 7.72%, 3/25/2029 (c) (l) | | |
Eagle RE Ltd. Series 2019-1, Class M2, 8.32%, 4/25/2029 (c) (l) | | |
| | |
|
Adjustable Rate Mortgage Trust | | |
Series 2004-2, Class 6A1, 4.70%, 2/25/2035 (l) | | |
Series 2005-2, Class 3A1, 4.58%, 6/25/2035 (l) | | |
| | |
Series 2004-28CB, Class 4A1, 5.00%, 1/25/2020 | | |
Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2005-85CB, Class 3A2, 5.25%, 2/25/2021 | | |
Series 2007-9T1, Class 3A1, 5.50%, 5/25/2022 ‡ | | |
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | | |
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026 | | |
Series 2005-J1, Class 3A1, 6.50%, 8/25/2032 | | |
Series 2004-12CB, Class 2A1, 6.00%, 6/25/2034 | | |
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035 | | |
Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035 | | |
Series 2004-32CB, Class 2A5, 5.50%, 2/25/2035 | | |
Series 2005-6CB, Class 1A4, 5.50%, 4/25/2035 | | |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | | |
Series 2005-J2, Class 1A5, 5.50%, 4/25/2035 (l) | | |
Series 2005-13CB, Class A4, 5.50%, 5/25/2035 | | |
Series 2005-21CB, Class A4, 5.25%, 6/25/2035 | | |
Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | | |
Series 2005-20CB, Class 1A1, 5.50%, 7/25/2035 | | |
Series 2005-23CB, Class A15, 5.50%, 7/25/2035 | | |
Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035 | | |
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035 | | |
Series 2005-J14, Class A3, 5.50%, 12/25/2035 | | |
Series 2005-J14, Class A7, 5.50%, 12/25/2035 | | |
Series 2005-J14, Class A8, 5.50%, 12/25/2035 | | |
Series 2005-86CB, Class A4, 5.50%, 2/25/2036 | | |
| | |
|
United States — continued |
Series 2006-J1, Class 1A13, 5.50%, 2/25/2036 | | |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | | |
Series 2006-4CB, Class 2A5, 5.50%, 4/25/2036 | | |
Series 2006-14CB, Class A1, 6.00%, 6/25/2036 | | |
Series 2006-19CB, Class A15, 6.00%, 8/25/2036 | | |
Series 2006-25CB, Class A2, 6.00%, 10/25/2036 | | |
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037 | | |
Series 2007-8CB, Class A9, 6.00%, 5/25/2037 | | |
Series 2007-19, Class 1A8, 6.00%, 8/25/2037 | | |
American Home Mortgage Investment Trust Series 2007-2, Class 12A1, 5.56%, 3/25/2037 (l) | | |
| | |
Series 2019-5, Class B1, 3.96%, 10/25/2049 (c) (l) | | |
Series 2019-6, Class B1, 3.94%, 11/25/2059 (c) (l) | | |
Series 2019-6, Class B3, 5.89%, 11/25/2059 (c) (l) | | |
Angel Oak Mortgage Trust I LLC Series 2019-2, Class B2, 6.29%, 3/25/2049 (c) (l) | | |
Banc of America Alternative Loan Trust | | |
Series 2006-4, Class 2A1, 6.00%, 5/25/2021 | | |
Series 2005-11, Class 4A5, 5.75%, 12/25/2035 | | |
Series 2006-4, Class 3CB4, 6.00%, 5/25/2046 | | |
Series 2006-4, Class 4CB1, 6.50%, 5/25/2046 | | |
Series 2006-5, Class CB7, 6.00%, 6/25/2046 | | |
Banc of America Funding Trust | | |
Series 2007-4, Class 8A1, 5.50%, 11/25/2034 | | |
Series 2005-6, Class 1A2, 5.50%, 10/25/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2005-7, Class 4A7, 6.00%, 11/25/2035 | | |
Series 2006-A, Class 1A1, 4.16%, 2/20/2036 (l) | | |
Series 2006-2, Class 2A20, 5.75%, 3/25/2036 | | |
Series 2007-5, Class 4A1, 5.39%, 7/25/2037 (l) | | |
Banc of America Mortgage Trust | | |
Series 2004-A, Class 2A2, 4.18%, 2/25/2034 (l) | | |
Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | | |
Bear Stearns ALT-A Trust Series 2006-8, Class 3A1, 5.34%, 2/25/2034 (l) | | |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class M1, 6.03%, 10/25/2034 (l) | | |
Chase Mortgage Finance Trust | | |
Series 2007-A2, Class 3A1, 4.04%, 6/25/2035 (l) | | |
Series 2006-S3, Class 1A2, 6.00%, 11/25/2036 | | |
Series 2006-S4, Class A5, 6.00%, 12/25/2036 | | |
Series 2007-S2, Class 1A8, 6.00%, 3/25/2037 | | |
CHL Mortgage Pass-Through Trust | | |
Series 2005-20, Class A7, 5.25%, 12/25/2027 | | |
Series 2004-25, Class 2A1, 5.70%, 2/25/2035 (l) | | |
Series 2005-26, Class 1A11, 5.50%, 11/25/2035 | | |
Series 2005-31, Class 2A1, 3.21%, 1/25/2036 (l) | | |
Series 2005-30, Class A5, 5.50%, 1/25/2036 | | |
Series 2006-HYB1, Class 2A2C, 3.53%, 3/20/2036 (l) | | |
Series 2006-HYB2, Class 2A1B, 3.78%, 4/20/2036 (l) | | |
Series 2006-J2, Class 1A1, 6.00%, 4/25/2036 | | |
Series 2006-10, Class 1A16, 6.00%, 5/25/2036 | | |
| | |
|
United States — continued |
Series 2006-17, Class A2, 6.00%, 12/25/2036 | | |
Series 2006-18, Class 2A4, 6.00%, 12/25/2036 | | |
Series 2007-2, Class A2, 6.00%, 3/25/2037 | | |
Series 2007-3, Class A18, 6.00%, 4/25/2037 | | |
Series 2007-10, Class A4, 5.50%, 7/25/2037 | | |
Series 2007-13, Class A4, 6.00%, 8/25/2037 | | |
Series 2007-16, Class A1, 6.50%, 10/25/2037 | | |
Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | | |
Series 2006-OA5, Class 2A1, 5.42%, 4/25/2046 (l) | | |
Citicorp Mortgage Securities Trust Series 2007-4, Class 1A9, 6.00%, 5/25/2037 | | |
Citigroup Mortgage Loan Trust | | |
Series 2005-9, Class 2A2, 5.50%, 11/25/2035 | | |
Series 2006-AR3, Class 1A1A, 4.40%, 6/25/2036 (l) | | |
Series 2006-AR5, Class 1A5A, 3.79%, 7/25/2036 (l) | | |
Citigroup Mortgage Loan Trust, Inc. | | |
Series 2005-6, Class A1, 6.08%, 9/25/2035 (l) | | |
Series 2006-8, Class A3, 5.37%, 10/25/2035 (c) (l) | | |
| | |
Series 2021-3, Class B1, 3.06%, 9/27/2066 (c) (l) | | |
Series 2021-5, Class B1, 4.12%, 11/26/2066 (c) (l) | | |
Series 2021-5, Class B2, 4.12%, 11/26/2066 (c) (l) | | |
Series 2022-1, Class B1, 4.14%, 12/27/2066 (c) (l) | | |
Series 2022-1, Class B2, 4.14%, 12/27/2066 (c) (l) | | |
Connecticut Avenue Securities Trust | | |
Series 2019-R06, Class 2B1, 8.77%, 9/25/2039 (c) (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2019-R07, Class 1B1, 8.42%, 10/25/2039 (c) (l) | | |
Series 2020-R02, Class 2B1, 8.02%, 1/25/2040 (c) (l) | | |
Series 2021-R01, Class 1B1, 7.92%, 10/25/2041 (c) (l) | | |
Series 2021-R03, Class 1B1, 7.57%, 12/25/2041 (c) (l) | | |
Series 2021-R03, Class 1B2, 10.32%, 12/25/2041 (c) (l) | | |
Series 2022-R01, Class 1B2, 10.82%, 12/25/2041 (c) (l) | | |
Series 2023-R03, Class 2M1, 7.32%, 4/25/2043 (c) (l) | | |
CSFB Mortgage-Backed Pass-Through Certificates | | |
Series 2005-10, Class 11A1, 5.50%, 11/25/2020 | | |
Series 2003-29, Class 3A1, 5.50%, 12/25/2033 | | |
Series 2004-AR4, Class 2A1, 4.40%, 5/25/2034 (l) | | |
Series 2004-AR4, Class 4A1, 4.53%, 5/25/2034 (l) | | |
Series 2004-AR5, Class 6A1, 4.11%, 6/25/2034 (l) | | |
Series 2004-4, Class 4A1, 5.50%, 8/25/2034 | | |
Series 2004-8, Class 4A3, 5.50%, 12/25/2034 | | |
Series 2005-4, Class 2A5, 5.50%, 6/25/2035 (l) | | |
Series 2005-10, Class 5A3, 5.50%, 11/25/2035 | | |
CSFB Mortgage-Backed Trust Series 2004-AR6, Class 7A1, 4.32%, 10/25/2034 (l) | | |
CSMC Mortgage-Backed Trust | | |
Series 2006-8, Class 5A1, 5.53%, 10/25/2026 (l) | | |
Series 2007-2, Class 3A13, 5.50%, 3/25/2037 | | |
Deephaven Residential Mortgage Trust | | |
Series 2021-3, Class B1, 3.27%, 8/25/2066 (c) (l) | | |
Series 2021-3, Class B2, 4.13%, 8/25/2066 (c) (l) | | |
| | |
|
United States — continued |
Series 2021-4, Class B1, 4.16%, 11/25/2066 (c) (l) | | |
Series 2021-4, Class B2, 4.47%, 11/25/2066 (c) (l) | | |
Series 2022-1, Class B1, 4.30%, 1/25/2067 (c) (l) | | |
Series 2022-1, Class B2, 4.30%, 1/25/2067 (c) (l) | | |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.98%, 2/25/2020 (l) | | |
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust Series 2005-2, Class 2A1, 4.92%, 3/25/2020 (l) | | |
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 5.47%, 8/19/2045 (l) | | |
FHLMC STACR Series 2019-HQA3, Class B1, 8.02%, 9/25/2049 (c) (l) | | |
| | |
Series 2021-DNA5, Class B2, 10.32%, 1/25/2034 (c) (l) | | |
Series 2021-DNA6, Class B1, 8.22%, 10/25/2041 (c) (l) | | |
Series 2023-DNA1, Class M1A, 6.92%, 3/25/2043 (c) (l) | | |
Series 2020-HQA1, Class B2, 10.12%, 1/25/2050 (c) (l) | | |
Series 2021-DNA1, Class B2, 9.57%, 1/25/2051 (c) (l) | | |
FHLMC Structured Agency Credit Risk Debt Notes | | |
Series 2017-DNA3, Class B1, 9.47%, 3/25/2030 (l) | | |
Series 2021-DNA2, Class B2, 10.82%, 8/25/2033 (c) (l) | | |
| | |
Series 4068, Class DS, IF, IO, 1.05%, 6/15/2042 (l) | | |
Series 4097, Class ES, IF, IO, 1.15%, 8/15/2042 (l) | | |
Series 4103, Class SB, IF, IO, 1.10%, 9/15/2042 (l) | | |
Series 4425, Class SA, IF, IO, 1.10%, 1/15/2045 (l) | | |
Series 4594, Class SG, IF, IO, 1.05%, 6/15/2046 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 4606, Class SB, IF, IO, 1.05%, 8/15/2046 (l) | | |
Series 4614, Class SK, IF, IO, 1.05%, 9/15/2046 (l) | | |
Series 4616, Class HS, IF, IO, 1.05%, 9/15/2046 (l) | | |
Series 4718, Class SD, IF, IO, 1.20%, 9/15/2047 (l) | | |
Series 4768, Class SG, IF, IO, 1.25%, 3/15/2048 (l) | | |
Series 4820, Class ES, IF, IO, 1.25%, 3/15/2048 (l) | | |
Series 4834, Class SA, IF, IO, 1.20%, 10/15/2048 (l) | | |
Series 4839, Class WS, IF, IO, 1.15%, 8/15/2056 (l) | | |
| | |
Series 264, Class S1, IF, IO, 1.00%, 7/15/2042 (l) | | |
Series 274, Class S1, IF, IO, 1.05%, 8/15/2042 (l) | | |
Series 278, Class S1, IF, IO, 1.10%, 9/15/2042 (l) | | |
Series 279, Class S6, IF, IO, 1.10%, 9/15/2042 (l) | | |
Series 300, Class S1, IF, IO, 1.15%, 1/15/2043 (l) | | |
Series 326, Class S2, IF, IO, 1.00%, 3/15/2044 (l) | | |
Series 336, Class S1, IF, IO, 1.10%, 8/15/2044 (l) | | |
Series 337, Class S1, IF, IO, 1.10%, 9/15/2044 (l) | | |
First Horizon Alternative Mortgage Securities Trust Series 2006-FA6, Class 3A1, 5.75%, 11/25/2021 | | |
FNMA, Connecticut Avenue Securities | | |
Series 2017-C01, Class 1B1, 10.77%, 7/25/2029 (l) | | |
Series 2021-R02, Class 2B2, 11.02%, 11/25/2041 (c) (l) | | |
| | |
Series 2011-126, Class SM, IF, IO, 0.93%, 12/25/2041 (l) | | |
Series 2012-20, Class SL, IF, IO, 1.43%, 3/25/2042 (l) | | |
| | |
|
United States — continued |
Series 2012-35, Class SN, IF, IO, 1.43%, 4/25/2042 (l) | | |
Series 2012-128, Class MS, IF, IO, 1.13%, 11/25/2042 (l) | | |
Series 2013-124, Class SB, IF, IO, 0.93%, 12/25/2043 (l) | | |
Series 2013-136, Class SB, IF, IO, 0.88%, 1/25/2044 (l) | | |
Series 2015-35, Class SA, IF, IO, 0.58%, 6/25/2045 (l) | | |
Series 2015-37, Class ST, IF, IO, 0.60%, 6/25/2045 (l) | | |
Series 2016-77, Class SA, IF, IO, 0.98%, 10/25/2046 (l) | | |
Series 2017-1, Class SA, IF, IO, 1.03%, 2/25/2047 (l) | | |
Series 2017-16, Class SM, IF, IO, 1.03%, 3/25/2047 (l) | | |
Series 2017-37, Class AS, IF, IO, 1.08%, 5/25/2047 (l) | | |
Series 2018-14, Class SA, IF, IO, 1.18%, 3/25/2048 (l) | | |
Series 2018-15, Class JS, IF, IO, 1.18%, 3/25/2048 (l) | | |
Series 2018-16, Class SN, IF, IO, 1.23%, 3/25/2048 (l) | | |
Series 2018-27, Class SE, IF, IO, 1.18%, 5/25/2048 (l) | | |
Series 2018-60, Class SK, IF, IO, 0.68%, 8/25/2048 (l) | | |
Series 2019-9, Class SM, IF, IO, 1.03%, 3/25/2049 (l) | | |
Series 2019-20, Class BS, IF, IO, 1.03%, 5/25/2049 (l) | | |
GCAT Trust Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 (c) (l) | | |
GMACM Mortgage Loan Trust | | |
Series 2004-AR2, Class 3A, 3.95%, 8/19/2034 (l) | | |
Series 2005-AR1, Class 3A, 3.75%, 3/18/2035 (l) | | |
| | |
Series 2014-25, Class HS, IF, IO, 1.15%, 2/20/2044 (l) | | |
Series 2015-124, Class SB, IF, IO, 1.30%, 9/20/2045 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2015-149, Class GS, IF, IO, 1.30%, 10/20/2045 (l) | | |
Series 2016-111, Class SA, IF, IO, 1.15%, 8/20/2046 (l) | | |
Series 2016-120, Class NS, IF, IO, 1.15%, 9/20/2046 (l) | | |
Series 2017-11, Class AS, IF, IO, 1.15%, 1/20/2047 (l) | | |
Series 2017-55, Class AS, IF, IO, 1.20%, 4/20/2047 (l) | | |
Series 2017-56, Class SC, IF, IO, 1.20%, 4/20/2047 (l) | | |
Series 2017-68, Class SA, IF, IO, 1.20%, 5/20/2047 (l) | | |
Series 2017-75, Class SD, IF, IO, 1.25%, 5/20/2047 (l) | | |
Series 2017-80, Class AS, IF, IO, 1.25%, 5/20/2047 (l) | | |
Series 2017-93, Class SE, IF, IO, 1.25%, 6/20/2047 (l) | | |
Series 2017-107, Class SL, IF, IO, 1.25%, 7/20/2047 (l) | | |
Series 2017-120, Class QS, IF, IO, 1.25%, 8/20/2047 (l) | | |
Series 2017-134, Class SB, IF, IO, 1.25%, 9/20/2047 (l) | | |
Series 2017-141, Class QS, IF, IO, 1.25%, 9/20/2047 (l) | | |
Series 2017-149, Class QS, IF, IO, 1.25%, 10/20/2047 (l) | | |
Series 2018-1, Class ST, IF, IO, 1.25%, 1/20/2048 (l) | | |
Series 2018-11, Class SA, IF, IO, 1.25%, 1/20/2048 (l) | | |
Series 2018-6, Class CS, IF, IO, 1.25%, 1/20/2048 (l) | | |
Series 2018-63, Class SB, IF, IO, 1.25%, 4/20/2048 (l) | | |
Series 2018-64, Class GS, IF, IO, 1.25%, 5/20/2048 (l) | | |
Series 2018-65, Class SE, IF, IO, 1.25%, 5/20/2048 (l) | | |
Series 2018-92, Class SH, IF, IO, 1.25%, 7/20/2048 (l) | | |
Series 2018-115, Class DS, IF, IO, 1.25%, 8/20/2048 (l) | | |
| | |
|
United States — continued |
Series 2018-126, Class CS, IF, IO, 1.25%, 9/20/2048 (l) | | |
Series 2018-146, Class S, IF, IO, 1.20%, 10/20/2048 (l) | | |
Series 2018-147, Class SD, IF, IO, 1.20%, 10/20/2048 (l) | | |
Series 2018-168, Class SA, IF, IO, 1.15%, 12/20/2048 (l) | | |
Series 2019-16, Class SB, IF, IO, 1.10%, 2/20/2049 (l) | | |
Series 2019-23, Class JS, IF, IO, 1.10%, 2/20/2049 (l) | | |
Series 2019-30, Class SA, IF, IO, 1.10%, 3/20/2049 (l) | | |
Series 2019-38, Class SN, IF, IO, 1.10%, 3/20/2049 (l) | | |
Series 2019-41, Class CS, IF, IO, 1.10%, 3/20/2049 (l) | | |
Series 2019-69, Class DS, IF, IO, 1.15%, 6/20/2049 (l) | | |
Series 2019-70, Class SM, IF, IO, 1.15%, 6/20/2049 (l) | | |
Series 2020-76, Class SL, IF, IO, 1.20%, 5/20/2050 (l) | | |
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (c) (l) | | |
| | |
Series 2004-15F, Class 1A2, 5.50%, 12/25/2034 | | |
Series 2005-1F, Class 2A3, 6.00%, 2/25/2035 | | |
Series 2005-AR3, Class 6A1, 3.91%, 5/25/2035 (l) | | |
Series 2005-AR4, Class 3A5, 3.87%, 7/25/2035 (l) | | |
Series 2005-6F, Class 3A18, 5.50%, 7/25/2035 | | |
Series 2005-AR7, Class 6A1, 3.71%, 11/25/2035 (l) | | |
Series 2006-1F, Class 2A16, 6.00%, 2/25/2036 | | |
Series 2006-1F, Class 2A9, 6.00%, 2/25/2036 | | |
Series 2006-9F, Class 3A1, 6.25%, 10/25/2036 | | |
Series 2007-1F, Class 3A13, 6.00%, 1/25/2037 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
HarborView Mortgage Loan Trust Series 2005-11, Class 2A1A, 5.57%, 8/19/2045 (l) | | |
| | |
Series 2004-5, Class 1A1, 5.74%, 10/25/2034 (l) | | |
Series 2004-6, Class 1A2, 5.80%, 10/25/2034 (l) | | |
Series 2004-5, Class 1M2, 5.89%, 10/25/2034 (l) | | |
Series 2004-7, Class 1A2, 5.94%, 11/25/2034 (l) | | |
Series 2004-9, Class 1A1, 5.78%, 1/25/2035 (l) | | |
Series 2004-10, Class 2A, 5.66%, 3/25/2035 (l) | | |
Series 2004-10, Class 3A1, 5.72%, 3/25/2035 (l) | | |
Series 2005-1, Class 1A1, 5.54%, 4/25/2035 (l) | | |
Series 2005-1, Class 1A2, 5.64%, 4/25/2035 (l) | | |
Series 2005-2, Class 1A2, 5.64%, 4/25/2035 (l) | | |
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A4, 3.75%, 8/25/2033 | | |
Impac Secured Assets Trust | | |
Series 2007-3, Class A1B, 5.50%, 9/25/2037 (l) | | |
Series 2007-3, Class A1C, 5.74%, 9/25/2037 (l) | | |
IndyMac INDX Mortgage Loan Trust | | |
Series 2005-AR3, Class 3A1, 3.51%, 4/25/2035 (l) | | |
Series 2005-AR14, Class 2A1A, 5.62%, 7/25/2035 (l) | | |
Series 2007-AR21, Class 6A1, 3.30%, 9/25/2037 (l) | | |
JPMorgan Alternative Loan Trust Series 2006-A2, Class 1A1, 5.38%, 5/25/2036 (l) | | |
| | |
Series 2006-S3, Class 2A4, 5.50%, 8/25/2021 | | |
Series 2004-A6, Class 1A1, 3.29%, 12/25/2034 (l) | | |
| | |
|
United States — continued |
Series 2005-A3, Class 6A6, 4.22%, 6/25/2035 (l) | | |
Series 2005-A6, Class 1A2, 4.11%, 9/25/2035 (l) | | |
Series 2005-A8, Class 1A1, 3.91%, 11/25/2035 (l) | | |
Series 2005-A8, Class 4A1, 3.91%, 11/25/2035 (l) | | |
Series 2006-A7, Class 2A4, 3.87%, 1/25/2037 (l) | | |
Series 2007-S1, Class 2A17, 5.35%, 3/25/2037 (l) | | |
Legacy Mortgage Asset Trust | | |
Series 2021-GS3, Class A2, 3.25%, 7/25/2061 (c) (h) | | |
Series 2021-GS1, Class A2, 3.84%, 10/25/2066 (c) (h) | | |
| | |
Series 2005-2, Class 2A5, 5.50%, 12/25/2035 | | |
Series 2007-7, Class 5A7, 6.50%, 8/25/2037 | | |
MASTR Alternative Loan Trust | | |
Series 2004-8, Class 1A1, 6.50%, 9/25/2034 | | |
Series 2004-12, Class 3A1, 6.00%, 12/25/2034 | | |
Series 2005-3, Class 1A1, 5.50%, 4/25/2035 | | |
Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | | |
Series 2005-6, Class 1A2, 5.50%, 12/25/2035 | | |
Merrill Lynch Mortgage Investors Trust | | |
Series 2005-1, Class 2A2, 3.52%, 4/25/2035 (l) | | |
Series 2006-1, Class 2A1, 3.75%, 2/25/2036 (l) | | |
Series 2006-AF2, Class AF2, 6.25%, 10/25/2036 | | |
Metlife Securitization Trust Series 2017-1A, Class A, 3.00%, 4/25/2055 (c) (l) | | |
Morgan Stanley Mortgage Loan Trust | | |
Series 2006-2, Class 1A, 5.25%, 2/25/2021 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2004-9, Class 1A, 5.34%, 11/25/2034 (l) | | |
Series 2005-4, Class 1A, 5.00%, 8/25/2035 | | |
MortgageIT Trust Series 2005-3, Class A1, 5.62%, 8/25/2035 (l) | | |
New Residential Mortgage Loan Trust | | |
Series 2019-NQM4, Class B1, 3.74%, 9/25/2059 (c) (l) | | |
Series 2019-NQM4, Class B2, 4.86%, 9/25/2059 (c) (l) | | |
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (c) (l) | | |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-WF1, Class 2A5, 5.66%, 3/25/2035 (h) | | |
OBX Trust Series 2023-NQM3, Class A1, 5.95%, 1/25/2063 (c) (h) | | |
PNMAC GMSR Issuer Trust Series 2018-GT1, Class A, 7.87%, 2/25/2025 (c) (l) | | |
PRET LLC Series 2022-NPL4, Class A1, 6.56%, 8/25/2052 (c) (h) | | |
| | |
| | |
Series 2020-4, Class A2, 3.44%, 10/25/2025 (c) (h) | | |
Series 2020-6, Class A2, 4.70%, 11/25/2025 (c) (h) | | |
Series 2021-1, Class A2, 3.72%, 1/25/2026 (c) (l) | | |
Series 2021-3, Class A2, 3.72%, 4/25/2026 (c) (h) | | |
Series 2021-5, Class A2, 3.72%, 6/25/2026 (c) (h) | | |
Series 2021-6, Class A2, 3.47%, 7/25/2026 (c) (h) | | |
Series 2021-7, Class A2, 3.67%, 8/25/2026 (c) (h) | | |
Series 2021-8, Class A2, 3.60%, 9/25/2026 (c) (l) | | |
Series 2021-10, Class A2, 4.83%, 10/25/2026 (c) (h) | | |
Series 2021-11, Class A2, 4.58%, 11/25/2026 (c) (h) | | |
| | |
|
United States — continued |
| | |
Series 2003-QS20, Class CB, 5.00%, 11/25/2018 | | |
Series 2005-QA5, Class A2, 4.34%, 4/25/2035 (l) | | |
Series 2005-QS17, Class A3, 6.00%, 12/25/2035 | | |
Series 2006-QS3, Class 1A10, 6.00%, 3/25/2036 | | |
Series 2006-QS4, Class A2, 6.00%, 4/25/2036 | | |
Series 2006-QS17, Class A5, 6.00%, 12/25/2036 | | |
Residential Asset Securitization Trust | | |
Series 2005-A8CB, Class A11, 6.00%, 7/25/2035 | | |
Series 2005-A14, Class A1, 5.50%, 12/25/2035 | | |
Series 2006-A8, Class 3A1, 6.00%, 8/25/2036 | | |
| | |
Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 | | |
Series 2005-S7, Class A6, 5.50%, 11/25/2035 | | |
Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | | |
Series 2006-SA4, Class 2A1, 5.20%, 11/25/2036 (l) | | |
Seasoned Credit Risk Transfer Trust Series 2017-3, Class AIO, IO, 0.00%, 7/25/2056 (l) | | |
Sequoia Mortgage Trust Series 2007-3, Class 1A1, 5.35%, 7/20/2036 (l) | | |
Starwood Mortgage Residential Trust | | |
Series 2020-1, Class B1, 3.73%, 2/25/2050 (c) (l) | | |
Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (c) | | |
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 1A1, 4.13%, 2/25/2035 (l) | | |
Structured Asset Mortgage Investments II Trust | | |
Series 2005-AR3, Class 1A1, 5.56%, 8/25/2035 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Series 2007-AR7, Class 1A1, 5.87%, 5/25/2047 (l) | | |
Verus Securitization Trust | | |
Series 2019-INV2, Class B1, 4.45%, 7/25/2059 (c) (l) | | |
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 (c) (l) | | |
Series 2021-R1, Class B1, 3.20%, 10/25/2063 (c) (l) | | |
Series 2021-R1, Class B2, 4.20%, 10/25/2063 (c) (l) | | |
Series 2021-R3, Class B1, 3.07%, 4/25/2064 (c) (l) | | |
Series 2021-R3, Class B2, 4.07%, 4/25/2064 (c) (l) | | |
Series 2020-5, Class B1, 3.71%, 5/25/2065 (c) (l) | | |
Series 2020-5, Class B2, 4.71%, 5/25/2065 (c) (l) | | |
Series 2021-1, Class B1, 2.98%, 1/25/2066 (c) (l) | | |
Series 2021-4, Class M1, 2.19%, 7/25/2066 (c) (l) | | |
Series 2021-5, Class B1, 3.04%, 9/25/2066 (c) (l) | | |
Series 2021-5, Class B2, 3.94%, 9/25/2066 (c) (l) | | |
WaMu Mortgage Pass-Through Certificates Trust | | |
Series 2004-AR11, Class A, 4.18%, 10/25/2034 (l) | | |
Series 2005-AR5, Class A6, 3.67%, 5/25/2035 (l) | | |
Series 2005-AR16, Class 1A1, 3.86%, 12/25/2035 (l) | | |
Series 2005-AR14, Class 1A3, 3.90%, 12/25/2035 (l) | | |
Series 2005-AR14, Class 1A4, 3.90%, 12/25/2035 (l) | | |
Series 2005-AR18, Class 1A3A, 3.98%, 1/25/2036 (l) | | |
Series 2006-AR2, Class 1A1, 3.89%, 3/25/2036 (l) | | |
Series 2004-AR10, Class A1B, 5.86%, 7/25/2044 (l) | | |
Series 2005-AR15, Class A1A1, 5.54%, 11/25/2045 (l) | | |
| | |
|
United States — continued |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | | |
Series 2005-1, Class 1A3, 5.50%, 3/25/2035 | | |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | | |
Series 2005-10, Class 2A5, 5.75%, 11/25/2035 | | |
Series 2005-10, Class 4CB1, 5.75%, 12/25/2035 | | |
Series 2006-5, Class 2CB5, 6.50%, 7/25/2036 | | |
Series 2007-1, Class 1A7, 5.62%, 2/25/2037 (l) | | |
Wells Fargo Mortgage-Backed Securities Trust | | |
Series 2006-AR19, Class A3, 4.56%, 12/25/2036 (l) | | |
Series 2007-15, Class A1, 6.00%, 11/25/2037 | | |
| | |
Total Collateralized Mortgage Obligations
(Cost $437,314) | | |
Loan Assignments — 2.2% (g) (n) |
|
Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 8.43%, 10/1/2025 | | |
|
Numericable U.S. LLC, 1st Lien Term Loan B-14 (3-MONTH CME TERM SOFR + 5.50%), 10.49%, 8/15/2028 | | |
|
Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (ICE LIBOR USD 6 Month + 3.50%), 8.60%, 7/30/2027 | | |
|
Flutter Entertainment plc, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.41%, 7/22/2028 | | |
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.41%, 7/3/2028 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Loan Assignments — continued |
|
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.41%, 7/3/2028 | | |
Ineos US Finance LLC, 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 8.41%, 2/18/2030 (o) | | |
Nestle Skin Health SA, Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.91%, 10/1/2026 | | |
| | |
|
CommScope, Inc., 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 4/6/2026 | | |
|
AAdvantage Loyality IP Ltd. , 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.75%), 10.00%, 4/20/2028 (o) | | |
Adient US LLC, Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.35%, 4/10/2028 | | |
Advanced Drainage Systems, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.15%, 7/31/2026 | | |
Ahead DB Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.91%, 10/18/2027 (o) | | |
AHP Health Partners, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.52%, 8/24/2028 | | |
Albany Molecular Research, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 8.90%, 8/30/2026 | | |
Alliance Laundry Systems LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.56%, 10/8/2027 (o) | | |
Allied Universal Holdco LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.83%, 5/12/2028 | | |
Altice Financing SA, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 9.99%, 10/28/2027 | | |
Ancestry.com, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.33%, 12/6/2027 | | |
API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 7.34%, 10/1/2026 | | |
| | |
|
United States — continued |
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.73%, 10/19/2027 | | |
Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.53%, 12/10/2027 | | |
Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 7/31/2027 | | |
Asurion LLC, 1st Lien Term Loan B-11 (3-MONTH SOFR + 4.25%), 9.33%, 8/19/2028 | | |
Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 10.27%, 1/31/2028 | | |
Asurion LLC, Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 8.91%, 8/19/2028 | | |
Avantor Funding, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.33%, 11/8/2027 | | |
Axalta Coating Systems US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 7.90%, 12/20/2029 | | |
AZZ, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.33%, 5/13/2029 | | |
B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 7.52%, 10/10/2026 | | |
Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 8.60%, 3/1/2025 (o) | | |
Bausch Health Cos., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 10.24%, 2/1/2027 | | |
Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 8.06%, 4/28/2028 | | |
Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 7.77%, 8/1/2025 | | |
Brooks Automation, 1st Lien Term Loan B (1-MONTH SOFR + 3.10%; 6-MONTH SOFR + 3.10%), 6.61%, 2/1/2029 (o) | | |
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 10.49%, 2/1/2030 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Loan Assignments — continued |
United States — continued |
Buckeye Partners LP, 1st Lien Term Loan B-1 (ICE LIBOR USD 1 Month + 2.25%), 7.09%, 11/1/2026 | | |
BWAY Intermediate Co., Inc., 1st Lien Term Loan B (3-MONTH SOFR + 4.00%), 8.80%, 8/14/2026 (o) | | |
Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 9.41%, 5/17/2028 | | |
Caesars Entertainment, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.33%, 2/6/2030 | | |
Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 7.02%, 1/15/2025 | | |
Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 8.02%, 10/30/2026 (o) | | |
Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.66%, 2/16/2026 | | |
CenturyLink, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.35%, 3/15/2027 | | |
Chamberlain Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 11/3/2028 | | |
Charter Communications Operating LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 1.75%), 6.80%, 2/1/2027 | | |
Ciena Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.44%, 1/18/2030 | | |
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 8.33%, 11/22/2028 | | |
Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 11.58%, 12/18/2026 (p) | | |
CLARIOS GLOBAL LP1ST LIEN TERM LOAN B (3-MONTH SOFR + 4.00%), 4.00%, 4/20/2030 (o) | | |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%; 3-MONTH CME TERM SOFR + 3.50%), 8.75%, 8/21/2026 | | |
| | |
|
United States — continued |
Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.91%, 5/17/2028 (o) | | |
Conservice Midco LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.40%, 5/13/2027 | | |
Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 9.02%, 5/12/2028 | | |
Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 7.60%, 3/2/2027 | | |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.39%, 1/18/2028 | | |
DaVita, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 6.85%, 8/12/2026 | | |
DCert Buyer Inc., 1st Lien Term Loan | | |
(ICE LIBOR USD 1 Month + 4.00%), 8.70%, 10/16/2026 | | |
(ICE LIBOR USD 3 Month + 7.00%), 11.70%, 2/19/2029 | | |
DexKo Global, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.91%, 10/4/2028 | | |
DirectV Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 10.02%, 8/2/2027 | | |
Duff & Phelps Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.56%, 4/9/2027 | | |
E.W. Scripps Co., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.75%), 7.85%, 1/7/2028 | | |
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 6.65%, 8/1/2027 | | |
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (1-MONTH PRIME + 6.00%), 14.00%, 3/27/2028 | | |
Ensemble RCM LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 8.90%, 8/3/2026 | | |
Entegris, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%; 3-MONTH CME TERM SOFR + 2.75%), 7.66%, 7/6/2029 (o) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Loan Assignments — continued |
United States — continued |
Envision Healthcare Corp., 1st Lien Term Loan | | |
(3-MONTH CME TERM SOFR + 3.75%), 8.65%, 3/31/2027 | | |
(3-MONTH CME TERM SOFR + 4.25%), 9.15%, 3/31/2027 | | |
EPIC Crude Services LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 9.96%, 3/2/2026 | | |
Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 7.46%, 12/15/2027 | | |
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (k) | | |
First Student Bidco, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 8.14%, 7/21/2028 | | |
First Student Bidco, Inc., 1st Lien Term Loan C | | |
(ICE LIBOR USD 3 Month + 3.00%), 8.14%, 7/21/2028 | | |
(3-MONTH CME TERM SOFR + 4.00%), 9.00%, 7/21/2028 | | |
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.00%, 7/21/2028 | | |
Formula One Management Ltd., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.23%, 1/15/2030 | | |
Garda World Security Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.30%, 10/30/2026 | | |
Gates Global LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.58%, 3/31/2027 | | |
Gates Global LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.48%, 11/16/2029 | | |
Gemini HDPE LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 7.83%, 12/31/2027 | | |
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 7.00%, 12/30/2026 | | |
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 9.02%, 12/1/2027 | | |
| | |
|
United States — continued |
Getty Images, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%; 3-MONTH CME TERM SOFR + 4.50%), 9.50%, 2/19/2026 | | |
GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 7.77%, 10/10/2025 | | |
Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 8.02%, 8/4/2027 | | |
Gray Television, Inc., 1st Lien Term Loan D (1-MONTH CME TERM SOFR + 3.00%), 7.92%, 12/1/2028 | | |
Gray Television, Inc., 1st Lien Term Loan E (1-MONTH CME TERM SOFR + 2.50%), 7.42%, 1/2/2026 | | |
Griffon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.50%, 1/24/2029 | | |
Harsco Corp., Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 7.35%, 3/10/2028 | | |
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.10%, 12/15/2026 | | |
Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 6/30/2028 | | |
Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 6/30/2028 | | |
Holley, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.67%, 11/17/2028 | | |
HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%; ICE LIBOR USD 2 Month + 3.00%), 8.02%, 4/25/2025 | | |
iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 8.02%, 5/1/2026 | | |
iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 5/1/2026 | | |
INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.49%, 8/28/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Loan Assignments — continued |
United States — continued |
INEOS US Petrochem LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.85%, 1/29/2026 | | |
Ingram Micro, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.66%, 6/30/2028 | | |
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.35%, 5/4/2028 (o) | | |
Intelsat Jackson Holdings SA, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.08%, 2/1/2029 (o) | | |
Interior Logic Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.58%, 4/3/2028 | | |
Intrado Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.05%, 1/31/2030 | | |
Invenergy LLC, Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.85%, 8/28/2025 | | |
ION Corporates, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.66%, 3/11/2028 | | |
Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.52%, 5/5/2028 | | |
KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 12/22/2025 | | |
LABL, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 9.84%, 10/29/2028 | | |
LegalShield, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 12/15/2028 | | |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.00%, 3/9/2028 | | |
LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 9.02%, 11/16/2025 | | |
Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 8.30%, 6/21/2028 | | |
MED ParentCo LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 9.27%, 8/31/2026 | | |
| | |
|
United States — continued |
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.91%, 10/18/2028 | | |
Medline Borrower LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 10/23/2028 (o) | | |
MH Sub I LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 9/13/2024 | | |
MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.58%, 12/18/2027 | | |
Mirion Technologies, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 7.77%, 10/20/2028 (o) | | |
Moran Foods LLC, 1st Lien Term Loan | | |
(3-MONTH CME TERM SOFR + 7.25%), 12.21%, 6/30/2026 | | |
(3-MONTH CME TERM SOFR + 7.25%), 12.21%, 6/30/2026 ‡ | | |
Moran Foods LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 9.50%), 14.46%, 12/31/2026 | | |
NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 7.53%, 5/8/2025 | | |
Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 9.02%, 10/1/2027 | | |
Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 7.52%, 9/18/2026 | | |
Nielsen Holdings plc, Term Loan B-3 (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 3/6/2028 | | |
Option Care Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 7.77%, 10/27/2028 | | |
Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 6/23/2028 | | |
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.35%, 9/24/2028 | | |
Parexel International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 8.09%, 11/15/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Loan Assignments — continued |
United States — continued |
Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 3/31/2027 | | |
PCI Pharma, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 8.66%, 11/30/2027 | | |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.41%, 3/3/2028 | | |
PetVet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 2/14/2025 | | |
PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 3.00%), 8.06%, 6/23/2025 | | |
Pike Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.48%, 1/21/2028 | | |
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.10%, 1/21/2028 | | |
PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 7.65%, 6/9/2028 | | |
Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 7.61%, 9/23/2026 (o) | | |
PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 8.52%, 12/28/2027 | | |
Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.52%, 6/1/2026 | | |
Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 8/31/2028 | | |
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 9.52%, 12/22/2025 | | |
Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.08%, 2/1/2029 | | |
Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 8.02%, 3/19/2029 | | |
Radiology Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.35%, 7/9/2025 | | |
| | |
|
United States — continued |
RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.84%, 4/24/2028 | | |
Reynolds Group Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.35%, 2/5/2026 | | |
Ring Container Technologies LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.52%, 8/12/2028 | | |
Samsonite International SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 6.77%, 4/25/2025 | | |
Shearer's Foods LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 8.60%, 9/23/2027 | | |
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 10.27%, 9/25/2026 | | |
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.55%, 1/15/2027 | | |
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.41%, 4/5/2029 | | |
SRS Distribution, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.58%, 6/2/2028 | | |
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 1.75%), 6.77%, 4/16/2025 | | |
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 1.75%), 6.77%, 4/16/2025 | | |
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.33%, 2/10/2029 | | |
Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 9.81%, 4/16/2026 | | |
Star Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 2/6/2026 | | |
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 9.66%, 12/4/2026 | | |
Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 9.27%, 3/17/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Loan Assignments — continued |
United States — continued |
Synaptics, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 7.40%, 12/2/2028 | | |
Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 9.16%, 9/15/2028 | | |
The Go Daddy Operating Co. LLC, 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 3.25%), 8.23%, 11/9/2029 | | |
ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 7.52%, 3/24/2028 | | |
Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 8.15%, 3/28/2025 | | |
Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 6/29/2028 | | |
Trans Union LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 2.25%), 7.27%, 12/1/2028 | | |
TransDigm Group, Inc., 1st Lien Term Loan H (3-MONTH CME TERM SOFR + 3.25%), 8.15%, 2/22/2027 | | |
TransDigm, Inc., 1st Lien Term Loan I (3-MONTH CME TERM SOFR + 3.25%), 8.15%, 8/24/2028 (o) | | |
Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 7.02%, 9/6/2024 | | |
Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.66%, 3/31/2028 | | |
Tropicana, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 8.25%, 1/24/2029 | | |
Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 8.77%, 1/31/2028 | | |
U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.88%, 6/26/2026 | | |
UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 8.05%, 4/29/2026 | | |
Ultimate Software Group, 1st Lien Term Loan | | |
(3-MONTH CME TERM SOFR + 3.25%), 8.27%, 5/4/2026 | | |
| | |
|
United States — continued |
(3-MONTH CME TERM SOFR + 3.75%), 8.90%, 5/4/2026 | | |
Ultra Resources, Inc., 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 3.50%), 8.56%, 8/3/2029 | | |
United Airlines, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.25%), 10.21%, 6/21/2027 | | |
United Natural Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.35%, 10/22/2025 | | |
Univision Communications, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 3/15/2026 | | |
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.65%, 11/22/2029 | | |
Utz Quality Foods LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.10%, 1/20/2028 | | |
Vertex Aerospace Services Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 8.52%, 12/6/2028 | | |
Virtusa Corp., 1st Lien Term Loan B | | |
(ICE LIBOR USD 1 Month + 3.75%), 8.77%, 2/11/2028 | | |
(1-MONTH CME TERM SOFR + 3.75%), 8.83%, 2/15/2029 | | |
Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 8/3/2028 | | |
Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.50%), 9.77%, 5/11/2028 | | |
WhiteWater Whistler Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.15%, 2/15/2030 | | |
WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 7.15%, 1/20/2028 | | |
Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 7.02%, 1/24/2027 | | |
| | |
Total Loan Assignments
(Cost $233,288) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
U.S. Treasury Obligations — 1.4% |
|
U.S. Treasury Bonds , 3.63%, 2/15/2053 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $143,534) | | |
Asset-Backed Securities — 1.3% |
|
BlueMountain CLO Ltd. Series 2018-3A, Class D, 8.51%, 10/25/2030 (c) (l) | | |
CARLYLE US CLO Ltd. Series 2018-1A, Class A1, 6.27%, 4/20/2031 (c) (l) | | |
Voya CLO Ltd. Series 2016-3A, Class CR, 8.51%, 10/18/2031 (c) (l) | | |
| | |
|
| | |
Series 2003-OPT1, Class A1A, 5.84%, 4/25/2033 (l) | | |
Series 2004-OPT3, Class M1, 5.77%, 9/25/2033 (l) | | |
Series 2004-HE1, Class M1, 5.92%, 3/25/2034 (l) | | |
Accredited Mortgage Loan Trust Series 2004-4, Class M1, 5.89%, 1/25/2035 (l) | | |
ACE Securities Corp. Home Equity Loan Trust | | |
Series 2003-FM1, Class M1, 6.31%, 11/25/2032 (l) | | |
Series 2004-OP1, Class M2, 6.60%, 4/25/2034 (l) | | |
Affirm Asset Securitization Trust | | |
Series 2021-Z2, Class A, 1.17%, 11/16/2026 (c) | | |
| | |
|
United States — continued |
Series 2022-A, Class 1E, 8.04%, 5/17/2027 (c) | | |
American Credit Acceptance Receivables Trust | | |
Series 2019-2, Class F, 5.81%, 6/12/2026 (c) | | |
Series 2021-2, Class E, 2.54%, 7/13/2027 (c) | | |
Series 2021-3, Class D, 1.34%, 11/15/2027 (c) | | |
Series 2021-1, Class F, 4.01%, 11/15/2027 (c) | | |
Series 2022-1, Class E, 3.64%, 3/13/2028 (c) | | |
Series 2023-2, Class C, 5.96%, 8/13/2029 (c) (j) | | |
AmeriCredit Automobile Receivables Trust Series 2022-2, Class C, 5.32%, 4/18/2028 | | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2002-AR1, Class M1, 6.09%, 9/25/2032 (l) | | |
Asset-Backed Securities Corp. Home Equity Loan Trust | | |
Series 2004-HE2, Class M2, 6.90%, 4/25/2034 (l) | | |
Series 2004-HE7, Class M2, 6.60%, 10/25/2034 (l) | | |
Series 2005-HE6, Class M4, 5.98%, 7/25/2035 (l) | | |
Bear Stearns Asset-Backed Securities Trust | | |
Series 2003-SD1, Class M1, 6.30%, 12/25/2033 (l) | | |
Series 2003-1, Class M1, 6.67%, 11/25/2042 (l) | | |
Series 2004-SD4, Class A1, 5.92%, 8/25/2044 (l) | | |
Centex Home Equity Loan Trust | | |
Series 2004-C, Class M2, 4.61%, 6/25/2034 (l) | | |
Series 2004-D, Class MF2, 6.06%, 9/25/2034 (h) | | |
Series 2004-D, Class MV2, 6.06%, 9/25/2034 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
United States — continued |
| | |
Series 2003-5, Class 1M2, 5.64%, 9/25/2032 (l) | | |
Series 2004-1, Class 1M1, 4.73%, 5/25/2033 | | |
Series 2003-4, Class 1A5, 4.88%, 5/25/2033 (h) | | |
Series 2004-1, Class 2M1, 5.77%, 9/25/2033 (l) | | |
CHEC Loan Trust Series 2004-1, Class M1, 5.92%, 7/25/2034 (c) (l) | | |
Citigroup Mortgage Loan Trust, Inc. | | |
Series 2005-OPT1, Class M4, 6.07%, 2/25/2035 (l) | | |
Series 2005-WF2, Class AF7, 5.75%, 8/25/2035 (h) | | |
Conn's Receivables Funding LLC Series 2022-A, Class B, 9.52%, 12/15/2026 (c) | | |
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2020-9, Class PT, 8.92%, 4/15/2045 ‡ (c) (l) | | |
Countrywide Asset-Backed Certificates | | |
Series 2004-3, Class M1, 5.77%, 6/25/2034 (l) | | |
Series 2004-3, Class M2, 5.85%, 6/25/2034 (l) | | |
Series 2004-ECC2, Class M2, 6.00%, 12/25/2034 (l) | | |
Countrywide Partnership Trust Series 2004-EC1, Class M2, 5.97%, 1/25/2035 (l) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2022-3A, Class A, 6.57%, 10/15/2032 (c) | | |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (c) | | |
CWABS Asset-Backed Certificates Trust | | |
Series 2005-11, Class AF6, 5.05%, 2/25/2036 (l) | | |
Series 2005-AB4, Class 2A1, 5.56%, 3/25/2036 (l) | | |
CWABS Asset-Backed Certificates Trust, Series 2004-BC4, Class M1, 6.07%, 11/25/2034 (l) | | |
| | |
|
United States — continued |
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 5.85%, 3/25/2034 (l) | | |
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-5, Class M2, 6.03%, 7/25/2034 (l) | | |
CWABS, Inc., Asset-Backed Certificates Series 2004-1, Class M3, 6.00%, 2/25/2034 (l) | | |
| | |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (c) | | |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (c) | | |
Series 2021-2A, Class E, 2.97%, 7/17/2028 (c) | | |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (c) | | |
Exeter Automobile Receivables Trust | | |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (c) | | |
Series 2020-3A, Class F, 5.56%, 6/15/2027 (c) | | |
Series 2021-4A, Class E, 4.02%, 1/17/2028 (c) | | |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (c) | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Finance America Mortgage Loan Trust Series 2004-3, Class M2, 5.97%, 11/25/2034 (l) | | |
First Franklin Mortgage Loan Asset-Backed Certificates Series 2004-FF3, Class M1, 5.85%, 5/25/2034 (l) | | |
FREED ABS Trust Series 2022-4FP, Class B, 7.58%, 12/18/2029 (c) | | |
| | |
Series 2002-1, Class M1, 6.27%, 8/25/2033 (l) | | |
Series 2004-B, Class M2, 5.97%, 5/25/2034 (l) | | |
Series 2004-C, Class M1, 6.00%, 8/25/2034 (l) | | |
Series 2004-D, Class M2, 5.92%, 11/25/2034 (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
United States — continued |
| | |
Series 2003-SEA, Class A1, 5.82%, 2/25/2033 (l) | | |
Series 2003-HE1, Class M1, 6.20%, 6/20/2033 (l) | | |
Home Equity Mortgage Loan Asset-Backed Trust | | |
Series 2004-B, Class M2, 6.15%, 11/25/2034 (l) | | |
Series 2004-C, Class M2, 5.92%, 3/25/2035 (l) | | |
LendingClub Loan Certificate Issuer Trust | | |
Series 2022-P3, Class CERT, 11.88%, 5/15/2037 ‡ (c) | | |
Series 2022-NP3, Class CERT, HB, 25.22%, 5/15/2037 ‡ (c) | | |
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (c) | | |
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (c) | | |
Series 2022-NP6, Class CERT, HB, 25.46%, 7/15/2037 ‡ (c) | | |
Lendingpoint Asset Securitization Trust Series 2021-B, Class B, 1.68%, 2/15/2029 (c) | | |
| | |
Series 2021-1A, Class B, 2.47%, 11/20/2031 (c) | | |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (c) | | |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (c) | | |
Long Beach Mortgage Loan Trust Series 2003-4, Class M1, 6.04%, 8/25/2033 (l) | | |
MASTR Asset-Backed Securities Trust | | |
Series 2004-OPT2, Class M2, 6.00%, 9/25/2034 (l) | | |
Series 2005-NC1, Class M4, 6.16%, 12/25/2034 (l) | | |
ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (c) | | |
Merrill Lynch Mortgage Investors Trust | | |
Series 2003-OPT1, Class M1, 6.00%, 7/25/2034 (l) | | |
Series 2004-HE2, Class M1, 6.22%, 8/25/2035 (l) | | |
| | |
|
United States — continued |
Morgan Stanley ABS Capital I, Inc. Trust | | |
Series 2003-NC10, Class M1, 6.04%, 10/25/2033 (l) | | |
Series 2004-WMC2, Class M1, 5.94%, 7/25/2034 (l) | | |
Series 2004-WMC2, Class M2, 6.82%, 7/25/2034 (l) | | |
Series 2004-HE6, Class M2, 5.92%, 8/25/2034 (l) | | |
Series 2004-HE7, Class M2, 5.97%, 8/25/2034 (l) | | |
Series 2004-HE6, Class M3, 6.00%, 8/25/2034 (l) | | |
Series 2004-HE7, Class M3, 6.04%, 8/25/2034 (l) | | |
Series 2004-HE8, Class M2, 6.04%, 9/25/2034 (l) | | |
Series 2004-NC8, Class M3, 6.13%, 9/25/2034 (l) | | |
Series 2004-HE8, Class M3, 6.15%, 9/25/2034 (l) | | |
Series 2005-HE1, Class M2, 5.73%, 12/25/2034 (l) | | |
Series 2005-NC1, Class M3, 5.79%, 1/25/2035 (l) | | |
Morgan Stanley Mortgage Loan Trust Series 2007-5AX, Class 2A2, 5.32%, 2/25/2037 (l) | | |
New Century Home Equity Loan Trust | | |
Series 2004-2, Class M2, 5.95%, 8/25/2034 (l) | | |
Series 2004-3, Class M2, 6.00%, 11/25/2034 (l) | | |
Series 2004-3, Class M3, 6.09%, 11/25/2034 (l) | | |
Series 2004-4, Class M2, 5.82%, 2/25/2035 (l) | | |
NovaStar Mortgage Funding Trust Series 2003-2, Class M2, 7.80%, 9/25/2033 (l) | | |
Oak Street Investment Grade Net Lease Fund | | |
Series 2021-1A, Class A3, 2.80%, 1/20/2051 (c) | | |
Series 2021-1A, Class B1, 4.23%, 1/20/2051 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
United States — continued |
Oportun Issuance Trust Series 2022-3, Class B, 8.53%, 1/8/2030 (c) | | |
Option One Mortgage Accept Corp. Asset-Backed Certificates | | |
Series 2003-5, Class A2, 5.66%, 8/25/2033 (l) | | |
Series 2003-5, Class M2, 7.35%, 8/25/2033 (l) | | |
Option One Mortgage Loan Trust Series 2004-3, Class M2, 5.88%, 11/25/2034 (l) | | |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (c) | | |
People's Choice Home Loan Securities Trust Series 2004-2, Class M3, 6.75%, 10/25/2034 (l) | | |
| | |
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (c) (h) | | |
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (c) (h) | | |
Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (c) (l) | | |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (c) (h) | | |
Pretium Mortgage Credit Partners LLC Series 2021-RN1, Class A2, 3.60%, 2/25/2061 (c) (h) | | |
Progress Residential Trust | | |
Series 2021-SFR8, Class G, 4.01%, 10/17/2038 (c) | | |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (c) | | |
RAMP Trust Series 2002-RS2, Class AI5, 4.97%, 3/25/2032 (l) | | |
Renaissance Home Equity Loan Trust | | |
Series 2002-3, Class M1, 6.52%, 12/25/2032 (l) | | |
Series 2003-1, Class M1, 6.52%, 6/25/2033 (l) | | |
Series 2003-4, Class M2F, 6.24%, 3/25/2034 (h) | | |
Series 2003-4, Class M1, 6.30%, 3/25/2034 (l) | | |
| | |
|
United States — continued |
Santander Bank Auto Credit-Linked Notes | | |
Series 2022-C, Class B, 6.45%, 12/15/2032 (c) | | |
Series 2022-C, Class C, 6.99%, 12/15/2032 (c) | | |
Series 2022-C, Class D, 8.20%, 12/15/2032 (c) | | |
Series 2022-C, Class E, 11.37%, 12/15/2032 (c) | | |
Santander Drive Auto Receivables Trust Series 2022-2, Class C, 3.76%, 7/16/2029 | | |
SASCO Mortgage Loan Trust Series 2004-GEL3, Class M1, 6.60%, 8/25/2034 (l) | | |
Saxon Asset Securities Trust Series 2004-2, Class MV2, 4.01%, 8/25/2035 (l) | | |
Securitized Asset-Backed Receivables LLC Trust Series 2005-OP1, Class M2, 5.70%, 1/25/2035 (l) | | |
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (c) (h) | | |
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1, Class A3, 3.45%, 2/25/2032 | | |
Tesla Auto Lease Trust Series 2021-B, Class B, 0.91%, 9/22/2025 (c) | | |
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (c) | | |
Upstart Pass-Through Trust | | |
Series 2022-PT3, Class A, 19.64%, 4/20/2030 ‡ (c) (l) | | |
Series 2022-PT4, Class A, 19.45%, 5/20/2030 ‡ (c) (l) | | |
Upstart Securitization Trust | | |
Series 2021-5, Class C, 4.15%, 11/20/2031 (c) | | |
Series 2022-1, Class C, 5.71%, 3/20/2032 (c) | | |
Series 2022-4, Class A, 5.98%, 8/20/2032 (c) | | |
Wells Fargo Home Equity Asset-Backed Securities Trust | | |
Series 2004-2, Class M8B, 5.00%, 10/25/2034 (c) (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
United States — continued |
Series 2004-2, Class M1, 5.92%, 10/25/2034 (l) | | |
Series 2004-2, Class M8A, 9.52%, 10/25/2034 (c) (l) | | |
| | |
Total Asset-Backed Securities
(Cost $134,558) | | |
Equity Linked Notes — 1.1% |
|
Royal Bank of Canada, ELN, 9.00%, 6/15/2023, (linked to Nasdaq-100 Index) (b) (Cost $98,865) | | |
Foreign Government Securities — 1.0% |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Federative Republic of Brazil | | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Dominican Republic — 0.1% |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Gabonese Republic 6.95%, 6/16/2025 (b) | | |
|
Republic of Ghana 10.75%, 10/14/2030 (b) (k) | | |
|
| | |
| | |
| | |
| | |
|
Republic of Iraq 5.80%, 1/15/2028 (b) | | |
|
Republic of Cote d'Ivoire | | |
5.75%, 12/31/2032 (b) (h) | | |
| | |
| | |
| | |
|
|
Hashemite Kingdom of Jordan 5.85%, 7/7/2030 (c) | | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
Republic of Namibia 5.25%, 10/29/2025 (b) | | |
|
Federal Republic of Nigeria | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
Sultanate of Oman Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Islamic Republic of Pakistan | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Republic of Serbia 6.50%, 9/26/2033 (c) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (c) | | |
| | |
|
Republic of Zambia 8.97%, 7/30/2027 (b) (k) | | |
Total Foreign Government Securities
(Cost $130,623) | | |
|
|
DEXUS Finance Pty. Ltd. REIT, 2.30%, 6/19/2026 (b) | | |
|
Groupe Bruxelles Lambert NV 2.13%, 11/29/2025 (b) | | |
|
Shopify, Inc. 0.13%, 11/1/2025 | | |
|
ESR Group Ltd. 1.50%, 9/30/2025 (b) | | |
Hansoh Pharmaceutical Group Co. Ltd. Zero Coupon, 1/22/2026 (b) | | |
Hello Group, Inc. 1.25%, 7/1/2025 | | |
Meituan Zero Coupon, 4/27/2028 (b) | | |
PDD Holdings, Inc. Zero Coupon, 12/1/2025 | | |
Pharmaron Beijing Co. Ltd. Zero Coupon,6/18/2026 (b) | | |
| | |
|
Safran SA Series SAF, Zero Coupon, 4/1/2028 (b) | | |
Selena Sarl Series PUM, Zero Coupon, 6/25/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Convertible Bonds — continued |
|
Ubisoft Entertainment SA Series UBI, Zero Coupon, 9/24/2024 (b) | | |
Worldline SA Zero Coupon, 7/30/2026 (b) | | |
| | |
|
LEG Immobilien SE 0.40%, 6/30/2028 (b) | | |
MTU Aero Engines AG Series MTX, 0.05%, 3/18/2027 (b) | | |
Zalando SE Series B, 0.63%, 8/6/2027 (b) | | |
| | |
|
Wix.com Ltd. Zero Coupon, 8/15/2025 | | |
|
Fomento Economico Mexicano SAB de CV 2.63%, 2/24/2026 (b) | | |
|
Xero Investments Ltd. Zero Coupon, 12/2/2025 (b) | | |
|
Sea Ltd. 0.25%, 9/15/2026 | | |
|
Delivery Hero SE Series A, 1.00%, 4/30/2026 (b) | | |
POSCO Holdings, Inc. Zero Coupon, 9/1/2026 (b) | | |
| | |
|
Cellnex Telecom SA 0.75%, 11/20/2031 (b) | | |
|
Dufry One BV 0.75%, 3/30/2026 (b) | | |
United Arab Emirates — 0.0% ^ |
Abu Dhabi National Oil Co. 0.70%, 6/4/2024 (b) | | |
|
Barclays Bank plc Series VUN, Zero Coupon, 2/18/2025 | | |
Cornwall Jersey Ltd. 0.75%, 4/16/2026 (b) | | |
Just Eat Takeaway.com NV Series B, 0.63%, 2/9/2028 (b) | | |
Ocado Group plc 0.75%, 1/18/2027 (b) | | |
| | |
|
United Kingdom — continued |
Shaftesbury Capital plc REIT, 2.00%, 3/30/2026 | | |
Trainline plc 1.00%, 1/14/2026 (b) | | |
WH Smith plc 1.63%, 5/7/2026 (b) | | |
| | |
|
Affirm Holdings, Inc. Zero Coupon, 11/15/2026 | | |
Airbnb, Inc. Zero Coupon, 3/15/2026 | | |
Alteryx, Inc. 1.00%, 8/1/2026 | | |
Block, Inc. 0.25%, 11/1/2027 | | |
Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026 | | |
Chegg, Inc. Zero Coupon, 9/1/2026 | | |
Cloudflare, Inc. Zero Coupon, 8/15/2026 | | |
Coinbase Global, Inc. 0.50%, 6/1/2026 | | |
Confluent, Inc. Zero Coupon, 1/15/2027 | | |
| | |
| | |
| | |
DocuSign, Inc. Zero Coupon, 1/15/2024 | | |
Dropbox, Inc. Zero Coupon, 3/1/2026 | | |
Etsy, Inc. 0.25%, 6/15/2028 | | |
Expedia Group, Inc. Zero Coupon, 2/15/2026 | | |
Gulfport Energy Corp. 10.00% (Cash), 6/5/2023 ‡ * (e) (f) (i) | | |
Halozyme Therapeutics, Inc. 0.25%, 3/1/2027 | | |
| | |
| | |
| | |
Okta, Inc. 0.13%, 9/1/2025 | | |
Peloton Interactive, Inc. Zero Coupon, 2/15/2026 | | |
Redwood Trust, Inc. REIT, 4.75%, 8/15/2023 | | |
Repay Holdings Corp. Zero Coupon, 2/1/2026 (c) | | |
| | |
| | |
| | |
RWT Holdings, Inc. 5.75%, 10/1/2025 | | |
Shift4 Payments, Inc. 0.50%, 8/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Convertible Bonds — continued |
United States — continued |
Snap, Inc. Zero Coupon, 5/1/2027 | | |
Southern Co. (The) 3.88%, 12/15/2025 (c) | | |
Splunk, Inc. 1.13%, 6/15/2027 | | |
Spotify USA, Inc. Zero Coupon, 3/15/2026 | | |
Teladoc Health, Inc. 1.25%, 6/1/2027 | | |
TripAdvisor, Inc. 0.25%, 4/1/2026 | | |
Uber Technologies, Inc. Zero Coupon, 12/15/2025 | | |
Unity Software, Inc. Zero Coupon, 11/15/2026 | | |
Vishay Intertechnology, Inc. 2.25%, 6/15/2025 | | |
Zillow Group, Inc. 2.75%, 5/15/2025 | | |
| | |
|
No. Va Land Investment Group Corp. 5.25%, 7/16/2026 (b) | | |
Total Convertible Bonds
(Cost $63,294) | | |
| | |
|
|
| | |
Series KK, 5.38%, 6/25/2024 ($25 par value) (s) | | |
Series LL, 5.00%, 9/17/2024 ($25 par value) (s) | | |
Goodman Networks, Inc. ‡ * | | |
| | |
Series I, 6.38%, 10/15/2024 ($25 par value) (s) | | |
Series K, 5.85%, 4/15/2027 ($25 par value) (s) | | |
Series P, 6.50%, 10/15/2027 ($25 par value) (s) | | |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | | |
SCE Trust VI 5.00%, 6/26/2022 ($25 par value) (s) | | |
Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value) | | |
State Street Corp. Series G, 5.35%, 3/15/2026 ($25 par value) (s) | | |
| | |
|
United States — continued |
Truist Financial Corp. Series R, 4.75%, 9/1/2025 ($25 par value) (s) | | |
| | |
Series Y, 5.63%, 6/15/2023 ($25 par value) (s) | | |
Series Z, 4.75%, 3/15/2025 ($25 par value) (s) | | |
Total Preferred Stocks
(Cost $56,914) | | |
Convertible Preferred Stocks — 0.2% |
|
AMG Capital Trust II 5.15%, 10/15/2037 ($50 par value) | | |
Bank of America Corp. Series L, 7.25% ($1,000 par value) | | |
Claire's Stores, Inc. ‡ * | | |
KKR Group Co., Inc. Series C, 6.00%, 9/15/2023 ($50 par value) | | |
NextEra Energy, Inc. 6.93%, 9/1/2025 ($49 par value) | | |
Wells Fargo & Co. Series L, 7.50% ($1,000 par value) | | |
Total Convertible Preferred Stocks
(Cost $8,508) | | |
| | |
U.S. Government Agency Securities — 0.1% |
|
| | |
| | |
| | |
| | |
Total U.S. Government Agency Securities
(Cost $9,801) | | |
| | |
|
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD ‡ * | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
|
|
Cineworld Group plc expiring 11/23/2025, price 4,149.00 GBP * | | |
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ * | | |
| | |
| | |
| | |
Mortgage-Backed Securities — 0.0% ^ |
|
FNMA UMBS, 20 Year Pool # CA1231, 3.50%, 2/1/2038 | | |
| | |
Pool # MA4398, 2.00%, 8/1/2051 | | |
Pool # MA4465, 2.00%, 11/1/2051 | | |
Pool # MA4548, 2.50%, 2/1/2052 | | |
Pool # MA4563, 2.50%, 3/1/2052 | | |
Pool # MA4564, 3.00%, 3/1/2052 | | |
Pool # MA4733, 4.50%, 9/1/2052 | | |
Total Mortgage-Backed Securities
(Cost $1,045) | | |
| | |
|
|
Intelsat Jackson Holdings SA, expiring 12/5/2025‡ * | | |
|
Keppel Infrastructure Trust, expiring 5/10/2023* | | |
|
Vistra Corp., expiring 12/31/2049‡ * | | |
| | |
| | |
Short-Term Investments — 8.0% |
Certificates of Deposits — 0.0% ^ |
Bank of America Corp., 5.37%, 4/26/2024 | | |
Barclays Bank plc, 5.72%, 12/7/2023 | | |
Mizuho Bank Ltd., 5.40%, 12/14/2023 | | |
Oversea-Chinese Banking Corp. Ltd., 5.28%, 7/5/2023 | | |
Svenska Handelsbanken AB, 3.46%, 6/13/2023 | | |
Total Certificates of Deposits
(Cost $5,506) | | |
|
3M Co., 5.55%, 9/7/2023 (t) | | |
American Electric Power Co., Inc., 5.28%, 7/20/2023 (t) | | |
American Honda Finance Corp., 5.01%, 5/5/2023 (t) | | |
AT&T, Inc., 5.68%, 12/20/2023 (t) | | |
Australia & New Zealand Banking Group Ltd. | | |
| | |
| | |
| | |
Banco Del Estado De Chile, 5.22%, 7/18/2023 (t) | | |
| | |
| | |
| | |
Banque et Caisse d'Epargne de l'Etat, 5.09%, 6/23/2023 (t) | | |
BASF SE, 5.60%, 12/1/2023 (t) | | |
BNG Bank NV, 4.93%, 5/17/2023 (t) | | |
| | |
| | |
| | |
Centrica plc, 5.46%, 6/9/2023 (t) | | |
Citigroup Global Markets, Inc. | | |
| | |
| | |
Cooperatieve Rabobank UA, 5.21%, 8/14/2023 (t) | | |
Credit Agricole Corporate and Investment Bank, 4.89%, 5/24/2023 (t) | | |
Credit Industriel et Commercial, 5.03%, 7/19/2023 (t) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | |
Short-Term Investments — continued |
Commercial Paper — continued |
| | |
| | |
| | |
DZ Bank AG, 5.00%, 7/27/2023 (t) | | |
Electricite de France, 5.25%, 5/3/2023 (t) | | |
Estee Lauder Cos., Inc. (The), 5.21%, 10/11/2023 (t) | | |
Export Development Corp., 4.94%, 7/12/2023 (t) | | |
Federation des Caisses Desjardins du Quebec, 5.13%, 8/18/2023 (t) | | |
First Abu Dhabi Bank PJSC, 5.14%, 6/6/2023 (t) | | |
FMS Wertmanagement, 4.82%, 5/30/2023 (t) | | |
Glencore Funding LLC, 5.15%, 5/16/2023 (t) | | |
GTA Funding LLC, 4.90%, 5/24/2023 (t) | | |
Haleon UK Capital plc, 5.42%, 5/16/2023 (t) | | |
Henkel US Operations Corp., 4.31%, 9/7/2023 (t) | | |
HSBC USA, Inc., 6.06%, 12/7/2023 (t) | | |
| | |
| | |
| | |
| | |
John Deere Canada ULC, 5.10%, 7/6/2023 (t) | | |
Korea Development Bank (The), 5.02%, 7/7/2023 (t) | | |
Lloyds Bank Corporate Markets plc | | |
| | |
| | |
LMA-Americas LLC, 5.15%, 7/18/2023 (t) | | |
L'Oreal SA, 5.18%, 10/13/2023 (t) | | |
LVMH Moet Hennessy Louis Vuitton, Inc. | | |
| | |
| | |
Macquarie Bank Ltd., 5.49%, 11/15/2023 (t) | | |
MUFG Bank Ltd., 5.21%, 5/15/2023 (t) | | |
| | |
| | |
| | |
| | |
|
Commercial Paper — continued |
| | |
| | |
| | |
Nederlandse Waterschapsbank NV, 5.03%, 10/11/2023 (t) | | |
Ontario Teachers' Finance Trust | | |
| | |
5.30%, 11/17/2023 (c) (t) | | |
Province of British Columbia, 4.77%, 5/25/2023 (t) | | |
| | |
| | |
5.39%, 11/28/2023 (c) (t) | | |
| | |
| | |
| | |
Sanofi, 5.16%, 10/13/2023 (t) | | |
Skandinaviska Enskilda Banken AB | | |
| | |
| | |
Societe Generale SA, 5.44%, 12/15/2023 (t) | | |
Southern Co.(The), 5.17%, 5/5/2023 (t) | | |
Standard Chartered Bank, 5.58%, 2/21/2024 (t) | | |
Svenska Handelsbanken AB, 5.36%, 10/10/2023 (t) | | |
Tampa Electric Co., 5.38%, 5/8/2023 (t) | | |
TELUS Corp., 5.10%, 5/25/2023 (t) | | |
Toyota Industries Commercial Finance, Inc., 4.02%, 6/9/2023 (c) (t) | | |
TransCanada PipeLines Ltd., 5.55%, 8/11/2023 (t) | | |
United Overseas Bank Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Total Commercial Paper
(Cost $122,491) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Investment Companies — 5.0% |
JPMorgan Prime Money Market Fund Class IM Shares, 4.95% (m) (u) | | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (m) (u) | | |
Total Investment Companies
(Cost $501,902) | | |
Investment of Cash Collateral from Securities Loaned — 1.7% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (m) (u) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (m) (u) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $166,082) | | |
| | |
U.S. Treasury Obligations — 0.1% |
U.S. Treasury Bills, 4.73%, 5/25/2023 (t)(Cost $5,882) | | |
Total Short-Term Investments
(Cost $801,863) | | |
Total Investments — 102.0%
(Cost $10,207,198) | | |
Liabilities in Excess of Other Assets — (2.0)% | | |
| | |
Percentages indicated are based on net assets. |
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| |
| |
| Alternative Credit Enhancement Securities |
| American Depositary Receipt |
| |
| |
| Closed Joint Stock Company |
| Collateralized Loan Obligations |
| Chicago Mercantile Exchange |
| Credit Suisse Mortgage Trust |
| |
| |
| |
| |
| |
| Euro Interbank Offered Rate |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Global Depositary Receipt |
| Government National Mortgage Association |
| 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. |
| Intercontinental Exchange |
| 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, 2023. The rate may be subject to a cap and floor. |
| 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. |
| |
| London Interbank Offered Rate |
| |
| Public Joint Stock Company |
| 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. |
| 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. |
| Limited liability company |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| |
| Limited partnership with share capital |
| |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| 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. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| The security or a portion of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 is $159,198. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at April 30, 2023 is $175,085 or 1.76% of the Fund’s net assets as of April 30, 2023. | |
| Security is an interest bearing note with preferred security characteristics. | |
| 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, 2023. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2023. | |
| 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, 2023. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| | |
| 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, 2023. | |
| 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. | |
| Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| All or a portion of this security is unsettled as of April 30, 2023. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
| Fund is subject to legal or contractual restrictions on the resale of the security. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
| | |
| The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of April 30, 2023. | |
| The rate shown is the effective yield as of April 30, 2023. | |
| The rate shown is the current yield as of April 30, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
Summary of Investments by Industry, April 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
Oil, Gas & Consumable Fuels | |
Commercial Mortgage-Backed Securities | |
Diversified Telecommunication Services | |
Collateralized Mortgage Obligations | |
| |
| |
| |
| |
| |
Semiconductors & Semiconductor Equipment | |
Health Care Providers & Services | |
Hotels, Restaurants & Leisure | |
| |
| |
| |
| |
| |
| |
| |
Wireless Telecommunication Services | |
| |
Consumer Staples Distribution & Retail | |
| |
| |
Foreign Government Securities | |
| |
| |
| |
Others (each less than 1.0%) | |
| |
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 each 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.
Futures contracts outstanding as of April 30, 2023 (amounts in thousands, except number of contracts):
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF April 30, 2023 (Unaudited) (continued)
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| JPMorgan
Global
Allocation Fund | |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | | |
| | |
Foreign currency, at value | | |
Deposits at broker for futures contracts | | |
| | |
Investment securities sold | | |
Investment securities sold — delayed delivery securities | | |
| | |
Interest from non-affiliates | | |
Dividends from non-affiliates | | |
Dividends from affiliates | | |
| | |
Securities lending income (See Note 2.F.) | | |
Variation margin on futures contracts | | |
Unrealized appreciation on forward foreign currency exchange contracts | | |
| | |
| | |
| | |
Investment securities purchased | | |
Investment securities purchased — delayed delivery securities | | |
Collateral received on securities loaned (See Note 2.F.) | | |
| | |
Unrealized depreciation on forward foreign currency exchange contracts | | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Trustees’ and Chief Compliance Officer’s fees | | |
Deferred foreign capital gains tax | | |
| | |
| | |
| | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF April 30, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan Global Allocation Fund | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Class A — Redemption price per share | | |
Class C — Offering price per share (b) | | |
Class I — Offering and redemption price per share | | |
Class R2 — Offering and redemption price per share | | |
Class R3 — Offering and redemption price per share | | |
Class R4 — Offering and redemption price per share | | |
Class R5 — Offering and redemption price per share | | |
Class R6 — Offering and redemption price per share | | |
Class A maximum sales charge | | |
Class A maximum public offering price per share
[net asset value per share/(100% – maximum sales charge)] | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
| | |
Investment securities on loan, at value (See Note 2.F.) | | |
Cost of investment of cash collateral (See Note 2.F.) | | |
(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.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited)
(Amounts in thousands)
| JPMorgan
Global
Allocation Fund | |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from non-affiliates | | |
Dividend income from affiliates | | |
Income from securities lending (net) (See Note 2.F.) | | |
Foreign taxes withheld (net) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Interest expense to affiliates | | |
| | |
Trustees’ and Chief Compliance Officer’s fees | | |
Printing and mailing costs | | |
Registration and filing fees | | |
Transfer agency fees (See Note 2.L.) | | |
| | |
| | |
| | |
Less expense reimbursements | | |
| | |
Net investment income (loss) | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED April 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| JPMorgan Global Allocation Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
Foreign currency transactions | | |
Forward foreign currency exchange contracts | | |
| | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
Foreign currency translations | | |
Forward foreign currency exchange contracts | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
(a)
Net of foreign capital gains tax of $(65).
(b)
Net of change in foreign capital gains tax of $41.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund |
| Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 | Six Months Ended
April 30, 2023
(Unaudited) | Year Ended
October 31, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund |
| Six Months Ended April 30, 2023
(Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023
(Unaudited) | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R2 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R3 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R4 capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R5 capital transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
CAPITAL TRANSACTIONS: (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class R6 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R2 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R3 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R4 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund |
| Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Six Months Ended April 30, 2023 (Unaudited) | |
SHARE TRANSACTIONS: (continued) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R5 Shares | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Change in Class R6 Shares | | | | |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b)(c) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Global Allocation Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
October 1, 2018 (j) through October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
October 1, 2018 (j) through October 31, 2018 | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| |
| | | 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) | Net
investment
income
(loss)(b) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(d)(h) | Portfolio
turnover rate
(including securities
sold short)(d)(h) |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b)(c) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Global Allocation Fund (continued) | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
October 1, 2018 (j) through October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
November 1, 2017 (j) through October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Does not include expenses of Underlying Funds. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| The Fund presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. For the six months ended April 30, 2023 the Fund did not transact in securities sold short. |
| |
| | | | | | |
Net expenses (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| |
| | | 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) | Net
investment
income
(loss)(b) | Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) | Portfolio
turnover rate
(excluding securities
sold short)(d)(h) | Portfolio
turnover rate
(including securities
sold short)(d)(h) |
|
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net
investment
income
(loss)(b) | Net realized
and unrealized
gains
(losses) on
investments | Total from
investment
operations | | | |
JPMorgan Income Builder Fund | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
Year Ended October 31, 2018 | | | | | | | |
| | | | | | | |
Six Months Ended April 30, 2023 (Unaudited) | | | | | | | |
Year Ended October 31, 2022 | | | | | | | |
Year Ended October 31, 2021 | | | | | | | |
Year Ended October 31, 2020 | | | | | | | |
Year Ended October 31, 2019 | | | | | | | |
November 1, 2017 (f) through October 31, 2018 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| |
| | | 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
investment
income
(loss) | Expenses without
waivers and reimbursements | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (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:
| | Diversification Classification |
JPMorgan Global Allocation Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | |
JPMorgan Income Builder Fund | Class A, Class C, Class I and Class R6 | |
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. Class C Shares automatically convert to Class A Shares after eight 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.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of Investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC 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 using prices supplied 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 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 NAV is 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.
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, 2023.
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"):
| | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Global Allocation Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Convertible Preferred Stocks | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Global Allocation Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Amount rounds to less than one thousand. |
| |
There were no significant transfers into or out of level 3 for the six months ended April 30, 2023.
| | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Asset-Backed Securities | | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| | | | |
Total Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Income Builder Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Income Builder Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Convertible Preferred Stocks | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Income Builder Fund (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
U.S. Treasury Obligations | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
|
| Amount rounds to less than one thousand. |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| Balance as of
October 31,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
April 30,
2023 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Convertible Preferred Stocks | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(3,691). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the six months ended April 30, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
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, 2023 | | | Range (Weighted Average) (a) |
| | Market Comparable Companies | | |
| | | | |
| | | | |
| | Market Comparable Companies | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Fair Value at April 30, 2023 | | | Range (Weighted Average) (a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | Pending Distribution Amount | | |
| | | | |
| | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At April 30, 2023, the value of these investments was $46,849. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
| Amount rounds to less than one thousand. |
| Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
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, 2023, 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 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 by their 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 difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, the 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 — Income Builder Fund 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, 2023, Income Builder Fund had the following loan commitments outstanding in which all or a portion of the commitments was unfunded which could be extended at the options of the borrower:
| | | | | | |
| | | | | | | | | |
|
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan | | | | | | | | | |
E. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — Income Builder Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before 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 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 fund 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.
Income Builder Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of April 30, 2023, 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, 2023 are detailed on the SOIs, if any.
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.
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023.
| 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) |
| | | |
| | | |
|
| 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, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
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. The Underlying Funds’ and ETFs' distributions may be reinvested into such Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Income Fund Class R6 Shares (a) | | | | | | | | | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
Global Allocation Fund (continued) |
For the six months ended April 30, 2023 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the six months ended April 30, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Equity Premium Income ETF (a) | | | | | | | | | |
JPMorgan Prime Money Market Fund Class IM Shares, 4.95% (a) (b) | | | | | | | | | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.88% (a) (b) | | | | | | | | | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.01% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.78% (a) (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. |
| The rate shown is the current yield as of April 30, 2023. |
| 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). |
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.
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 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(3) below describe the various derivatives used by the Funds.
(1) Options — Global Allocation Fund purchased 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 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.
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 currency exchange 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) Summary of Derivatives Information —The following tables present the value of derivatives held as of April 30, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| | |
| | |
Unrealized Appreciation on Futures Contracts * | | |
Unrealized Depreciation on Futures Contracts * | | |
Foreign Exchange Rate Risk Exposure: | | |
Unrealized Appreciation on Futures Contracts * | | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | |
Unrealized Depreciation on Futures Contracts * | | |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| | |
Interest Rate Risk Exposure: | | |
Unrealized Appreciation on Futures Contracts * | | |
Unrealized Depreciation on Futures Contracts * | | |
Net Fair Value of Derivative Contracts: | | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | | |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | | |
|
| 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 tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2023, by primary underlying risk exposure:
| | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
|
| | |
| | |
Foreign Exchange Rate Risk Exposure: |
| | |
Forward Foreign Currency Exchange Contracts | | |
Interest Rate Risk Exposure: |
| | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
| | |
Foreign Exchange Rate Risk Exposure: |
| | |
Forward Foreign Currency Exchange Contracts | | |
Interest Rate Risk Exposure: |
| | |
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, 2023. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity (amounts in thousands, except number of contracts):
| | |
| | |
Average Notional Balance Long | | |
Average Notional Balance Short | | |
Ending Notional Balance Long | | |
Ending Notional Balance Short | | |
| | |
Forward Foreign Currency Exchange Contracts: | | |
Average Settlement Value Purchased | | |
Average Settlement Value Sold | | |
Ending Settlement Value Purchased | | |
Ending Settlement Value Sold | | |
| | |
Average Number of Contracts Purchased | | |
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.
The Funds' derivatives contracts held at April 30, 2023 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, 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 Fund 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, 2023, Income Builder Fund had outstanding ELNs as listed on the SOIs.
K. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). 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.
L. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended April 30, 2023 are as follows:
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
|
| Amount rounds to less than one thousand. |
M. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of April 30, 2023, 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.
N. Foreign Taxes —The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital 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.
O. 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:
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 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended April 30, 2023, the effective annualized rate 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 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 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:
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, 2023, JPMDS retained the following:
|
| Amount rounds to less than one thousand. |
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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:
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:
The expense limitation agreements were in effect for the six months ended April 30, 2023 and are in place until at least February 28, 2024.
For the six months ended April 30, 2023, 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
Reimbursements |
| | | | | |
| | | | | |
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, 2023 were as follows:
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the six months ended April 30, 2023 the amount of these reimbursements 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, 2023, 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, 2023, 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 | |
| | | | |
| | | | |
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, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
At October 31, 2022, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
| | |
| | |
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
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023.
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 30, 2023.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended April 30, 2023.
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 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Daily Simple SOFR Rate. Prior to August 9, 2022, interest associated with any borrowing under the Credit Facility was charged to the borrowing fund at a rate of interest equal to the Applicable Margin, plus the greater of the federal funds effective rate or one month London Interbank Offered Rate ("LIBOR"). Effective August 9, 2022, the Credit Facility was amended and restated for a term of 364 days, unless extended, and included a change in the interest associated with any borrowing as mentioned above.
The Funds did not utilize the Credit Facility during the six months ended April 30, 2023.
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, 2023, the Funds had individual shareholder and/or affiliated 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 | | Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts | |
| | | | |
| | | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds invest in variable and floating rate loans and other variable and floating rate securities. Although these investments are generally less sensitive to interest rate changes than fixed rate instruments, the value of floating rate loans and other securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may increase interest rates or the timing, frequency, or magnitude of such increases. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Funds' investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds' 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. Credit spreads may increase, which may reduce the market values of the Funds' securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an
increase in the credit spreads (i.e. the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
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, 2023, 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 and could make derivatives more difficult for the Funds to value accurately. 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 negatively affected economies, markets and individual companies throughout the world. The effects of this, or any future, pandemic to public health and business and market conditions may 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,
NOTES TO FINANCIAL STATEMENTS
AS OF April 30, 2023 (Unaudited) (continued)
(Dollar values in thousands)
their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a 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 ultimate impact of any pandemic and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (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, 2022, and continued to hold your shares at the end of the reporting period, April 30, 2023.
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, 2022 | Ending
Account Value
April 30, 2023 | Expenses
Paid During
the Period* | |
JPMorgan Global Allocation Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value November 1, 2022 | Ending Account Value April 30, 2023 | Expenses Paid During the Period* | |
JPMorgan Income Builder Fund | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
|
| 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). |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has 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. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. 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 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying 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 and whether all applicable Funds were in compliance with the terms 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.
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
THIS PAGE IS INTENTIONALLY LEFT BLANK
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 each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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., 2023. All rights reserved. April 2023.
SAN-IB-GAL-423
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
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 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 period 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), exactly as set forth below:
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(1) 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.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
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, 2023 |
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, 2023 |
| | |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | July 5, 2023 |
